Maximum Likelihood Estimators for ARMA and ARFIMA Models: A Monte Carlo Study
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Note: Type of Document - LaTex/Postscript/Zipped; prepared on ULTRIX HP; to print on PostScript; pages: 34 ; figures: 2 files (text.ps and figures.ps) in one zip-file. forthcoming in a special edition on long range dependence of the Journal of Statistical Planning and Inference
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References listed on IDEAS
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- Tata Subba Rao & Granville Tunnicliffe Wilson & Joao Jesus & Richard E. Chandler, 2017. "Inference with the Whittle Likelihood: A Tractable Approach Using Estimating Functions," Journal of Time Series Analysis, Wiley Blackwell, vol. 38(2), pages 204-224, March.
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More about this item
Keywords
fractional integration; Whittle likelihood; modified profile likelihood; data taper; pile-up effect;All these keywords.
JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-1998-12-09 (Econometrics)
- NEP-ETS-1998-12-09 (Econometric Time Series)
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