Arbeitspapier
The role of initial values in nonstationary fractional time series models
We consider the nonstationary fractional model Δ^{d}X_{t}=ε_{t} with ε_{t} i.i.d.(0,σ²) and d>1/2. We derive an analytical expression for the main term of the asymptotic bias of the maximum likelihood estimator of d conditional on initial values, and we discuss the role of the initial values for the bias. The results are partially extended to other fractional models, and three different applications of the theoretical results are given.
- Sprache
-
Englisch
- Erschienen in
-
Series: Queen's Economics Department Working Paper ; No. 1300
- Klassifikation
-
Wirtschaft
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- Thema
-
asymptotic expansion
bias
conditional inference
fractional integration
initial values
likelihood inference
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Johansen, Søren
Ørregaard Nielsen, Morten
- Ereignis
-
Veröffentlichung
- (wer)
-
Queen's University, Department of Economics
- (wo)
-
Kingston (Ontario)
- (wann)
-
2012
- Handle
- Letzte Aktualisierung
- 10.03.2025, 11:45 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Johansen, Søren
- Ørregaard Nielsen, Morten
- Queen's University, Department of Economics
Entstanden
- 2012
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