Hidalgo, Javier - Suntory and Toyota International Centres for Economics … - 2005
We consider the estimation of the location of the pole and memory parameter, ?0 and a respectively, of covariance stationary linear processes whose spectral density function f(?) satisfies f(?) ~ C|? - ?0|-a in a neighbourhood of ?0. We define a consistent estimator of ?0 and derive its limit...