Band spectral regression with trending data

Econometrica

Volumn 70, Issue 3, 2002, Pages 1067-1109

  Corbae, Dean ^a   Ouliaris, Sam ^b   Phillips, Peter C B ^c,d  

^a UNIVERSITY OF TEXAS AT AUSTIN   (United States)

^b NATIONAL UNIVERSITY OF SINGAPORE   (Singapore)

^c YALE UNIVERSITY   (United States)

^d UNIVERSITY OF AUCKLAND   (New Zealand)

Author keywords

Band spectral regression; Deterministic and stochastic trends; Discrete Fourier transform; Distributed lag; Integrated process; Leads and lags regression; Nonstationary time series; Two sided spectral BN decomposition

Indexed keywords

ASYMPTOTIC STABILITY; DISCRETE FOURIER TRANSFORMS; FREQUENCY DOMAIN ANALYSIS; FUNCTION EVALUATION; MATHEMATICAL MODELS; RANDOM PROCESSES; REGRESSION ANALYSIS; SPECTRUM ANALYSIS; TIME DOMAIN ANALYSIS; TIME SERIES ANALYSIS;

BAND SPECTRAL REGRESSION; DETERMINISTIC TRENDS; DISTRIBUTED LAG; INTEGRATED PROCESSES; LAG REGRESSION; LEADS REGRESSION; STOCHASTIC TREND; TREND REMOVAL; TWO SIDED SPECTRAL DECOMPOSITION;

ECONOMICS;

EID: 0036094414     PISSN: 00129682     EISSN: None     Source Type: Journal    
DOI: 10.1111/1468-0262.00319     Document Type: Article

References (32)

1. Testing for a unit root by frequency domain regression
2. Band spectral regression with trending data
3. Band spectrum regression
4. Partial time series regression as compared with individual trends
5. Measurement of linear dependence and feedback between multiple time series
6. Causality in the long run
7. Regression for time series
8. Regression for time series with errors of measurements
9. Central limit theorems for time series regression
10. Spectral inference over narrow bands
11. Lagged regression with unknown lags
12. The decomposition and measurement of the interdependence between second-order stationary process
13. Fully modified estimation of fractional cointegration models
14. Band spectrum regression for cointegrated time series with long memory innovations
15. Spectral regression for co-integrated time series
16. Optimal inference in cointegrated systems
17. Discrete fourier transforms of fractional processes
18. Unit root log periodogram regression
19. Statistical inference in instrumental variable regression with I(1) processes
20. Efficiency gains from quasi-differencing under nonstationarity
21. Estimating long-run economic equilibria
22. Asymptotics for linear processes
23. Automatic frequency domain inference
24. Semiparametric frequency domain analysis of fractional cointegration
25. Asymptotically efficient estimation of cointegration regressions
26. A simple estimator of cointegrating vectors in higher order integrated systems
27. Higher order approximations for frequency domain time series regression
28. Higher order approximations for wald statistics in time series regressions with integrated processes