Gaussian semiparametric estimation of multivariate fractionally integrated processes

Journal of Econometrics

Volumn 137, Issue 2, 2007, Pages 277-310

  Shimotsu, Katsumi ^a  

^a QUEEN S UNIVERSITY   (Canada)

Author keywords

Fractional integration; Long memory; Semiparametric estimation

Indexed keywords

ASYMPTOTIC STABILITY; COMPUTER SIMULATION; INTEGRATION; PARAMETER ESTIMATION; STATISTICAL METHODS;

FRACTIONAL INTEGRATION; GAUSSIAN SEMIPARAMETRIC ESTIMATOR (GSE); GAUSSIANITY; VARIANCE;

INDUSTRIAL ECONOMICS;

EID: 33847182702     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2006.01.003     Document Type: Article

References (17)

1. Bollerslev T., and Wright J.H. Semiparametric estimation of long-memory volatility dependencies: the role of high-frequency data. Journal of Econometrics 98 (2000) 81-106
2. Brunetti C., and Gilbert C.L. Bivariate FIGARCH and fractional cointegration. Journal of Empirical Finance 7 (2000) 509-530
3. Hannan E.J. Multiple Time Series (1970), Wiley, New York
4. Henry M., and Zaffaroni P. The long range dependence paradigm for macroeconomics and finance. In: Doukhan P., Oppenheim G., and Taqqu M. (Eds). Theory and Applications of Long-Range Dependence (2003), Birkhäuser, Basel
5. Heyde C.C., and Senata E. Estimation theory for growth and immigration rates in a multiplicative process. Journal of Applied Probability 9 (1972) 235-256
6. Horn R.A., and Johnson C.R. Matrix Analysis (1985), Cambridge University Press, Cambridge, MA
7. Hurvich C.M., and Chen W.W. An efficient taper for potentially overdifferenced long-memory time series. Journal of Time Series Analysis 21 (2000) 155-180
8. Künsch H. Statistical aspects of self-similar processes. In: Prokhorov Yu., and Sazanov V.V. (Eds). Proceedings of the First World Congress of the Bernoulli Society (1987), VNU Science Press, Utrecht 67-74
9. Lobato I.N. Consistency of the averaged cross-periodogram in long memory time series. Journal of Time Series Analysis 18 (1997) 137-155
10. Lobato I.N. A semiparametric two-step estimator in a multivariate long memory model. Journal of Econometrics 90 (1999) 129-153
11. Lobato I.N., and Robinson P.M. A nonparametric test for I(0). Review of Economic Studies 65 (1998) 475-495
12. Lobato I.N., and Velasco C. Long memory in stock-market trading volume. Journal of Business and Economic Statistics 18 (2000) 410-427
13. Lütkepohl H. Handbook of Matrices (1996), Wiley, New York
14. Phillips P.C.B., and Shimotsu K. Local Whittle estimation in nonstationary and unit root cases. Annals of Statistics 32 (2004) 656-692
15. Robinson P.M. Log-periodogram regression of time series with long range dependence. Annals of Statistics 23 (1995) 1048-1072
16. Robinson P.M. Gaussian semiparametric estimation of long range dependence. Annals of Statistics 23 (1995) 1630-1661
17. Shimotsu K., and Phillips P.C.B. Exact local Whittle estimation of fractional integration. Annals of Statistics 33 (2005) 1890-1933