This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Edgeworth Expansions For Spectral Density Estimates And Studentized Sample Mean

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Velasco, Carlos
Robinson, Peter M.

Additional information is available for the following registered author(s):

Abstract

We establish valid Edgeworth expansions for the distribution of smoothed nonparametric spectral estimates, and of studentized versions of linear statistics such as the sample mean, where the studentization employs such a nonparametric spectral estimate. Particular attention is paid to the spectral estimate at zero frequency and, correspondingly, the studentized sample mean, to reflect econometric interest in autocorrelation-consistent or long-run variance estimation. Our main focus is on stationary Gaussian series, though we discuss relaxation of the Gaussianity assumption. Only smoothness conditions on the spectral density that are local to the frequency of interest are imposed. We deduce empirical expansions from our Edgeworth expansions designed to improve on the normal approximation in practice and also deduce a feasible rule of bandwidth choice.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://journals.cambridge.org/abstract_S0266466601173019
File Format: text/html
File Function: link to article abstract page
Download Restriction: no

Publisher Info
Article provided by Cambridge University Press in its journal Econometric Theory.

Volume (Year): 17 (2001)
Issue (Month): 03 (June)
Pages: 497-539
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:cup:etheor:v:17:y:2001:i:03:p:497-539_17

Contact details of provider:
Postal: The Edinburgh Building, Shaftesbury Road, Cambridge CB2 2RU UK
Fax: +44 (0)1223 325150
Email:
Web page: http://journals.cambridge.org/jid_ECT

For technical questions regarding this item, or to correct its listing, contact: (Mike Eden).

Related research
Keywords:

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Peter C.B. Phillips & Yixiao Sun & Sainan Jin, 2005. "Improved HAR Inference," Cowles Foundation Discussion Papers 1513, Cowles Foundation, Yale University. [Downloadable!]
  2. Yixiao Sun & Peter Phillips & Sainan Jin, 2005. "Optimal Bandwidth Selection in Heteroskedasticity-Autocorrelation Robust Testing∗," University of California at San Diego, Economics Working Paper Series 2005-12, Department of Economics, UC San Diego. [Downloadable!]
  3. Liudas Giraitis & Peter M Robinson, 2002. "Edgeworth Expansions for Semiparametric Whittle Estimation of Long Memory," STICERD - Econometrics Paper Series /2002/438, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE. [Downloadable!]
  4. Yixiao Sun & Peter C.B. Phillips, 2008. "Optimal Bandwidth Choice for Interval Estimation in GMM Regression," Cowles Foundation Discussion Papers 1661, Cowles Foundation, Yale University. [Downloadable!]
Statistics
Access and download statistics

Did you know? You too can volunteer for RePEc, for example by providing information about publications in your institution.

This page was last updated on 2009-12-20.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.