A NOTE ON THE ESTIMATION OF DEGREE OF DIFFERENCING IN
LONG MEMORY TIME SERIES ANALYSIS
Abstract: In this paper we investigate the properties of the estimator of degree of differencing
the fractional in long memory time series analysis via consistent spectral density
estimation. It is shown that the proposed estimator is more efficient than some of the others in
practice.
2000 AMS Mathematics Subject Classification: Primary: -; Secondary: -;
Key words and phrases: -