Band Spectral Regression with Trending Data
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References listed on IDEAS
- Peter C. B. Phillips & Bruce E. Hansen, 1990. "Statistical Inference in Instrumental Variables Regression with I(1) Processes," Review of Economic Studies, Oxford University Press, vol. 57(1), pages 99-125.
- Peter C.B. Phillips & Chin Chin Lee, 1996. "Efficiency Gains from Quasi-Differencing Under Nonstationarity," Cowles Foundation Discussion Papers 1134, Cowles Foundation for Research in Economics, Yale University.
- Peter C.B. Phillips, 1988. "Spectral Regression for Cointegrated Time Series," Cowles Foundation Discussion Papers 872, Cowles Foundation for Research in Economics, Yale University.
- Peter C.B. Phillips & Victor Solo, 1989. "Asymptotics for Linear Processes," Cowles Foundation Discussion Papers 932, Cowles Foundation for Research in Economics, Yale University.
- Durlauf, Steven N & Phillips, Peter C B, 1988.
"Trends versus Random Walks in Time Series Analysis,"
Econometric Society, pages 1333-1354.
- Steven N. Durlauf & Peter C.B. Phillips, 1986. "Trends Versus Random Walks in Time Series Analysis," Cowles Foundation Discussion Papers 788, Cowles Foundation for Research in Economics, Yale University.
- 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.
More about this item
KeywordsSTATISTICS ; ECONOMETRICS;
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
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