Corbae, Dean; Ouliaris, Sam; Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 1997
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 band spectral regression leads to biased and inconsistent estimates of the … theory is developed and the two cases of stationary data and cointegrated nonstationary data are compared. Efficient band …