Local empirical spectral measure of multivariate processes with long range dependence
We derive a functional central limit theorem for the empirical spectral measure or discretely averaged (integrated) periodogram of a multivariate long range dependent stochastic process in a degenerating neighborhood of the origin. We show that, under certain restrictions on the memory parameters, this local empirical spectral measure converges weakly to a Gaussian process with independent increments. Applications to narrow-band frequency domain estimation in time series regression with long range dependence, and to local (to the origin) goodness-of-fit testing are offered.
Volume (Year): 109 (2004)
Issue (Month): 1 (January)
|Contact details of provider:|| Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/505572/description#description|
|Order Information:|| Postal: http://http://www.elsevier.com/wps/find/supportfaq.cws_home/regional|
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.:
- Siliverstovs, Boriss & Engsted, Tom & Haldrup, Niels, 2002.
"Long-Run Forecasting in Multicointegrated Systems,"
Finance Working Papers
02-14, University of Aarhus, Aarhus School of Business, Department of Business Studies.
- Boris Siliverstovs & Tom Engsted & Niels Haldrup, . "Long-run forecasting in multicointegrated systems," Economics Working Papers 2002-15, Department of Economics and Business Economics, Aarhus University.
- Boriss Siliverstovs & Tom Engsted & Niels Haldrup, 2003. "Long-Run Forecasting in Multicointegrated Systems," Discussion Papers of DIW Berlin 381, DIW Berlin, German Institute for Economic Research.
- Nielsen, Morten Oe., .
"Semiparametric Estimation in Time Series Regression with Long Range Dependence,"
Economics Working Papers
2002-17, Department of Economics and Business Economics, Aarhus University.
- Morten Orregaard Nielsen, 2005. "Semiparametric Estimation in Time-Series Regression with Long-Range Dependence," Journal of Time Series Analysis, Wiley Blackwell, vol. 26(2), pages 279-304, 03.
- D Marinucci & Peter M. Robinson, 1998. "Semiparametric frequency domain analysis of fractional cointegration," LSE Research Online Documents on Economics 2258, London School of Economics and Political Science, LSE Library.
- 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.
- Kokoszka, P. & Mikosch, T., 1997. "The integrated periodogram for long-memory processes with finite or infinite variance," Stochastic Processes and their Applications, Elsevier, vol. 66(1), pages 55-78, February.
- Anna Christina D'Addio & Michael Rosholm, . "Labour Market Transitions of French Youth," Economics Working Papers 2002-14, Department of Economics and Business Economics, Aarhus University.
- Lobato, I. & Robinson, P. M., 1996. "Averaged periodogram estimation of long memory," Journal of Econometrics, Elsevier, vol. 73(1), pages 303-324, July.
When requesting a correction, please mention this item's handle: RePEc:eee:spapps:v:109:y:2004:i:1:p:145-166. 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 references are entirely missing, you can add them using this form.