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  • 1990-1994  (1)
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    Electronic Resource
    Electronic Resource
    The performance of the gph estimator of the fractional difference parameter: Simulation results (1992)
    Springer
    Review of quantitative finance and accounting 2 (1992), S. 409-417 
    Details
    ISSN: 1573-7179
    Keywords: Fractional difference ; long memory ; periodogram
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract This paper investigates the behavior of the GPH estimator of the fractional difference parameter suggested by Geweke and Porter-Hudak (1983), through Monte Carlo simulations. The simulation results indicate that when considering a stationary AR(1) generating process the GPH estimator of the fractional difference parameter has serious bias which increases with the value of the autoregressive parameter, even for relatively large samples. The results suggest that tests and point estimates based on this procedure can be seriously misleading with hypothesis ests yielding incorrect inferences and thus must be used with great care.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF00939020
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