Jan Beran () (University of Konstanz) Mark A. Heiler
Abstract
Estimation of a nonparametric regression spectrum based on the periodogram is considered. Neither trend estimation nor smoothing of the periodogram are required. Alternatively, for cases where spectral estimation of phase shifts fails and the shift does not depend on frequency, a time domain estimator of the lag-shift is defined. Asymptotic properties of the frequency and time domain estimators are derived. Simulations and a data example illustrate the methods.
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Publisher Info
Paper provided by Center of Finance and Econometrics, University of Konstanz in its series CoFE Discussion Paper with number
07-12.
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