Gaussian semiparametric estimation of multivariate fractionally integrated processes
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). 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.
(This abstract was borrowed from another version of this item.)
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
References listed on IDEAS
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, 2000. "Local Whittle Estimation in Nonstationary and Unit Root Cases," Cowles Foundation Discussion Papers 1266, Cowles Foundation for Research in Economics, Yale University, revised Sep 2003.
- Brunetti, Celso & Gilbert, Christopher L., 2000.
"Bivariate FIGARCH and fractional cointegration,"
Journal of Empirical Finance,
Elsevier, vol. 7(5), pages 509-530, December.
- Lobato, Ignacio N & Robinson, Peter M, 1998. "A Nonparametric Test for I(0)," Review of Economic Studies, Wiley Blackwell, vol. 65(3), pages 475-95, July.
- Bollerslev, Tim & Wright, Jonathan H., 2000. "Semiparametric estimation of long-memory volatility dependencies: The role of high-frequency data," Journal of Econometrics, Elsevier, vol. 98(1), pages 81-106, September.
- Katsumi Shimotsu & Peter C.B. Phillips, 2002.
"Exact Local Whittle Estimation of Fractional Integration,"
Cowles Foundation Discussion Papers
1367, Cowles Foundation for Research in Economics, Yale University, revised Jul 2004.
- Katsumi Shimotsu & Peter C.B. Phillips, 2002. "Exact Local Whittle Estimation of Fractional Integration," Economics Discussion Papers 535, University of Essex, Department of Economics.
- Marc Henry & Paolo Zaffaroni, 2002. "The long range dependence paradigm for macroeconomics and finance," Discussion Papers 0102-19, Columbia University, Department of Economics.
- Lobato, Ignacio N & Velasco, Carlos, 2000. "Long Memory in Stock-Market Trading Volume," Journal of Business & Economic Statistics, American Statistical Association, vol. 18(4), pages 410-27, October.
- Lobato, Ignacio N., 1999. "A semiparametric two-step estimator in a multivariate long memory model," Journal of Econometrics, Elsevier, vol. 90(1), pages 129-153, May.
When requesting a correction, please mention this item's handle: RePEc:eee:econom:v:137:y:2007:i:2:p:277-310. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.