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BIAS IN AN ESTIMATOR OF THE FRACTIONAL DIFFERENCE PARAMETER
Author(s) -
Agiakloglou Christos,
Newbold Paul,
Wohar Mark
Publication year - 1993
Publication title -
journal of time series analysis
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.576
H-Index - 54
eISSN - 1467-9892
pISSN - 0143-9782
DOI - 10.1111/j.1467-9892.1993.tb00141.x
Subject(s) - mathematics , estimator , series (stratigraphy) , long memory , statistics , consistent estimator , class (philosophy) , bias of an estimator , econometrics , minimum variance unbiased estimator , computer science , volatility (finance) , paleontology , artificial intelligence , biology
. An estimator of the difference parameter in a class of long‐memory time series models is examined. It is shown that, in particular circumstances, the estimator can be badly biased, and tests based on it consequently seriously misleading. The source of this bias is identified, and it is shown that its magnitude can readily be predicted through straightforward analytical arguments.