More documents from Dahlhaus, Rainer
More documents from Journal of Econometrics

Export to your Reference Manger

Please Copy & Paste



Bookmark and Share

Local inference for locally stationary time series based on the empirical spectral measure

[journal article]

Dahlhaus, Rainer

fulltextDownloadDownload full text

(638 KByte)

Citation Suggestion

Please use the following Persistent Identifier (PID) to cite this document:

Further Details
Abstract The time varying empirical spectral measure plays a major role in the treatment of inference problems for locally stationary processes. The properties of the empirical spectral measure and related statistics are studied - both when its index function is fixed or dependent on the sample size. In particular we prove a general central limit theorem. Several applications and examples are given including semiparametric Whittle estimation, local least squares estimation and spectral density estimation.
Classification Natural Science and Engineering, Applied Sciences
Free Keywords C220; C140; Empirical spectral measure; Asymptotic normality; Locally stationary processes; Nonstationary time series
Document language English
Publication Year 2009
Page/Pages p. 101-112
Journal Journal of Econometrics, 151 (2009) 2
Status Postprint; peer reviewed
Licence PEER Licence Agreement (applicable only to documents from PEER project)