Abstract
We review the literature on long memory ARFIMA and GARMA models andintroduce a new efficient estimator for GARMA models, which we show to berobust. Next we conduct a Monte Carlo study to demonstate the power of theDickie–Fuller test when the data are generated from a stationary GARMAprocess. We conclude with a brief discussion of cointegration in the contextof GARMA models with an application to international interest rates.
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Ramachandran, R., Beaumont, P. Robust Estimation of GARMA Model Parameters with an Application to Cointegration among Interest Rates of Industrialized Countries. Computational Economics 17, 179–201 (2001). https://doi.org/10.1023/A:1011640512990
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DOI: https://doi.org/10.1023/A:1011640512990