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Automatic Frequency Domain Inference on Semiparametric and Nonparametric Models

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  • Robinson, P M

Abstract

The author considers frequency domain time series analysis, where smoothing in nonparametric spectrum estimation is data-dependent. Uniform convergence of spectrum estimates is established and applied to a semiparametric model, parameterized over possibly only a subset of the frequencies, in which disturbances have nonparametric autocorrelation. Optimal instruments depend on the disturbance spectrum and frequency response function, which is nonparametric in incomplete systems. The author justifies feasible, optimal parameter estimates. The degree of smoothing is allowed to depend on the data in a general way. The author proves consistency of a cross-validation method of automatic smoothing and applies it to a semiparametric model. Copyright 1991 by The Econometric Society.

Suggested Citation

  • Robinson, P M, 1991. "Automatic Frequency Domain Inference on Semiparametric and Nonparametric Models," Econometrica, Econometric Society, vol. 59(5), pages 1329-1363, September.
    • Handle: RePEc:ecm:emetrp:v:59:y:1991:i:5:p:1329-63
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