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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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  • Xiao, Zhijie & Phillips, Peter C. B., 2002. "Higher order approximations for Wald statistics in time series regressions with integrated processes," Journal of Econometrics, Elsevier, vol. 108(1), pages 157-198, May.
    • Handle: RePEc:eee:econom:v:108:y:2002:i:1:p:157-198
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    1. Laitinen, Kenneth, 1978. "Why is demand homogeneity so often rejected?," Economics Letters, Elsevier, vol. 1(3), pages 187-191.
    2. Dean Corbae & Sam Ouliaris & Peter C. B. Phillips, 2002. "Band Spectral Regression with Trending Data," Econometrica, Econometric Society, vol. 70(3), pages 1067-1109, May.
    3. Lluch, Constantino, 1971. "Consumer demand functions, Spain, 1958-1964," European Economic Review, Elsevier, vol. 2(3), pages 277-302.
    4. BARTEN, Anton P., 1969. "Maximum likelihood estimation of a complete system of demand equations," LIDAM Reprints CORE 34, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    5. Barten, A. P., 1969. "Maximum likelihood estimation of a complete system of demand equations," European Economic Review, Elsevier, vol. 1(1), pages 7-73.
    6. 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.
    7. Phillips, P. C. B., 1987. "Asymptotic Expansions in Nonstationary Vector Autoregressions," Econometric Theory, Cambridge University Press, vol. 3(1), pages 45-68, February.
    8. Sargan, J D & Mikhail, W M, 1971. "A General Approximation to the Distribution of Instrumental Variables Estimates," Econometrica, Econometric Society, vol. 39(1), pages 131-169, January.
    9. Linton, Oliver, 1995. "Second Order Approximation in the Partially Linear Regression Model," Econometrica, Econometric Society, vol. 63(5), pages 1079-1112, September.
    10. 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.
    11. Engle, Robert F, 1974. "Band Spectrum Regression," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 15(1), pages 1-11, February.
    12. 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.
    13. Barnett,William A. & Powell,James & Tauchen,George E. (ed.), 1991. "Nonparametric and Semiparametric Methods in Econometrics and Statistics," Cambridge Books, Cambridge University Press, number 9780521370905.
    14. Robinson, P M, 1991. "Automatic Frequency Domain Inference on Semiparametric and Nonparametric Models," Econometrica, Econometric Society, vol. 59(5), pages 1329-1363, September.
    15. Corbae, Dean & Ouliaris, Sam & Phillips, Peter C B, 1994. "A Reexamination of the Consumption Function Using Frequency Domain Regressions," Empirical Economics, Springer, vol. 19(4), pages 595-609.
    16. Rothenberg, Thomas J, 1984. "Approximate Normality of Generalized Least Squares Estimates," Econometrica, Econometric Society, vol. 52(4), pages 811-825, July.
    17. Barnett,William A. & Powell,James & Tauchen,George E. (ed.), 1991. "Nonparametric and Semiparametric Methods in Econometrics and Statistics," Cambridge Books, Cambridge University Press, number 9780521424318.
    18. Corbae, Dean & Ouliaris, Sam & Phillips, Peter C B, 1994. "A Reexamination of the Consumption Function Using Frequency Domain Regressions," Empirical Economics, Springer, vol. 19(4), pages 595-609.
    19. 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 1517-1534, September.
    20. 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.
    21. Lluch, Constantino, 1971. "Consumer demand functions, Spain, 1958-1964," European Economic Review, Elsevier, vol. 11(3), pages 277-302.
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    Cited by:

    1. Phillips, Peter C.B., 2014. "Optimal estimation of cointegrated systems with irrelevant instruments," Journal of Econometrics, Elsevier, vol. 178(P2), pages 210-224.
    2. Balcombe, Kelvin, 2006. "Cross-Entropy Estimation of Linear Cointegrated Equations," MPRA Paper 15100, University Library of Munich, Germany.
    3. 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.
    4. Peter C. B. Phillips, 2003. "Laws and Limits of Econometrics," Economic Journal, Royal Economic Society, vol. 113(486), pages 26-52, March.
    5. 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.

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