A modified conditional sum-of-squares estimator removes the leading bias term induced by constant-term estimation in stationary or non-stationary ARFIMA(p1,d,p2) models.
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The modified conditional sum-of-squares estimator for fractionally integrated models
A modified conditional sum-of-squares estimator removes the leading bias term induced by constant-term estimation in stationary or non-stationary ARFIMA(p1,d,p2) models.