Ye, Xunyu; Gao, Ping; Li, Handong - In: Economic Modelling 46 (2015) C, pp. 167-179
This paper presents a new method to estimate the fractional differencing parameters in the SARFIMA model. A technique of split cosine bell tapering is suggested to improve the EGPH method. The simulation study shows that the optimal split proportion and bandwidth for the EGPH with split cosine...