• Title of article

    Indirect estimation of ARFIMA and VARFIMA models

  • Author/Authors

    Martin، نويسنده , , Vance L. and Wilkins، نويسنده , , Nigel P.، نويسنده ,

  • Issue Information
    دوفصلنامه با شماره پیاپی سال 1999
  • Pages
    27
  • From page
    149
  • To page
    175
  • Abstract
    Indirect estimation methods are proposed for estimating ARFIMA, as well as more complex VARFIMA models. A general framework for conducting indirect estimation of fractional models is developed that covers simulation methods, choice of auxiliary model and estimation algorithm. Special attention is given to comparing the finite sampling properties of the indirect estimator with Sowellʹs (1992a) exact time domain maximum-likelihood estimator, the spectral maximum-likelihood estimator of Fox and Taqqu (1986) and the Geweke and Porter-Hudak (1983) spectral regression estimator. The indirect estimator can be computationally faster than the exact time domain maximum-likelihood estimator while generating similar small sample properties. The computational gains of the indirect estimator over maximum likelihood increase as the complexity of the data generating process increases.
  • Keywords
    persistence , Multivariate ARFIMA , Simulation , Fractional integration , Frequency domain , Long memory , Auxiliary models
  • Journal title
    Journal of Econometrics
  • Serial Year
    1999
  • Journal title
    Journal of Econometrics
  • Record number

    1556956