AUTOMATIC FREQUENCY DOMAIN INFERENCE ON SEMIPARAMETRIC AND NONPARAMETRIC MODELS
AUTOMATIC FREQUENCY DOMAIN INFERENCE ON SEMIPARAMETRIC AND NONPARAMETRIC MODELS
复制标题
半参数和非参数模型的自动频域推理
DOI：
10.2307/2938370
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发表时间：
1991
期刊：
影响因子：
6.1
通讯作者：
P. Robinson
中科院分区：
文献类型：
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作者：
P. Robinson
作者考虑了频域时间序列分析，其中非参数频谱估计中的平滑是依赖于数据的。建立频谱估计的均匀收敛并将其应用于半参数模型，该模型可能仅在频率子集上进行参数化，其中扰动具有非参数自相关。最佳仪器取决于扰动谱和频率响应函数，这在不完整系统中是非参数的。作者证明了可行的、最优的参数估计。一般而言，允许平滑程度取决于数据。作者证明了自动平滑交叉验证方法的一致性，并将其应用于半参数模型。计量经济学会版权所有 1991。
The author considers frequency domain time series analysis, where smoothing in nonparametric spectrum estimation is data-dependent. Uniform convergence of spectrum estimates is established and applied to a semiparametric model, parameterized over possibly only a subset of the frequencies, in which disturbances have nonparametric autocorrelation. Optimal instruments depend on the disturbance spectrum and frequency response function, which is nonparametric in incomplete systems. The author justifies feasible, optimal parameter estimates. The degree of smoothing is allowed to depend on the data in a general way. The author proves consistency of a cross-validation method of automatic smoothing and applies it to a semiparametric model. Copyright 1991 by The Econometric Society.