Second order optimality for estimators in time series regression models
نویسندگان
چکیده
منابع مشابه
Second order optimality for estimators in time series regression models
We consider the second order asymptotic properties of an efficient frequency domain regression coefficient estimator β̂ proposed by Hannan [4]. This estimator is a semiparametric estimator based on nonparametric spectral estimators. We derive the second order Edgeworth expansion of the distribution of β̂. Then it is shown that the second order asymptotic properties are independent of the bandwidt...
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ژورنال
عنوان ژورنال: Journal of Multivariate Analysis
سال: 2007
ISSN: 0047-259X
DOI: 10.1016/j.jmva.2006.03.003