The role of initial values in nonstationary fractional time series models

We consider the nonstationary fractional model Δ^{d}X_{t}=ε_{t} with ε_{t} i.i.d.(0,σ²) and d>1/2. We derive an analytical expression for the main term of the asymptotic bias of the maximum likelihood estimator of d conditional on initial values, and we discuss the role of the initial values for the bias. The results are partially extended to other fractional models, and three different applications of the theoretical results are given.

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Year of publication:	2012
Authors:	Johansen, Søren ; Ørregaard Nielsen, Morten
Publisher:	Kingston (Ontario) : Queen's University, Department of Economics
Subject:	asymptotic expansion \| bias \| conditional inference \| fractional integration \| initial values \| likelihood inference

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Series:	Queen's Economics Department Working Paper ; 1300
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	73065429X [GVK] hdl:10419/67764 [Handle]
Classification:	C22 - Time-Series Models
Source:	EconStor

Persistent link: https://www.econbiz.de/10010290349