Robinson, Peter M. (2006) Nonparametric spectrum estimation for spatial data. EM/06/498. Suntory and Toyota International Centres for Economics and Related Disciplines, London School of Economics and Political Science, London, UK.
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Smoothed nonparametric kernel spectral density estimates are considered for stationary data observed on a d-dimensional lattice. The implications for edge effect bias of the choice of kernel and bandwidth are considered. Under some circumstances the bias can be dominated by the edge effect. We show that this problem can be mitigated by tapering. Some extensions and related issues are discussed.
|Item Type:||Monograph (Discussion Paper)|
|Additional Information:||© 2006 the author|
|Uncontrolled Keywords:||nonparametric spectrum estimation; edge effect; tapering|
|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)
|Date Deposited:||28 Apr 2008 16:13|
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