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Use of semi-parametric methods to estimate the fractional parameter model (O, d, O) ARFIMA Theoretical and experimental study | ||
| Journal of Administration and Economics | ||
| Article 1, Volume 0, Issue 104, 2018, Pages 288-300 | ||
| Authors | ||
| O.m.d. Jawad Kazim Khudair; Heba Fadel wars | ||
| Abstract | ||
| The property of the stationarity time series models plays an important role in building these models . And when the condition of stationary is not hold , then the positive integer differences of the observation are used . But in some time series , the effect of (d) parameter on distant observations decays hyperbolically as the lag increases which is called as long –term processes . In this study , the fractional differences will be dealt with this model which lie in the closed interval (0.5 , 0.5) . The goal of this thesis is to study ARFIMA (0 , d , 0) model by using the method of estimating of fractional parameter in semi parametric approach . In addition to , a comparison between these methods by using the simulation technique . | ||
| Keywords | ||
| Statistical axis | ||
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