Gaussian estimation of parametric spectral density with unknown pole

Liudas Giraitis, Javier Hidalgo and Peter Robinson

LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library

Abstract: We consider a parametric spectral density with power-law behaviour about a fractional pole at the unknown frequency !. The case of known !, especially ! = 0, is standard in the long memory literature. When ! 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 establish n¡consistency of the estimate of !, and discuss its (non-standard) limiting distributional behaviour. For the remaining parameter estimates, we establish pn - consistency and asymptotic normality.

Keywords: long range dependence; unknown pole (search for similar items in EconPapers)
JEL-codes: C22 (search for similar items in EconPapers)
Pages: 37 pages
Date: 2001-08
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (43)

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