Higher-order approximations for frequency domain time series regression

Journal of Econometrics

Volumn 86, Issue 2, 1998, Pages 297-336

  Xiao, Zhijie ^a   Phillips, Peter C B ^b  

^a Department of Economics ^*  (United States)

^b YALE UNIVERSITY   (United States)

Author keywords

Data based bandwidth selection; Higher order approximation; Moment expansion; Second order efficient estimation; Semiparametric estimation; Spectral regression

Indexed keywords

EID: 0000080413     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-4076(97)00118-8     Document Type: Article

References (17)

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