1. Indirect Inference and Long Memory: A New Truncated-Series Estimation Method

  1. Peter V. Schaeffer
  1. Armand Sadler,
  2. Jean-Baptiste Lesourd and
  3. Veˆlayoudom Marimoutou

Published Online: 4 JAN 2012

DOI: 10.1002/9781118267905.ch1

Commodity Modeling and Pricing: Methods for Analyzing Resource Market Behavior

Commodity Modeling and Pricing: Methods for Analyzing Resource Market Behavior

How to Cite

Schaeffer, P. V. (2008) Indirect Inference and Long Memory: A New Truncated-Series Estimation Method, in Commodity Modeling and Pricing: Methods for Analyzing Resource Market Behavior, John Wiley & Sons, Inc., Hoboken, NJ, USA. doi: 10.1002/9781118267905.ch1

Publication History

  1. Published Online: 4 JAN 2012
  2. Published Print: 22 SEP 2008

ISBN Information

Print ISBN: 9780470317235

Online ISBN: 9781118267905

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Keywords:

  • Autoregressive Fractionally integrated moving average (ARFIMA) model;
  • futures prices;
  • industry sectors;
  • Nonlinear least square (NLS) estimator;
  • combined consumption model

Summary

This chapter contains sections titled:

  • Introduction

  • Almost Sure Consistency of the Nls Estimator from Our Truncated Model

  • Identification and Estimation of the Truncated Long Memory Process

  • Informal Proof of the Convergence of the Above Estimation Procedure

  • Applications

  • Conclusions

  • Appendix: Proof of Consistency of the Estimator