Compare some wavelet estimators for parameters in the linear regression model with errors follows ARFIMA model.
DOI:
https://doi.org/10.33095/jeas.v24i104.91Keywords:
: wavelet, wavelet transformation, linear regression model , ARFIMA model.Abstract
The aim of this research is to estimate the parameters of the linear regression model with errors following ARFIMA model by using wavelet method depending on maximum likelihood and approaching general least square as well as ordinary least square. We use the estimators in practical application on real data, which were the monthly data of Inflation and Dollar exchange rate obtained from the (CSO) Central Statistical organization for the period from 1/2005 to 12/2015. The results proved that (WML) was the most reliable and efficient from the other estimators, also the results provide that the changing of fractional difference parameter (d) doesn’t effect on the results.
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