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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.

Date: 1995
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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) Downloads
Working Paper: Comparing the Bias and Misspecification in ARFIMA Models (1995) Downloads
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