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Citations for "Band Spectrum Regressions"

by R. F. Engle

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  1. Ralf Becker & Walter Enders & A. Stan Hurn, 2001. "Testing for Time Dependence in Parameters," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney 58, Quantitative Finance Research Centre, University of Technology, Sydney.
  2. Berger, David & Chaboud, Alain & Hjalmarsson, Erik, 2009. "What drives volatility persistence in the foreign exchange market?," Journal of Financial Economics, Elsevier, Elsevier, vol. 94(2), pages 192-213, November.
  3. Svend Hylleberg, 2006. "Seasonal Adjustment," Economics Working Papers, School of Economics and Management, University of Aarhus 2006-04, School of Economics and Management, University of Aarhus.
  4. Andersson, Fredrik N.G. & Karpestam, Peter, 2013. "CO2 emissions and economic activity: Short- and long-run economic determinants of scale, energy intensity and carbon intensity," Energy Policy, Elsevier, Elsevier, vol. 61(C), pages 1285-1294.
  5. John Hassler & Petter Lundvik & Torsten Persson & Paul Soderlind, 1992. "The Swedish business cycle: stylized facts over 130 years," Discussion Paper / Institute for Empirical Macroeconomics, Federal Reserve Bank of Minneapolis 63, Federal Reserve Bank of Minneapolis.
  6. Poterba, James M. & Summers, Lawrence H., 1983. "Dividend taxes, corporate investment, and `Q'," Journal of Public Economics, Elsevier, Elsevier, vol. 22(2), pages 135-167, November.
  7. Summers, Lawrence H., 1986. "Estimating the long-run relationship between interest rates and inflation: A response to McCallum," Journal of Monetary Economics, Elsevier, Elsevier, vol. 18(1), pages 77-86, July.
  8. Woodford, Michael, 2007. "Does a 'Two-Pillar Phillips Curve' Justify a Two-Pillar Monetary Policy Strategy?," CEPR Discussion Papers, C.E.P.R. Discussion Papers 6447, C.E.P.R. Discussion Papers.
  9. Yohei Yamamoto & Pierre Perron, 2012. "Estimating and Testing Multiple Structural Changes in Linear Models Using Band Spectral Regressions," Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University gd12-250, Institute of Economic Research, Hitotsubashi University.
  10. Assenmacher-Wesche, Katrin & Gerlach, Stefan, 2008. "Money growth, output gaps and inflation at low and high frequency: Spectral estimates for Switzerland," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 32(2), pages 411-435, February.
  11. Berkowitz, Jeremy, 2001. "Generalized spectral estimation of the consumption-based asset pricing model," Journal of Econometrics, Elsevier, Elsevier, vol. 104(2), pages 269-288, September.
  12. Christiano, Lawrence J. & Vigfusson, Robert J., 2003. "Maximum likelihood in the frequency domain: the importance of time-to-plan," Journal of Monetary Economics, Elsevier, Elsevier, vol. 50(4), pages 789-815, May.
  13. Zhijie Xiao & Peter C.B. Phillips, 1998. "Higher Order Approximations for Wald Statistics in Cointegrating Regressions," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 1192, Cowles Foundation for Research in Economics, Yale University.
  14. den Haan, Wouter J. & Sumner, Steven W., 2004. "The comovement between real activity and prices in the G7," European Economic Review, Elsevier, Elsevier, vol. 48(6), pages 1333-1347, December.
  15. Wei Yanfeng, 2013. "The Dynamic Relationships between Oil Prices and the Japanese Economy: A Frequency Domain Analysis," Review of Economics & Finance, Better Advances Press, Canada, vol. 3, pages 57-67, May.
  16. Richard Ashley & Randal Verbrugge, 2009. "Frequency Dependence in Regression Model Coefficients: An Alternative Approach for Modeling Nonlinear Dynamic Relationships in Time Series," Econometric Reviews, Taylor & Francis Journals, Taylor & Francis Journals, vol. 28(1-3), pages 4-20.
  17. Proietti, Tommaso & Lütkepohl, Helmut, 2013. "Does the Box–Cox transformation help in forecasting macroeconomic time series?," International Journal of Forecasting, Elsevier, Elsevier, vol. 29(1), pages 88-99.
  18. Estrella, Arturo & Mishkin, Frederic S., 1997. "Is there a role for monetary aggregates in the conduct of monetary policy?," Journal of Monetary Economics, Elsevier, Elsevier, vol. 40(2), pages 279-304, October.
  19. Diebold, Francis X & Ohanian, Lee E & Berkowitz, Jeremy, 1998. "Dynamic Equilibrium Economies: A Framework for Comparing Models and Data," Review of Economic Studies, Wiley Blackwell, Wiley Blackwell, vol. 65(3), pages 433-51, July.
  20. Ciner, Cetin, 2011. "Commodity prices and inflation: Testing in the frequency domain," Research in International Business and Finance, Elsevier, Elsevier, vol. 25(3), pages 229-237, September.
  21. Assenmacher-Wesche, Katrin & Gerlach, Stefan, 2006. "Money at Low Frequencies," CEPR Discussion Papers, C.E.P.R. Discussion Papers 5868, C.E.P.R. Discussion Papers.
  22. Tommaso Proietti, 2007. "Band Spectral Estimation for Signal Extraction," CEIS Research Paper 104, Tor Vergata University, CEIS.
  23. Andrews, Donald W K, 1986. "A Note on the Unbiasedness of Feasible GLS, Quasi-maximum Likelihood, Robust, Adaptive, and Spectral Estimators of the Linear Model," Econometrica, Econometric Society, Econometric Society, vol. 54(3), pages 687-98, May.
  24. Arturo Estrella, 2007. "Extracting business cycle fluctuations: what do time series filters really do?," Staff Reports, Federal Reserve Bank of New York 289, Federal Reserve Bank of New York.
  25. Gallegati, Marco & Ramsey, James B., 2013. "Bond vs stock market's Q: Testing for stability across frequencies and over time," Journal of Empirical Finance, Elsevier, Elsevier, vol. 24(C), pages 138-150.
  26. Darrel Cohen, 1999. "An analysis of government spending in the frequency domain," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 1999-26, Board of Governors of the Federal Reserve System (U.S.).
  27. Corbae, Dean & Ouliaris, Sam & Phillips, Peter C B, 1994. "A Reexamination of the Consumption Function Using Frequency Domain Regressions," Empirical Economics, Springer, Springer, vol. 19(4), pages 595-609.
  28. Charlotte S. Hansen & Bjorn E. Tuypens, 2004. "Long-Run Regressions: Theory and Application to US Asset Markets," Finance, EconWPA 0410018, EconWPA.
  29. Katrin Assenmacher-Wesche & Stefan Gerlach & Toshitaka Sekine, 2007. "Monetary Factors and Inflation in Japan," Working Papers 2007-13, Swiss National Bank.
  30. D.M. Nachane & Amlendu Kumar Dubey, 2008. "The vanishing role of money in the macroeconomy: An Empirical investigation based on spectral and wavelet analysis," Indira Gandhi Institute of Development Research, Mumbai Working Papers 2008-022, Indira Gandhi Institute of Development Research, Mumbai, India.
  31. Nachane, D.M. & Dubey, Amlendu Kumar, 2011. "The vanishing role of money in the macro-economy: An empirical investigation for India," Economic Modelling, Elsevier, Elsevier, vol. 28(3), pages 859-869, May.
  32. Stefan Gerlach & Katrin Assenmacher-Wesche, 2006. "Interpreting Euro area inflation at high and low frequencies," BIS Working Papers 195, Bank for International Settlements.
  33. Richard A. Ashley & Randall J. Verbrugge., 2006. "Mis-Specification in Phillips Curve Regressions: Quantifying Frequency Dependence in This Relationship While Allowing for Feedback," Working Papers e06-11, Virginia Polytechnic Institute and State University, Department of Economics.
  34. Bennett T. McCallum, 1983. "On Low-Frequency Estimates of "Long-Run" Relationships in Macro- economics," NBER Working Papers 1162, National Bureau of Economic Research, Inc.
  35. Hau, Harald, 2001. "Geographic patterns of trading profitability in Xetra," European Economic Review, Elsevier, Elsevier, vol. 45(4-6), pages 757-769, May.
  36. Choudhry, Taufiq & Lu, Lin & Peng, Ke, 2007. "Common stochastic trends among Far East stock prices: Effects of the Asian financial crisis," International Review of Financial Analysis, Elsevier, Elsevier, vol. 16(3), pages 242-261.
  37. D Marinucci & Peter M Robinson, 2001. "Semiparametric Fractional Cointegration Analysis," STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE /2001/420, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  38. Xiao, Zhijie & Phillips, Peter C. B., 1998. "Higher-order approximations for frequency domain time series regression," Journal of Econometrics, Elsevier, Elsevier, vol. 86(2), pages 297-336, June.
  39. Richard A. Ashley & Kwok Ping Tsang, 2013. "Credible Granger-Causality Inference with Modest Sample Lengths: A Cross-Sample Validation Approach," Working Papers e07-41, Virginia Polytechnic Institute and State University, Department of Economics.
  40. Peter C.B. Phillips & Binbin Guo & Zhijie Xiao, 2002. "Efficient Regression in Time Series Partial Linear Models," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 1363, Cowles Foundation for Research in Economics, Yale University.
  41. Patrick J. Wilson & L.J. Perry, 2004. "Forecasting Australian Unemployment Rates using Spectral Analysis," Australian Journal of Labour Economics (AJLE), Bankwest Curtin Economics Centre (BCEC), Curtin Business School, Bankwest Curtin Economics Centre (BCEC), Curtin Business School, vol. 7(4), pages 459-480, December.
  42. Oller, Lars-Erik & Tallbom, Christer, 1996. "Smooth and timely business cycle indicators for noisy Swedish data," International Journal of Forecasting, Elsevier, Elsevier, vol. 12(3), pages 389-402, September.
  43. Lawrence J. Christiano & Terry J. Fitzgerald, 1999. "The Band Pass Filter," NBER Working Papers 7257, National Bureau of Economic Research, Inc.
  44. Vesselin Hadjiev, 2001. "Econometric Evaluation of the Elasticity of the Foreign Trade through Bi-Spectral Analysis," Economic Studies journal, Bulgarian Academy of Sciences - Economic Research Institute, Bulgarian Academy of Sciences - Economic Research Institute, issue 2, pages 150-167.
  45. Thoma, Mark, 2004. "Electrical energy usage over the business cycle," Energy Economics, Elsevier, Elsevier, vol. 26(3), pages 463-485, May.
  46. Chen, Xiaoshan & Kontonikas, Alexandros & Montagnoli, Alberto, 2012. "Asset prices, credit and the business cycle," Economics Letters, Elsevier, Elsevier, vol. 117(3), pages 857-861.
  47. Jozef Barunik & Michaela Barunikova, 2012. "Revisiting the fractional cointegrating dynamics of implied-realized volatility relation with wavelet band spectrum regression," Papers 1208.4831, arXiv.org, revised Feb 2013.
  48. Xiao, Zhijie & Phillips, Peter C. B., 2002. "Higher order approximations for Wald statistics in time series regressions with integrated processes," Journal of Econometrics, Elsevier, Elsevier, vol. 108(1), pages 157-198, May.
  49. Benati, Luca, 2001. "Some empirical evidence on the 'discouraged worker' effect," Economics Letters, Elsevier, Elsevier, vol. 70(3), pages 387-395, March.
  50. Jaime Marquez, 1992. "Spectral estimation of secular and cyclical elasticities for bilateral trade," Finnish Economic Papers, Finnish Economic Association, Finnish Economic Association, vol. 5(2), pages 91-97, Autumn.
  51. Luca Bindelli, 2005. "Testing the New Keynesian Phillips curve: a frequency domain approach," Money Macro and Finance (MMF) Research Group Conference 2005, Money Macro and Finance Research Group 69, Money Macro and Finance Research Group.
  52. Robert B. Barsky, 1986. "The Fisher Hypothesis and the Forecastability and Persistence of Inflation," NBER Working Papers 1927, National Bureau of Economic Research, Inc.
  53. Bjornson, Bruce & Hong Shik Kim & Lee, Kiseok, 1999. "Low and high frequency macroeconomic forces in asset pricing," The Quarterly Review of Economics and Finance, Elsevier, Elsevier, vol. 39(1), pages 77-100.
  54. D Marinucci & Peter M Robinson, 1998. "Semiparametric Frequency Domain Analysis of Fractional Cointegration - (Revised version forthcoming in P M Robinson: Time Series with Long Memory (Oxford University Press)," STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE /1998/348, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  55. Tomás Castagnino & Laura D´Amato, 2008. "Regime Dependence, Common Shocks and the Inflation-Relative Price Variability Relation," BCRA Working Paper Series 200838, Central Bank of Argentina, Economic Research Department.
  56. Erol, Umit & Balkan, Erol M., 1996. "How financial markets process money information: A re-examination of evidence using band spectrum regression," Journal of Macroeconomics, Elsevier, Elsevier, vol. 18(4), pages 639-656.
  57. Chan, Leo & Lien, Donald & Weng, Wenlong, 2008. "Financial interdependence between Hong Kong and the US: A band spectrum approach," International Review of Economics & Finance, Elsevier, Elsevier, vol. 17(4), pages 507-516, October.
  58. Andersson, Fredrik N. G. & Edgerton, David & Opper, Sonja, 2011. "A Matter of Time: Revisiting Growth Convergence in China," Working Papers, Lund University, Department of Economics 2011:23, Lund University, Department of Economics, revised 01 Mar 2012.
  59. Yikang, Li, 1998. "Low-pass filtered least squares estimators of cointegrating vectors," Journal of Econometrics, Elsevier, Elsevier, vol. 85(2), pages 289-316, August.
  60. L.J. Perry & Patrick J. Wilson, 2005. "The Decline of Seasonality in Australian Quarterly Aggregate Strike Statistics: 1983-2003," Australian Journal of Labour Economics (AJLE), Bankwest Curtin Economics Centre (BCEC), Curtin Business School, Bankwest Curtin Economics Centre (BCEC), Curtin Business School, vol. 8(1), pages 43-71, March.
  61. Richard A. Ashley. & Randall J. Verbrugge., 2006. "Mis-Specification and Frequency Dependence in a New Keynesian Phillips Curve," Working Papers e06-12, Virginia Polytechnic Institute and State University, Department of Economics.