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Fractional integration analysis of long-run behavior for US macroeconomic time series

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  • Crato, Nuno
  • Rothman, Philip

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  • Crato, Nuno & Rothman, Philip, 1994. "Fractional integration analysis of long-run behavior for US macroeconomic time series," Economics Letters, Elsevier, vol. 45(3), pages 287-291.
    • Handle: RePEc:eee:ecolet:v:45:y:1994:i:3:p:287-291
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    Cited by:

    1. Maggie E. C. Jones & Morten Ørregaard Nielsen & Michał Ksawery Popiel, 2014. "A fractionally cointegrated VAR analysis of economic voting and political support," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 47(4), pages 1078-1130, November.
    2. Baillie, Richard T., 1996. "Long memory processes and fractional integration in econometrics," Journal of Econometrics, Elsevier, vol. 73(1), pages 5-59, July.
    3. Andrews, Donald W.K. & Lieberman, Offer & Marmer, Vadim, 2006. "Higher-order improvements of the parametric bootstrap for long-memory Gaussian processes," Journal of Econometrics, Elsevier, vol. 133(2), pages 673-702, August.
    4. Chong, Terence Tai-Leung, 2000. "Estimating the differencing parameter via the partial autocorrelation function," Journal of Econometrics, Elsevier, vol. 97(2), pages 365-381, August.
    5. Ignacio Rodríguez Carreño & L. Gila Useros, A. Malanda Trigueros, J. Navallas Irujo, J. Rodríguez Falces, S. Gómez Elvira, 2008. "Influence of Baseline Fluctuation Cancellation on Automatic Measurement of Motor Unit Action Potential Duration," Faculty Working Papers 13/08, School of Economics and Business Administration, University of Navarra.
    6. Mark J. Holmes, 2002. "Purchasing Power Parity and the Fractional Integration of the Real Exchange Rate: New Evidence for Less Developed Countries," Journal of Economic Development, Chung-Ang Unviersity, Department of Economics, vol. 27(1), pages 125-135, June.
    7. Joann Jasiak, 1996. "Persistence in Intertrade Durations," Working Papers 1999_8, York University, Department of Economics, revised Mar 1999.
    8. Høg, Esben & Frederiksen, Per & Schiemert, Daniel, 2008. "On the Generalized Brownian Motion and its Applications in Finance," Finance Research Group Working Papers F-2008-07, University of Aarhus, Aarhus School of Business, Department of Business Studies.
    9. Francesc Marmol & Juan C. Reboredo, 1999. "Near Observational Equivalence and Fractionally Integrated Processes," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 61(2), pages 283-290, May.
    10. Javier Hualde & Morten {O}rregaard Nielsen, 2022. "Fractional integration and cointegration," Papers 2211.10235, arXiv.org.
    11. Hassler, Uwe & Marmol, Francesc, 1998. "Fractional cointegrating regressions in the presence of linear time trends," DES - Working Papers. Statistics and Econometrics. WS 9794, Universidad Carlos III de Madrid. Departamento de Estadística.
    12. Shimotsu, Katsumi, 2010. "Exact Local Whittle Estimation Of Fractional Integration With Unknown Mean And Time Trend," Econometric Theory, Cambridge University Press, vol. 26(2), pages 501-540, April.
    13. Luis Gil-Alana & Pedro Mendi, 2005. "Fractional integration in total factor productivity: evidence from US data," Applied Economics, Taylor & Francis Journals, vol. 37(12), pages 1369-1383.
    14. Shimotsu, Katsumi, 2002. "Exact Local Whittle Estimation of Fractional Integration with Unknown Mean and Time Trend," Economics Discussion Papers 8844, University of Essex, Department of Economics.
    15. Alexander Boca Saravia & Gabriel Rodríguez, 2022. "Presidential approval in Peru: an empirical analysis using a fractionally cointegrated VAR," Economic Change and Restructuring, Springer, vol. 55(3), pages 1973-2010, August.
    16. L. Gil-Alana, 2007. "Long run and cyclical strong dependence in macroeconomic time series: Nelson and Plosser revisited," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 34(2), pages 139-154, April.
    17. Basma Bekdache & Christopher F. Baum, 1999. "A re-evaluation of empirical tests of the Fisher hypothesis," Computing in Economics and Finance 1999 944, Society for Computational Economics, revised 18 Sep 2000.
    18. Haldrup, Niels & Nielsen, Morten Orregaard, 2007. "Estimation of fractional integration in the presence of data noise," Computational Statistics & Data Analysis, Elsevier, vol. 51(6), pages 3100-3114, March.
    19. Al-Shboul, Mohammad & Anwar, Sajid, 2016. "Fractional integration in daily stock market indices at Jordan's Amman stock exchange," The North American Journal of Economics and Finance, Elsevier, vol. 37(C), pages 16-37.
    20. Gil-Alana, Luis A., 2002. "A mean shift break in the US interest rate," Economics Letters, Elsevier, vol. 77(3), pages 357-363, November.
    21. Esben Hoeg & Per Frederiksen, 2006. "The Fractional OU Process: Term Structure Theory and Application," Computing in Economics and Finance 2006 194, Society for Computational Economics.
    22. Marcelo Resende & Nilson Teixeira, 2002. "Permanent structural changes in the Brazilian economy and long memory: a stock market perspective," Applied Economics Letters, Taylor & Francis Journals, vol. 9(6), pages 373-375.

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