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Citations for "Stochastic Permanent Breaks"

by Engle, Robert F & Smith, Aaron

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  1. Ozdemir, Zeynel Abidin & Balcilar, Mehmet & Tansel, Aysit, 2011. "International Labour Force Participation Rates by Gender: Unit Root or Structural Breaks?," IZA Discussion Papers 6063, Institute for the Study of Labor (IZA).
  2. Goodness C. Aye & Mehmet Balcilar & Rangan Gupta & Nicholas Kilimani & Amandine Nakumuryango & Siobhan Redford, 2012. "Predicting BRICS Stock Returns Using ARFIMA Models," Working Papers 201235, University of Pretoria, Department of Economics.
  3. repec:hal:journl:halshs-00611932 is not listed on IDEAS
  4. Brian Goff, 2005. "Supreme Court consensus and dissent: Estimating the role of the selection screen," Public Choice, Springer, vol. 122(3), pages 483-499, March.
  5. repec:hal:journl:halshs-00187875 is not listed on IDEAS
  6. Zeynel Abidin Ozdemir & Mehmet Balcilar & Aysit Tansel, 2012. "Are Labor Force Participation Rates Really Non-Stationary? Evidence from Three OECD Countries," Koç University-TUSIAD Economic Research Forum Working Papers 1223, Koc University-TUSIAD Economic Research Forum.
  7. Bisaglia, Luisa & Gerolimetto, Margherita, 2008. "Forecasting long memory time series when occasional breaks occur," Economics Letters, Elsevier, vol. 98(3), pages 253-258, March.
  8. Leipus, Remigijus & Viano, Marie-Claude, 2003. "Long memory and stochastic trend," Statistics & Probability Letters, Elsevier, vol. 61(2), pages 177-190, January.
  9. Dominique Guegan & Philippe de Peretti, 2011. "Tests of Structural Changes in Conditional Distributions with Unknown Changepoints," Documents de travail du Centre d'Economie de la Sorbonne 11042, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  10. Anders Rahbek & Neil Shephard, 2001. "Autoregressive conditional root model," Economics Papers 2002-W7, Economics Group, Nuffield College, University of Oxford, revised 01 Feb 2002.
  11. Diebold, Francis X., 2004. "The Nobel Memorial Prize for Robert F. Engle," CFS Working Paper Series 2004/11, Center for Financial Studies (CFS).
  12. Gary Biglaiser & Ching-to Albert Ma, 2006. "Moonlighting: Public Service and Private Practice," Working Papers 12, Portuguese Competition Authority.
  13. repec:hal:cesptp:halshs-00722032 is not listed on IDEAS
  14. Hendry, David F. & Clements, Michael P., 2003. "Economic forecasting: some lessons from recent research," Economic Modelling, Elsevier, vol. 20(2), pages 301-329, March.
  15. repec:hal:journl:halshs-00187910 is not listed on IDEAS
  16. Katsumi Shimotsu, 2006. "Simple (but effective) tests of long memory versus structural breaks," Working Papers 1101, Queen's University, Department of Economics.
  17. Yang K. Lu & Pierre Perron, 2008. "Modeling and Forecasting Stock Return Volatility Using a Random Level Shift Model," Boston University - Department of Economics - Working Papers Series wp2008-012, Boston University - Department of Economics.
  18. Niels Haldrup & Robinson Kruse & Timo Teräsvirta & Rasmus T. Varneskov, 2012. "Unit roots, nonlinearities and structural breaks," CREATES Research Papers 2012-14, School of Economics and Management, University of Aarhus.
  19. Bos, Charles S. & Koopman, Siem Jan & Ooms, Marius, 2014. "Long memory with stochastic variance model: A recursive analysis for US inflation," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 144-157.
  20. Perron, Pierre & Qu, Zhongjun, 2010. "Long-Memory and Level Shifts in the Volatility of Stock Market Return Indices," Journal of Business & Economic Statistics, American Statistical Association, vol. 28(2), pages 275-290.
  21. Krämer, Walter & Sibbertsen, Philipp, 2000. "Testing for structural change in the presence of long memory," Technical Reports 2000,31, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
  22. Frédérique Bec & Anders Rahbek & Neil Shephard, 2008. "The ACR Model: A Multivariate Dynamic Mixture Autoregression," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 70(5), pages 583-618, October.
  23. González Gómez, Andrés, 2004. "A smooth permanent surge process," Working Paper Series in Economics and Finance 572, Stockholm School of Economics.
  24. Charles S. Bos & Siem Jan Koopman & Marius Ooms, 2007. "Long memory modelling of inflation with stochastic variance and structural breaks," CREATES Research Papers 2007-44, School of Economics and Management, University of Aarhus.
  25. Mohamed Boutahar & Mustapha Belkhouja, 2007. "Le Changement Structurel Dans Un Environnement Mémoire Longue," Working Papers halshs-00352610, HAL.
  26. Martinez, O. & Olmo, J., 2008. "A Nonlinear Threshold Model for the Dependence of Extremes of Stationary Sequences," Working Papers 08/08, Department of Economics, City University London.
  27. repec:hal:cesptp:halshs-00377485 is not listed on IDEAS
  28. Kapetanios, G. & Tzavalis, E., 2010. "Modeling structural breaks in economic relationships using large shocks," Journal of Economic Dynamics and Control, Elsevier, vol. 34(3), pages 417-436, March.
  29. Huang, Yu-Lieh & Huang, Chao-Hsi & Kuan, Chung-Ming, 2008. "Reexamining the permanent income hypothesis with uncertainty in permanent and transitory innovation states," Journal of Macroeconomics, Elsevier, vol. 30(4), pages 1816-1836, December.
  30. Dominique Guegan & Philippe de Peretti, 2010. "An omnibus test to detect time-heterogeneity in time series," Documents de travail du Centre d'Economie de la Sorbonne 10098, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  31. Guglielmo Caporale & Luis Gil-Alana, 2009. "Multiple shifts and fractional integration in the US and UK unemployment rates," Journal of Economics and Finance, Springer, vol. 33(4), pages 364-375, October.
  32. Andrea Monticini & Francesco Ravazzolo, 2011. "Forecasting the intraday market price of money," Working Paper 2011/06, Norges Bank.
  33. Guégan D., 2004. "How Can We Define The Concept of Long Memory? An Econometric Survey," School of Economics and Finance Discussion Papers and Working Papers Series 178, School of Economics and Finance, Queensland University of Technology.
  34. Brian Goff, 2006. "Supreme Court consensus and dissent: Estimating the role of the selection screen," Public Choice, Springer, vol. 127(3), pages 367-383, June.
  35. C.S. Bos & S.J. Koopman & M. Ooms, 2007. "Long Memory Modelling of Inflation with Stochastic Variance and Structural Breaks," Tinbergen Institute Discussion Papers 07-099/4, Tinbergen Institute.
  36. Elena Andreou & Eric Ghysels, 2001. "Detecting Multiple Breaks in Financial Market Volatility Dynamics," University of Cyprus Working Papers in Economics 0202, University of Cyprus Department of Economics.
  37. Geetesh Bhardwaj & Norman Swanson, 2004. "An Empirical Investigation of the Usefulness of ARFIMA Models for Predicting Macroeconomic and Financial Time Series," Departmental Working Papers 200422, Rutgers University, Department of Economics.
  38. Sing, Tien-Foo & Tsai, I-Chun & Chen, Ming-Chi, 2006. "Price dynamics in public and private housing markets in Singapore," Journal of Housing Economics, Elsevier, vol. 15(4), pages 305-320, December.
  39. Azamo, Baudouin Tameze & Krämer, Walter, 2006. "Structural Change and long memory in the GARCH(1,1)-model," Technical Reports 2006,33, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
  40. Mohamed Boutahar & Gilles Dufrénot & Anne Péguin-Feissolle, 2008. "A Simple Fractionally Integrated Model with a Time-varying Long Memory Parameter d t ," Computational Economics, Society for Computational Economics, vol. 31(3), pages 225-241, April.
  41. Hyung, N. & Franses, Ph.H.B.F., 2002. "Inflation rates; long-memoray, level shifts, or both?," Econometric Institute Research Papers EI 2002-08, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  42. repec:hal:wpaper:halshs-00722032 is not listed on IDEAS
  43. Diebold, Francis X. & Inoue, Atsushi, 2001. "Long memory and regime switching," Journal of Econometrics, Elsevier, vol. 105(1), pages 131-159, November.
  44. Yoon, Gawon, 2005. "Long-memory property of nonlinear transformations of break processes," Economics Letters, Elsevier, vol. 87(3), pages 373-377, June.
  45. repec:hal:journl:halshs-00377485 is not listed on IDEAS
  46. Pierre Perron & Zhongjun Qu, 2007. "An Analytical Evaluation of the Log-periodogram Estimate in the Presence of Level Shifts," Boston University - Department of Economics - Working Papers Series wp2007-044, Boston University - Department of Economics.
  47. Todd E. Clark & Michael W. McCracken, 2004. "Improving forecast accuracy by combining recursive and rolling forecasts," Research Working Paper RWP 04-10, Federal Reserve Bank of Kansas City.
  48. Luisa Bisaglia & Margherita Gerolimetto, 2009. "Testing structural breaks versus long memory with the Box–Pierce statistics: a Monte Carlo study," Statistical Methods and Applications, Springer, vol. 18(4), pages 543-553, November.
  49. Siem Jan Koopman & Charles S. Bos, 2002. "Time Series Models with a Common Stochastic Variance for Analysing Economic Time Series," Tinbergen Institute Discussion Papers 02-113/4, Tinbergen Institute.
  50. J. Cuñado & L. Gil-Alana & F. Gracia, 2009. "US stock market volatility persistence: evidence before and after the burst of the IT bubble," Review of Quantitative Finance and Accounting, Springer, vol. 33(3), pages 233-252, October.
  51. Lanouar Charfeddine & Dominique Guegan, 2009. "Breaks or long memory behaviour : An empirical investigation," Documents de travail du Centre d'Economie de la Sorbonne 09022, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  52. Clive W.J. Granger & Namwon Hyung, 2013. "Occasional Structural Breaks and Long Memory," Annals of Economics and Finance, Society for AEF, vol. 14(2), pages 739-764, November.
  53. Kuswanto, Heri, 2009. "A New Simple Test Against Spurious Long Memory Using Temporal Aggregation," Hannover Economic Papers (HEP) dp-425, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  54. Gonzalo, Jesus & Martinez, Oscar, 2006. "Large shocks vs. small shocks. (Or does size matter? May be so.)," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 311-347.
  55. Zietz, Joachim & Traian, Anca, 2014. "When was the U.S. housing downturn predictable? A comparison of univariate forecasting methods," The Quarterly Review of Economics and Finance, Elsevier, vol. 54(2), pages 271-281.
  56. Siem Jan Koopman & Charles S. Bos, 2002. "Time Series Models with a Common Stochastic Variance for Analysing Economic Time Series," Tinbergen Institute Discussion Papers 02-113/4, Tinbergen Institute.
  57. Pierre Perron & Zhongjun Qu, 2006. "An Analytical Evaluation of the Log-periodogram Estimate in the Presence of Level Shifts and its Implications for Stock Returns Volatility," Boston University - Department of Economics - Working Papers Series WP2006-016, Boston University - Department of Economics.
  58. repec:hal:wpaper:halshs-00721327 is not listed on IDEAS
  59. Banerjee, Anindya & Urga, Giovanni, 2005. "Modelling structural breaks, long memory and stock market volatility: an overview," Journal of Econometrics, Elsevier, vol. 129(1-2), pages 1-34.
  60. David Hendry, 2000. "A General Forecast-error Taxonomy," Econometric Society World Congress 2000 Contributed Papers 0608, Econometric Society.
  61. Hyung, N. & Franses, Ph.H.B.F., 2001. "Structural breaks and long memory in US inflation rates: do they matter for forecasting?," Econometric Institute Research Papers EI 2001-13, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  62. Smith, Aaron D., 2004. "Level Shifts and the Illusion of Long Memory in Economic Time Series," Working Papers 11974, University of California, Davis, Department of Agricultural and Resource Economics.
  63. Mei-Se Chien, 2010. "Structural Breaks and the Convergence of Regional House Prices," The Journal of Real Estate Finance and Economics, Springer, vol. 40(1), pages 77-88, January.