IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login to save this paper or follow this series

Asymptotics for the conditional-sum-of-squares estimator in multivariate fractional time series models

  • Morten Ørregaard Nielsen

    ()

    (Queen's University and CREATES)

This paper proves consistency and asymptotic normality for the conditional-sum-of-squares estimator, which is equivalent to the conditional maximum likelihood estimator, in multivariate fractional time series models. The model is parametric and quite general, and, in particular, encompasses the multivariate non-cointegrated fractional ARIMA model. The novelty of the consistency result, in particular, is that it applies to a multivariate model and to an arbitrarily large set of admissible parameter values, for which the objective function does not converge uniformly in probablity, thus making the proof much more challenging than usual. The neighborhood around the critical point where uniform convergence fails is handled using a truncation argument.

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.

File URL: http://qed.econ.queensu.ca/working_papers/papers/qed_wp_1259.pdf
File Function: First version 2011
Download Restriction: no

Paper provided by Queen's University, Department of Economics in its series Working Papers with number 1259.

as
in new window

Length: 32 pages
Date of creation: Jan 2011
Date of revision:
Handle: RePEc:qed:wpaper:1259
Contact details of provider: Postal: Kingston, Ontario, K7L 3N6
Phone: (613) 533-2250
Fax: (613) 533-6668
Web page: http://qed.econ.queensu.ca/
Email:


More information through EDIRC

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.:

as in new window
  1. Nielsen, Morten rregaard, 2004. "Efficient Likelihood Inference In Nonstationary Univariate Models," Econometric Theory, Cambridge University Press, vol. 20(01), pages 116-146, February.
  2. Søren Johansen & Morten Ørregaard Nielsen, 2012. "Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model," Econometrica, Econometric Society, vol. 80(6), pages 2667-2732, November.
  3. Shao, Xiaofeng, 2010. "Nonstationarity-Extended Whittle Estimation," Econometric Theory, Cambridge University Press, vol. 26(04), pages 1060-1087, August.
  4. Newey, W.K., 1989. "Uniform Convergence In Probability And Stochastic Equicontinuity," Papers 342, Princeton, Department of Economics - Econometric Research Program.
  5. Peter Robinson, 2006. "Conditional-sum-of-squares estimation of models for stationary time series with long memory," LSE Research Online Documents on Economics 4536, London School of Economics and Political Science, LSE Library.
  6. Johansen, Søren & Ørregaard Nielsen, Morten, 2012. "A Necessary Moment Condition For The Fractional Functional Central Limit Theorem," Econometric Theory, Cambridge University Press, vol. 28(03), pages 671-679, June.
  7. Søren Johansen & Morten Ørregaard Nielsen, 2007. "Likelihood Inference for a Nonstationary Fractional Autoregressive Model," Discussion Papers 07-27, University of Copenhagen. Department of Economics.
  8. Lieberman, Offer & Rosemarin, Roy & Rousseau, Judith, 2012. "Asymptotic Theory For Maximum Likelihood Estimation Of The Memory Parameter In Stationary Gaussian Processes," Econometric Theory, Cambridge University Press, vol. 28(02), pages 457-470, April.
  9. Peter M. Robinson & Carlos Velasco, 2000. "Whittle pseudo-maximum likelihood estimation for nonstationary time series," LSE Research Online Documents on Economics 2273, London School of Economics and Political Science, LSE Library.
  10. Hosoya, Yuzo, 1996. "The quasi-likelihood approach to statistical inference on multiple time-series with long-range dependence," Journal of Econometrics, Elsevier, vol. 73(1), pages 217-236, July.
  11. Lieberman, Offer & Rosemarin, Roy & Rousseau, Judith, 2012. "Asymptotic Theory for Maximum Likelihood Estimation of the Memory Parameter in Stationary Gaussian Processes," Economics Papers from University Paris Dauphine 123456789/7622, Paris Dauphine University.
  12. repec:cep:stiecm:/2006/505 is not listed on IDEAS
  13. Yuzo Hosoya, 2005. "Fractional Invariance Principle," Journal of Time Series Analysis, Wiley Blackwell, vol. 26(3), pages 463-486, 05.
  14. Tanaka, Katsuto, 1999. "The Nonstationary Fractional Unit Root," Econometric Theory, Cambridge University Press, vol. 15(04), pages 549-582, August.
  15. Morten �rregaard Nielsen & Per Houmann Frederiksen, 2005. "Finite Sample Comparison of Parametric, Semiparametric, and Wavelet Estimators of Fractional Integration," Econometric Reviews, Taylor & Francis Journals, vol. 24(4), pages 405-443.
  16. repec:cup:cbooks:9780521496032 is not listed on IDEAS
Full references (including those not matched with items on IDEAS)

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

When requesting a correction, please mention this item's handle: RePEc:qed:wpaper:1259. 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: (Mark Babcock)

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.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.