Band Spectrum Regression

DOI10.2307/2526084MaRDI QIDQ4768512zbMATH OpenOpenAlexFDO

Authors Robert F. Engle

Publication date 1974

Published in International Economic Review (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/2526084

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15) Applications of statistics to economics (62P20) Economic time series analysis (91B84)

Cited in

(29)

• Multivariate modelling of long memory processes with common components
• A general analysis of bias in the estimated standard errors of least squares coefficients
• On the errors-in-variables problem for time series
• Seasonality in dynamic regression models. A comparative study of finite sample properties of various regression estimators including band spectrum regression
• A comparative study of finite sample properties of band spectrum regression estimators
• The construction and estimation of continuous time models and discrete approximations in econometrics
• Low-pass filtered least squares estimators of cointegrating vectors
• Higher-order approximations for frequency domain time series regression
• Higher order approximations for Wald statistics in time series regressions with integrated processes.
• Nowcasting real GDP for Saudi Arabia
• Time series analysis of covariance based on linear transfer function models
• Discussion on: ``Identification of ARX and ARARX models in the presence of input and output noises
• Productivity and unemployment: a scale-by-scale panel data analysis for the G7 countries
• Trimmed Whittle estimation of the SVAR vs. filtering low-frequency fluctuations: applications to technology shocks
• Regresion espectral sesgada
• Fourier analysis of irregularly spaced data on R^d
• Frequency Dependence in Regression Model Coefficients: An Alternative Approach for Modeling Nonlinear Dynamic Relationships in Time Series
• ASYMPTOTIC THEORY FOR SPECTRAL DENSITY ESTIMATES OF GENERAL MULTIVARIATE TIME SERIES
• SPECTRAL FINANCIAL ECONOMETRICS
• Medium band least squares estimation of fractional cointegration in the presence of low-frequency contamination
• Early warning signals of financial stress: a ``wavelet-based composite indicators approach
• A SMOOTHING METHOD THAT LOOKS LIKE THE HODRICK–PRESCOTT FILTER
• Some empirical evidence on the `discouraged worker' effect
• Semiparametric fractional cointegration analysis
• Generalized spectral estimation of the consumption-based asset pricing model
• Inflation dynamics in the frequency domain
• High-dimensional IV cointegration estimation and inference
• Timescale methods in economics: wavelet analysis of business cycle fluctuations
• Parameter Estimation Robust to Low-Frequency Contamination

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