EconStor >
Institute for Fiscal Studies (IFS), London >
cemmap working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (IFS) >

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10419/64724
  

Full metadata record

DC FieldValueLanguage
dc.contributor.authorVogt, Michaelen_US
dc.contributor.authorLinton, Oliveren_US
dc.date.accessioned2012-09-12en_US
dc.date.accessioned2012-10-16T13:08:35Z-
dc.date.available2012-10-16T13:08:35Z-
dc.date.issued2012en_US
dc.identifier.pidoi:10.1920/wp.cem.2012.2312en_US
dc.identifier.urihttp://hdl.handle.net/10419/64724-
dc.description.abstractIn this paper, we study a nonparametric regression model including a periodic component, a smooth trend function, and a stochastic error term. We propose a procedure to estimate the unknown period and the function values of the periodic component as well as the nonparametric trend function. The theoretical part of the paper establishes the asymptotic properties of our estimators. In particular, we show that our estimator of the period is consistent. In addition, we derive the convergence rates as well as the limiting distributions of our estimators of the periodic component and the trend function. The asymptotic results are complemented with a simulation study that investigates the small sample behaviour of our procedure. Finally, we illustrate our method by applying it to a series of global temperature anomalies.en_US
dc.language.isoengen_US
dc.publisherCentre for Microdata Methods and Practice (cemmap) Londonen_US
dc.relation.ispartofseriescemmap working paper CWP23/12en_US
dc.subject.ddc330en_US
dc.subject.keywordnonparametric estimationen_US
dc.subject.keywordpenalized least squaresen_US
dc.subject.keywordperiodic sequenceen_US
dc.subject.keywordtemperature anomaly dataen_US
dc.titleNonparametric estimation of a periodic sequence in the presence of a smooth trenden_US
dc.typeWorking Paperen_US
dc.identifier.ppn725566566en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
Appears in Collections:cemmap working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (IFS)

Files in This Item:
File Description SizeFormat
725566566.pdf502.37 kBAdobe PDF
No. of Downloads: Counter Stats
Show simple item record
Download bibliographical data as: BibTeX

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.