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A reexamination of the consumption function using frequency domain regressions

Corbae, Dean; Ouliaris, Sam; Phillips, Peter C. B. - 1991

Persistent link: https://www.econbiz.de/10000828946

Testing for cointegration using principal component methods

Phillips, Peter C. B.; Ouliaris, Sam - 1987

Persistent link: https://www.econbiz.de/10000740642

Asymptotic properties of residual based tests for cointegration

Phillips, Peter C. B. - In: Econometrica : journal of the Econometric Society, an … 58 (1990) 1, pp. 165-193

Persistent link: https://www.econbiz.de/10001084872

A reexamination of the consumption function using frequency domain regressions

Corbae, Dean - In: Empirical economics : a journal of the Institute for … 19 (1994) 4, pp. 595-609

Persistent link: https://www.econbiz.de/10001175474

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