Replication Data for: Fractional Integration Methods and Short Time Series: Evidence from a Simulation Study
<|begin_of_text|><|start_header_id|>system<|end_header_id|> You are a research archivist expert in dataset metadata. Answer the question truthfully.  <|eot_id|><|start_header_id|>user<|end_header_id|> Here is the Description of a dataset. Description:'Grant and Lebo (2015) and Keele, Linn, and Webb (2015) provide diverging recommendations to analysts working with short time series that are potentially fractionally integrated. While Grant and Lebo are quite positive about the prospects of fractionally differencing such data, Keele, Linn, and Webb argue that estimates of fractional integration will be highly uncertain in short time series. In this study, I simulate fractionally integrated data and compare estimates from the general error correction model (GECM), which disregards fractional integration, to models using fractional integration methods over 32 simulation conditions. I find that estimates of short-run effects are similar across the two models, but that models using fractionally differenced data produce superior predictions of long-run effects for all sample sizes when there' . Please return only a json list of at most 3 Keywords corresponding to the Description:.<|eot_id|><|start_header_id|>assistant<|end_header_id|> {"Answer" : ["time-series analysis"]} <|eot_id|>
 Here is the Description of a dataset. Description:'Grant and Lebo (2015) and Keele, Linn, and Webb (2015) provide diverging recommendations to analysts working with short time series that are potentially fractionally integrated. While Grant and Lebo are quite positive about the prospects of fractionally differencing such data, Keele, Linn, and Webb argue that estimates of fractional integration will be highly uncertain in short time series. In this study, I simulate fractionally integrated data and compare estimates from the general error correction model (GECM), which disregards fractional integration, to models using fractional integration methods over 32 simulation conditions. I find that estimates of short-run effects are similar across the two models, but that models using fractionally differenced data produce superior predictions of long-run effects for all sample sizes when there' . Please return only a json list of at most 3 Keywords corresponding to the Description:.
Grant and Lebo (2015) and Keele, Linn, and Webb (2015) provide diverging recommendations to analysts working with short time series that are potentially fractionally integrated. While Grant and Lebo are quite positive about the prospects of fractionally differencing such data, Keele, Linn, and Webb argue that estimates of fractional integration will be highly uncertain in short time series. In this study, I simulate fractionally integrated data and compare estimates from the general error correction model (GECM), which disregards fractional integration, to models using fractional integration methods over 32 simulation conditions. I find that estimates of short-run effects are similar across the two models, but that models using fractionally differenced data produce superior predictions of long-run effects for all sample sizes when there
time-series analysis