Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/32174 
Year of Publication: 
2007
Series/Report no.: 
CoFE Discussion Paper No. 07/12
Publisher: 
University of Konstanz, Center of Finance and Econometrics (CoFE), 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.
Subjects: 
Periodogram
cross spectrum
regression spectrum
phase
wavelets
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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