Article ID Journal Published Year Pages File Type
5097417 Journal of Econometrics 2007 34 Pages PDF
Abstract
This paper analyzes the semiparametric estimation of multivariate long-range dependent processes. The class of spectral densities considered is motivated by and includes those of multivariate fractionally integrated processes. The paper establishes the consistency of the multivariate Gaussian semiparametric estimator (GSE), which has not been shown in other work, and the asymptotic normality of the GSE estimator. The proposed GSE estimator is shown to have a smaller limiting variance than the two-step GSE estimator studied by Lobato [1999. A semiparametric two-step estimator in a multivariate long memory model. Journal of Econometrics 90, 129-153]. Gaussianity is not assumed in the asymptotic theory. Some simulations confirm the relevance of the asymptotic results in samples of the size used in practical work.
Related Topics
Physical Sciences and Engineering Mathematics Statistics and Probability
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