Higher-order approximations for frequency domain time series regression
DOI10.1016/S0304-4076(97)00118-8zbMATH Open0956.62089MaRDI QIDQ1305643FDOQ1305643
Authors: Zhijie Xiao, Peter C. B. Phillips 
Publication date: 11 March 2001
Published in: Journal of Econometrics (Search for Journal in Brave)
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Cited In (13)
- Edgeworth approximations for semiparametric instrumental variable estimators and test statis\-tics.
- Robust inference of panel data models with interactive fixed effects under long memory: a frequency domain approach
- Band Spectral Regression with Trending Data
- SPECTRAL FINANCIAL ECONOMETRICS
- Optimal estimation of cointegrated systems with irrelevant instruments
- Second order optimality for estimators in time series regression models
- HIGHER ORDER ASYMPTOTIC THEORY FOR MINIMUM CONTRAST ESTIMATORS OF SPECTRAL PARAMETERS OF STATIONARY PROCESSES
- Estimation of spectral density for seasonal time series models
- Long run variance estimation and robust regression testing using sharp origin kernels with no truncation
- Higher order approximations for Wald statistics in time series regressions with integrated processes.
- OPTIMAL BANDWIDTH SELECTION FOR ROBUST GENERALIZED METHOD OF MOMENTS ESTIMATION
- Saddlepoint approximations for short and long memory time series: a frequency domain approach
- Frequency Dependence in Regression Model Coefficients: An Alternative Approach for Modeling Nonlinear Dynamic Relationships in Time Series
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