UNSPECIFIED (2002) Bias in the memory parameter for different sampling rates. INTERNATIONAL JOURNAL OF FORECASTING, 18 (2). pp. 299-313. ISSN 0169-2070

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Abstract

This paper analyses the bias in the estimate of the long memory parameter arising as a consequence of changing the frequency of the data for both semi-parametric and parametric estimation methods. Decreasing the sampling rate biases the estimation of the long memory parameter towards zero for all estimation methods. For the semi-parametric methods the observed empirical bias can be explained by analysing the form of each of the estimation methods, (C) 2002 International Institute of Forecasters. Published by Elsevier Science B.V. All rights reserved.

Item Type:	Journal Article
Subjects:	H Social Sciences > HC Economic History and Conditions H Social Sciences > HD Industries. Land use. Labor > HD28 Management. Industrial Management
Journal or Publication Title:	INTERNATIONAL JOURNAL OF FORECASTING
Publisher:	ELSEVIER SCIENCE BV
ISSN:	0169-2070
Date:	April 2002
Volume:	18
Number:	2
Number of Pages:	15
Page Range:	pp. 299-313
Publication Status:	Published
URI:	http://wrap.warwick.ac.uk/id/eprint/11010

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