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, 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) |
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| Official URL: | http://sticerd.lse.ac.uk |
| Additional Information: | © 2001 the authors |
| Divisions: | Economics STICERD |
| Subjects: | H Social Sciences > HB Economic Theory |
| JEL classification: | C - Mathematical and Quantitative Methods > C2 - Econometric Methods: Single Equation Models; Single Variables > C22 - Time-Series Models |
| Date Deposited: | 27 Apr 2007 |
| Last Modified: | 21 Mar 2024 00:08 |
| URI: | http://eprints.lse.ac.uk/id/eprint/2182 |
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