dc.contributor.author | Dahlhaus, Rainer | de |
dc.date.accessioned | 2011-03-18T02:51:00Z | de |
dc.date.accessioned | 2012-08-29T23:27:30Z | |
dc.date.available | 2012-08-29T23:27:30Z | |
dc.date.issued | 2009 | de |
dc.identifier.uri | http://www.ssoar.info/ssoar/handle/document/23349 | |
dc.description.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 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. | en |
dc.language | en | de |
dc.subject.ddc | Naturwissenschaften | de |
dc.subject.ddc | Science | en |
dc.subject.other | C220; C140; Empirical spectral measure; Asymptotic normality; Locally stationary processes; Nonstationary time series | |
dc.title | Local inference for locally stationary time series based on the empirical spectral measure | en |
dc.description.review | begutachtet (peer reviewed) | de |
dc.description.review | peer reviewed | en |
dc.source.journal | Journal of Econometrics | de |
dc.source.volume | 151 | de |
dc.publisher.country | NLD | |
dc.source.issue | 2 | de |
dc.subject.classoz | Naturwissenschaften, Technik(wissenschaften), angewandte Wissenschaften | de |
dc.subject.classoz | Natural Science and Engineering, Applied Sciences | en |
dc.identifier.urn | urn:nbn:de:0168-ssoar-233498 | de |
dc.date.modified | 2011-03-18T10:18:00Z | de |
dc.rights.licence | PEER Licence Agreement (applicable only to documents from PEER project) | de |
dc.rights.licence | PEER Licence Agreement (applicable only to documents from PEER project) | en |
ssoar.gesis.collection | SOLIS;ADIS | de |
ssoar.contributor.institution | http://www.peerproject.eu/ | de |
internal.status | 3 | de |
dc.type.stock | article | de |
dc.type.document | journal article | en |
dc.type.document | Zeitschriftenartikel | de |
dc.rights.copyright | f | de |
dc.source.pageinfo | 101-112 | |
internal.identifier.classoz | 50200 | |
internal.identifier.journal | 195 | de |
internal.identifier.document | 32 | |
internal.identifier.ddc | 500 | |
dc.identifier.doi | https://doi.org/10.1016/j.jeconom.2009.03.002 | de |
dc.description.pubstatus | Postprint | en |
dc.description.pubstatus | Postprint | de |
internal.identifier.licence | 7 | |
internal.identifier.pubstatus | 2 | |
internal.identifier.review | 1 | |
internal.check.abstractlanguageharmonizer | CERTAIN | |
internal.check.languageharmonizer | CERTAIN_RETAINED | |