Issues in the estimation of mis-specified models of fractionally integrated processes

Martin, G.M., Nadarajah, K. and Poskitt, D.S. (2020) Issues in the estimation of mis-specified models of fractionally integrated processes. Journal of Econometrics, 215 (2). pp. 559-573. ISSN 0304-4076

Abstract

Metadata

Authors/Creators:
  • Martin, G.M.
  • Nadarajah, K.
  • Poskitt, D.S.
Copyright, Publisher and Additional Information: © 2019 Elsevier B.V. This is an author produced version of a paper subsequently published in Journal of Econometrics. Uploaded in accordance with the publisher's self-archiving policy. Article available under the terms of the CC-BY-NC-ND licence (https://creativecommons.org/licenses/by-nc-nd/4.0/).
Keywords: Long memory models; ARFIMA; Pseudo-true parameter; Frequency domain estimators; Time domain estimators; Mis-specified short memory dynamics
Dates:
  • Accepted: 16 September 2019
  • Published (online): 13 November 2019
  • Published: 1 April 2020
Institution: The University of Sheffield
Academic Units: The University of Sheffield > Faculty of Social Sciences (Sheffield) > Department of Economics (Sheffield)
Depositing User: Symplectic Sheffield
Date Deposited: 21 Jan 2020 15:50
Last Modified: 13 Nov 2021 01:38
Status: Published
Publisher: Elsevier BV
Refereed: Yes
Identification Number: https://doi.org/10.1016/j.jeconom.2019.09.007

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