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  • Search: subject:"Spectral density functions"
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Year of publication
Subject
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Cyclical data 2 Whittle estimator 2 bootstrap algorithms 2 spectral density functions 2 strong and weak dependence 2
Online availability
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Free 2
Type of publication
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Book / Working Paper 2
Language
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English 1 Undetermined 1
Author
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Dalla, Violetta 2 Hidalgo, Javier 2
Institution
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London School of Economics (LSE) 1 Suntory and Toyota International Centres for Economics and Related Disciplines, LSE 1
Published in...
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LSE Research Online Documents on Economics 1 STICERD - Econometrics Paper Series 1
Source
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RePEc 2
Showing 1 - 2 of 2
Cover Image
A parametric bootstrap test for cycles
Dalla, Violetta; Hidalgo, Javier - London School of Economics (LSE) - 2005
The paper proposes a simple test for the hypothesis of strong cycles and as a by-product a test for weak dependence for linear processes. We show that the limit distribution of the test is the maximum of a (semi)Gaussian process G(τ), τ ∈ [0; 1]. Because the covariance structure of G(τ) is a...
Persistent link: https://www.econbiz.de/10011071202
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Cover Image
A Parametric Bootstrap Test for Cycles
Dalla, Violetta; Hidalgo, Javier - Suntory and Toyota International Centres for Economics … - 2005
example. Keywords: Cyclical data; strong and weak dependence; spectral density functions; Whittle estimator; bootstrap … their correspond- ing spectral density functions captured well both the peak and the behaviour at the high frequencies of …
Persistent link: https://www.econbiz.de/10005151154
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