Asymptotic Properties of the Least Squares Estimator in Local to Unity Processes with Fractional Gaussian Noise
Essays in Honor of Joon Y. Park: Econometric Theory
ISBN: 978-1-83753-209-4, eISBN: 978-1-83753-208-7
Publication date: 24 April 2023
Abstract
This chapter derives asymptotic properties of the least squares (LS) estimator of the autoregressive (AR) parameter in local to unity processes with errors being fractional Gaussian noise (FGN) with the Hurst parameter
Keywords
Acknowledgements
Acknowledgments
Wang acknowledges the support by Shanghai Pujiang Program under No.22PJC022. Yu would like to acknowledge that this research/project is supported by the Ministry of Education, Singapore, under its Academic Research Fund (AcRF) Tier 2 (Award Number MOE-T2EP402A20-0002).
Citation
Wang, X., Xiao, W. and Yu, J. (2023), "Asymptotic Properties of the Least Squares Estimator in Local to Unity Processes with Fractional Gaussian Noise", Chang, Y., Lee, S. and Miller, J.I. (Ed.) Essays in Honor of Joon Y. Park: Econometric Theory (Advances in Econometrics, Vol. 45A), Emerald Publishing Limited, Leeds, pp. 73-95. https://doi.org/10.1108/S0731-90532023000045A002
Publisher
:Emerald Publishing Limited
Copyright © 2023 Xiaohu Wang, Weilin Xiao and Jun Yu