Institut for Matematik

In this paper we consider least squares estimation of the driving kernel of a moving average and argue that, under mild regularity conditions and a decay condition on the kernel, the suggested estimator is consistent and asymptotically normal. On one hand this result unifies scattered results of the literature on low frequency estimation of moving averages, and on the other hand it emphasizes the validity of inference also in cases where the moving average is not strongly mixing. We assess the performance of the estimator through a simulation study.