Spectral density estimation and robust hypothesis testing using steep origin kernels without truncation
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...
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| Main Authors: | , , |
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| Format: | text |
| Language: | English |
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Institutional Knowledge at Singapore Management University
2006
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| Subjects: | |
| Online Access: | 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 |
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| Institution: | Singapore Management University |
| Language: | English |
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