Fractional Integration with Drift: Estimation in Small Samples

@inproceedings{Smith1997FractionalIW,
  title={Fractional Integration with Drift: Estimation in Small Samples},
  author={Anthony A. Smith and Fallaw B. Sowell and Stanley E. Zin},
  year={1997}
}
We examine the finite-sample behavior of estimators of the order of integration in a fractionally integrated time-series model. In particular, we compare exact time-domain likelihood estimation to frequency-domain approximate likelihood estimation. We show that over-differencing is of critical importance for time-domain maximum-likelihood estimation in finite samples. Overdifferencing moves the differencing parameter (in the over-differenced model) away from the boundary of the parameter space… CONTINUE READING
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