Mayoral, Laura - Barcelona Graduate School of Economics (Barcelona GSE) - 2001
A new parametric minimum distance time-domain estimator for ARFIMA processes is introduced in this paper. The proposed … integrated (FI) processes with an integration order d strictly greater than -0.75. Therefore, it can be applied to both … stationary and non-stationary processes. Deterministic components are also allowed in the DGP. Furthermore, as a by-product, the …