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
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (47)

Downloads: (external link)
https://sticerd.lse.ac.uk/dps/em/em424.pdf (application/pdf)

Related works:
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:cep:stiecm:424

Access Statistics for this paper

More papers in STICERD - Econometrics Paper Series from Suntory and Toyota International Centres for Economics and Related Disciplines, LSE
Bibliographic data for series maintained by ().