Testing Price Equations for Stability Across Spectral Frequency Bands

DOI10.2307/1909754zbMath0392.62091OpenAlexW2047452098MaRDI QIDQ4174148

Robert F. Engle

Publication date: 1978

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/1909754

zbMATH Keywords

F DistributionBand Spectrum RegressionDynamic Time Series RegressionSpherically Normally Distributed DisturbancesTesting Price Equations

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic time series analysis (91B84)

Related Items (5)

SPECTRAL FINANCIAL ECONOMETRICS ⋮ Productivity and unemployment: a scale-by-scale panel data analysis for the G7 countries ⋮ Some empirical evidence on the `discouraged worker' effect ⋮ Frequency Dependence in Regression Model Coefficients: An Alternative Approach for Modeling Nonlinear Dynamic Relationships in Time Series ⋮ Early Warning Signals of Financial Stress: A “Wavelet-Based” Composite Indicators Approach

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