Band Spectral Regression with Trending Data.

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 bank spectral regression leads to biased and inconsistent estimates of the parameters in a model with frequency dependent coefficients. Time domain and frequency domain procedures for dealing with this problem are examined.

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Year of publication:	1997
Authors:	Corbae, D. ; Ouliaris, S. ; Phillips, P.C.B.
Institutions:	Department of Economics, Tippie College of Business
Subject:	STATISTICS \| ECONOMETRICS

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Series:	Working Papers.
Type of publication:	Book / Working Paper
Notes:	46 pages
Classification:	C1 - Econometric and Statistical Methods: General
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005566223