Tests for long memory in a time series
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References listed on IDEAS
- Sowell, Fallaw, 1992. "Maximum likelihood estimation of stationary univariate fractionally integrated time series models," Journal of Econometrics, Elsevier, vol. 53(1-3), pages 165-188.
- Baillie, Richard T., 1996. "Long memory processes and fractional integration in econometrics," Journal of Econometrics, Elsevier, vol. 73(1), pages 5-59, July.
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- Basma Bekdache & Christopher F. Baum, 1999.
"A re-evaluation of empirical tests of the Fisher hypothesis,"
Computing in Economics and Finance 1999
944, Society for Computational Economics, revised 18 Sep 2000.
- Basma Bekdache & Christopher F. Baum, 2000. "A re-evaluation of empirical tests of the Fisher hypothesis," Boston College Working Papers in Economics 472, Boston College Department of Economics.
- Christopher F. Baum & Mustafa Caglayan, 2008. "The Volatility of International Trade Flows and Exchange Rate Uncertainty," Boston College Working Papers in Economics 695, Boston College Department of Economics.
- Christopher F. Baum, 2004. "Topics in time series regression modeling," United Kingdom Stata Users' Group Meetings 2004 7, Stata Users Group, revised 26 Jul 2004.
- Baum, Christopher F. & Caglayan, Mustafa, 2010.
"On the sensitivity of the volume and volatility of bilateral trade flows to exchange rate uncertainty,"
Journal of International Money and Finance,
Elsevier, vol. 29(1), pages 79-93, February.
- Christopher F. Baum & Mustafa Caglayan, 2006. "On the Sensitivity of the Volume and Volatility of Bilateral Trade Flows to Exchange Rate Uncertainty," Boston College Working Papers in Economics 641, Boston College Department of Economics, revised 06 Feb 2008.
- Christopher F Baum & Mustafa Caglayan, 2007. "Effects of Exchange Rate Volatility on the Volume and Volatility of Bilateral Exports," Money Macro and Finance (MMF) Research Group Conference 2006 64, Money Macro and Finance Research Group.
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