Download full text
(637.8Kb)
Citation Suggestion
Please use the following Persistent Identifier (PID) to cite this document:
https://nbn-resolving.org/urn:nbn:de:0168-ssoar-233498
Exports for your reference manager
Local inference for locally stationary time series based on the empirical spectral measure
[journal article]
Abstract The time varying empirical spectral measure plays a major role in the treatment of inference problems for locally stationary processes. The properties of the empirical spectral measure and related statistics are studied - both when its index function is fixed or dependent on the sample size. In part... view more
The time varying empirical spectral measure plays a major role in the treatment of inference problems for locally stationary processes. The properties of the empirical spectral measure and related statistics are studied - both when its index function is fixed or dependent on the sample size. In particular we prove a general central limit theorem. Several applications and examples are given including semiparametric Whittle estimation, local least squares estimation and spectral density estimation.... view less
Classification
Natural Science and Engineering, Applied Sciences
Free Keywords
C220; C140; Empirical spectral measure; Asymptotic normality; Locally stationary processes; Nonstationary time series
Document language
English
Publication Year
2009
Page/Pages
p. 101-112
Journal
Journal of Econometrics, 151 (2009) 2
DOI
https://doi.org/10.1016/j.jeconom.2009.03.002
Status
Postprint; peer reviewed
Licence
PEER Licence Agreement (applicable only to documents from PEER project)