Department of Economics and Business Economics

When long memory meets the Kalman filter: A comparative study

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The finite sample properties of the state space methods applied to long memory time series are analyzed through Monte Carlo simulations. The state space setup allows to introduce a novel modeling approach in the long memory framework, which directly tackles measurement errors and random level shifts. Missing values and several alternative sources of misspecification are also considered. It emerges that the state space methodology provides a valuable alternative for the estimation of the long memory models, under different data generating processes, which are common in financial and economic series. Two empirical applications highlight the practical usefulness of the proposed state space methods.
Original languageEnglish
JournalComputational Statistics & Data Analysis
Volume76
Issue2
Pages (from-to)301-319
Number of pages19
ISSN0167-9473
DOIs
Publication statusPublished - Aug 2014

    Research areas

  • ARFIMA models, State space, Missing observations, Measurement error, Level shifts

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