EconPapers    
Economics at your fingertips  
 

THE EXACT ERROR IN ESTIMATING THE SPECTRAL DENSITY AT THE ORIGIN

Serena Ng () and Pierre Perron ()

Journal of Time Series Analysis, 1996, vol. 17, issue 4, 379-408

Abstract: Abstract. This paper derives expressions for the exact bias and variance of a general class of spectral density estimators at the zero frequency, building on the work of Neave (The exact error in spectrum estimates. Ann. Math. Statist. 42 (1971), 961–75) who studied the case where the mean of the series is assumed known. These expressions are evaluated for 15 different windows and for a wide variety of stationary time series. The exact error of the estimators is found to depend on whether the sample mean has to be estimated, and some windows are noticeably inferior at certain values of the bandwidth. A response surface analysis reveals that the finite sample relationships between the bandwidth and the exact error are quite different from the ones suggested by asymptotic theory.

Date: 1996
References: Add references at CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link)
https://doi.org/10.1111/j.1467-9892.1996.tb00284.x

Related works:
Working Paper: The Exact Error in Estimating the Special Density at the Origin (1995) Downloads
Working Paper: The Exact Error in Estimating the Special Density at the Origin (1995)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:17:y:1996:i:4:p:379-408

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0143-9782

Access Statistics for this article

Journal of Time Series Analysis is currently edited by M.B. Priestley

More articles in Journal of Time Series Analysis from Wiley Blackwell
Bibliographic data for series maintained by Wiley Content Delivery ().

 
Page updated 2019-09-12
Handle: RePEc:bla:jtsera:v:17:y:1996:i:4:p:379-408