Band Spectral Regression with Trending Data

P. Dean Corbae (), Sam Ouliaris () and Peter C. B. Phillips ()

Working Papers from University of Iowa, Department of Economics

Abstract: Band spectral regression with deterministic and stochastic trends is considered. It is shown that conventional trend removal by regression in the time domain prior to bank spectral regression leads to biased and inconsistent estimates of the parameters in a model with frequency dependent coefficients. Time domain and frequency domain procedures for dealing with this problem are examined.

Keywords: STATISTICS; ECONOMETRICS (search for similar items in EconPapers)
JEL-codes: C1 (search for similar items in EconPapers)
Date: Written 1997
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Working Paper: Band Spectral Regression with Trending Data (1997)
Journal Article: Band Spectral Regression with Trending Data (2002)
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Persistent link: http://EconPapers.repec.org/RePEc:uia:iowaec:97-09

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