Publication in refereed journal
香港中文大学研究人员 ( 现职)
| 庄太量教授 (经济学系) |
全文
| 数位物件识别号 (DOI) http://dx.doi.org/10.1016/S0304-4076(99)00076-7 |
引用次数
Web of Sciencehttp://aims.cuhk.edu.hk/converis/portal/Publication/9WOS source URL
其它资讯
摘要This paper provides an explanation for the puzzling phenomenon in Tieslau ct al. (1http://aims.cuhk.edu.hk/converis/portal/Publication/9http://aims.cuhk.edu.hk/converis/portal/Publication/96, Journal of Econometrics 71, 24http://aims.cuhk.edu.hk/converis/portal/Publication/9-264) that a substantial efficiency loss occurs if low-order autocorrelations are omitted when estimating the differencing parameter, d. This is because for all it strictly bigger than I,the nth-order autocorrelation function does not depend uniquely on the differencing parameter. We construct a new estimator for the differencing parameter based on the partial autocorrelation function. Comparisons of the asymptotic and finite-sample variance of our estimator and those of TSB are made. A substantial efficiency gain is achieved by our estimator as compared to TSB's. (C) 2000 Elsevier Science S.A. All lights reserved. JEL classification: C22.
着者Chong TTL
期刊名称Journal of Econometrics
出版年份2000
月份8
日期1
卷号http://aims.cuhk.edu.hk/converis/portal/Publication/97
期次2
出版社ELSEVIER SCIENCE SA
页次365 - 381
国际标準期刊号0304-4076
电子国际标準期刊号1872-68http://aims.cuhk.edu.hk/converis/portal/Publication/95
语言英式英语
关键词differencing parameter; fractionally integrated model
Web of Science 学科类别Business & Economics; Economics; ECONOMICS; Mathematical Methods In Social Sciences; Mathematics; Mathematics, Interdisciplinary Applications; MATHEMATICS, INTERDISCIPLINARY APPLICATIONS; Social Sciences, Mathematical Methods; SOCIAL SCIENCES, MATHEMATICAL METHODS
