The Annals of Statistics

Multiple local whittle estimation in stationary systems

P. M. Robinson

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Abstract

Moving from univariate to bivariate jointly dependent long-memory time series introduces a phase parameter (γ), at the frequency of principal interest, zero; for short-memory series γ=0 automatically. The latter case has also been stressed under long memory, along with the “fractional differencing” case γ=(δ2−δ1)π/2, where δ1, δ2 are the memory parameters of the two series. We develop time domain conditions under which these are and are not relevant, and relate the consequent properties of cross-autocovariances to ones of the (possibly bilateral) moving average representation which, with martingale difference innovations of arbitrary dimension, is used in asymptotic theory for local Whittle parameter estimates depending on a single smoothing number. Incorporating also a regression parameter (β) which, when nonzero, indicates cointegration, the consistency proof of these implicitly defined estimates is nonstandard due to the β estimate converging faster than the others. We also establish joint asymptotic normality of the estimates, and indicate how this outcome can apply in statistical inference on several questions of interest. Issues of implemention are discussed, along with implications of knowing β and of correct or incorrect specification of γ, and possible extensions to higher-dimensional systems and nonstationary series.

Article information

Source
Ann. Statist., Volume 36, Number 5 (2008), 2508-2530.

Dates
First available in Project Euclid: 13 October 2008

Permanent link to this document
https://projecteuclid.org/euclid.aos/1223908101

Digital Object Identifier
doi:10.1214/07-AOS545

Mathematical Reviews number (MathSciNet)
MR2458196

Zentralblatt MATH identifier
1274.62565

Subjects
Primary: 62M09: Non-Markovian processes: estimation 62M10: Time series, auto-correlation, regression, etc. [See also 91B84] 62M15: Spectral analysis
Secondary: 62G20: Asymptotic properties

Keywords
Long memory phase cointegration semiparametric estimation consistency asymptotic normality

Citation

Robinson, P. M. Multiple local whittle estimation in stationary systems. Ann. Statist. 36 (2008), no. 5, 2508--2530. doi:10.1214/07-AOS545. https://projecteuclid.org/euclid.aos/1223908101


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