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Error and Model Misspecification in ARFIMA Process

Brazilian Review of Econometrics

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Title Error and Model Misspecification in ARFIMA Process
Error and Model Misspecification in ARFIMA Process
 
Creator Reisen, Valderio A.; Departamento de Estatistica, CCE and PPGEA-CT-UFES, Vitoria - ES, Brazil
Sena Jr., Manoel R.; Departamento de Estatlstica, CCEN - UFPE, Recife - PE, Brazil
Lopes, Silvia R. C .; Departamento de Estatistica, IM - UFRGS, Porto Alegre - RS, Brazil
 
Subject Fractional differencing; Long memory; Smoothed periodogram regression; Periodogram regression; Whittle maximum likelihood procedure; non-normality; misspecification
62Ml0; 62M15; 60G18
Fractional differencing; Long memory; Smoothed periodogram regression; Periodogram regression; Whittle maximum likelihood procedure; non-normality; misspecification
62Ml0; 62M15; 60G18
 
Description In developing the long and short memory estimation, it is usually assumed that the innovations in the ARFIMA model are normally distributed. However, circumstances may occur where this assumption is not true. This paper uses Monte Carlo simulation to evaluate the robustness of different estimators of the fractional parameter in stationary and invertible ARFIMA processes to the misspecification of the error distribution. In particular, we consider misspecification against heavy-tailed, skewed and bimodal distributions. The study is also extended for the incorrect ARFIMA specification.
No processo de estimação dos parametros de longa e curta memoria e usualmente assumido que os erros no modelo ARFIMA sao normalmente distribuidos. Entretanto pode ocorrer, em certas circunstancias, que esta suposição nao seja verdadeira. Este artigo utiliza simulação de Monte Carlo para investigar a robustez de diferentes estimadores do parametro fraciomirio do processo ARFIMA, estaciomirio e invertivel, quando os erros nao sao normais. Em particular, consideramos as distribuições de caldas pesadas, assimetricas e bimodais. 0 estudo e tambem extendido para 0 caso de ordem incorreta do processo ARFIMA.
 
Publisher Sociedade Brasileira de Econometria
 
Date 2001-05-01
 
Type info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
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Format application/pdf
 
Identifier http://bibliotecadigital.fgv.br/ojs/index.php/bre/article/view/3193
10.12660/bre.v21n12001.3193
 
Source Brazilian Review of Econometrics; Vol 21, No 1 (2001); 101-135
Brazilian Review of Econometrics; Vol 21, No 1 (2001); 101-135
1980-2447
 
Language eng
 
Relation http://bibliotecadigital.fgv.br/ojs/index.php/bre/article/view/3193/2077