; ; ; "ActiveFedora::Aggregation::ListSource" . a , ; "On Maximum-Likelihood Estimation of the Differencing Parameter of Fractionally Integrated Noise With Unknown Mean"; ; "batchuser@example.com"; "Cheung, Yin-Wong", "Diebold, Francis X., 1959-"; "Federal Reserve Bank of Minneapolis"; "C22 - Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes", "C15 - Statistical Simulation Methods: General"; "There are two approaches to maximum likelihood (ML) estimation of the parameter of fractionally-integrated noise: approximate frequency-domain ML (Fox and Taqqwu, 1986) and exact time-domain ML (Solwell, 1990a). If the mean of the process is known, then a clear finite-sample mean-squared error (MSE) ranking of the estimators emerges: the exact time-domain estimator has smaller MSE. We show in this paper, however, that the finite-sample efficiency of approximate frequency-domain ML relative to exact time-domain ML rises dramatically when the mean result is unknown and instead must be estimated. The intuition for our result is straightforward: The frequency-domain ML estimator is invariant to the true but unknown mean of the process, while the time-domain ML estimator is not. Feasible time-domain estimation must therefore be based upon de-meaned data, but the long memory associated with fractional integration makes precise estimation of the mean difficult. We conclude that the frequency-domain estimator is an attractive and efficient alternative for situations in which large sample sizes render time-domain estimation impractical."^^; "1990-11-01"; "2019-05-21T19:05:40.858690638+00:00"^^; "https://doi.org/10.21034/dp.34"; ; "https://creativecommons.org/licenses/by-nc/4.0/"; "Wed Apr 22 16:44:12 2020"; "https://creativecommons.org/licenses/by-nc/4.0/"; "Research Paper"; "134", "189"; "Discussion paper (Federal Reserve Bank of Minneapolis. Institute for Empirical Macroeconomics)"; "034"; ; ; ; ; "Federal Reserve Bank of Minneapolis. Institute for Empirical Macroeconomics"; "Published in: _Journal of Econometrics_ (Vol. 62, No. 2, June 1994, pp. 301-316) https://doi.org/10.1016/0304-4076(94)90026-4."^^; ; "Publication" . ; .