This paper considers a fractional noise model in continuous time and examines the asymptotic properties of a feasible frequency domain maximum likelihood estimator of the long memory parameter. The feasible estimator is one that maximises an approximation to the likelihood function (the...

It is undoubtedly desirable that econometric models capture the dynamic behaviour,like trends and cycles, observed in many economic processes. Building models with such capabilities has been an important objective in the continuous time econometrics literature, see for instance the cyclical...