Fixed-b asymptotic approximation of the sampling behaviour of nonparametric spectral density estimators

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Fixed-b asymptotic approximation of the sampling behaviour of nonparametric spectral density estimators

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dc.contributor.author Hashimzade, Nigar en_GB
dc.contributor.author Vogelsang, Timothy J. en_GB
dc.contributor.department University of Exeter en_GB
dc.contributor.department Michigan State University en_GB
dc.date.accessioned 2008-07-24T14:26:37Z en_GB
dc.date.accessioned 2011-01-25T10:25:49Z en_US
dc.date.accessioned 2013-03-19T15:51:48Z
dc.date.issued 2008-01 en_GB
dc.description.abstract We propose a new asymptotic approximation for the sampling behaviour of nonparametric estimators of the spectral density of a covariance stationary time series. According to the standard approach, the truncation lag grows more slowly than the sample size. We derive first-order limiting distributions under the alternative assumption that the truncation lag is a fixed proportion of the sample size. Our results extend the approach of Neave (1970), who derived a formula for the asymptotic variance of spectral density estimators under the same truncation lag assumption. We show that the limiting distribution of zero-frequency spectral density estimators depends on how the mean is estimated and removed. The implications of our zero-frequency results are consistent with exact results for bias and variance computed by Ng and Perron (1996). Finite sample simulations indicate that the new asymptotics provides a better approximation than the standard one. en_GB
dc.identifier.citation Journal of Time Series Analysis, Vol. 29, Issue 1, pp. 142-162 en_GB
dc.identifier.doi 10.1111/j.1467-9892.2007.00548.x en_GB
dc.identifier.uri http://hdl.handle.net/10036/33053 en_GB
dc.language.iso en en_GB
dc.publisher Blackwell en_GB
dc.relation.url http://www3.interscience.wiley.com/cgi-bin/fulltext/119399117/PDFSTART en_GB
dc.subject Zero frequency en_GB
dc.subject inference en_GB
dc.subject bandwidth en_GB
dc.subject truncation lag en_GB
dc.subject kernel en_GB
dc.title Fixed-b asymptotic approximation of the sampling behaviour of nonparametric spectral density estimators en_GB
dc.type Article en_GB
dc.date.available 2008-07-24T14:26:37Z en_GB
dc.date.available 2011-01-25T10:25:49Z en_US
dc.date.available 2013-03-19T15:51:48Z
dc.identifier.issn 0143-9782 en_GB
dc.description Pre-print; author's draft dated February 10, 2007. The definitive version is available at http://www3.interscience.wiley.com/ en_GB
dc.identifier.journal Journal of Time Series Analysis en_GB


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