Error and Model Misspecification in ARFIMA Process

Error and Model Misspecification in ARFIMA Process

dc.creatorReisen, Valderio A.
dc.creatorSena Jr., Manoel R.
dc.creatorLopes, Silvia R. C .
dc.date2001-05-01
dc.date.accessioned2022-11-03T21:19:11Z
dc.date.available2022-11-03T21:19:11Z
dc.identifierhttps://bibliotecadigital.fgv.br/ojs/index.php/bre/article/view/3193
dc.identifier.urihttps://repositorioslatinoamericanos.uchile.cl/handle/2250/5047985
dc.descriptionIn developing the long and short memory estimation, it is usually assumed that the innovations in the ARFIMA model are normally distributed. However, circumstances may occur where this assumption is not true. This paper uses Monte Carlo simulation to evaluate the robustness of different estimators of the fractional parameter in stationary and invertible ARFIMA processes to the misspecification of the error distribution. In particular, we consider misspecification against heavy-tailed, skewed and bimodal distributions. The study is also extended for the incorrect ARFIMA specification.en-US
dc.descriptionNo processo de estimação dos parametros de longa e curta memoria e usualmente assumido que os erros no modelo ARFIMA sao normalmente distribuidos. Entretanto pode ocorrer, em certas circunstancias, que esta suposição nao seja verdadeira. Este artigo utiliza simulação de Monte Carlo para investigar a robustez de diferentes estimadores do parametro fraciomirio do processo ARFIMA, estaciomirio e invertivel, quando os erros nao sao normais. Em particular, consideramos as distribuições de caldas pesadas, assimetricas e bimodais. 0 estudo e tambem extendido para 0 caso de ordem incorreta do processo ARFIMA.pt-BR
dc.formatapplication/pdf
dc.languageeng
dc.publisherSociedade Brasileira de Econometriaen-US
dc.relationhttps://bibliotecadigital.fgv.br/ojs/index.php/bre/article/view/3193/2077
dc.sourceBrazilian Review of Econometrics; Vol. 21 No. 1 (2001); 101-135en-US
dc.sourceBrazilian Review of Econometrics; v. 21 n. 1 (2001); 101-135pt-BR
dc.source1980-2447
dc.subjectFractional differencingen-US
dc.subjectLong memoryen-US
dc.subjectSmoothed periodogram regressionen-US
dc.subjectPeriodogram regressionen-US
dc.subjectWhittle maximum likelihood procedureen-US
dc.subjectnon-normalityen-US
dc.subjectmisspecificationen-US
dc.subject62Ml0en-US
dc.subject62M15en-US
dc.subject60G18en-US
dc.subjectFractional differencingpt-BR
dc.subjectLong memorypt-BR
dc.subjectSmoothed periodogram regressionpt-BR
dc.subjectPeriodogram regressionpt-BR
dc.subjectWhittle maximum likelihood procedurept-BR
dc.subjectnon-normalitypt-BR
dc.subjectmisspecificationpt-BR
dc.subject62Ml0pt-BR
dc.subject62M15pt-BR
dc.subject60G18pt-BR
dc.titleError and Model Misspecification in ARFIMA Processen-US
dc.titleError and Model Misspecification in ARFIMA Processpt-BR
dc.typeinfo:eu-repo/semantics/article
dc.typeinfo:eu-repo/semantics/publishedVersion


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