Corbae, Dean; Ouliaris, Sam; Phillips, Peter C. B. - In: Econometrica 70 (2002) 3, pp. 1067-1109
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...