Edgeworth expansions for spectral density estimates and studentized sample mean

Peter M. Robinson and Carlos Velasco

LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library

Abstract: We establish valid Edgeworth expansions for the distribution of smoothed nonparametric spectral estimates, and of studentized versions of linear statistics such as the same mean, where the studentization employs such a nonparametric spectral estimate. Particular attention is paid to the spectral estimate at zero frequency and, correspondingly, the studentized sample mean, to reflect econometric interest in autocorrelation-consistent or long-run variance estimation. Our main focus is on stationary Gaussian series, though we discuss relaxation of the Gaussianity assumption. Only smoothness conditions on the spectral density that are local to the frequency of interest are imposed. We deduce empirical expansions from our Edgeworth expansions designed to improve on the normal approximation in practice, and also a feasible rule of bandwidth choice.

Keywords: Edgeworth expansions; nonparametric spectral estimates; stationary Gaussian series; studentized sample mean; bandwidth choice. (search for similar items in EconPapers)
JEL-codes: C22 (search for similar items in EconPapers)
Pages: 37 pages
Date: 2000-05
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Downloads: (external link)
http://eprints.lse.ac.uk/2148/ Open access version. (application/pdf)

Related works:
Journal Article: EDGEWORTH EXPANSIONS FOR SPECTRAL DENSITY ESTIMATES AND STUDENTIZED SAMPLE MEAN (2001)
Working Paper: Edgeworth expansions for spectral density estimates and studentized sample mean (2001)
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Persistent link: https://EconPapers.repec.org/RePEc:ehl:lserod:2148

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