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Higher order approximations for Wald statistics in time series regressions with integrated processes

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  • Xiao, Zhijie
  • Phillips, Peter C. B.

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 108 (2002)
Issue (Month): 1 (May)
Pages: 157-198

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Handle: RePEc:eee:econom:v:108:y:2002:i:1:p:157-198

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Web page: http://www.elsevier.com/locate/jeconom

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References

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  1. Robinson, P M, 1991. "Automatic Frequency Domain Inference on Semiparametric and Nonparametric Models," Econometrica, Econometric Society, vol. 59(5), pages 1329-63, September.
  2. R. F. Engle, 1972. "Band Spectrum Regressions," Working papers 96, Massachusetts Institute of Technology (MIT), Department of Economics.
  3. Phillips, P. C. B., 1987. "Asymptotic Expansions in Nonstationary Vector Autoregressions," Econometric Theory, Cambridge University Press, vol. 3(01), pages 45-68, February.
  4. Corbae, D. & Ouliaris, S. & Phillips, P.C.B., 1997. "Band Spectral Regression with Trending Data," Working Papers 97-09, University of Iowa, Department of Economics.
  5. Linton, Oliver, 1995. "Second Order Approximation in the Partially Linear Regression Model," Econometrica, Econometric Society, vol. 63(5), pages 1079-1112, September.
  6. Phillips, Peter C B, 1977. "A General Theorem in the Theory of Asymptotic Expansions as Approximations to the Finite Sample Distributions of Econometric Estimators," Econometrica, Econometric Society, vol. 45(6), pages 1517-34, September.
  7. Dean Corbea & Sam Ouliaris & Peter C.B. Phillips, 1991. "A Reexamination of the Consumption Function Using Frequency Domain Regressors," Cowles Foundation Discussion Papers 997, Cowles Foundation for Research in Economics, Yale University.
  8. Barten, A. P., 1969. "Maximum likelihood estimation of a complete system of demand equations," European Economic Review, Elsevier, vol. 1(1), pages 7-73.
  9. Corbae, D. & Ouliaris, S. & Phillips, P.C.B., 1991. "A Rexamination of the Consumption Function Using Frequency Domain Regressions," Working Papers 91-25, University of Iowa, Department of Economics.
  10. Rothenberg, Thomas J., 1984. "Approximating the distributions of econometric estimators and test statistics," Handbook of Econometrics, in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 2, chapter 15, pages 881-935 Elsevier.
  11. Meisner, James F., 1979. "The sad fate of the asymptotic Slutsky symmetry test for large systems," Economics Letters, Elsevier, vol. 2(3), pages 231-233.
  12. Lluch, Constantino, 1971. "Consumer demand functions, Spain, 1958-1964," European Economic Review, Elsevier, vol. 2(3), pages 277-302.
  13. Sargan, J D & Mikhail, W M, 1971. "A General Approximation to the Distribution of Instrumental Variables Estimates," Econometrica, Econometric Society, vol. 39(1), pages 131-69, January.
  14. Lluch, Constantino, 1971. "Consumer demand functions, Spain, 1958-1964," European Economic Review, Elsevier, vol. 11(3), pages 277-302.
  15. Rothenberg, Thomas J, 1984. "Approximate Normality of Generalized Least Squares Estimates," Econometrica, Econometric Society, vol. 52(4), pages 811-25, July.
  16. Bera, A. K. & Byron, R. P. & Jarque, C. M., 1981. "Further evidence on asymptotic tests for homogeneity and symmetry in large demand systems," Economics Letters, Elsevier, vol. 8(2), pages 101-105.
  17. Xiao, Zhijie & Phillips, Peter C. B., 1998. "Higher-order approximations for frequency domain time series regression," Journal of Econometrics, Elsevier, vol. 86(2), pages 297-336, June.
  18. Laitinen, Kenneth, 1978. "Why is demand homogeneity so often rejected?," Economics Letters, Elsevier, vol. 1(3), pages 187-191.
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Cited by:
  1. Javier Hidalgo & Peter M. Robinson, 2002. "Adapting to Unknown Disturbance Autocorrelation in Regression with Long Memory," Econometrica, Econometric Society, vol. 70(4), pages 1545-1581, July.
  2. Peter C. B. Phillips, 2006. "Optimal Estimation of Cointegrated Systems with Irrelevant Instruments," Cowles Foundation Discussion Papers 1547, Cowles Foundation for Research in Economics, Yale University.
  3. Balcombe, Kelvin, 2006. "Cross-Entropy Estimation of Linear Cointegrated Equations," MPRA Paper 15100, University Library of Munich, Germany.
  4. Tamaki, Kenichiro, 2007. "Second order optimality for estimators in time series regression models," Journal of Multivariate Analysis, Elsevier, vol. 98(3), pages 638-659, March.
  5. Jaesun Noh & Tae-Hwan Kim, 2006. "Forecasting volatility of futures market: the S&P 500 and FTSE 100 futures using high frequency returns and implied volatility," Applied Economics, Taylor & Francis Journals, vol. 38(4), pages 395-413.
  6. Peter C.B. Phillips, 2003. "Laws and Limits of Econometrics," Cowles Foundation Discussion Papers 1397, Cowles Foundation for Research in Economics, Yale University.

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