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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...

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Published in:Journal of Econometrics Vol. 90; no. 1; pp. 129 - 154
Main Author: Lobato, Ignacio N.
Format: Article
Published: Elsevier Science May 1999
Subjects:
Gaussian processes
Multivariate analysis
Parameter estimation
Foreign exchange
Online Access:View this record in EBSCOhost

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