出版社：Suntory Toyota International Centres for Economics and Related Disciplines
摘要：We consider a parametric spectral density with power-law behaviour about a frac-tional pole at the unknown frequency !. The case of known !, especially ! = 0, isstandard in the long memory literature. When ! is unknown, asymptotic distributiontheory for estimates of parameters, including the (long) memory parameter, is signif-icantly harder. We study a form of Gaussian estimate. We establish n.consistencyof the estimate of !, and discuss its (non-standard) limiting distributional behaviour.For the remaining parameter estimates, we establish pn - consistency and asymptoticnormality
