Beggs, John J. - In: Econometric Theory 2 (1986) 03, pp. 331-349
This article proposes the use of spectral methods to pool cross-sectional replications (<italic>N</italic>) of time series data (<italic>T</italic>) for time series analysis. Spectral representations readily suggest a weighting scheme to pool the data. The asymptotically desirable properties of the resulting estimators seem to...