• Medientyp: E-Book
  • Titel: Local inference for locally stationary time series based on the empirical spectral measure
  • Beteiligte: Dahlhaus, Rainer [Verfasser:in]
  • Erschienen: 2009
  • Sprache: Englisch
  • DOI: https://doi.org/10.1016/j.jeconom.2009.03.002
  • Identifikator:
  • Schlagwörter: C220 ; C140 ; Empirical spectral measure ; Asymptotic normality ; Locally stationary processes ; Nonstationary time series
  • Entstehung:
  • Anmerkungen: Postprint
    begutachtet (peer reviewed)
    In: Journal of Econometrics ; 151 (2009) 2 ; 101-112
  • Beschreibung: 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.
  • Zugangsstatus: Freier Zugang