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

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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