Lower risk bounds and properties of confidence sets for ill-posed estimation problems with applications to spectral density and persistence estimation, unit roots, and estimation of long memory parameters

Econometrica

Volumn 70, Issue 3, 2002, Pages 1035-1065

  Pötscher, Benedikt M ^a  

^a UNIVERSITY OF VIENNA   (Austria)

Author keywords

Cointegration; Confidence sets; Difference stationarity; Fractional differencing parameter; Ill posed problem; Long memory; Lower risk bound; Minimax risk; Nonparametric function estimation; Persistence; Spectral density estimation; Trend stationarity; Unit root

Indexed keywords

ASYMPTOTIC STABILITY; BOUNDARY CONDITIONS; CONVERGENCE OF NUMERICAL METHODS; FUNCTION EVALUATION; MATHEMATICAL MODELS; PARAMETER ESTIMATION; REGRESSION ANALYSIS; RISK ASSESSMENT; SET THEORY; SPECTRUM ANALYSIS; TIME SERIES ANALYSIS;

COINTEGRATION; CONFIDENCE SETS; ILL POSED PROBLEMS; LONG MEMORY PARAMETER; LOWER RISK BOUNDS; MINIMAX RISKS; NONPARAMETRIC FUNCTION ESTIMATION; PERSISTENCE ESTIMATION; SPECTRAL DENSITY ESTIMATION; UNIT ROOT;

ECONOMICS;

EID: 0036094010     PISSN: 00129682     EISSN: None     Source Type: Journal    
DOI: 10.1111/1468-0262.00318     Document Type: Article

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