Search Results - subject:"Band spectral regression"

Out-of-sample forecasting of foreign exchange rates : the band spectral regression and LASSO

Wada, Tatsuma - In: Journal of international money and finance 128 (2022), pp. 1-24

Persistent link: https://www.econbiz.de/10013438380

Estimating and Testing Multiple Structural Changes in Linear Models Using Band Spectral Regressions

Yamamoto, Yohei; Perron, Pierre - Institute of Economic Research, Hitotsubashi University - 2012

We provide methods for estimating and testing multiple structural changes occurring at unknown dates in linear models using band spectral regressions. We consider changes over time within some frequency bands, permitting the coefficients to be different across frequency bands. Using standard...

Persistent link: https://www.econbiz.de/10010614076

Estimating and testing multiple structural changes in linear models using band spectral regressions

Yamamoto, Yohei; Perron, Pierre - In: The econometrics journal 16 (2013) 3, pp. 400-429

Persistent link: https://www.econbiz.de/10010253633

Band Spectral Regression with Trending Data

Corbae, Dean; Ouliaris, Sam; Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 1997

Band spectral regression with deterministic and stochastic trends is considered. It is shown that conventional trend … removal by regression in the time domain prior to band spectral regression leads to biased and inconsistent estimates of the … spectral regression estimators and associated inferential methods are provided for models with deterministic and stochastic …

Persistent link: https://www.econbiz.de/10004990758