Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/67764
Authors: 
Johansen, Søren
Ørregaard Nielsen, Morten
Year of Publication: 
2012
Series/Report no.: 
Queen's Economics Department Working Paper 1300
Abstract: 
We consider the nonstationary fractional model Δd}X_{t}=ε_{t} with ε_{t} i.i.d.(0,σ²) and d>1/2. We derive an analytical expression for the main term of the asymptotic bias of the maximum likelihood estimator of d conditional on initial values, and we discuss the role of the initial values for the bias. The results are partially extended to other fractional models, and three different applications of the theoretical results are given.
Subjects: 
asymptotic expansion
bias
conditional inference
fractional integration
initial values
likelihood inference
JEL: 
C22
Document Type: 
Working Paper

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