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Estimation of a non-invertible moving average process : The case of overdifferencing

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  • Plosser, Charles I.
  • Schwert, G. William

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File URL: http://www.sciencedirect.com/science/article/B6VC0-4582FPC-4/2/0270be57a704038ff626172036a55def
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Bibliographic Info

Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 6 (1977)
Issue (Month): 2 (September)
Pages: 199-224

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Handle: RePEc:eee:econom:v:6:y:1977:i:2:p:199-224

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Web page: http://www.elsevier.com/locate/jeconom

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Cited by:
  1. Lawrence J. Christiano & Martin Eichenbaum, 1989. "Unit Roots in Real GNP: Do We Know, and Do We Care?," NBER Working Papers 3130, National Bureau of Economic Research, Inc.
  2. W A Razzak, 2007. "A Perspective on Unit Root and Cointegration in Applied Macroeconomics," International Journal of Applied Econometrics and Quantitative Studies, Euro-American Association of Economic Development, vol. 4(1), pages 77-102.
  3. Bennett T. McCallum, 1993. "Unit roots in macroeconomic time series: some critical issues," Economic Quarterly, Federal Reserve Bank of Richmond, issue Spr, pages 13-44.
  4. Kannapiran, Chinna A., 2000. "Commodity price stabilisation: macroeconomic impacts and policy options," Agricultural Economics, Blackwell, vol. 23(1), pages 17-30, June.
  5. Nelson, Charles R & Kang, Heejoon, 1984. "Pitfalls in the Use of Time as an Explanatory Variable in Regression," Journal of Business & Economic Statistics, American Statistical Association, vol. 2(1), pages 73-82, January.
  6. Joseph, Joy, 2005. "Competitive Pricing Analysis in Mature & Evolving Markets A Time Series Approach," MPRA Paper 7685, University Library of Munich, Germany.
  7. Julio J. Rotemberg, 1999. "A Heuristic Method for Extracting Smooth Trends from Economic Time Series," NBER Working Papers 7439, National Bureau of Economic Research, Inc.
  8. Ronald MacDonald, 1985. "Are deviations from purchasing power parity efficient? Some further answers," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 121(4), pages 638-645, December.
  9. Andreas Dietrich & Jens J. Krüger, 2008. "Long-Run Sectoral Development - Time Series Evidence for the German Economy," Jena Economic Research Papers 2008-013, Friedrich-Schiller-University Jena, Max-Planck-Institute of Economics.
  10. Krishnan, R. & Sen, Kunal, 1995. "Measuring persistence in industrial output: The Indian case," Journal of Development Economics, Elsevier, vol. 48(1), pages 25-41, October.
  11. Vougas, Dimitrios V., 2008. "New exact ML estimation and inference for a Gaussian MA(1) process," Economics Letters, Elsevier, vol. 99(1), pages 172-176, April.
  12. Eickmeier, Sandra, 2005. "Common stationary and non-stationary factors in the euro area analyzed in a large-scale factor model," Discussion Paper Series 1: Economic Studies 2005,02, Deutsche Bundesbank, Research Centre.
  13. Pokta, Suriani & Hart, Jeffrey D., 2008. "Approximating posterior probabilities in a linear model with possibly noninvertible moving average errors," Journal of Multivariate Analysis, Elsevier, vol. 99(1), pages 25-49, January.
  14. Kim, Chang-Jin & Kim, Jaeho, 2013. "The `Pile-up Problem' in Trend-Cycle Decomposition of Real GDP: Classical and Bayesian Perspectives," MPRA Paper 51118, University Library of Munich, Germany.

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