Giraitis, Liudas; Hidalgo, Javier; Robinson, Peter M - Suntory and Toyota International Centres for Economics … - 2001
We consider a parametric spectral density with power-law behaviour about a fractional pole at the unknown frequency w. The case of unknown w, especially w = 0, is standard in the long memory literature. When w is unknown, asymptotic distribution theory for estimates of parameters, including the...