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The empirical properties of some popular estimators of long memory processes

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2011
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Conference Paper

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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.

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.
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MODSIM 2011 - 19th International Congress on Modelling and Simulation - Sustaining Our Future: Understanding and Living with Uncertainty
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School of Economics and Finance
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