CONSISTENCY OF THE AVERAGED CROSS‐PERIODOGRAM IN LONG MEMORY SERIES
Ignacio N. Lobato · Journal of Time Series Analysis · 1997
Several aspects of inference with long memory series in a multivariate framework are examined. The main result of this paper is to prove the consistency of the averaged cross‐ periodogram evaluated in a degenerating neighbourhood of zero frequency. We also illustrate several applications of that result and consider some specification issues.