The Phillips Method of Fractional Integration Parameter Estimation and Aggregation of PLN Exchange Rates

• Autorzy: Ewa Marta Syczewska
• Języki publikacji: EN

Abstrakty

EN

Fractional integration parameter estimation can be performed with use of several methods. In earlier research the GPH and Robinson methods have been applied to the same set of exchange rates (monthly, weekly and daily data), and results of estimation do depend on aggregation levels. The Phillips method results, presented here, confirm our conjecture that the estimates differ between aggregation levels and between currencies. Fractional integration parameter estimate can be used as indicator of model specification (e.g., to chose between ARMA, ARIMA and ARFIMA models), hence in the process of its estimation special attention should be paid to properties of a particular method applied.(fragment of text)

Słowa kluczowe

EN

Kwiatkowski-Phillips-Schmidt-Shin test; R.N. Elliott's model; Autoregressive fractionally integrated moving average model (ARFIMA); Estimation; Exchange rates

PL

Test Kwiatkowskiego-Phillipsa-Schmidta-Shina (test KPSS); Model R.N.Elliotta; Model ARFIMA; Estymacja; Kurs walutowy

• Czasopismo: Dynamic Econometric Models
• Rocznik: 2006
• Tom: 7
• Strony: 209--220

Twórcy

autor

Ewa Marta Syczewska

• Warsaw School of Economics, Poland

Bibliografia

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