Estimation Methods of the Long Memory Parameter: Monte Carlo Analysis and Application

Autor: Mohamed Boutahar, Leïla Nouira, Velayoudom Marimoutou
Rok vydání: 2007
Předmět:
Zdroj: Journal of Applied Statistics. 34:261-301
ISSN: 1360-0532
0266-4763
DOI: 10.1080/02664760601004874
Popis: Since the seminal paper of Granger & Joyeux (1980), the concept of a long memory has focused the attention of many statisticians and econometricians trying to model and measure the persistence of stationary processes. Many methods for estimating d, the long-range dependence parameter, have been suggested since the work of Hurst (1951). They can be summarized in three classes: the heuristic methods, the semi-parametric methods and the maximum likelihood methods. In this paper, we try by simulation, to verify the two main properties of [dcirc]: the consistency and the asymptotic normality. Hence, it is very important for practitioners to compare the performance of the various classes of estimators. The results indicate that only the semi-parametric and the maximum likelihood methods can give good estimators. They also suggest that the AR component of the ARFIMA (1, d, 0) process has an important impact on the properties of the different estimators and that the Whittle method is the best one, since ...
Databáze: OpenAIRE
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