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

DOI10.1016/J.JECONOM.2014.04.019MaRDI QIDQ2451815zbMATH OpenOpenAlexFDO

Authors Tucker S. McElroy, Dimitris 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)

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• A NEW ASYMPTOTIC THEORY FOR HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTS
• A k-Factor GARMA Long-memory Model
• Approximate Fourier analysis of distribution functions
• Asymptotic normality of spectral estimates
• Asymptotic theory of statistical inference for time series
• BIAS-CORRECTED NONPARAMETRIC SPECTRAL ESTIMATION
• Bayesian seasonal adjustment of long memory time series
• Computer-intensive rate estimation, diverging statistics and scanning
• EDGEWORTH EXPANSIONS FOR SPECTRAL DENSITY ESTIMATES AND STUDENTIZED SAMPLE MEAN
• FIXED-B ASYMPTOTICS FOR THE STUDENTIZED MEAN FROM TIME SERIES WITH SHORT, LONG, OR NEGATIVE MEMORY
• Fixed-b asymptotic approximation of the sampling behaviour of nonparametric spectral density estimators
• Heteroskedasticity-Autocorrelation Robust Standard Errors Using The Bartlett Kernel Without Truncation
• Identification of Persistent Cycles in Non-Gaussian Long-Memory Time Series
• New Tools for Understanding Spurious Regressions
• ON GENERALIZED FRACTIONAL PROCESSES
• On Consistent Estimates of the Spectrum of a Stationary Time Series
• On the computation of autocovariances for generalized Gegenbauer processes
• On the distribution of positive-definite Gaussian quadratic forms
• Optimal Bandwidth Selection in Heteroskedasticity–Autocorrelation Robust Testing
• Simple Robust Testing of Regression Hypotheses
• Spectral density and spectral distribution inference for long memory time series via fixed-b asymptotics
• Statistical Spectral Analysis of Time Series Arising from Stationary Stochastic Processes
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
• The Maximum Deviation of Sample Spectral Densities
• Weak convergence to fractional brownian motion and to the rosenblatt process

Cited in

(12)

• Estimating the Spectral Density at Frequencies Near Zero
• Spectral density and spectral distribution inference for long memory time series via fixed-b asymptotics
• Computation of the autocovariances for time series with multiple long-range persistencies
• A Review of Seasonal Adjustment Diagnostics
• Identification of the differencing operator of a non-stationary time series via testing for zeroes in the spectral density
• A note on Herglotz's theorem for time series on function spaces
• New robust confidence intervals for the mean under dependence
• Testing for adequacy of seasonal adjustment in the frequency domain
• FIXED-B ASYMPTOTICS FOR THE STUDENTIZED MEAN FROM TIME SERIES WITH SHORT, LONG, OR NEGATIVE MEMORY
• Asymptotic statistical properties of spectral estimates with different tapers for discrete time processes.
• ASYMPTOTIC THEORY FOR SPECTRAL DENSITY ESTIMATES OF GENERAL MULTIVARIATE TIME SERIES
• Distribution theory for the Studentized mean for long, short, and negative memory time series

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