GSE function

Multivariate local Whittle estimation of long memory parameters.

GSE Estimates the memory parameter of a vector valued long memory process.

GSE(X, m = m, l = 1)

Arguments

• X: data matrix with T observations of q-dimensional process.
• m: bandwith parameter specifying the number of Fourier frequencies used for the estimation. Usually floor(1+T^delta), where 0<delta<1.
• l: integer that specifies the number of Fourier frequencies (l-1) that are trimmed.

Examples

T<-500
d1<-0.4
d2<-0.2
data<-FI.sim(T, q=2, rho=0.5, d=c(d1,d2))
ts.plot(data, col=1:2)
GSE(data, m=floor(1+T^0.7))

References

Shimotsu, K. (2007): Gaussian semiparametric estimation of multivariate fractionally integrated processes. Journal of Econometrics, Vol. 137, No. 2, pp. 277 - 310.