NL repository
menu
검색
Library
Browse
Communities & Collections
By Date
Authors
Titles
Subject
My Repository
My Account
Receive email updates
Edit Profile
DSpace at EWHA
자연과학대학
통계학전공
Journal papers
View : 725 Download: 0
A new kernel for long-run variance estimates in seasonal time series models
Title
A new kernel for long-run variance estimates in seasonal time series models
Authors
Shin D.W.
;
Oh M.-S.
Ewha Authors
오만숙
;
신동완
SCOPUS Author ID
오만숙
; 신동완
Issue Date
2002
Journal Title
Economics Letters
ISSN
0165-1765
Citation
Economics Letters vol. 76, no. 2, pp. 165 - 171
Indexed
SSCI; SCOPUS
Document Type
Article
Abstract
A new kernel for estimating long-run variances of stationary seasonal time series is proposed. The proposed kernel has an oscillating pattern which is in harmony with that of the autocovariance functions of seasonal time series. A Monte-Carlo experiment shows that the estimator based on the proposed kernel outperforms estimators based on existing kernels such as the Bartlett kernel, Parzen kernel, and Turkey-Hanning kernel for two typical monthly time series processes with moderate autocorrelations. © 2002 Elsevier Science B.V. All rights reserved.
DOI
10.1016/S0165-1765(02)00048-4
Appears in Collections:
자연과학대학
>
통계학전공
>
Journal papers
Files in This Item:
There are no files associated with this item.
Export
RIS (EndNote)
XLS (Excel)
XML
Show full item record
Find@EWHA
트윗하기
BROWSE
Communities & Collections
By Date
Authors
Titles
Subject