IDEAS home Printed from
   My bibliography  Save this article

Temporal Aggregation And The Finite Sample Performance Of Spectral Regression Estimators In Cointegrated Systems


  • Chambers, Marcus J.


No abstract is available for this item.

Suggested Citation

  • Chambers, Marcus J., 2001. "Temporal Aggregation And The Finite Sample Performance Of Spectral Regression Estimators In Cointegrated Systems," Econometric Theory, Cambridge University Press, vol. 17(03), pages 591-607, June.
  • Handle: RePEc:cup:etheor:v:17:y:2001:i:03:p:591-607_17

    Download full text from publisher

    File URL:
    File Function: link to article abstract page
    Download Restriction: no

    References listed on IDEAS

    1. Robinson, P M, 1991. "Automatic Frequency Domain Inference on Semiparametric and Nonparametric Models," Econometrica, Econometric Society, vol. 59(5), pages 1329-1363, September.
    2. P. C. B. Phillips, 1980. "Finite Sample Theory and the Distributions of Alternative Estimators of the Marginal Propensity to Consume," Review of Economic Studies, Oxford University Press, vol. 47(1), pages 183-224.
    3. Phillips, Peter C B, 1977. "Approximations to Some Finite Sample Distributions Associated with a First-Order Stochastic Difference Equation," Econometrica, Econometric Society, vol. 45(2), pages 463-485, March.
    4. Taniguchi, Masanobu, 1987. "Validity of Edgeworth expansions of minimum contrast estimators for Gaussian ARMA processes," Journal of Multivariate Analysis, Elsevier, vol. 21(1), pages 1-28, February.
    5. Robinson, P. M., 1995. "The approximate distribution of nonparametric regression estimates," Statistics & Probability Letters, Elsevier, vol. 23(2), pages 193-201, May.
    6. Daniel Janas, 1994. "Edgeworth expansions for spectral mean estimates with applications to Whittle estimates," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 46(4), pages 667-682, December.
    7. Andrew Harvey (ed.), 1994. "Time Series," Books, Edward Elgar Publishing, volume 0, number 599.
    Full references (including those not matched with items on IDEAS)


    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.

    Cited by:

    1. Chambers, MJ & McCrorie, JR & Thornton, MA, 2017. "Continuous Time Modelling Based on an Exact Discrete Time Representation," Economics Discussion Papers 20497, University of Essex, Department of Economics.

    More about this item


    Access and download statistics


    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cup:etheor:v:17:y:2001:i:03:p:591-607_17. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Keith Waters). General contact details of provider: .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.