Arbeitspapier
Estimation of a nonparametric regression spectrum for multivariate time series
Estimation of a nonparametric regression spectrum based on the periodogram is considered. Neither trend estimation nor smoothing of the periodogram are required. Alternatively, for cases where spectral estimation of phase shifts fails and the shift does not depend on frequency, a time domain estimator of the lag-shift is defined. Asymptotic properties of the frequency and time domain estimators are derived. Simulations and a data example illustrate the methods.
- Language
-
Englisch
- Bibliographic citation
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Series: CoFE Discussion Paper ; No. 07/12
- Classification
-
Wirtschaft
- Subject
-
Periodogram
cross spectrum
regression spectrum
phase
wavelets
- Event
-
Geistige Schöpfung
- (who)
-
Beran, Jan
Heiler, Mark A.
- Event
-
Veröffentlichung
- (who)
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University of Konstanz, Center of Finance and Econometrics (CoFE)
- (where)
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Konstanz
- (when)
-
2007
- Handle
- URN
-
urn:nbn:de:bsz:352-opus-116674
- Last update
-
10.03.2025, 11:44 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Beran, Jan
- Heiler, Mark A.
- University of Konstanz, Center of Finance and Econometrics (CoFE)
Time of origin
- 2007
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