Please use this identifier to cite or link to this item:
|Title:||Band spectral regression with trending data||Authors:||Corbae, D.
|Keywords:||Band spectral regression
Deterministic and stochastic trends
Discrete Fourier transform
Leads and lags regression
Nonstationary time series
Two-sided spectral BN decomposition
|Issue Date:||2002||Citation:||Corbae, D., Ouliaris, S., Phillips, P.C.B. (2002). Band spectral regression with trending data. Econometrica 70 (3) : 1067-1109. ScholarBank@NUS Repository.||Abstract:||Band spectral regression with both deterministic and stochastic trends is considered. It is shown that trend removal by regression in the time domain prior to band spectral regression can lead to biased and inconsistent estimates in models with frequency dependent coefficients. Both semiparametric and nonparametric regression formulations are considered, the latter including general systems of two-sided distributed lags such as those arising in lead and lag regressions. The bias problem arises through omitted variables and is avoided by careful specification of the regression equation. Trend removal in the frequency domain is shown to be a convenient option in practice. An asymptotic theory is developed and the two cases of stationary data and cointegrated nonstationary data are compared. In the latter case, a levels and differences regression formulation is shown to be useful in estimating the frequency response function at nonzero as well as zero frequencies.||Source Title:||Econometrica||URI:||http://scholarbank.nus.edu.sg/handle/10635/44265||ISSN:||00129682|
|Appears in Collections:||Staff Publications|
Show full item record
Files in This Item:
|2002-band_spectral_regression_trending_data-published.pdf||727.53 kB||Adobe PDF|
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.