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Robust Estimation of GARMA Model Parameters with an Application to Cointegration among Interest Rates of Industrialized Countries |
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| Authors: | Rajalakshmi Ramachandran Paul Beaumont |
| Affiliation: | (1) Department of Economics, Florida State University, Tallahassee, FL, 32303, U.S.A.;(2) Department of Economics, Florida State University, Tallahassee, FL, 32303, U.S.A. |
| 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. |
| Keywords: | long memory processes GARMA models fractional integration Dickey– Fuller tests comovement cointegration international interest rates |
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