Economics at your fingertips  

Asymptotic Properties of Pseudo Maximum Likelihood Estimates for Multiple Frequency I(1) Processes

Dietmar Bauer () and Martin Wagner

Diskussionsschriften from Universitaet Bern, Departement Volkswirtschaft

Abstract: In this paper we derive (weak) consistency and the asymptotic distribution of pseudo maximum likelihood estimates for multiple frequency I(1) processes. By multiple frequency I(1) processes we denote processes with unit roots at arbitrary points on the unit circle with the integration orders corresponding to these unit roots all equal to 1. The parameters corresponding to the cointegrating spaces at the different unit roots are estimated super-consistently and have a mixture of Brownian motions limiting distribution. All other parameters are asymptotically normally distributed and are estimated at the standard square root of T rate. The problem is formulated in the state space framework, using the canonical form and parameterization introduced by Bauer and Wagner (2002b). Therefore the analysis covers vector ARMA processes and is not restricted to autoregressive processes.

Keywords: state space representation; unit roots; cointegration; pseudo maximum likelihood estimation (search for similar items in EconPapers)
JEL-codes: C13 C32 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-rmg
Date: 2002-06
References: View references in EconPapers View complete reference list from CitEc
Citations View citations in EconPapers (6) Track citations by RSS feed

Downloads: (external link) (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:

Access Statistics for this paper

More papers in Diskussionsschriften from Universitaet Bern, Departement Volkswirtschaft Contact information at EDIRC.
Series data maintained by Silvia Glusstein-Gerber (). This e-mail address is bad, please contact .

Page updated 2017-11-17
Handle: RePEc:ube:dpvwib:dp0205