Edgeworth Expansions for Spectral Density Estimates and Studentized Sample Mean - (Now published in Economic Theory, 17 (2001), pp.497-539
AbstractWe establish valid Edgeworth expansions for the distribution of smoothed nonparametric spectral estimates, and of studentized versions of linear statistics such as the same 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 a feasible rule of bandwidth choice.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. 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.
Bibliographic InfoPaper provided by Suntory and Toyota International Centres for Economics and Related Disciplines, LSE in its series STICERD - Econometrics Paper Series with number /2000/390.
Date of creation: May 2000
Date of revision:
Contact details of provider:
Web page: http://sticerd.lse.ac.uk/_new/publications/default.asp
Edgeworth expansions; nonparametric spectral estimates; stationary Gaussian series; studentized sample mean; bandwidth choice.;
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.:
- repec:cup:etheor:v:12:y:1996:i:2:p:331-46 is not listed on IDEAS
- Phillips, P C B, 1980. "Finite Sample Theory and the Distributions of Alternative Estimators of the Marginal Propensity to Consume," Review of Economic Studies, Wiley Blackwell, vol. 47(1), pages 183-224, January.
- Taniguchi, Masanobu, 1987. "Validity of Edgeworth expansions of minimum contrast estimators for Gaussian ARMA processes," Journal of Multivariate Analysis, Elsevier, vol. 21(1), pages 1-28, February.
- Robinson, P M, 1991. "Automatic Frequency Domain Inference on Semiparametric and Nonparametric Models," Econometrica, Econometric Society, vol. 59(5), pages 1329-63, September.
- Robinson, P. M., 1995. "The approximate distribution of nonparametric regression estimates," Statistics & Probability Letters, Elsevier, vol. 23(2), pages 193-201, May.
- Peter C.B. Phillips & Yixiao Sun & Sainan Jin, 2005. "Improved HAR Inference," Cowles Foundation Discussion Papers 1513, Cowles Foundation for Research in Economics, Yale University.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ().
If references are entirely missing, you can add them using this form.