Frequency Dependence in Regression Model Coefficients: An Alternative Approach for Modeling Nonlinear Dynamic Relationships in Time Series

DOI10.1080/07474930802387753zbMath1161.62052OpenAlexW1996930675MaRDI QIDQ3615074

Randal J. Verbrugge, Richard A. Ashley

Publication date: 17 March 2009

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474930802387753

zbMATH Keywords

nonlinear dependencePhillips curvefrequency dependencenonlinear modellingspectral regression

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

• Some comparisons of tests for a shift in the slopes of a multivariate linear time series model
• Tests of Equality Between Sets of Coefficients in Two Linear Regressions
• Testing Price Equations for Stability Across Spectral Frequency Bands
• DETECTION AND MODELING OF REGRESSION PARAMETER VARIATION ACROSS FREQUENCIES
• Estimating and Testing Linear Models with Multiple Structural Changes
• Band Spectrum Regression
• Band Spectral Regression with Trending Data

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