Indirect Estimation of Arfima and Varfima Models.

Indirect estimation methods are proposed for estimating univariate ARFIMA , as well as more complex multivariate VARFIMA models. Special attention is given to comparing the finite sampling properties of the indirect estimator with Sowell's (1992a) exact time domain maximum likelihood estimator and the Geweke and Porter-Hudak (1983) spectral regression estimator.

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Year of publication:	1997
Authors:	Martin, V.L. ; Wilkins, N.P.
Institutions:	Department of Economics, Faculty of Business and Economics
Subject:	ECONOMETRICS \| EVALUATION

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Series:	Department of Economics - Working Papers Series.
Type of publication:	Book / Working Paper
Notes:	Number 547 38 pages
Classification:	C00 - Mathematical and Quantitative Methods. General ; C10 - Econometric and Statistical Methods: General. General ; C13 - Estimation ; C20 - Econometric Methods: Single Equation Models. General ; C22 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005587704