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Tucker Sprague McElroy

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Personal Details

First Name: Tucker
Middle Name: Sprague
Last Name: McElroy
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RePEc Short-ID: pmc150

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Affiliation

Census Bureau
Department of Commerce
Government of the United States
Location: Washington, District of Columbia (United States)
Homepage: http://www.census.gov/
Email:
Phone: 301-457-4100
Fax: 301-457-4714
Postal:
Handle: RePEc:edi:cengvus (more details at EDIRC)

Works

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Working papers

  1. McElroy, Tucker & Politis, Dimitris, 2013. "Spectral Density and Spectral Distribution Inference for Long Memory Time Series via Fixed-b Asymptotics," University of California at San Diego, Economics Working Paper Series qt6164c110, Department of Economics, UC San Diego.
  2. McElroy, Tucker S. & Politis, Dimitris N., 2012. "Distribution Theory for the Studentized Mean for Long, Short, and Negative Memory Time Series," University of California at San Diego, Economics Working Paper Series qt35c7r55c, Department of Economics, UC San Diego.
  3. Tucker S. McElroy & Thomas M. Trimbur, 2012. "Signal extraction for nonstationary multivariate time series with illustrations for trend inflation," Finance and Economics Discussion Series 2012-45, Board of Governors of the Federal Reserve System (U.S.).
  4. Tucker McElroy & Michael W. McCracken, 2012. "Multi-step ahead forecasting of vector time series," Working Papers 2012-060, Federal Reserve Bank of St. Louis.
  5. Politis, D N & McElroy, Tucker S, 2009. "Fixed-b asymptotics for the studentized mean from time series with short, long or negative memory," University of California at San Diego, Economics Working Paper Series qt70c4x0sq, Department of Economics, UC San Diego.
  6. Tucker S. McElroy & Thomas M. Trimbur, 2007. "Continuous time extraction of a nonstationary signal with illustrations in continuous low-pass and band-pass filtering," Finance and Economics Discussion Series 2007-68, Board of Governors of the Federal Reserve System (U.S.).

Articles

  1. McElroy, Tucker S. & Politis, Dimitris N., 2014. "Spectral density and spectral distribution inference for long memory time series via fixed-b asymptotics," Journal of Econometrics, Elsevier, vol. 182(1), pages 211-225.
  2. McElroy Tucker S. & Maravall Agustin, 2014. "Optimal Signal Extraction with Correlated Components," Journal of Time Series Econometrics, De Gruyter, vol. 6(2), pages 37, July.
  3. Tucker McElroy, 2013. "Forecasting continuous-time processes with applications to signal extraction," Annals of the Institute of Statistical Mathematics, Springer, vol. 65(3), pages 439-456, June.
  4. McElroy, Tucker & Wildi, Marc, 2013. "Multi-step-ahead estimation of time series models," International Journal of Forecasting, Elsevier, vol. 29(3), pages 378-394.
  5. McElroy, Tucker & Politis, Dimitris N., 2013. "Distribution theory for the studentized mean for long, short, and negative memory time series," Journal of Econometrics, Elsevier, vol. 177(1), pages 60-74.
  6. McElroy, Tucker & Politis, Dimitris N., 2012. "Fixed-B Asymptotics For The Studentized Mean From Time Series With Short, Long, Or Negative Memory," Econometric Theory, Cambridge University Press, vol. 28(02), pages 471-481, April.
  7. Theodore Alexandrov & Silvia Bianconcini & Estela Bee Dagum & Peter Maass & Tucker S. McElroy, 2012. "A Review of Some Modern Approaches to the Problem of Trend Extraction," Econometric Reviews, Taylor & Francis Journals, vol. 31(6), pages 593-624, November.
  8. Agnieszka Jach & Tucker McElroy & Dimitris N. Politis, 2012. "Subsampling inference for the mean of heavy‐tailed long‐memory time series," Journal of Time Series Analysis, Wiley Blackwell, vol. 33(1), pages 96-111, 01.
  9. Tucker McElroy & Agnieszka Jach, 2012. "Subsampling inference for the autocovariances and autocorrelations of long-memory heavy- tailed linear time series," Journal of Time Series Analysis, Wiley Blackwell, vol. 33(6), pages 935-953, November.
  10. McElroy, Tucker & Jach, Agnieszka, 2012. "Tail index estimation in the presence of long-memory dynamics," Computational Statistics & Data Analysis, Elsevier, vol. 56(2), pages 266-282.
  11. McElroy, Tucker, 2012. "The perils of inferring serial dependence from sample autocorrelations of moving average series," Statistics & Probability Letters, Elsevier, vol. 82(9), pages 1632-1636.
  12. Tucker McElroy & Thomas Trimbur, 2011. "On the Discretization of Continuous-Time Filters for Nonstationary Stock and Flow Time Series," Econometric Reviews, Taylor & Francis Journals, vol. 30(5), pages 475-513.
  13. Tucker McElroy, 2011. "A nonparametric method for asymmetrically extending signal extraction filters," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 30(7), pages 597-621, November.
  14. McElroy Tucker S, 2010. "A Nonlinear Algorithm for Seasonal Adjustment in Multiplicative Component Decompositions," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 14(4), pages 1-23, September.
  15. McElroy Tucker & Wildi Marc, 2010. "Signal Extraction Revision Variances as a Goodness-of-Fit Measure," Journal of Time Series Econometrics, De Gruyter, vol. 2(1), pages 1-32, June.
  16. McElroy, Tucker & Holan, Scott, 2009. "A local spectral approach for assessing time series model misspecification," Journal of Multivariate Analysis, Elsevier, vol. 100(4), pages 604-621, April.
  17. McElroy, Tucker, 2008. "Matrix Formulas For Nonstationary Arima Signal Extraction," Econometric Theory, Cambridge University Press, vol. 24(04), pages 988-1009, August.
  18. Tucker McElroy, 2008. "Exact formulas for the Hodrick-Prescott filter," Econometrics Journal, Royal Economic Society, vol. 11(1), pages 209-217, 03.
  19. McElroy, Tucker & Sutcliffe, Andrew, 2006. "An iterated parametric approach to nonstationary signal extraction," Computational Statistics & Data Analysis, Elsevier, vol. 50(9), pages 2206-2231, May.
  20. McElroy, Tucker & Politis, Dimitris N., 2002. "Robust Inference For The Mean In The Presence Of Serial Correlation And Heavy-Tailed Distributions," Econometric Theory, Cambridge University Press, vol. 18(05), pages 1019-1039, October.

NEP Fields

5 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-ECM: Econometrics (4) 2008-02-16 2012-03-28 2012-07-14 2013-01-07. Author is listed
  2. NEP-ETS: Econometric Time Series (5) 2008-02-16 2012-03-28 2012-05-22 2012-07-14 2013-01-07. Author is listed
  3. NEP-FOR: Forecasting (1) 2013-01-07

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