Robinson, Peter (2009) Inference on nonparametrically trending time series with fractional errors. Econometric Theory, 25 (6). pp. 1716-1733. ISSN 1469-4360
Full text not available from this repository.Abstract
The central limit theorem for nonparametric kernel estimates of a smooth trend, with linearly generated errors, indicates asymptotic independence and homoskedasticity across fixed points, irrespective of whether disturbances have short memory, long memory, or antipersistence. However, the asymptotic variance depends on the kernel function in a way that varies across these three circumstances, and in the latter two it involves a double integral that cannot necessarily be evaluated in closed form. For a particular class of kernels, we obtain analytic formulas. We discuss extensions to more general settings, including ones involving possible cross-sectional or spatial dependence.
| Item Type: | Article |
|---|---|
| Official URL: | http://journals.cambridge.org/action/displayJourna... |
| Additional Information: | © 2009 Cambridge University Press |
| Divisions: | Economics |
| Subjects: | H Social Sciences > HB Economic Theory |
| Date Deposited: | 11 Jan 2010 10:28 |
| Last Modified: | 11 Dec 2024 23:30 |
| URI: | http://eprints.lse.ac.uk/id/eprint/26633 |
Actions (login required)
 |
View Item |
