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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
오만숙신동완
SCOPUS Author ID
오만숙scopus; 신동완scopus
Issue Date
2002
Journal Title
Economics Letters
ISSN
0165-1765JCR Link
Citation
vol. 76, no. 2, pp. 165 - 171
Indexed
SSCI; SCOPUS scopus
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
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