EconPapers    
Economics at your fingertips  
 

The Local Bootstrap for Periodogram Statistics

Efstathios Paparoditis and Dimitris N. Politis

Journal of Time Series Analysis, 1999, vol. 20, issue 2, 193-222

Abstract: A bootstrap procedure for the periodogram of a weakly dependent stationary sequence is proposed. The method works by locally resampling the periodogram ordinates and does not require estimation of the spectral density and of frequency domain residuals obtained by means of initial smoothing. Asymptotic properties of the proposed bootstrap procedure are studied and consistency is proved for interesting classes of statistics including ratio statistics, kernel estimates of the spectral density and parameter estimates. Some practical aspects concerning the implementation of the method are also discussed.

Date: 1999
References: Add references at CitEc
Citations: View citations in EconPapers (14)

Downloads: (external link)
https://doi.org/10.1111/1467-9892.00133

Related works:
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:20:y:1999:i:2:p:193-222

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 2025-03-19
Handle: RePEc:bla:jtsera:v:20:y:1999:i:2:p:193-222