Search Results - subject:"Fractional differencing"

Prueba de hipótesis sobre la existencia de una raíz fraccional en una serie de tiempo no estacionaria

Lemus, Diego; Castaño Vélez, Elkin - In: Lecturas de economía 78 (2013), pp. 151-184

Persistent link: https://www.econbiz.de/10011523625

Is there long term memory in Uropean stock markets?

Christodoulou-Volos, Christos; Siokis, Fotios M.; … - In: International journal of economic research 10 (2013) 2, pp. 335-348

Persistent link: https://www.econbiz.de/10010391197

Expansions for Approximate Maximum Likelihood Estimators of the Fractional Difference Parameter

Lieberman, Offer; Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 2004

This paper derives second-order expansions for the distributions of the Whittle and profile plug-in maximum likelihood estimators of the fractional difference parameter in the ARFIMA(0,d,0) with unknown mean and variance. Both estimators are shown to be second-order pivotal. This extends earlier...

Persistent link: https://www.econbiz.de/10004990695

Seasonally and Fractionally Differenced Time Series (revised, August 2006)

Katayama, Naoya - Institute of Economic Research, Hitotsubashi University - 2004

This paper deals with a generalized seasonally integrated autoregressive moving average (SARIMA) model, which allows the two differencing parameters to take on fractional values. After investigating the basic properties of the model, we examine the asymptotic properties of the estimators and...

Persistent link: https://www.econbiz.de/10005675507

Second Order Expansions for the Distribution of the Maximum Likelihood Estimator of the Fractional Difference Parameter

Lieberman, Offer; Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 2001

The maximum likelihood estimator (MLE) of the fractional difference parameter in the Gaussian ARFIMA(0,d,0) model is well known to be asymptotically N(0,6/pi2). This paper develops a second order asymptotic expansion to the distribution of this statistic. The correction term for the density is...

Persistent link: https://www.econbiz.de/10005463881

Penalised Maximum Likelihood Estimation for Fractional Guassian Processes

Lieberman, Offer - Cowles Foundation for Research in Economics, Yale University - 2001

We apply and extend Firth's (1993) modified score estimator to deal with a class of stationary Gaussian long-memory processes. Our estimator removes the first order bias of the maximum likelihood estimator. A small simulation study reveals the reduction in the bias is considerable, while it does...

Persistent link: https://www.econbiz.de/10005593251

Long-term Memory in Volatility: Some Evidence from International Securitized Real Estate Markets

Liow, Kim - In: The Journal of Real Estate Finance and Economics 39 (2009) 4, pp. 415-438

Persistent link: https://www.econbiz.de/10008527163

Long Memory Inflationary Dynamics: The Case of Brazil

Reisen, Valderio; Cribari-Neto, Francisco; Jensen, Mark - In: Studies in Nonlinear Dynamics & Econometrics 7 (2007) 3, pp. 1157-1157

in Brazil are nearly fully inertial. We estimate the fractional differencing parameter using an ARFIMA specification for …

Persistent link: https://www.econbiz.de/10004966230

Empirical study of ARFIMA model based on fractional differencing

Xiu, Jin; Jin, Yao - In: Physica A: Statistical Mechanics and its Applications 377 (2007) 1, pp. 138-154

model for it, and detailed the procedure of fractional differencing. Furthermore, we compared the ARFIMA model built by this … information of time series would be lost. The forecast formula of ARFIMA model was corrected according to the method of fractional … differencing, and was employed in the empirical study. It was illustrated that the forecast performance of ARFIMA model was not as …

Persistent link: https://www.econbiz.de/10010588698

Persistence in Inflation: Does Aggregation Cause Long Memory?

BALCILAR, MEHMET - In: Emerging Markets Finance and Trade 40 (2004) 5, pp. 25-56

through fractional differencing. The order of fractional differencing is estimated using several semiparametric and maximum …

Persistent link: https://www.econbiz.de/10005753583