EDGEWORTH EXPANSIONS FOR SPECTRAL DENSITY ESTIMATES AND STUDENTIZED SAMPLE MEAN

DOI10.1017/S0266466601173019zbMATH Open1018.62013OpenAlexW3015659089MaRDI QIDQ4807255FDOQ4807255

Authors: Carlos I. Hoyos Velasco, Peter M. Robinson 

Publication date: 18 May 2003

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

Full work available at URL: https://doi.org/10.1017/s0266466601173019

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zbMATH Keywords

non-Gaussian time seriesempirical approximations

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Asymptotic distribution theory in statistics (62E20) Inference from stochastic processes and spectral analysis (62M15)

Cited In (42)

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• Block bootstrap HAC robust tests: the sophistication of the naive bootstrap
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• Higher-order asymptotic theory of shrinkage estimation for general statistical models
• The evolution of portfolio rules and the capital asset pricing model
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• Two estimators of the long-run variance: beyond short memory
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• Market crashes, speculation and learning in financial markets
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• On size and power of heteroskedasticity and autocorrelation robust tests
• Distributionally robust optimization with decision dependent ambiguity sets
• Long run variance estimation and robust regression testing using sharp origin kernels with no truncation
• Higher order expansions for error variance matrix estimates in the Gaussian AR(1) linear regression model
• Market power, survival and accuracy of predictions in financial markets
• Estimation of long-range dependence in gappy Gaussian time series
• Edgeworth expansions for Studentized statistics under weak dependence
• The fixed-\(b\) limiting distribution and the ERP of HAR tests under nonstationarity
• Asymptotics of spectral density estimates
• Is Newey-West optimal among first-order kernels?
• Power maximization and size control in heteroskedasticity and autocorrelation robust tests with exponentiated kernels
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• Let's fix it: fixed-\(b\) asymptotics versus small-\(b\) asymptotics in heteroskedasticity and autocorrelation robust inference
• Gram-Charlier densities: maximum likelihood versus the method of moments
• Heterogeneity and learning with complete markets
• ASYMPTOTIC THEORY FOR SPECTRAL DENSITY ESTIMATES OF GENERAL MULTIVARIATE TIME SERIES
• Edgeworth expansions for a class of spectral density estimators and their applications to interval estimation
• Moderate deviations for quadratic forms in Gaussian stationary processes
• A NEW ASYMPTOTIC THEORY FOR HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTS
• Diverse beliefs and time variability of risk premia
• HIGHER-ORDER ACCURATE, POSITIVE SEMIDEFINITE ESTIMATION OF LARGE-SAMPLE COVARIANCE AND SPECTRAL DENSITY MATRICES
• HAR Inference: Recommendations for Practice
• Higher order asymptotic theory for minimum contrast estimators of spectral parameters of stationary processes
• Asymptotic behavior of cross spectral density estimator at the zero frequency in the presence of degeneracy
• Welfare effects of short-sale constraints under heterogeneous beliefs
• Rational overconfidence and social security: subjective beliefs, objective welfare

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