The exact error in estimating the spectral density at the origin

Journal of Time Series Analysis

Volumn 17, Issue 4, 1996, Pages 379-408

  Ng, Serena ^a   Perron, Pierre ^a  

^a UNIVERSITÉ DE MONTRÉAL   (Canada)

Author keywords

Bandwidth; Kernel; Lag window; Non parametric inference; Persistence measures

Indexed keywords

EID: 0000956504     PISSN: 01439782     EISSN: None     Source Type: Journal    
DOI: 10.1111/j.1467-9892.1996.tb00284.x     Document Type: Article

References (20)

1. ANDREWS, D. W. K. (1991) Heteroskedasticity and autocorrelation consistent covariance matrix estimation. Econometrica 59, 817-58.
2. BROCKWELL, P. J. and DAVIES, R. A. (1991) Time Series: Theory and Methods, 2nd Edn. New York: Springer.
3. CAMPBELL, J. Y. and MANKIW, N. G. (1987) Are output fluctuations transitory? Q. J. Econ. 102, 857-80.
4. CLARK, P. K. (1987) The cyclical component of U.S. economic activity. Q. J. Econ. 102, 798-814.
5. COCHRANE, J. H. (1988) How big is the random walk in GNP? J. Polit. Econ. 96, 893-920.
6. HANNAN, E. J. (1970) Multiple Time Series. New York: Wiley.
7. _ and NICHOLLS, D. F. (1977) The estimation of the prediction error variance. Am. Stat. Assoc. 72, 834-40.
8. HENDRY, D. F. (1984) Monte Carlo experimentation in econometrics. In Handbook of Econometrics, Vol. II (eds Z. Griliches and M. D. Intriligator). Amsterdam: North-Holland, pp. 939-74.
9. ISSERLIS, L. (1918) On a formula for the product moment coefficient of any order of a normal frequency distribution in any number of variables. Biometrika 12, 134-39.
10. NEAVE, H. R. (1971) The exact error in spectrum estimates. Ann. Math. Statist. 42, 961-75.
11. _ (1972) A comparison of lag window generators. Am. Statist. Assoc. 67, 152-58.
12. NEWEY, W. K. and WEST, K. D. (1987) A simple, positive semi-definite heteroskedasticity and autocorrelation consistent covariance matrix. Econometrica 55, 703-8.
13. PARZEN, E. (1957) On consistent estimates of the spectrum of a stationary time series. Ann. Math. Statist. 28, 329-48.
14. PHILLIPS, P. C. B. (1987) Time series regression with unit roots. Econometrica 55, 277-302.
15. _ and PERRON, P. (1988) Testing for a unit root in time series regression. Biometrika 75, 335-46.
16. POLITIS, D. N. and ROMANO, J. P. (1995) Bias-corrected nonparametric spectral estimation. J. Time Ser. Anal. 16, 67-103.
17. PRESS, W., FLANNERY, B., TEUKOLSKY, S. and VETTERLING, W. (1988) Numerical Recipes in C. Cambridge: Cambridge University Press.
18. PRIESTLEY, M. B. (1981) Spectral Analysis and Time Series, 2 Vols. New York: Academic Press.
19. PUKKILA, T. and NYQUIST, H. (1985) On the frequency domain estimation of the innovation variance of a stationary univariate time series. Biometrika 72, 317-23.
20. WATSON, M. W. (1986) Univariate detrending methods with stochastic trends. J. Monetary Econ. 18, 49-76.