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Optimal Bandwidth Selection in Non-Parametric Spectral Density Estimation

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Author Info

  • Fortin, Ines

    (Abteilung Finanzwirtschaft, Institut fuer Hoehere Studien)

  • Kuzmics, Christoph

    (Abteilung Finanzwirtschaft, Institut fuer Hoehere Studien)

Abstract

This paper deals with optimal window width choice in non-parametric lag- or spectral window estimation of the spectral density of a stationary zero-mean process. Several approaches are reviewed: the cross-validation based methods described by Hurvich (1985), Beltrao & Bloomfield (1987) and Hurvich & Beltrao (1990), an iterative procedure due to Buehlmann (1996), and a bootstrap approach followed by Franke & Haerdle (1992). These methods are compared in terms of the mean square error, the mean square percentage error, and a third measure of distance between the true spectral density and its estimate. The comparison is based on a small simulation study. The processes that are simulated are in the class of ARMA (5,5) processes. Based on the simulation evidence, we suggest to use a slightly modified version of Buehlmann's (1996) iterative method.

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File URL: http://www.ihs.ac.at/publications/eco/es-62.pdf
File Function: First version, 1999
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Bibliographic Info

Paper provided by Institute for Advanced Studies in its series Economics Series with number 62.

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Length: 39 pages
Date of creation: Feb 1999
Date of revision:
Handle: RePEc:ihs:ihsesp:62

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Related research

Keywords: Window Width; Bandwidth; Non-Parametric Spectral Estimation; Simulation;

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  1. Franke, J. & Hardle, W., 1990. "On bootstrapping kernel spectralestimates," CORE Discussion Papers 1990058, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
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