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 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.
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- 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.
- 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.
- 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.
- 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.
- Celso Brunetti & Christopher L. Gilbert, 1999.
"Bivariate FIGARCH and Fractional Cointegration,"
408, Queen Mary University of London, School of Economics and Finance.
- repec:clu:wpaper:0102-19 is not listed on IDEAS
- 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.
- 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.
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