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Title:Estimation of a nonparametric regression spectrum for multivariate time series PDF Logo
Authors:Beran, Jan
Heiler, Mark A.
Issue Date:2007
Series/Report no.:Discussion paper series // Zentrum für Finanzen und Ökonometrie, Universität Konstanz 2007,12
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.
cross spectrum
regression spectrum
Persistent Identifier of the first edition:urn:nbn:de:bsz:352-opus-116674
Document Type:Working Paper
Appears in Collections:CoFE-Diskussionspapiere, Universität Konstanz

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