Automatic Frequency Domain Inference on Semiparametric and Nonparametric Models (Q4271326)
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scientific article; zbMATH DE number 464690
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Automatic Frequency Domain Inference on Semiparametric and Nonparametric Models |
scientific article; zbMATH DE number 464690 |
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Automatic Frequency Domain Inference on Semiparametric and Nonparametric Models (English)
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9 January 1994
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autocorrelation of unknown form
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incomplete model
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band spectrum regression
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asymptotic efficiency
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robust covariance matrix estimate
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data-dependent smoothing
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frequency domain methods
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time series
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degree of smoothing
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uniform convergence of spectral density estimates
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robust large-sample inference procedures
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instrumental variables estimates
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general linear system
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disturbances
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serial correlation of unknown form
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frequency response function
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asymptotically optimal parameter estimates
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covariance stationarity
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multivariate linear regression model
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trending explanatory variables
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consistency
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cross-validation
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multiple regression model
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Monte Carlo study
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