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Consistency Of The Averaged Cross‐Periodogram In Long Memory Series

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  • Ignacio N. Lobato

Abstract

Several aspects of inference with long memory series in a multivariate framework are examined. The main result of this paper is to prove the consistency of the averaged cross‐ periodogram evaluated in a degenerating neighbourhood of zero frequency. We also illustrate several applications of that result and consider some specification issues.

Suggested Citation

  • Ignacio N. Lobato, 1997. "Consistency Of The Averaged Cross‐Periodogram In Long Memory Series," Journal of Time Series Analysis, Wiley Blackwell, vol. 18(2), pages 137-155, March.
    • Handle: RePEc:bla:jtsera:v:18:y:1997:i:2:p:137-155
    DOI: 10.1111/1467-9892.00043
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    Cited by:

    1. Gilles de Truchis & Elena Ivona Dumitrescu, 2019. "Narrow-band Weighted Nonlinear Least Squares Estimation of Unbalanced Cointegration Systems," EconomiX Working Papers 2019-14, University of Paris Nanterre, EconomiX.
    2. Gannaz, Irène, 2023. "Asymptotic normality of wavelet covariances and multivariate wavelet Whittle estimators," Stochastic Processes and their Applications, Elsevier, vol. 155(C), pages 485-534.
    3. Tobias Hartl & Roland Weigand, 2018. "Multivariate Fractional Components Analysis," Papers 1812.09149, arXiv.org, revised Jan 2019.
    4. Patrice Abry & Gustavo Didier & Hui Li, 2019. "Two-step wavelet-based estimation for Gaussian mixed fractional processes," Statistical Inference for Stochastic Processes, Springer, vol. 22(2), pages 157-185, July.

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