Search Results - subject:"Spectral regression"

Frequency Dependence in Regression Model Coefficients: An Alternative Approach for Modeling Nonlinear Dynamic Relationships in Time Series

Richard A. Ashley.; Verbrugge, Randall J. - Department of Economics, Virginia Polytechnic Institute … - 2006

results from spectral regression approaches to the modeling of frequency de- pendent coefficients – e.g., Hannan (1963), Engle … this kind of frequency dependence can be more gracefully examined using ideas based on the spectral regression literature …-sided transformations. Nevertheless, the Engle (1974) spectral regression framework is a good place to begin the exposition. In Engle …

Persistent link: https://www.econbiz.de/10005704245

Money Growth, Output Gaps and Inflation at Low and High Frequency: Spectral Estimates for Switzerland

Assenmacher, Katrin; Gerlach, Stefan - Schweizerische Nationalbank (SNB) - 2006

While monetary targeting has become increasingly rare, many central banks attach weight to money growth in setting interest rates. This raises the issue of how money can be combined with other variables, in particular the output gap, when analysing inflation. The Swiss National Bank emphasises...

Persistent link: https://www.econbiz.de/10008925001

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

The fragility of the Phillips curve: A bumpy ride in the frequency domain

Zhu, Feng - Bank for International Settlements (BIS) - 2005

We provide a robustness check of the US Phillips curve in the frequency domain. We design frequency-specific coeffcients of correlation (FSCC) and regression (FSCR), based on our frequency-specific data extraction procedure. Being real-valued, signed and normalised, the FSCC is superior to...

Persistent link: https://www.econbiz.de/10005063338

Efficient Regression in Time Series Partial Linear Models

Phillips, Peter C.B.; Guo, Binbin; Xiao, Zhijie - Cowles Foundation for Research in Economics, Yale University - 2002

two topics that have attracted a good deal of attention in econometrics, viz. spectral regression and partial linear …

Persistent link: https://www.econbiz.de/10005593565

Frequency Dependence in Regression Model Coefficients: An Alternative Approach for Modeling Nonlinear Dynamic Relationships in Time Series

Ashley, Richard; Verbrugge, Randal - In: Econometric Reviews 28 (2009) 1-3, pp. 4-20

This article proposes a new class of nonlinear time series models in which one of the coefficients of an existing regression model is frequency dependent—that is, the relationship between the dependent variable and this explanatory variable varies across its frequency components. We show that...

Persistent link: https://www.econbiz.de/10005644426

Monetary Factors and Inflation in Japan

Assenmacher-Wesche, Katrin; Gerlach, Stefan; Sekine, … - C.E.P.R. Discussion Papers - 2008

Recently, the Bank of Japan outlined a “two perspectives” approach to the conduct of monetary policy that focuses on risks to price stability over different time horizons. Interpreting this as pertaining to different frequency bands, we use band spectrum regression to study the determination...

Persistent link: https://www.econbiz.de/10005124362

Fractional Monetary Dynamics

Barkoulas, John; Baum, Christopher F.; Caglayan, Mustafa - Department of Economics, Boston College - 1998

. Using the spectral regression method, we find evidence of a fractional exponent in the differencing process of the monetary …

Persistent link: https://www.econbiz.de/10005027827

Waves and Persistence in Merger and Acquisition Activity

Barkoulas, John T.; Baum, Christopher F.; Chakraborty, … - Department of Economics, Boston College - 1997

Does merger and acquisition (M&A) activity occur in waves, that is, are there oscillations between low and high levels of M&A activity? The answer to this question is important in developing univariate as well as structural models of explaining and forecasting the stochastic behavior of M&A...

Persistent link: https://www.econbiz.de/10004968823

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