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Spectral Regression for Cointegrated Time Series

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Abstract

This paper studies the use of spectral regression techniques in the context of cointegrated systems of multiple time series. Several alternatives are considered including efficient and band spectral methods as well as system and single equation techniques. It is shown that single equation spectral regressions suffer asymptotic bias and nuisance parameter problems that render these regressions impotent for inferential purposes. By contrast systems methods are shown to be covered by LAMN asymptotic theory, bringing the advantages of asymptotic media unbiasedness, scale nuisance parameters and the convenience of asymptotic chi-squared tests. System spectral methods also have advantages over full system direct maximum likelihood in that they do not require complete specification of the error processes. Instead they offer a nonparametric treatment of regression errors which avoids certain methodological problems of dynamic specification and permits additional generality in the class of error processes.

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File URL: http://cowles.econ.yale.edu/P/cd/d08b/d0872.pdf
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Bibliographic Info

Paper provided by Cowles Foundation for Research in Economics, Yale University in its series Cowles Foundation Discussion Papers with number 872.

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Length: 33 pages
Date of creation: Apr 1988
Date of revision:
Publication status: Published in William A. Barnett, James Powell and George E. Tauchen, eds., Nonparametric And Semiparametric Methods in Econometrics and Statistics: Proceedings of the Fifth International Symposium in Economic Theory and Econometrics, Cambridge University Press, 1991, pp. 413-435
Handle: RePEc:cwl:cwldpp:872

Note: CFP 796.
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Postal: Yale University, Box 208281, New Haven, CT 06520-8281 USA
Phone: (203) 432-3702
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Web page: http://cowles.econ.yale.edu/
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Postal: Cowles Foundation, Yale University, Box 208281, New Haven, CT 06520-8281 USA

Related research

Keywords: ARMA Model; co-integration; error correction; LAMN family; nonparametric; spectral regression;

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