Asymptotics for the Conditional-Sum-of-Squares Estimator in Multivariate Fractional Time-Series Models

Morten Nielsen

Journal of Time Series Analysis, 2015, vol. 36, issue 2, 154-188

Abstract: type="main" xml:id="jtsa12100-abs-0001"> This article proves consistency and asymptotic normality for the conditional-sum-of-squares estimator, which is equivalent to the conditional maximum likelihood estimator, in multivariate fractional time-series models. The model is parametric and quite general and, in particular, encompasses the multivariate non-cointegrated fractional autoregressive integrated moving average (ARIMA) model. The novelty of the consistency result, in particular, is that it applies to a multivariate model and to an arbitrarily large set of admissible parameter values, for which the objective function does not converge uniformly in probability, thus making the proof much more challenging than usual. The neighbourhood around the critical point where uniform convergence fails is handled using a truncation argument.

Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (19)

Downloads: (external link)
http://hdl.handle.net/10.1111/jtsa.12100 (text/html)
Access to full text is restricted to subscribers.

Related works:
Working Paper: Asymptotics for the conditional-sum-of-squares estimator in multivariate fractional time series models (2014)
Working Paper: Asymptotics For The Conditional-sum-of-squares Estimator In Multivariate Fractional Time Series Models (2011)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:36:y:2015:i:2:p:154-188

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0143-9782

Access Statistics for this article

Journal of Time Series Analysis is currently edited by M.B. Priestley

More articles in Journal of Time Series Analysis from Wiley Blackwell
Bibliographic data for series maintained by Wiley Content Delivery ().