Comparing the Bias and Misspecification in Arfima Models

Jeremy Smith, Nick Taylor and Sanjay Yadav

The Warwick Economics Research Paper Series (TWERPS) from University of Warwick, Department of Economics

Abstract: A number of papers have looked at the bias in the fractional integration parameter, d using a variety of alternative estimation techniques. This paper supplements that literature by investigating the bias in both the short-term and long-term parameters for a range of ARFIMA models using a more comprehensive range of estimation techniques. The results suggest that all estimation procedures yield slightly biased estimates of the long-run parameter, and that these biases become larger with the introduction of short-term AR or MA parameters. The bias in the short-run parameters mirrors that in the long-run parameters. These biases often causes model selection criteria to select an incorrect ARMA specification, having filtered out the long-run parameter. Incorrect specification of the short-run parameters in the ARFIMA model can accentuate the bias in the long-run parameter.

Pages: 36 pages
Date: 1995
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Citations: View citations in EconPapers (16)

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https://warwick.ac.uk/fac/soc/economics/research/w ... 95-1998/twerp442.pdf

Related works:
Journal Article: Comparing the bias and misspecification in ARFIMA models (1997)
Working Paper: Comparing the Bias and Misspecification in ARFIMA Models (1995)
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Persistent link: https://EconPapers.repec.org/RePEc:wrk:warwec:442

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