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Determining The Bandwidth Of A Kernel Spectrum Estimate

Citations

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Cited by:

  1. Robinson, P. M., 1995. "An invariance property of optimal spectral bandwidths," Statistics & Probability Letters, Elsevier, vol. 24(4), pages 345-346, September.
  2. Luca Benati, 2008. "The "Great Moderation" in the United Kingdom," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 40(1), pages 121-147, February.
  3. Charles Kooperberg & Charles J. Stone & Young K. Truong, 1995. "Logspline Estimation Of A Possibly Mixed Spectral Distribution," Journal of Time Series Analysis, Wiley Blackwell, vol. 16(4), pages 359-388, July.
  4. C. Glocker & G. Sestieri & P. Towbin, 2017. "Time-varying fiscal spending multipliers in the UK," Working papers 643, Banque de France.
  5. Ionel Birgean & Lutz Kilian, 2002. "Data-Driven Nonparametric Spectral Density Estimators For Economic Time Series: A Monte Carlo Study," Econometric Reviews, Taylor & Francis Journals, vol. 21(4), pages 449-476.
  6. Pierre Duchesne, 2005. "Testing for serial correlation of unknown form in cointegrated time series models," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 57(3), pages 575-595, September.
  7. Luca Benati, 2003. "Evolving Post-World War II U.K. Economic Performance," Computing in Economics and Finance 2003 171, Society for Computational Economics.
  8. Cleiton Guollo Taufemback, 2023. "Non‐parametric short‐ and long‐run Granger causality testing in the frequency domain," Journal of Time Series Analysis, Wiley Blackwell, vol. 44(1), pages 69-92, January.
  9. Dette, Holger & Paroditis, Efstathios, 2007. "Testing equality of spectral densities," Technical Reports 2007,29, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
  10. Duchesne, Pierre & Li, Linyuan & Vandermeerschen, Jill, 2010. "On testing for serial correlation of unknown form using wavelet thresholding," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2512-2531, November.
  11. Ke Zhu, 2016. "Bootstrapping the portmanteau tests in weak auto-regressive moving average models," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 78(2), pages 463-485, March.
  12. Baumeister, Christiane & Benati, Luca, 2010. "Unconventional monetary policy and the great recession - Estimating the impact of a compression in the yield spread at the zero lower bound," Working Paper Series 1258, European Central Bank.
  13. Horváth, Lajos & Rice, Gregory & Whipple, Stephen, 2016. "Adaptive bandwidth selection in the long run covariance estimator of functional time series," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 676-693.
  14. Luca Benati & Peter N. Ireland, 2017. "Money-Multiplier Shocks," Boston College Working Papers in Economics 933, Boston College Department of Economics.
  15. Shin, Dong Wan & Oh, Man-Suk, 2004. "Fully modified semiparametric GLS estimation for regressions with nonstationary seasonal regressors," Journal of Econometrics, Elsevier, vol. 122(2), pages 247-280, October.
  16. Michael Eichler, 2007. "A Frequency-domain Based Test for Non-correlation between Stationary Time Series," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 65(2), pages 133-157, February.
  17. Leucht, Anne & Paparoditis, Efstathios & Rademacher, Daniel & Sapatinas, Theofanis, 2022. "Testing equality of spectral density operators for functional processes," Journal of Multivariate Analysis, Elsevier, vol. 189(C).
  18. Sourav Das & Suhasini Subba Rao & Junho Yang, 2021. "Spectral methods for small sample time series: A complete periodogram approach," Journal of Time Series Analysis, Wiley Blackwell, vol. 42(5-6), pages 597-621, September.
  19. Benati, Luca, 2011. "Would the Bundesbank have prevented the Great Inflation in the United States?," Journal of Economic Dynamics and Control, Elsevier, vol. 35(7), pages 1106-1125, July.
  20. Jentsch, Carsten & Subba Rao, Suhasini, 2015. "A test for second order stationarity of a multivariate time series," Journal of Econometrics, Elsevier, vol. 185(1), pages 124-161.
  21. Fajardo, Fabio Alexander, 2011. "Some Alternatives for Robust Estimation of the Spectrum in Stationary Processes," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 31(1), March.
  22. Benati, Luca & Mumtaz, Haroon, 2007. "U.S. evolving macroeconomic dynamics: a structural investigation," Working Paper Series 746, European Central Bank.
  23. Christiane Baumeister & Luca Benati, 2013. "Unconventional Monetary Policy and the Great Recession: Estimating the Macroeconomic Effects of a Spread Compression at the Zero Lower Bound," International Journal of Central Banking, International Journal of Central Banking, vol. 9(2), pages 165-212, June.
  24. C. Jentsch & J.-P. Kreiss & P. Mantalos & E. Paparoditis, 2012. "Hybrid bootstrap aided unit root testing," Computational Statistics, Springer, vol. 27(4), pages 779-797, December.
  25. Benati, Luca, 2009. "Long run evidence on money growth and inflation," Working Paper Series 1027, European Central Bank.
  26. Yasumasa Matsuda & Yoshihiro Yajima, 2004. "On testing for separable correlations of multivariate time series," Journal of Time Series Analysis, Wiley Blackwell, vol. 25(4), pages 501-528, July.
  27. Sundararajan, Raanju R., 2021. "Principal component analysis using frequency components of multivariate time series," Computational Statistics & Data Analysis, Elsevier, vol. 157(C).
  28. Charles Kooperberg & Charles J. Stone & Young K. Truong, 1995. "Rate Of Convergence For Logspline Spectral Density Estimation," Journal of Time Series Analysis, Wiley Blackwell, vol. 16(4), pages 389-401, July.
  29. repec:cte:wsrepe:4556 is not listed on IDEAS
  30. Benati, Luca & Goodhart, Charles, 2008. "Investigating time-variation in the marginal predictive power of the yield spread," Journal of Economic Dynamics and Control, Elsevier, vol. 32(4), pages 1236-1272, April.
  31. Ferreira, Eva, 1998. "Using M-type smoothing splines to estimate the spectral density of a stationary time series," Statistics & Probability Letters, Elsevier, vol. 38(2), pages 197-205, June.
  32. Benati, Luca, 2014. "Do TFP and the relative price of investment share a common I(1) component?," Journal of Economic Dynamics and Control, Elsevier, vol. 45(C), pages 239-261.
  33. Luca Benati, 2018. "Money and Credit: A Long-Term View," Diskussionsschriften dp1811, Universitaet Bern, Departement Volkswirtschaft.
  34. Magnus Reif, 2020. "Macroeconomics, Nonlinearities, and the Business Cycle," ifo Beiträge zur Wirtschaftsforschung, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, number 87.
  35. Gregoir, Stephane, 2006. "Efficient tests for the presence of a pair of complex conjugate unit roots in real time series," Journal of Econometrics, Elsevier, vol. 130(1), pages 45-100, January.
  36. Efstathios Paparoditis, 2005. "Testing the Fit of a Vector Autoregressive Moving Average Model," Journal of Time Series Analysis, Wiley Blackwell, vol. 26(4), pages 543-568, July.
  37. Zhihao Xu & Clifford M. Hurvich, 2021. "A Unified Frequency Domain Cross-Validatory Approach to HAC Standard Error Estimation," Papers 2108.06093, arXiv.org, revised Jun 2023.
  38. Luca Benati & Paolo Surico, 2006. "The Great Moderation and the ‘Bernanke Conjecture’," Computing in Economics and Finance 2006 158, Society for Computational Economics.
  39. Dette, Holger & Paparoditis, Efstathios, 2008. "Bootstrapping frequency domain tests in multivariate time series with an application to comparing spectral densities," Technical Reports 2008,28, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
  40. Wright, Jonathan H., 1999. "Frequency domain inference for univariate impulse responses," Economics Letters, Elsevier, vol. 63(3), pages 269-277, June.
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