Higher-order approximations for frequency domain time series regression
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Publication:1305643
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Cites work
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- scientific article; zbMATH DE number 3332973 (Why is no real title available?)
- scientific article; zbMATH DE number 3335601 (Why is no real title available?)
- A General Approximation to the Distribution of Instrumental Variables Estimates
- Approximate Normality of Generalized Least Squares Estimates
- Approximations to Some Finite Sample Distributions Associated with a First-Order Stochastic Difference Equation
- Asymptotically Efficient Estimation in the Presence of Heteroskedasticity of Unknown Form
- Band Spectrum Regression
- Best Nonlinear Three-Stage Least Squares Estimation of Certain Econometric Models
- Econometric Estimators and the Edgeworth Approximation
- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
- Non-linear time series regression
- Regression for time series with errors of measurement
- Second Order Approximation in the Partially Linear Regression Model
- Second order approximation in a linear regression with heteroskedasticity of unknown form
Cited in
(13)- Edgeworth approximations for semiparametric instrumental variable estimators and test statis\-tics.
- Higher order approximations for Wald statistics in time series regressions with integrated processes.
- Estimation of spectral density for seasonal time series models
- Robust inference of panel data models with interactive fixed effects under long memory: a frequency domain approach
- Saddlepoint approximations for short and long memory time series: a frequency domain approach
- Optimal estimation of cointegrated systems with irrelevant instruments
- SPECTRAL FINANCIAL ECONOMETRICS
- Long run variance estimation and robust regression testing using sharp origin kernels with no truncation
- Higher order asymptotic theory for minimum contrast estimators of spectral parameters of stationary processes
- Frequency Dependence in Regression Model Coefficients: An Alternative Approach for Modeling Nonlinear Dynamic Relationships in Time Series
- Second order optimality for estimators in time series regression models
- Optimal bandwidth selection for robust generalized method of moments estimation
- Band Spectral Regression with Trending Data
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