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    The empirical properties of some popular estimators of long memory processes

    Access Status
    Fulltext not available
    Authors
    Rea, W.
    Oxley, Leslie
    Reale, M.
    Brown, J.
    Date
    2011
    Type
    Conference Paper
    
    Metadata
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    Citation
    Rea, W. and Oxley, L. and Reale, M. and Brown, J. 2011. The empirical properties of some popular estimators of long memory processes, in Proceedings of MODSIM 2011 - 19th International Congress on Modelling and Simulation: Sustaining Our Future: Understanding and Living with Uncertainty, pp. 1393-1400.
    Source Title
    MODSIM 2011 - 19th International Congress on Modelling and Simulation - Sustaining Our Future: Understanding and Living with Uncertainty
    ISBN
    9780987214317
    School
    School of Economics and Finance
    URI
    http://hdl.handle.net/20.500.11937/41212
    Collection
    • Curtin Research Publications
    Abstract

    The empirical properties of 12 different estimators of the Hurst parameter, H, or fractional integration parameter, d, derived via simulation, are presented. For time series with fewer than 4,000 observations only the Whittle and Haslett-Raftery estimators produce acceptable statistical properties.

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