Spectral density and spectral distribution inference for long memory time series via fixed-b asymptotics
dc.contributor.author | McElroy, T. S. | en |
dc.contributor.author | Politis, Dimitris Nicolas | en |
dc.creator | McElroy, T. S. | en |
dc.creator | Politis, Dimitris Nicolas | en |
dc.date.accessioned | 2019-12-02T10:36:59Z | |
dc.date.available | 2019-12-02T10:36:59Z | |
dc.date.issued | 2014 | |
dc.identifier.uri | http://gnosis.library.ucy.ac.cy/handle/7/57290 | |
dc.description.abstract | 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. | en |
dc.source | Journal of Econometrics | en |
dc.source.uri | https://www.scopus.com/inward/record.uri?eid=2-s2.0-84901842392&doi=10.1016%2fj.jeconom.2014.04.019&partnerID=40&md5=0e9d7a243c780eda49082e82d33c8e78 | |
dc.subject | Frequency estimation | en |
dc.subject | Spectral density | en |
dc.subject | Multiple frequency | en |
dc.subject | Laplace transforms | en |
dc.subject | Long memory | en |
dc.subject | Confidence bands | en |
dc.subject | Cyclical long memory | en |
dc.subject | Kernel spectral estimator | en |
dc.subject | Limit distribution | en |
dc.subject | Long range dependence | en |
dc.subject | Long-memory time series | en |
dc.subject | Spectral confidence bands | en |
dc.subject | Spectral distribution | en |
dc.subject | Spectral estimator | en |
dc.title | Spectral density and spectral distribution inference for long memory time series via fixed-b asymptotics | en |
dc.type | info:eu-repo/semantics/article | |
dc.identifier.doi | 10.1016/j.jeconom.2014.04.019 | |
dc.description.volume | 182 | |
dc.description.issue | 1 | |
dc.description.startingpage | 211 | |
dc.description.endingpage | 225 | |
dc.author.faculty | Σχολή Θετικών και Εφαρμοσμένων Επιστημών / Faculty of Pure and Applied Sciences | |
dc.author.department | Τμήμα Μαθηματικών και Στατιστικής / Department of Mathematics and Statistics | |
dc.type.uhtype | Article | en |
dc.description.notes | <p>Cited By :3</p> | en |
dc.source.abbreviation | J Econom | en |
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