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英文文献：Local Whittle estimation of multivariate fractionally integrated processes-多元小积分过程的局部惠特估计
英文文献作者：Frank S. Nielsen
英文文献摘要：
This paper derives a semiparametric estimator of multivariate fractionally integrated processes covering both stationary and non-stationary values of d. We utilize the notion of the extended discrete Fourier transform and periodogram to extend the multivariate local Whittle estimator of Shimotsu (2007) to cover non-stationary values of d. We show consistency and asymptotic normality for d between -1/2 and infinity. A simulation study illustrates the performance of the proposed estimator for relevant sample sizes. Empirical justification of the proposed estimator is shown through an empirical analysis of log spot exchange rates. We find that the log spot exchange rates of Germany, United Kingdom, Japan, Canada, France, Italy, and Switzerland against the US Dollar for the period January 1974 until December 2001 are well decribed as I (1) processes.
本文推导的半参数估计多元略微集成过程的平稳和非平稳值d。我们利用扩展的离散傅里叶变换的概念和周期图扩展多元当地Shimotsu惠特尔估计量(2007)覆盖的非平稳值d。我们展示d 1/2之间和无穷性和渐近正态性。一个仿真研究表明了所提出的估计器在相关样本容量下的性能。通过对对数即期汇率的实证分析，证明了所提估计量的实证合理性。我们发现，1974年1月至2001年12月期间，德国、英国、日本、加拿大、法国、意大利和瑞士对美元的对数即期汇率被很好地表述为I(1)过程。
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