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Bias in the memory parameter for different sampling rates
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Souza, L. R. and Smith, Jeremy (2002) Bias in the memory parameter for different sampling rates. International Journal of Forecasting, Volume 18 (Number 2). pp. 299-313. doi:10.1016/S0169-2070(01)00160-1 ISSN 0169-2070.
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Official URL: http://dx.doi.org/10.1016/S0169-2070(01)00160-1
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 | ||||
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Subjects: | H Social Sciences > HC Economic History and Conditions H Social Sciences > HD Industries. Land use. Labor > HD28 Management. Industrial Management |
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Divisions: | Faculty of Social Sciences > Economics | ||||
Journal or Publication Title: | International Journal of Forecasting | ||||
Publisher: | Elsevier | ||||
ISSN: | 0169-2070 | ||||
Official Date: | 2002 | ||||
Dates: |
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Volume: | Volume 18 | ||||
Number: | Number 2 | ||||
Number of Pages: | 15 | ||||
Page Range: | pp. 299-313 | ||||
DOI: | 10.1016/S0169-2070(01)00160-1 | ||||
Status: | Peer Reviewed | ||||
Publication Status: | Published | ||||
Access rights to Published version: | Restricted or Subscription Access |
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