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

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

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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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  1. Lluch, Constantino, 1971. "Consumer demand functions, Spain, 1958-1964," European Economic Review, Elsevier, vol. 11(3), pages 277-302.
  2. 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.
  3. 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.
  4. Barten, A. P., 1969. "Maximum likelihood estimation of a complete system of demand equations," European Economic Review, Elsevier, vol. 1(1), pages 7-73.
  5. Peter C.B. Phillips, 1985. "Asymptotic Expansions in Nonstationary Vector Autoregressions," Cowles Foundation Discussion Papers 765, Cowles Foundation for Research in Economics, Yale University.
  6. Linton, Oliver, 1995. "Second Order Approximation in the Partially Linear Regression Model," Econometrica, Econometric Society, vol. 63(5), pages 1079-1112, September.
  7. Rothenberg, Thomas J, 1984. "Approximate Normality of Generalized Least Squares Estimates," Econometrica, Econometric Society, vol. 52(4), pages 811-25, July.
  8. 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.
  9. 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.
  10. 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.
  11. 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.
  12. Robinson, P M, 1991. "Automatic Frequency Domain Inference on Semiparametric and Nonparametric Models," Econometrica, Econometric Society, vol. 59(5), pages 1329-63, September.
  13. 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.
  14. 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.
  15. Laitinen, Kenneth, 1978. "Why is demand homogeneity so often rejected?," Economics Letters, Elsevier, vol. 1(3), pages 187-191.
  16. 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.
  17. Lluch, Constantino, 1971. "Consumer demand functions, Spain, 1958-1964," European Economic Review, Elsevier, vol. 2(3), pages 277-302.
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