Volume 18 Issue 2 (April-June 2002)

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Forecasting Long Memory Processes
edited by Richard T. Baillie, Nuno Crato, Bonnie K. Ray

Bias in the memory parameter for different sampling rates

Souza, L.R., Smith, J.
Pages 299-313
Abstract

This paper analyses the bias in the estimate of the long memory parameter arising as a consequence of changing the frequency of the data for both semi-parametric and parametric estimation methods. Decreasing the sampling rate biases the estimation of the long memory parameter towards zero for all estimation methods. For the semi-parametric methods the observed empirical bias can be explained by analysing the form of each of the estimation methods.

Keywords: Long memory bias, Sampling rate, Aliasing
FULL TEXT LINK
http://dx.doi.org/10.1016/S0169-2070(01)00160-1
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