Small sample properties of frequency domain estimators for the fractional model
- Publisher:
- Marcel Dekker Inc
- Publication Type:
- Journal Article
- Citation:
- Communications In Statistics-Simulation And Computation, 2005, 34 (1), pp. 57 - 72
- Issue Date:
- 2005-01
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2005000632.pdf | 1.13 MB |
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This article proposes a number of frequency domain estimation procedures for the ARFIMA model based on a spectral generalized method of moments, (SGMM) estimator. It is shown that the SGMM estimator includes as special cases; the GPH regression estimator
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