Indirect estimation methods are proposed for estimating univariate ARFIMA , as well as more complex multivariate VARFIMA models. Special attention is given to comparing the finite sampling properties of the indirect estimator with Sowell's (1992a) exact time domain maximum likelihood estimator...

This paper proposes a range of parametric and nonparametric corrections to the GPH estimator of the differencing parameter in a fractionally integrated process. It is argued that the GPH estimator can suffer from an identification problem at the very low frequencies in the spectrum in small samples.