Estimation of a nonparametric regression spectrum for multivariate time series

Jan Beran () and Mark A. Heiler
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Jan Beran: University of Konstanz

No 07-12, CoFE Discussion Paper from Center of Finance and Econometrics, University of Konstanz

Abstract: 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.

Keywords: Periodogram; cross spectrum; regression spectrum; phase; wavelets. (search for similar items in EconPapers)
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Date: 2007-12-01
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