DATA-DRIVEN NONPARAMETRIC SPECTRAL DENSITY ESTIMATORS FOR ECONOMIC TIME SERIES: A MONTE CARLO STUDY

DOI10.1081/ETC-120015386zbMath1066.91078OpenAlexW2031804843MaRDI QIDQ4817434

Ionel Birgean, Lutz Kilian

Publication date: 22 September 2004

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1081/etc-120015386

zbMATH Keywords

bandwidth selectionmodel identificationperiodogram smoothingautoregressive sieveautocovariance smoothingbusiness cycle measurement

Mathematics Subject Classification ID

Economic time series analysis (91B84) Statistical methods; economic indices and measures (91B82)

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Identification of Persistent Cycles in Non-Gaussian Long-Memory Time Series ⋮ THE IMPACT OF PERSISTENT CYCLES ON ZERO FREQUENCY UNIT ROOT TESTS

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