Sesgos en estimación, tamaño y potencia de una prueba sobre el parámetro de memoria larga en modelos ARFIMA
Castaño et al. (2008) proposed a test to investigate the existence of long memory based on the fractional differencing parameter of an ARFIMA (p, d, q) model. They showed that using an autoregressive approximation with order equal to the nearest integer of p* = T1/3 for the short-term component of t...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Universidad de Antioquia
2010-12-01
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| Series: | Lecturas de Economía |
| Subjects: | |
| Online Access: | http://aprendeenlinea.udea.edu.co/revistas/index.php/lecturasdeeconomia/article/view/7867/7409 |