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Local cross validation for spectrum bandwidth choice

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  • Velasco, Carlos

Abstract

We investigate an automatic method of determining a local bandwidth for nonparametric kernel spectral density estimates at a single frequency. This procedure is a modification of a cross-validation tecnique for global bandwidth choices, avoiding the computation of any pilot estimate based on initial bandwidths or on approximate parametric models. Only local conditions on the spectral density around the frequency of interest are assumed. We illustrate with a Monte CarIo study the performance in finite samples of the bandwidth estimates proposed.

Suggested Citation

  • Velasco, Carlos, 1998. "Local cross validation for spectrum bandwidth choice," DES - Working Papers. Statistics and Econometrics. WS 4556, Universidad Carlos III de Madrid. Departamento de Estadística.
    • Handle: RePEc:cte:wsrepe:4556
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    References listed on IDEAS

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    1. Kaizô I. BeltraTo & Peter Bloomfield, 1987. "Determining The Bandwidth Of A Kernel Spectrum Estimate," Journal of Time Series Analysis, Wiley Blackwell, vol. 8(1), pages 21-38, January.
    2. Whitney K. Newey & Kenneth D. West, 1994. "Automatic Lag Selection in Covariance Matrix Estimation," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 61(4), pages 631-653.
    3. Andrews, Donald W K, 1991. "Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation," Econometrica, Econometric Society, vol. 59(3), pages 817-858, May.
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