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Band spectral regression with trending data

Corbae, Dean; Ouliaris, Sam; Phillips, Peter C. B. - In: Econometrica : journal of the Econometric Society, an … 70 (2002) 3, pp. 1067-1109

Persistent link: https://www.econbiz.de/10001688017

Band Spectral Regression with Trending Data

Corbae, Dean; Ouliaris, Sam; Phillips, Peter C. B. - 2002

Band spectral regression with both deterministic and stochastic trends is considered. It is shown that trend removal by regression in the time domain prior to band spectral regression can lead to biased and inconsistent estimates in models with frequency dependent coefficients. Both...

Persistent link: https://www.econbiz.de/10014116199

HAC estimation by automated regression

Phillips, Peter C. B. - In: Econometric theory 21 (2005) 1, pp. 116-142

Persistent link: https://www.econbiz.de/10002674646

Unit root log periodogram regression

Phillips, Peter C. B. - In: Journal of econometrics 138 (2007) 1, pp. 104-124

Persistent link: https://www.econbiz.de/10003451744

Regression with slowly varying regressors and nonlinear trends

Phillips, Peter C. B. - In: Econometric theory 23 (2007) 4, pp. 557-614

Persistent link: https://www.econbiz.de/10003549567

Inference in near singular regression

Phillips, Peter C. B. - 2015

Persistent link: https://www.econbiz.de/10011312307

Pitfalls and possibilities in predictive regression

Phillips, Peter C. B. - 2015

Persistent link: https://www.econbiz.de/10011312325

Halbert White jr. Memorial JFEC Lecture : pitfalls and possibilities in predictive regression

Phillips, Peter C. B. - In: Journal of financial econometrics : official journal of … 13 (2015) 3, pp. 521-555

Persistent link: https://www.econbiz.de/10011339279

Pooled log periodogram regression

Shimotsu, Katsumi; Phillips, Peter C. B. - 2000

Persistent link: https://www.econbiz.de/10001499557

Nonstationary panel data analysis : an overview of some recent developments

Phillips, Peter C. B.; Moon, Hyungsik Roger - In: Econometric reviews 19 (2000) 3, pp. 263-286

Persistent link: https://www.econbiz.de/10001508266

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