Gaussian semiparametric estimation of multivariate fractionally integrated processes
AbstractThis 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). 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.
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Econometrics.
Volume (Year): 137 (2007)
Issue (Month): 2 (April)
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Web page: http://www.elsevier.com/locate/jeconom
Other versions of this item:
- Katsumi Shimotsu, 2006. "Gaussian Semiparametric Estimation of Multivariate Fractionally Integrated Processes," Working Papers 1062, Queen's University, Department of Economics.
- Katsumi Shimotsu, 2003. "Gaussian semiparametric estimation of multivariate fractionally integrated processes," Economics Discussion Papers 571, University of Essex, Department of Economics.
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Katsumi Shimotsu & Peter C.B. Phillips, 2002.
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- Peter Robinson, 2007. "Diagnostic Testing For Cointegration," STICERD - Econometrics Paper Series /2007/522, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Frank S. Nielsen, 2009. "Local Whittle estimation of multivariate fractionally integrated processes," CREATES Research Papers 2009-38, School of Economics and Management, University of Aarhus.
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- Peter M Robinson, 2007. "Multiple Local Whittle Estimation in StationarySystems," STICERD - Econometrics Paper Series /2007/525, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
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