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Small Sample Bias in Conditional Sum-of-Squares Estimators of Fractionally Integrated ARMA Models

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  • Chung, Ching-Fan
  • Baillie, Richard T

Abstract

This paper considers estimation of the parameters for the fractionally integrated class of processes known as ARFIMA. We consider the small sample properties of a conditional sum-of-squares estimator that is asymptotically equivalent to MLE. This estimator has the advantage of being relatively simple and can estimate all the parameters, including the mean, simultaneously. The simulation evidence we present indicates that estimation of the mean can make a considerable difference to the small sample bias and MSE of the other parameter estimates.

Suggested Citation

  • Chung, Ching-Fan & Baillie, Richard T, 1993. "Small Sample Bias in Conditional Sum-of-Squares Estimators of Fractionally Integrated ARMA Models," Empirical Economics, Springer, vol. 18(4), pages 791-806.
    • Handle: RePEc:spr:empeco:v:18:y:1993:i:4:p:791-806
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