CONSISTENCY OF THE AVERAGED CROSS‐PERIODOGRAM IN LONG MEMORY SERIES

Ignacio N. Lobato

Journal of Time Series Analysis, 1997, vol. 18, issue 2, 137-155

Abstract: Several aspects of inference with long memory series in a multivariate framework are examined. The main result of this paper is to prove the consistency of the averaged cross‐ periodogram evaluated in a degenerating neighbourhood of zero frequency. We also illustrate several applications of that result and consider some specification issues.

Date: 1997
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