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Exact Maximum Likelihood Methods for Dynamic Regressions and Band Spectrum Regressions

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  • Engle, Robert F

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  • Engle, Robert F, 1980. "Exact Maximum Likelihood Methods for Dynamic Regressions and Band Spectrum Regressions," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 21(2), pages 391-407, June.
    • Handle: RePEc:ier:iecrev:v:21:y:1980:i:2:p:391-407
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    Cited by:

    1. Feng Zhu, 2016. "Understanding the changing equilibrium real interest rates in Asia-Pacific," BIS Working Papers 567, Bank for International Settlements.
    2. Svend Hylleberg, 2006. "Seasonal Adjustment," Economics Working Papers 2006-04, Department of Economics and Business Economics, Aarhus University.
    3. Jeremy Berkowitz, "undated". "Generalized Spectral Estimation," Finance and Economics Discussion Series 1996-37, Board of Governors of the Federal Reserve System (U.S.), revised 10 Dec 2019.
    4. Robert F. Engle, 1980. "Hypothesis Testing in Spectral Regression; the Lagrange Multiplier Test as a Regression Diagnostic," NBER Chapters, in: Evaluation of Econometric Models, pages 309-321, National Bureau of Economic Research, Inc.
    5. Feng Zhu, 2005. "The fragility of the Phillips curve: A bumpy ride in the frequency domain," BIS Working Papers 183, Bank for International Settlements.
    6. Kemme, David M. & McInish, Thomas H. & Zhang, Jiang, 2022. "Market fairness and efficiency: Evidence from the Tokyo Stock Exchange," Journal of Banking & Finance, Elsevier, vol. 134(C).
    7. Jeremy Berkowitz, 1996. "Generalized spectral estimation," Finance and Economics Discussion Series 96-37, Board of Governors of the Federal Reserve System (U.S.).
    8. Berkowitz, Jeremy, 2001. "Generalized spectral estimation of the consumption-based asset pricing model," Journal of Econometrics, Elsevier, vol. 104(2), pages 269-288, September.
    9. Petar Kurecic & Filip Kokotovic, 2017. "Examining the "Natural Resource Curse" and the Impact of Various Forms of Capital in Small Tourism and Natural Resource-Dependent Economies," Economies, MDPI, vol. 5(1), pages 1-24, February.
    10. Peter C.B. Phillips & In Choi, 1989. "Testing for a Unit Root by Generalized Least Squares Methods in the Time and Frequency Domains," Cowles Foundation Discussion Papers CFP 899, Cowles Foundation for Research in Economics, Yale University.
    11. Frank Schorfheide & Francis X. Diebold & Marco Del Negro, 2008. "Priors from Frequency-Domain Dummy Observations," 2008 Meeting Papers 310, Society for Economic Dynamics.

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