Robinson, Peter M. and Velasco, Carlos (2000) Edgeworth expansions for spectral density estimates and studentized sample mean. Econometrics; EM/2000/390, EM/00/390. Suntory and Toyota International Centres for Economics and Related Disciplines, London School of Economics and Political Science, London, UK.
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We establish valid Edgeworth expansions for the distribution of smoothed nonparametric spectral estimates, and of studentized versions of linear statistics such as the same mean, where the studentization employs such a nonparametric spectral estimate. Particular attention is paid to the spectral estimate at zero frequency and, correspondingly, the studentized sample mean, to reflect econometric interest in autocorrelation-consistent or long-run variance estimation. Our main focus is on stationary Gaussian series, though we discuss relaxation of the Gaussianity assumption. Only smoothness conditions on the spectral density that are local to the frequency of interest are imposed. We deduce empirical expansions from our Edgeworth expansions designed to improve on the normal approximation in practice, and also a feasible rule of bandwidth choice.
|Item Type:||Monograph (Discussion Paper)|
|Additional Information:||© 2000 the authors|
|Uncontrolled Keywords:||Edgeworth expansions; nonparametric spectral estimates; stationary Gaussian series; studentized sample mean; bandwidth choice.|
|Library of Congress subject classification:||H Social Sciences > HB Economic Theory|
|Journal of Economic Literature Classification System:||C - Mathematical and Quantitative Methods > C2 - Econometric Methods: Single Equation Models; Single Variables > C22 - Time-Series Models|
|Sets:||Collections > Economists Online
Departments > Economics
Research centres and groups > Suntory and Toyota International Centres for Economics and Related Disciplines (STICERD)
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