The Averaged Periodogram Estimator for a Power Law in Coherency

40 Pages Posted: 29 Sep 2011

See all articles by Rebecca J. Sela

Rebecca J. Sela

New York University (NYU) - Leonard N. Stern School of Business; J.P. Morgan Chase & Co.

Clifford M. Hurvich

Stern School of Business, New York University; New York University (NYU) - Department of Information, Operations, and Management Sciences

Multiple version iconThere are 2 versions of this paper

Date Written: September 2011

Abstract

We 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.

Suggested Citation

Sela, Rebecca J. and Hurvich, Clifford M., The Averaged Periodogram Estimator for a Power Law in Coherency (September 2011). NYU Working Paper No. 2451/31260. Available at SSRN: https://ssrn.com/abstract=1935270

Rebecca J. Sela (Contact Author)

New York University (NYU) - Leonard N. Stern School of Business ( email )

44 West 4th Street
Suite 9-160
New York, NY NY 10012
United States

J.P. Morgan Chase & Co. ( email )

60 Wall St.
New York, NY 10260
United States

Clifford M. Hurvich

Stern School of Business, New York University ( email )

44 West 4th Street
New York, NY 10012-1126
United States

New York University (NYU) - Department of Information, Operations, and Management Sciences

44 West Fourth Street
New York, NY 10012
United States

Register to save articles to
your library

Register

Paper statistics

Downloads
21
Abstract Views
313
PlumX Metrics