Volume 18 Issue 2 (April-June 2002)
Forecasting Long Memory Processes
edited by Richard T. Baillie, Nuno Crato, Bonnie K. Ray
Bias in the memory parameter for different sampling rates
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.