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| Author: | Martin, V. L. Wilkins, N. P. |
| Title: | Indirect estimation of ARFIMA and VARFIMA models |
| Journal: | Journal of Econometrics
1999 : NOV, VOL. 93:1, p. 149-175 |
| Index terms: | ECONOMETRICS |
| Freeterms: | FRACTIONAL INTEGRATION |
| Language: | eng |
| Abstract: | A general framework for conducting indirect estimation of fractional models is developed that covers simulation models, choice of auxiliary model and estimation algorithm. Attention is given to comparing the finite sampling properties of the indirect estimator with Sowell's exact time domain maximum-likelihood estimator, the spectral maximum-likelihood estimator of Fox and TaQQu and the Geweke and Porter-Hudak spectral regression estimator. |
SCIMA