Erschienen in:LSE STICERD Research Paper ; No. EM424
Umfang:
1 Online-Ressource (39 p)
Sprache:
Englisch
Entstehung:
Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments August 2001 erstellt
Beschreibung:
We consider a parametric spectral density with power-law behaviour about a fractional pole at the unknown frequency w. The case of unknown w, especially w = 0, is standard in the long memory literature. When w 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 establsih n-consistency of the estimate of w, and discuss its (non-standard) limiting distributional behaviour. For the remaining parameter estimates, we establish Vn-consistency and asymptotic normality