Spectral density estimation and robust hypothesis testing using steep origin kernels without truncation

• Main Authors: PHILIPS, Peter C.B, SUN, Yixiao, JIN, Sainan
• 格式: text
• 語言: English
• 出版: Institutional Knowledge at Singapore Management University 2006
• 主題: Econometrics
• 在線閱讀: https://ink.library.smu.edu.sg/soe_research/1993; https://ink.library.smu.edu.sg/context/soe_research/article/2992/viewcontent/Phillips_et_al_2006_International_Economic_Review__1___1_.pdf
• 機構: Singapore Management University

A new class of kernels for long-run variance and spectral density estimation is developed by exponentiating traditional quadratic kernels. Depending on whether the exponent parameter is allowed to grow with the sample size, we establish different asymptotic approximations to the sampling distributio...