Asymptotic Properties of Pseudo Maximum Likelihood Estimates for Multiple Frequency I(1) Processes

Abstract

In this paper we derive (weak) consistency and the asymptotic distribution of pseudo maximum likelihood estimates for multiple frequency I(1) processes. By multiple frequency I(1) processes we denote processes with unit roots at arbitrary points on the unit circle with the integration orders corresponding to these unit roots all equal to 1. The parameters corresponding to the cointegrating spaces at the different unit roots are estimated super-consistently and have a mixture of Brownian motions limiting distribution. All other parameters are asymptotically normally distributed and are estimated at the standard square root of T rate. The problem is formulated in the state space framework, using the canonical form and parameterization introduced by Bauer and Wagner (2002b). Therefore the analysis covers vector ARMA processes and is not restricted to autoregressive processes.state space representation; unit roots; cointegration; pseudo maximum likelihood estimation