Data-driven local polynomial for the trend and its derivatives in economic time series

DOI10.1080/10485252.2020.1759598zbMath1444.62104MaRDI QIDQ5114484

Yuanhua Feng, Thomas Gries, Marlon Fritz

Publication date: 24 June 2020

Published in: Journal of Nonparametric Statistics (Search for Journal in Brave)

Full work available at URL: http://groups.uni-paderborn.de/wp-wiwi/RePEc/pdf/ciepap/WP102.pdf

zbMATH Keywords

derivative estimation; spectral density; bandwidth selection; semiparametric modelling; dependent errors; implementation in R

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62G07: Density estimation

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62M15: Inference from stochastic processes and spectral analysis

91B84: Economic time series analysis

Related Items

smoots

Uses Software

• R

Cites Work

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