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dc.contributor.authorSela, Rebecca J.-
dc.contributor.authorHurvich, Clifford M.-
dc.description.abstractWe prove the consistency of the averaged periodogram estimator (APE) in two new cases. First, we prove that the APE is consistent for negative memory parameters, after suitable tapering. Second, we prove that the APE is consistent for a power law in the cross-spectrum and therefore for a power law in the coherency, provided that sufficiently many frequencies are used in estimation. Simulation evidence suggests that the lower bound on the number of frequencies is a necessary condition for consistency. For a Taylor series approximation to the estimator of the power law in the cross-spectrum, we consider the rate of convergence, and obtain a central limit theorem under suitable regularity conditions.en
dc.description.sponsorshipJ.P. Morgan Chase and Co. and New York Universityen
dc.publisherStern School of Business, New York UniversityEN
dc.titleThe Averaged Periodogram Estimator for a Power Law in Coherencyen
dc.typeWorking Paperen
dc.description.seriesStatistics Working Papers SeriesEN
Appears in Collections:IOMS: Statistics Working Papers

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