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We consider the nonstationary fractional model Δ^{d}X_{t}=ε_{t} with ε_{t} i.i.d.(0,σ²) and d1/2. We derive an analytical expression for the main term of the asymptotic bias of the maximum likelihood estimator of d conditional on initial values, and we discuss the role of the initial values...
Persistent link: https://www.econbiz.de/10010290349
We consider the nonstationary fractional model $\Delta^{d}X_{t}=\varepsilon _{t}$ with $\varepsilon_{t}$ i.i.d.$(0,\sigma^{2})$ and $d1/2$. We derive an analytical expression for the main term of the asymptotic bias of the maximum likelihood estimator of $d$ conditional on initial values, and we...
Persistent link: https://www.econbiz.de/10010851220
We consider the nonstationary fractional model Delta^d Xt = epsilon t with epsilon t i.i.d.(0;sigma^2) and d 1/2. We derive an analytical expression for the main term of the asymptotic biasof the maximum likelihood estimator of d conditional on initial values, and we discussthe role of the...
Persistent link: https://www.econbiz.de/10010592984
In this paper we analyze the influence of observed and unobserved initial values on the bias of the conditional maximum likelihood or conditional sum-of-squares (CSS, or least squares) estimator of the fractional parameter, d, in a nonstationary fractional time series model. The CSS estimator is...
Persistent link: https://www.econbiz.de/10011188647