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

Journal of Econometrics

Volumn 151, Issue 2, 2009, Pages 101-112

  Dahlhaus, Rainer ^a  

^a UNIVERSITY OF HEIDELBERG   (Germany)

Author keywords

Asymptotic normality; Empirical spectral measure; Locally stationary processes; Nonstationary time series

Indexed keywords

ASYMPTOTIC NORMALITY; CENTRAL LIMIT THEOREM; DENSITY ESTIMATION; EMPIRICAL SPECTRAL MEASURE; INDEX FUNCTIONS; INFERENCE PROBLEM; LOCAL LEAST SQUARES; LOCALLY STATIONARY PROCESSES; NONSTATIONARY TIME SERIES; SAMPLE SIZES; SEMIPARAMETRIC; SPECTRAL MEASURE; STATIONARY PROCESS; STATIONARY TIME SERIES; TIME VARYING; WHITTLE ESTIMATION;

ASYMPTOTIC ANALYSIS; SPECTRAL DENSITY; TIME SERIES;

ESTIMATION;

EID: 67650726879     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2009.03.002     Document Type: Article

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