Asymptotic Properties of Pseudo Maximum Likelihood Estimates for Multiple Frequency I(1) Processes

Bauer, Dietmar; Wagner, Martin (June 2002). Asymptotic Properties of Pseudo Maximum Likelihood Estimates for Multiple Frequency I(1) Processes (Diskussionsschriften 02-05). Bern: Universität Bern Volkswirtschaftliches Institut

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In this paper we derive (weak) consistency and the asymptotic distribution of pseudo maximum likelihood estimates for multiple frequency I(1) processes. By multiple frequency I(1) processes we denote processes with unit roots at arbitrary points on the unit circle with the integration orders corresponding to these unit roots all equal to 1. The parameters corresponding to the cointegrating spaces at the different unit roots are estimated super-consistently and have a mixture of Brownian motions limiting distribution. All other parameters are asymptotically normally distributed and are estimated at the standard square root of T rate. The problem is formulated in the state space framework, using the canonical form and parameterization introduced by Bauer and Wagner (2002b). Therefore the analysis covers vector ARMA processes and is not restricted to autoregressive processes.

Item Type:

Working Paper

Division/Institute:

03 Faculty of Business, Economics and Social Sciences > Department of Economics
03 Faculty of Business, Economics and Social Sciences > Department of Economics > Institute of Economics

UniBE Contributor:

Wagner, Martin

Subjects:

300 Social sciences, sociology & anthropology > 330 Economics

Series:

Diskussionsschriften

Publisher:

Universität Bern Volkswirtschaftliches Institut

Language:

English

Submitter:

Aline Lehnherr

Date Deposited:

23 Apr 2020 10:46

Last Modified:

06 Aug 2020 14:18

JEL Classification:

C13, C32

BORIS DOI:

10.7892/boris.142913

URI:

https://boris.unibe.ch/id/eprint/142913

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