Some Finite Sample Properties of Spectral Estimators of a Linear Regression

DOI10.2307/1911388MaRDI QIDQ4082877zbMATH OpenOpenAlexFDO

Authors Robert F. Engle, R. J. Gardner

Publication date 1976

Published in Econometrica (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/1721.1/64170

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Monte Carlo methods (65C05)

Cited in

(3)

• Seasonality in dynamic regression models. A comparative study of finite sample properties of various regression estimators including band spectrum regression
• Testing for a unit root by frequency domain regression
• On the difference in inference and prediction between the joint and independent f-error models for seemingly unrelated regressions

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