On the errors-in-variables problem for time series
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References listed on IDEAS
- Robinson, P M, 1987. "Asymptotically Efficient Estimation in the Presence of Heteroskedasticity of Unknown Form," Econometrica, Econometric Society, vol. 55(4), pages 875-891, July.
- Andrews, Donald W. K., 1988. "Chi-square diagnostic tests for econometric models : Introduction and applications," Journal of Econometrics, Elsevier, pages 135-156.
- Andrews, Donald W K, 1988. "Chi-Square Diagnostic Tests for Econometric Models: Theory," Econometrica, Econometric Society, vol. 56(6), pages 1419-1453, November.
- Pollard, David, 1985. "New Ways to Prove Central Limit Theorems," Econometric Theory, Cambridge University Press, vol. 1(03), pages 295-313, December.
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- Robinson, P.M. & Iacone, F., 2005.
"Cointegration in fractional systems with deterministic trends,"
Journal of Econometrics,
Elsevier, pages 263-298.
- Iacone, Fabrizio & Robinson, Peter M., 2004. "Cointegration in fractional systems with deterministic trends," LSE Research Online Documents on Economics 2232, London School of Economics and Political Science, LSE Library.
- Fabrizio Iacone & Peter M Robinson, 2004. "Cointegration in Fractional Systems with Deterministic Trends," STICERD - Econometrics Paper Series 476, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Kalnina, Ilze & Linton, Oliver, 2008. "Estimating quadratic variation consistently in the presence of endogenous and diurnal measurement error," Journal of Econometrics, Elsevier, pages 47-59.
- Chanda, Kamal C., 1999. "Bahadur-Kiefer representations for GM-estimators in linear Markov models with errors in variables," Statistics & Probability Letters, Elsevier, pages 401-408.
- Peter M Robinson & Carlos Velasco, 2000. "Whittle Pseudo-Maximum Likelihood Estimation for Nonstationary Time Series - (Now published in Journal of the American Statistical Association, 95, (2000), pp.1229-1243.)," STICERD - Econometrics Paper Series 391, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Velasco, Carlos, 1999.
"Non-stationary log-periodogram regression,"
Journal of Econometrics,
Elsevier, pages 325-371.
- Velasco Gómez, Carlos, 1998. "Non-stationary log-periodogram regression," DES - Working Papers. Statistics and Econometrics. WS 4554, Universidad Carlos III de Madrid. Departamento de Estadística.
- Velasco, Carlos, 2000.
"Non-Gaussian Log-Periodogram Regression,"
Cambridge University Press, pages 44-79.
- Velasco Gómez, Carlos, 1998. "Non-Gaussian log-periodogram regression," DES - Working Papers. Statistics and Econometrics. WS 4553, Universidad Carlos III de Madrid. Departamento de Estadística.
- repec:sbe:breart:v:16:y:1996:i:1:a:2878 is not listed on IDEAS
- Robinson, Peter M. & Velasco, Carlos, 2000. "Whittle pseudo-maximum likelihood estimation for nonstationary time series," LSE Research Online Documents on Economics 2273, London School of Economics and Political Science, LSE Library.
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Keywordserrors-in-variables frequency domain regression tapers seasonality trend;
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