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Small sample bias in conditional sum-of-squares estimators of fractionally integrated ARMA models (1993)

Chung, Ching-Fan ; Baillie, Richard T.

Springer

Empirical economics 18 (1993), S. 791-806

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ISSN: 1435-8921

Keywords: C22

Source: Springer Online Journal Archives 1860-2000

Topics: Economics

Notes: Abstract This paper considers estimation of the parameters for the fractionally integrated class of processes known as ARFIMA. We consider the small sample properties of a conditional sum-of-squares estimator that is asymptotically equivalent to MLE. This estimator has the advantage of being relatively simple and can estimate all the parameters, including the mean, simultaneously. The simulation evidence we present indicates that estimation of the mean can make a considerable difference to the small sample bias and MSE of the other parameter estimates.

Type of Medium: Electronic Resource

URL: http://dx.doi.org/10.1007/BF01205422

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