论文信息 - Estimating the fractionally integrated process in the presence of measurement errors

Estimating the fractionally integrated process in the presence of measurement errors

Abstract This paper studies the asymptotic bias of the differencing parameter estimator when data are measured with error. The estimator is established via the partial autocorrelation function. Factors that affect the direction of bias of the estimator are found.

Terence Tai-Leung Chong | Gilbert Chiu-sing Lui

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