BIAS IN AN ESTIMATOR OF THE FRACTIONAL DIFFERENCE PARAMETER
Journal of Time Series AnalysisPublished 1 May 1993
Christos Agiakloglou, Paul Newbold, Mark E. Wohar
Citations207
SJR quartileQ1
SJR score0.94
SNIP1.27
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Abstract
Abstract. An estimator of the difference parameter in a class of long‐memory time series models is examined. It is shown that, in particular circumstances, the estimator can be badly biased, and tests based on it consequently seriously misleading. The source of this bias is identified, and it is shown that its magnitude can readily be predicted through straightforward analytical arguments.
Keywords
Economics, Econometrics and Finance
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