A semiparametric two-step estimator in a multivariate long memory model.
This paper analyzes a two-step estimator of the long memory parameters of a vector process. The objective function considered is a semiparametric version of the multivariate Gaussian likelihood function in the frequency domain. In our context, semiparametric refers to the fact that only periodogra...
| Publicado en: | Journal of Econometrics Vol. 90; no. 1; pp. 129 - 154 |
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| Formato: | Artículo |
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Elsevier Science
May 1999
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| Acceso en línea: | Ver este registro en EBSCOhost |