Delgado, Miguel A.Robinson, Peter M.2009-04-012009-04-011996Statistica Sinica. 1996, vol. 6, nº 1, p. 97-1121017-0405https://hdl.handle.net/10016/2425For long range dependent time series with a spectral singularity at frequency zero, a theory for optimal bandwidth choice in non-parametric analysis of the singularity was developed by Robinson (1994a). In the present paper, the optimal bandwidths are compared with those in case of a smooth spectrum. They are also analysed in case of fractional ARIMA models and calculated as a function of the self similarity parameter in some special cases. Feasible data-dependent approximations to the optimal bandwidth are proposed. We also include some applications using real dataapplication/pdftext/plainenglong range dependecespectrumself simirality parametrisemiparametric stimationoptimal bandwidth choiceARFIMA modelsresearch articleEconomíaopen access