Band Spectral Regression with Trending Data
Year of publication: |
1997-09
|
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Authors: | Corbae, Dean ; Ouliaris, Sam ; Phillips, Peter C.B. |
Institutions: | Cowles Foundation for Research in Economics, Yale University |
Subject: | Band spectral regression | deterministic and stochastic trends | nonstationary time series | integrated process | present value model of stock prices |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | CFDP 1039. Published in Econometrica (May 2002), 70(3): 57-93 The price is None Number 1163 46 pages |
Classification: | C32 - Time-Series Models ; G12 - Asset Pricing |
Source: |
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