Spectral density and spectral distribution inference for long memory time series via fixed-b asymptotics

DOI10.1016/j.jeconom.2014.04.019zbMath1311.62151OpenAlexW1976137488MaRDI QIDQ2451815

Tucker S. McElroy, Dimitris N. Politis

Publication date: 4 June 2014

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://escholarship.org/uc/item/6164c110

zbMATH Keywords

long range dependencecyclical long memorykernel spectral estimatorspectral confidence bands

Mathematics Subject Classification ID

Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

Related Items (8)

New robust confidence intervals for the mean under dependence ⋮ Testing for adequacy of seasonal adjustment in the frequency domain ⋮ Computation of the autocovariances for time series with multiple long-range persistencies ⋮ A note on Herglotz's theorem for time series on function spaces ⋮ A Review of Seasonal Adjustment Diagnostics ⋮ Estimating the Spectral Density at Frequencies Near Zero ⋮ Spectral density and spectral distribution inference for long memory time series via fixed-b asymptotics ⋮ Identification of the differencing operator of a non-stationary time series via testing for zeroes in the spectral density

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