Asymptotic results for multivariate local Whittle estimation with applications

The asymptotic normality result is obtained for local Whittle estimators of all model parameters in a general formulation of multivariate long memory. The result is then used in devising a global statistical test for the so-called fractal non-connectivity, and in deriving the asymptotics of LASSO estimators of parameters in the so-called long-run variance matrix and its inverse. Some numerical illustrations are also provided.

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