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Citations for "Discrete Approximations to Continuous Time Distributed Lags in Econometrics"

by Sims, Christopher A

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  1. Dufour, Jean-Marie, 2001. "Logique et tests d’hypothèses," L'Actualité Economique, Société Canadienne de Science Economique, vol. 77(2), pages 171-190, juin.
  2. Andrew W. Lo, 1986. "Maximum Likelihood Estimation of Generalized Ito Processes with Discretely Sampled Data," NBER Technical Working Papers 0059, National Bureau of Economic Research, Inc.
  3. Arie ten Cate, 2004. "Refinement of the partial adjustment model using continuous-time econometrics," CPB Discussion Paper 41, CPB Netherlands Bureau for Economic Policy Analysis.
  4. Nerlove, Marc & Schuermann, Til, 1997. "Businessmen's Expectations Are Neither Rational nor Adaptive," ZEW Discussion Papers 97-01, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
  5. Oliver Linton & Enno Mammen, 2006. "Nonparametric Transformation to White Noise," STICERD - Econometrics Paper Series /2006/503, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  6. Peter C. B. Phillips & Jun Yu, 2005. "Comments on “A Selective Overview of Nonparametric Methods in Financial Econometrics” by Jianqing Fan," Working Papers 08-2005, Singapore Management University, School of Economics.
  7. Eric Ghysels & Pedro Santa-Clara & Rossen Valkanov, 2004. "The MIDAS Touch: Mixed Data Sampling Regression Models," CIRANO Working Papers 2004s-20, CIRANO.
  8. DUFOUR, Jean-Marie & JOUINI, Tarek, 2005. "Finite-Sample Simulation-Based Inference in VAR Models with Applications to Order Selection and Causality Testing," Cahiers de recherche 16-2005, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  9. Christiano, Lawrence J & Eichenbaum, Martin & Marshall, David, 1991. "The Permanent Income Hypothesis Revisited," Econometrica, Econometric Society, vol. 59(2), pages 397-423, March.
  10. Lars Peter Hansen & Thomas J. Sargent, 1983. "Identification of continuous time rational expectations models from discrete time data," Staff Report 73, Federal Reserve Bank of Minneapolis.
  11. Lars Peter Hansen & Thomas J. Sargent, 1982. "Formulating and estimating continuous time rational expectations models," Staff Report 75, Federal Reserve Bank of Minneapolis.
  12. Phoebus J. Dhrymes, 1972. "Distributed Lags:A Survey," UCLA Economics Working Papers 024, UCLA Department of Economics.
  13. Lars Peter Hansen & Thomas J. Sargent, 1980. "Methods for estimating continuous time Rational Expectations models from discrete time data," Staff Report 59, Federal Reserve Bank of Minneapolis.
  14. Rajaguru GULASEKARAN & Tilak ABEYSINGHE, 2002. "The Distortionary Effects Of Temporal Aggregation On Granger Causality," Departmental Working Papers wp0204, National University of Singapore, Department of Economics.
  15. Jean-Marie Dufour, 2001. "Logiques et tests d'hypothèses : réflexions sur les problèmes mal posés en économétrie," CIRANO Working Papers 2001s-40, CIRANO.
  16. Lawrence J. Christiano, 1986. "Temporal aggregation bias and government policy evaluation," Working Papers 302, Federal Reserve Bank of Minneapolis.
  17. Michael J. Stutzer, 1980. "Chaotic dynamics and bifurcation in a macro model," Staff Report 55, Federal Reserve Bank of Minneapolis.
  18. Andreou, Elena & Ghysels, Eric & Kourtellos, Andros, 2010. "Regression models with mixed sampling frequencies," Journal of Econometrics, Elsevier, vol. 158(2), pages 246-261, October.
  19. Grant Kirkpatrick, 1982. "Real factor prices and German manufacturing employment: A time series analysis, 1960I–1979IV," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 118(1), pages 79-103, March.
  20. Lars Peter Hansen & Thomas J. Sargent, 1980. "Rational expectations models and the aliasing phenomenon," Staff Report 60, Federal Reserve Bank of Minneapolis.
  21. Gary R. Skoog, 1976. "Systematically missing data in econometric models," Staff Report 13, Federal Reserve Bank of Minneapolis.
  22. Ghysels, Eric & Santa-Clara, Pedro & Valkanov, Rossen, 2004. "The MIDAS Touch: Mixed Data Sampling Regression Models," University of California at Los Angeles, Anderson Graduate School of Management qt9mf223rs, Anderson Graduate School of Management, UCLA.
  23. St-Amant, P. & Tessier, D., 1998. "A Discussion of the Reliability of Results Obtained with Long-Run Identifying Restrictions," Working Papers 98-4, Bank of Canada.
  24. Oliver Linton & Enno Mammen, 2006. "Nonparametric transformation to white noise," LSE Research Online Documents on Economics 4426, London School of Economics and Political Science, LSE Library.
  25. Lawrence J. Christiano, 1980. "The term structure of interest rates and the aliasing identification problem," Working Papers 165, Federal Reserve Bank of Minneapolis.
  26. Forni, Mario & Lippi, Marco, 1999. "Aggregation of linear dynamic microeconomic models," Journal of Mathematical Economics, Elsevier, vol. 31(1), pages 131-158, February.
  27. Dufour, Jean-Marie & Jouini, Tarek, 2006. "Finite-sample simulation-based inference in VAR models with application to Granger causality testing," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 229-254.