Finite-sample posterior accuracy of local Whittle likelihoods in time-varying AR models is assessed; all three bias corrections help, with dynamic Whittle slightly ahead of block Whittle.
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Spectral domain likelihoods for Bayesian inference in time-varying parameter models
Finite-sample posterior accuracy of local Whittle likelihoods in time-varying AR models is assessed; all three bias corrections help, with dynamic Whittle slightly ahead of block Whittle.