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

DOI10.1016/J.JECONOM.2014.04.019zbMATH Open1311.62151OpenAlexW1976137488MaRDI QIDQ2451815FDOQ2451815

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

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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)

Cites Work

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• Bayesian seasonal adjustment of long memory time series
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Cited In (12)

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

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