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WROCŁAW UNIVERSITY
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Contents of PMS, Vol. 14, Fasc. 2,
pages 223 - 229
 

A NOTE ON THE ESTIMATION OF DEGREE OF DIFFERENCING IN LONG MEMORY TIME SERIES ANALYSIS

M. S. Peiris
J. R. Court

Abstract: In this paper we investigate the properties of the estimator of degree of differencing the fractional d in long memory time series analysis via consistent spectral density estimation. It is shown that the proposed estimator is more efficient than some of the others in practice.

2000 AMS Mathematics Subject Classification: Primary: -; Secondary: -;

Key words and phrases: -

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