Higher-order approximations for frequency domain time series regression

DOI10.1016/S0304-4076(97)00118-8zbMath0956.62089MaRDI QIDQ1305643

Zhijie Xiao, Peter C. B. Phillips

Publication date: 11 March 2001

Published in: Journal of Econometrics (Search for Journal in Brave)

zbMATH Keywords

semiparametric estimationmoment expansionhigher-order approximationspectral regressiondata-based bandwidth selectionsecond-order efficient estimation

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items

OPTIMAL BANDWIDTH SELECTION FOR ROBUST GENERALIZED METHOD OF MOMENTS ESTIMATION ⋮ SPECTRAL FINANCIAL ECONOMETRICS ⋮ HIGHER ORDER ASYMPTOTIC THEORY FOR MINIMUM CONTRAST ESTIMATORS OF SPECTRAL PARAMETERS OF STATIONARY PROCESSES ⋮ Long run variance estimation and robust regression testing using sharp origin kernels with no truncation ⋮ Second order optimality for estimators in time series regression models ⋮ Estimation of spectral density for seasonal time series models ⋮ Saddlepoint approximations for short and long memory time series: a frequency domain approach ⋮ Optimal estimation of cointegrated systems with irrelevant instruments ⋮ Edgeworth approximations for semiparametric instrumental variable estimators and test statis\-tics. ⋮ Higher order approximations for Wald statistics in time series regressions with integrated processes.

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Approximate Normality of Generalized Least Squares Estimates
• Best Nonlinear Three-Stage Least Squares Estimation of Certain Econometric Models
• Asymptotically Efficient Estimation in the Presence of Heteroskedasticity of Unknown Form
• Econometric Estimators and the Edgeworth Approximation
• Approximations to Some Finite Sample Distributions Associated with a First-Order Stochastic Difference Equation
• Band Spectrum Regression
• Second Order Approximation in the Partially Linear Regression Model
• Second order approximation in a linear regression with heteroskedasticity of unknown form
• Regression for time series with errors of measurement
• A General Approximation to the Distribution of Instrumental Variables Estimates
• Non-linear time series regression