Spectral density and spectral distribution inference for long memory time series via fixed-b asymptotics
Ημερομηνία
2014Συγγραφέας
McElroy, T. S.Politis, Dimitris Nicolas
Source
Journal of EconometricsVolume
182Issue
1Pages
211-225Google Scholar check
Keyword(s):
Metadata
Εμφάνιση πλήρους εγγραφήςΕπιτομή
This paper studies taper-based estimates of the spectral density utilizing a fixed bandwidth ratio asymptotic framework, and makes several theoretical contributions: (i) we treat multiple frequencies jointly, (ii) we allow for long-range dependence or anti-persistence at differing frequencies, (iii) we allow for tapers that are only piecewise smooth or discontinuous, including flat-top and truncation tapers, (iv) we study higher-order accuracy through the limit distribution's Laplace Transform, (v) we develop a taper-based estimation theory for the spectral distribution, and show how confidence bands can be constructed. Simulation results produce quantiles and document the finite-sample size properties of the estimators, and a few empirical applications demonstrate the utility of the new methods. © Published by Elsevier B.V.
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