The bias of lag window estimators of the fractional difference parameter

  • Authors:

  • R. L. Hunt;M. S. Peiris;N. C. Weber

  • Affiliations:

  • School of Mathematics and Statistics F07, University of Sydney, N.S.W. 2006, Australia;School of Mathematics and Statistics F07, University of Sydney, N.S.W. 2006, Australia;School of Mathematics and Statistics F07, University of Sydney, N.S.W. 2006, Australia

  • Venue:
  • The Korean Journal of Computational & Applied Mathematics
  • Year:
  • 2003

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Abstract

An approximation for the bias in lag window estimators of the degree of differencing in fractionally integrated time series models is derived. The expression obtained is compared with the observed bias from simulations for various windows.