On Model Approximation for Long-Memory Processes: A Cautionary Result
It is pointed out that if the generating mechanism is a fraction integrated process I(d), where d can be less than 1/2, but a simple ARMA model is fitted, a consistent estimation procedure is likely to produce a unit root. Thus the properties of the fitted model will be quite unlike those of the generating mechanism.
Year of publication: |
2001
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Authors: | Granger, Clive W. J. |
Published in: |
Annals of Economics and Finance. - China Economics and Management Academy, ISSN 1529-7373. - Vol. 2.2001, 1, 5, p. 97-100
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Publisher: |
China Economics and Management Academy |
Saved in:
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