Finite Sample Comparison of Parametric, Semiparametric, and Wavelet Estimators of Fractional Integration

DOI10.1080/07474930500405790zbMath1080.62059OpenAlexW2019572758MaRDI QIDQ5719301

Morten Ørregaard Nielsen, Per Frederiksen

Publication date: 18 January 2006

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://ageconsearch.umn.edu/record/273666/files/qed_wp_1189.pdf

zbMATH Keywords

waveletsMonte Carlo simulationmaximum likelihoodsemiparametric estimationfractional integrationbiasparametric estimationfinite sample distribution

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10) Monte Carlo methods (65C05) Statistical tables (62Q05)

Related Items (16)

LOCAL WHITTLE ESTIMATION OF FRACTIONAL INTEGRATION FOR NONLINEAR PROCESSES ⋮ Optimal bias correction of the log-periodogram estimator of the fractional parameter: a jackknife approach ⋮ When long memory meets the Kalman filter: a comparative study ⋮ Long Memory Regressors and Predictive Testing: A Two-stage Rebalancing Approach ⋮ BIAS CORRECTION OF SEMIPARAMETRIC LONG MEMORY PARAMETER ESTIMATORS VIA THE PREFILTERED SIEVE BOOTSTRAP ⋮ Inference for estimators of generalized long memory processes ⋮ On the estimation of short memory components in long memory time series models ⋮ Estimation of long memory in volatility using wavelets ⋮ Finite Sample Performance in Cointegration Analysis of Nonlinear Time Series with Long Memory ⋮ ASYMPTOTIC THEORY FOR MAXIMUM LIKELIHOOD ESTIMATION OF THE MEMORY PARAMETER IN STATIONARY GAUSSIAN PROCESSES ⋮ Asymptotics for the Conditional‐Sum‐of‐Squares Estimator in Multivariate Fractional Time‐Series Models ⋮ Multivariate Wavelet Whittle Estimation in Long-range Dependence ⋮ A Generalised Fractional Differencing Bootstrap for Long Memory Processes ⋮ Long Memory, Realized Volatility and Heterogeneous Autoregressive Models ⋮ First-order bias correction for fractionally integrated time series ⋮ Higher-order improvements of the sieve bootstrap for fractionally integrated processes

Uses Software

• Ox
• ARFIMA
• longmemo

Cites Work

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