Local inference for locally stationary time series based on the empirical spectral measure

Rainer Dahlhaus

Journal of Econometrics, 2009, vol. 151, issue 2, pages 101-112

Abstract: The time varying empirical spectral measure plays a major role in the treatment of inference problems for locally stationary processes. The properties of the empirical spectral measure and related statistics are studied -- both when its index function is fixed or when dependent on the sample size. In particular we prove a general central limit theorem. Several applications and examples are given including semiparametric Whittle estimation, local least squares estimation and spectral density estimation.

Keywords: Empirical; spectral; measure; Asymptotic; normality; Locally; stationary; processes; Nonstationary; time; series (search for similar items in EconPapers)
Date: 2009

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Persistent link: http://EconPapers.repec.org/RePEc:eee:econom:v:151:y:2009:i:2:p:101-112

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