Journal of Time Series Analysis · 1993 · 207 citations · 5 references
Social SciencesEconomicsEconometricsStatisticsTime Series AnalysisLong-memory ProcessesTime Series EconometricsTime Series ForecastingTime Series ModelingVolatility ModelingAutoregressive Time Series ModelsEstimator Bias AssessmentLong Memory ModelsLong-memory Forecasting
Abstract. An estimator of the difference parameter in a class of long‐memory time series models is examined. It is shown that, in particular circumstances, the estimator can be badly biased, and tests based on it consequently seriously misleading. The source of this bias is identified, and it is shown that its magnitude can readily be predicted through straightforward analytical arguments.
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