Gaussian Estimation of Parametric Spectral Density with Unknown Pole

Liudas Giraitis, Javier Hidalgo and Peter M. Robinson

STICERD - Econometrics Paper Series from Suntory and Toyota International Centres for Economics and Related Disciplines, LSE

Abstract: We consider a parametric spectral density with power-law behaviour about a fractional pole at the unknown frequency w. The case of unknown w, especially w = 0, is standard in the long memory literature. When w is unknown, asymptotic distribution theory for estimates of parameters, including the (long) memory parameter, is significantly harder. We study a form of Gaussian estimate. We establsih n-consistency of the estimate of w, and discuss its (non-standard) limiting distributional behaviour. For the remaining parameter estimates, we establish Vn-consistency and asymptotic normality.

Keywords: Long-range dependence; unknown pole. (search for similar items in EconPapers)
Date: 2001-08
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Persistent link: http://EconPapers.repec.org/RePEc:cep:stiecm:/2001/424

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