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Gaussian estimation of parametric spectral density with unknown pole

Giraitis, Liudas, Hidalgo, Javier and Robinson, Peter (2001) Gaussian estimation of parametric spectral density with unknown pole. Econometrics; EM/2001/424, EM/01/424. Suntory and Toyota International Centres for Economics and Related Disciplines, London School of Economics and Political Science, London, UK.

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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.

Item Type: Monograph (Discussion Paper)
Official URL: http://sticerd.lse.ac.uk
Additional Information: © 2001 the authors
Library of Congress subject classification: H Social Sciences > HB Economic Theory
Journal of Economic Literature Classification System: C - Mathematical and Quantitative Methods > C2 - Econometric Methods: Single Equation Models; Single Variables > C22 - Time-Series Models
Sets: Collections > Economists Online
Departments > Economics
Research centres and groups > Suntory and Toyota International Centres for Economics and Related Disciplines (STICERD)
Rights: http://www.lse.ac.uk/library/usingTheLibrary/academicSupport/OA/depositYourResearch.aspx
Identification Number: EM/01/424
Date Deposited: 27 Apr 2007
URL: http://eprints.lse.ac.uk/2182/

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