This chapter provides a general framework for the distribution problem and details formulae that are frequently useful in the derivation of sampling distributions and moments. It also provides an account of the genesis of the Edgeworth, Nagar, and saddlepoint approximations. The chapter...

This paper studies efficient estimation of partial linear regression in time series models. In particular, it combines two topics that have attracted a good deal of attention in econometrics, viz. spectral regression and partial linear regression, and proposes an efficient frequency domain...