The role of initial values in nonstationary fractional time series models

We consider the nonstationary fractional model Delta^d Xt = epsilon t with epsilon t i.i.d.(0;sigma^2) and d > 1/2. We derive an analytical expression for the main term of the asymptotic biasof the maximum likelihood estimator of d conditional on initial values, and we discussthe 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:	2012-11-08
Authors:	Johansen, Søren ; Nielsen, Morten Ørregaard
Institutions:	Økonomisk Institut, Københavns Universitet
Subject:	Asymptotic expansion \| bias \| conditional inference \| fractional integration \| initial values \| likelihood inference

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Extent:	application/pdf
Series:	Discussion Papers.
Type of publication:	Book / Working Paper
Notes:	Number 12-18 30 pages
Classification:	C22 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010592984