The Finite-Sample Properties of Autoregressive Approximations of Fractionally-Integrated and Non-Invertible Processes
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Sowell, Fallaw, 1992. "Maximum likelihood estimation of stationary univariate fractionally integrated time series models," Journal of Econometrics, Elsevier, vol. 53(1-3), pages 165-188.
- D. Poskitt, 2007. "Autoregressive approximation in nonstandard situations: the fractionally integrated and non-invertible cases," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 59(4), pages 697-725, December.
- Christopher F. Baum & John Barkoulas, 2006.
"Long-memory forecasting of US monetary indices,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 25(4), pages 291-302.
- John Barkoulas & Christopher F. Baum, 2003. "Long-Memory Forecasting of U.S. Monetary Indices," Boston College Working Papers in Economics 558, Boston College Department of Economics.
- Baillie, Richard T. & Chung, Sang-Kuck, 2002. "Modeling and forecasting from trend-stationary long memory models with applications to climatology," International Journal of Forecasting, Elsevier, vol. 18(2), pages 215-226.
- C. W. J. Granger & Roselyne Joyeux, 1980. "An Introduction To Long‐Memory Time Series Models And Fractional Differencing," Journal of Time Series Analysis, Wiley Blackwell, vol. 1(1), pages 15-29, January.
- Hosking, Jonathan R. M., 1996. "Asymptotic distributions of the sample mean, autocovariances, and autocorrelations of long-memory time series," Journal of Econometrics, Elsevier, vol. 73(1), pages 261-284, July.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- D. S. Poskitt, 2008.
"Properties of the Sieve Bootstrap for Fractionally Integrated and Non‐Invertible Processes,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 29(2), pages 224-250, March.
- D. S. Poskitt, 2006. "Properties of the Sieve Bootstrap for Fractionally Integrated and Non-Invertible Processes," Monash Econometrics and Business Statistics Working Papers 12/06, Monash University, Department of Econometrics and Business Statistics.
- D.S. Poskitt & Gael M. Martin & Simone D. Grose, 2012.
"Bias Reduction of Long Memory Parameter Estimators via the Pre-filtered Sieve Bootstrap,"
Monash Econometrics and Business Statistics Working Papers
8/12, Monash University, Department of Econometrics and Business Statistics.
- D.S. Poskitt & Gael M. Martin & Simone D. Grose, 2014. "Bias Reduction of Long Memory Parameter Estimators via the Pre-filtered Sieve Bootstrap," Monash Econometrics and Business Statistics Working Papers 10/14, Monash University, Department of Econometrics and Business Statistics.
- Poskitt, D.S. & Grose, Simone D. & Martin, Gael M., 2015.
"Higher-order improvements of the sieve bootstrap for fractionally integrated processes,"
Journal of Econometrics, Elsevier, vol. 188(1), pages 94-110.
- D.S. Poskitt & Simone D. Grose & Gael M. Martin, 2012. "Higher Order Improvements of the Sieve Bootstrap for Fractionally Integrated Processes," Monash Econometrics and Business Statistics Working Papers 9/12, Monash University, Department of Econometrics and Business Statistics.
- D.S. Poskitt & Simone D. Grose & Gael M. Martin, 2013. "Higher-Order Improvements of the Sieve Bootstrap for Fractionally Integrated Processes," Monash Econometrics and Business Statistics Working Papers 25/13, Monash University, Department of Econometrics and Business Statistics.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Poskitt, D.S. & Grose, Simone D. & Martin, Gael M., 2015.
"Higher-order improvements of the sieve bootstrap for fractionally integrated processes,"
Journal of Econometrics, Elsevier, vol. 188(1), pages 94-110.
- D.S. Poskitt & Simone D. Grose & Gael M. Martin, 2012. "Higher Order Improvements of the Sieve Bootstrap for Fractionally Integrated Processes," Monash Econometrics and Business Statistics Working Papers 9/12, Monash University, Department of Econometrics and Business Statistics.
- D.S. Poskitt & Simone D. Grose & Gael M. Martin, 2013. "Higher-Order Improvements of the Sieve Bootstrap for Fractionally Integrated Processes," Monash Econometrics and Business Statistics Working Papers 25/13, Monash University, Department of Econometrics and Business Statistics.
- D.S. Poskitt & Gael M. Martin & Simone D. Grose, 2012.
"Bias Reduction of Long Memory Parameter Estimators via the Pre-filtered Sieve Bootstrap,"
Monash Econometrics and Business Statistics Working Papers
8/12, Monash University, Department of Econometrics and Business Statistics.
- D.S. Poskitt & Gael M. Martin & Simone D. Grose, 2014. "Bias Reduction of Long Memory Parameter Estimators via the Pre-filtered Sieve Bootstrap," Monash Econometrics and Business Statistics Working Papers 10/14, Monash University, Department of Econometrics and Business Statistics.
- Neil Kellard & Denise Osborn & Jerry Coakley & Simone D. Grose & Gael M. Martin & Donald S. Poskitt, 2015.
"Bias Correction of Persistence Measures in Fractionally Integrated Models,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 36(5), pages 721-740, September.
- Simone D. Grose & Gael M. Martin & Donald S. Poskitt, 2013. "Bias Correction of Persistence Measures in Fractionally Integrated Models," Monash Econometrics and Business Statistics Working Papers 29/13, Monash University, Department of Econometrics and Business Statistics.
- Simone D. Grose & Gael M. Martin & D.S. Poskitt, 2014. "Bias Correction of Persistence Measures in Fractionally Integrated Models," Monash Econometrics and Business Statistics Working Papers 19/14, Monash University, Department of Econometrics and Business Statistics.
- Ana Pérez & Esther Ruiz, 2002.
"Modelos de memoria larga para series económicas y financieras,"
Investigaciones Economicas, Fundación SEPI, vol. 26(3), pages 395-445, September.
- Pérez, Ana, 2001. "Modelos de memoria larga para series económicas y financieras," DES - Documentos de Trabajo. EstadÃstica y EconometrÃa. DS ds010101, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- D. S. Poskitt, 2005. "Autoregressive Approximation in Nonstandard Situations: The Non-Invertible and Fractionally Integrated Cases," Monash Econometrics and Business Statistics Working Papers 16/05, Monash University, Department of Econometrics and Business Statistics.
- Rea, William & Oxley, Les & Reale, Marco & Brown, Jennifer, 2013. "Not all estimators are born equal: The empirical properties of some estimators of long memory," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 93(C), pages 29-42.
- Richard T. Baillie & George Kapetanios & Fotis Papailias, 2017.
"Inference for impulse response coefficients from multivariate fractionally integrated processes,"
Econometric Reviews, Taylor & Francis Journals, vol. 36(1-3), pages 60-84, March.
- Richard T. Baillie & George Kapetanios & Fotis Papailias, 2015. "Inference for Impulse Response Coefficients From Multivariate Fractionally Integrated Processes," Working Paper series 15-46, Rimini Centre for Economic Analysis.
- Baillie, Richard T. & Kongcharoen, Chaleampong & Kapetanios, George, 2012. "Prediction from ARFIMA models: Comparisons between MLE and semiparametric estimation procedures," International Journal of Forecasting, Elsevier, vol. 28(1), pages 46-53.
- Papailias, Fotis & Fruet Dias, Gustavo, 2015. "Forecasting long memory series subject to structural change: A two-stage approach," International Journal of Forecasting, Elsevier, vol. 31(4), pages 1056-1066.
- N. H. Chan & A. E. Brockwell, 2006. "Long-memory dynamic Tobit models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 25(5), pages 351-367.
- Breidt, F. Jay & Crato, Nuno & de Lima, Pedro, 1998. "The detection and estimation of long memory in stochastic volatility," Journal of Econometrics, Elsevier, vol. 83(1-2), pages 325-348.
- Baillie, Richard T. & Kapetanios, George & Papailias, Fotis, 2014. "Modified information criteria and selection of long memory time series models," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 116-131.
- Koop, Gary & Ley, Eduardo & Osiewalski, Jacek & Steel, Mark F. J., 1997.
"Bayesian analysis of long memory and persistence using ARFIMA models,"
Journal of Econometrics, Elsevier, vol. 76(1-2), pages 149-169.
- KOOP , Gary & LEY , Eduardo & OSIEWALSKI , Jacek & STEEL , Mark, 1995. "Bayesian Analysis of Long Memory and Persistence using ARFIMA Models," LIDAM Discussion Papers CORE 1995035, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Koop, G. & Ley, E. & Osiewalski, J. & Steel, M. F. J., 1997. "Bayesian analysis of long memory and persistence using ARFIMA models," LIDAM Reprints CORE 1246, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Gary Koop & Eduardo Ley & Jacek Osiewalski & Mark F.J. Steel, 1995. "Bayesian Analysis of Long Memory and Persistence using ARFIMA Models," Econometrics 9505001, University Library of Munich, Germany, revised 22 Jun 2004.
- Gary Koop, 1995. "Bayesian Analysis of Long Memory and Persistence using ARFIMA Models," Working Papers gkoop-95-01, University of Toronto, Department of Economics.
- Ngene, Geoffrey & Tah, Kenneth A. & Darrat, Ali F., 2017. "Long memory or structural breaks: Some evidence for African stock markets," Review of Financial Economics, Elsevier, vol. 34(C), pages 61-73.
- Giorgio Canarella & Luis A. Gil-Alana & Rangan Gupta & Stephen M. Miller, 2022.
"Globalization, long memory, and real interest rate convergence: a historical perspective,"
Empirical Economics, Springer, vol. 63(5), pages 2331-2355, November.
- Giorgio Canarella & Luis A. Gil-Alana & Rangan Gupta & Stephen M. Miller, 2020. "Globalization, Long Memory, and Real Interest Rate Convergence: A Historical Perspective," Working Papers 2020106, University of Pretoria, Department of Economics.
- SangKun Bae & Mark J. Jensen, 1998. "Long-Run Neutrality in a Long-Memory Model," Macroeconomics 9809006, University Library of Munich, Germany, revised 21 Apr 1999.
- Hassler, U. & Marmol, F. & Velasco, C., 2006.
"Residual log-periodogram inference for long-run relationships,"
Journal of Econometrics, Elsevier, vol. 130(1), pages 165-207, January.
- Hassler, Uwe & Marmol, Francesc & Velasco, Carlos, 2002. "Residual Log-Periodogram Inference for Long-Run-Relationships," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 37317, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
- Hassler, Uwe & Marmol, Francesc & Velasco, Carlos, 2009. "Residual Log-Periodogram Inference for Long-Run-Relationships," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 77562, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
- Hassler, Uwe & Marmol, Francesc & Velasco, Carlos, 2002. "Residual Log-Periodogram Inference for Long-Run Relationships," Darmstadt Discussion Papers in Economics 115, Darmstadt University of Technology, Department of Law and Economics.
- Hassler, Uwe & Marmol, Francesc & Velasco, Carlos, 2002. "Residual log-periodogram inference for long-run relationships," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 18289, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
- Jesus Gonzalo & Tae-Hwy Lee, 2000.
"On the robustness of cointegration tests when series are fractionally intergrated,"
Journal of Applied Statistics, Taylor & Francis Journals, vol. 27(7), pages 821-827.
- Lee, T.H. & Gonzalo, J., 1995. "On the Robustness of Cointegration Tests when Series Are Fractionally Integrated," The A. Gary Anderson Graduate School of Management 95-11, The A. Gary Anderson Graduate School of Management. University of California Riverside.
- Lee, Tae-Hwy, 1996. "On the robustness of cointegration tests when series are fractionally integrated," DES - Working Papers. Statistics and Econometrics. WS 4542, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Geoffrey Ngene & Ann Nduati Mungai & Allen K. Lynch, 2018. "Long-Term Dependency Structure and Structural Breaks: Evidence from the U.S. Sector Returns and Volatility," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 21(02), pages 1-38, June.
- Baillie, Richard T. & Kapetanios, George & Papailias, Fotis, 2014. "Bandwidth selection by cross-validation for forecasting long memory financial time series," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 129-143.
More about this item
Keywords
Autoregression; autoregressive approximation; fractional process;All these keywords.
JEL classification:
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2006-07-21 (Econometrics)
- NEP-ETS-2006-07-21 (Econometric Time Series)
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:msh:ebswps:2006-15. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Professor Xibin Zhang (email available below). General contact details of provider: https://edirc.repec.org/data/dxmonau.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.