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Gaussian semiparametric estimation of multivariate fractionally integrated processes

Shimotsu, Katsumi (2003) Gaussian semiparametric estimation of multivariate fractionally integrated processes. Working Paper. University of Essex, Department of Economics, Economics Discussion Papers, Colchester.

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Abstract

This paper analyzes the semiparametric estimation of multivariate long-range dependent processes. The class of spectral densities considered includes multivariate fractionally integrated processes, which are not covered by the existing literature. This paper also establishes the consistency of the multivariate Gaussian semiparametric estimator, which has not been shown in the other works. Asymptotic normality of the multivariate Gaussian semiparametric estimator is also established, and the proposed estimator is shown to have a smaller limiting variance than the two-step Gaussian semiparametric estimator studied by Lobato (1999). Gaussianity is not assumed in the asymptotic theory.

Item Type: Monograph (Working Paper)
Subjects: H Social Sciences > HB Economic Theory
Divisions: Faculty of Social Sciences > Economics, Department of
Depositing User: Jenny Connolly
Date Deposited: 28 Aug 2014 14:14
Last Modified: 28 Aug 2014 14:14
URI: http://repository.essex.ac.uk/id/eprint/8870

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