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, UK.
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Abstract
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) |
|---|---|
| Official URL: | http://sticerd.lse.ac.uk |
| Additional Information: | © 2000 the authors |
| Divisions: | Economics STICERD |
| Subjects: | H Social Sciences > HB Economic Theory |
| JEL classification: | C - Mathematical and Quantitative Methods > C2 - Econometric Methods: Single Equation Models; Single Variables > C22 - Time-Series Models |
| Date Deposited: | 27 Apr 2007 |
| Last Modified: | 13 Sep 2024 19:42 |
| URI: | http://eprints.lse.ac.uk/id/eprint/2148 |
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