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Andrew R. Tremayne

Personal Details

First Name:Andrew
Middle Name:R.
Last Name:Tremayne
Suffix:
RePEc Short-ID:ptr191
[This author has chosen not to make the email address public]

Affiliation

Management School
University of Liverpool

Liverpool, United Kingdom
http://www.liverpool.ac.uk/management/

: 0151 795 3108
0151 795 3004
Chatham Street, Liverpool, L69 7ZH
RePEc:edi:mslivuk (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Tena Horrillo, Juan de Dios & Tremayne, A. R., 2006. "Modelling monetary transmission in UK manufacturing industry," DES - Working Papers. Statistics and Econometrics. WS ws062911, Universidad Carlos III de Madrid. Departamento de Estadística.
  2. Tsung Ping Chung & Peter Dolton & Andrew Tremayne, 2004. "The Determinants Of Teacher Supply: Time Series Evidence For The UK, 1962-2001," Royal Economic Society Annual Conference 2004 66, Royal Economic Society.
  3. B.P.M. McCabe & G.M. Martin & A.R. Tremayne, 2003. "Persistence and Nonstationary Models," Monash Econometrics and Business Statistics Working Papers 16/03, Monash University, Department of Econometrics and Business Statistics.
  4. Jung, Robert & Tremayne, Andrew R., 2001. "Testing serial dependence in time series models of counts against some INARMA alternatives," Tübinger Diskussionsbeiträge 204, University of Tübingen, School of Business and Economics.
  5. Robert C. Jung & Andrew R. Tremayne, 2000. "Testing Serial Dependence in Time Series Models of Counts," Econometric Society World Congress 2000 Contributed Papers 1563, Econometric Society, revised 22 Mar 2001.
  6. McCabe,B.P.M. & Tremayne,A.R., 1995. "Testing a Time-Series for Difference Stationarity," Cambridge Working Papers in Economics 9420, Faculty of Economics, University of Cambridge.
  7. T. Hitiris & A.R. Tremayne, "undated". "The Dollar-Pound Exchange Rate in the 1920's: An Empirical Investigation," Discussion Papers 94/8, Department of Economics, University of York.

Articles

  1. Robert C. Jung & A. R. Tremayne, 2011. "Convolution‐closed models for count time series with applications," Journal of Time Series Analysis, Wiley Blackwell, vol. 32(3), pages 268-280, May.
  2. Robert Jung & A. Tremayne, 2011. "Useful models for time series of counts or simply wrong ones?," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 95(1), pages 59-91, March.
  3. Naylor, J.C. & Tremayne, A.R. & Marriott, J.M., 2010. "Exploratory data analysis and model criticism with posterior plots," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2707-2720, November.
  4. Tena, Juan de Dios & Tremayne, A.R., 2009. "Modelling monetary transmission in UK manufacturing industry," Economic Modelling, Elsevier, vol. 26(5), pages 1053-1066, September.
  5. S. de Silva & K. Hadri & A. R. Tremayne, 2009. "Panel unit root tests in the presence of cross-sectional dependence: finite sample performance and an application," Econometrics Journal, Royal Economic Society, vol. 12(2), pages 340-366, July.
  6. Jung, Robert C. & Tremayne, A.R., 2006. "Coherent forecasting in integer time series models," International Journal of Forecasting, Elsevier, vol. 22(2), pages 223-238.
  7. B. P. M. McCabe & G. M. Martin & A. R. Tremayne, 2005. "Assessing Persistence In Discrete Nonstationary Time-Series Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 26(2), pages 305-317, March.
  8. Robert Jung & Gerd Ronning & A. Tremayne, 2005. "Estimation in conditional first order autoregression with discrete support," Statistical Papers, Springer, vol. 46(2), pages 195-224, April.
  9. Godfrey, L.G. & Tremayne, A.R., 2005. "The wild bootstrap and heteroskedasticity-robust tests for serial correlation in dynamic regression models," Computational Statistics & Data Analysis, Elsevier, vol. 49(2), pages 377-395, April.
  10. Diane Dancer & Andrew Tremayne, 2005. "R-squared and prediction in regression with ordered quantitative response," Journal of Applied Statistics, Taylor & Francis Journals, vol. 32(5), pages 483-493.
  11. A Stewart Fotheringham & Phil Rees & Tony Champion & Stamatis Kalogirou & Andy R Tremayne, 2004. "The development of a migration model for England and Wales: overview and modelling out-migration," Environment and Planning A, Pion Ltd, London, vol. 36(9), pages 1633-1672, September.
  12. Robert C. Jung & A. R. Tremayne, 2003. "Testing for serial dependence in time series models of counts," Journal of Time Series Analysis, Wiley Blackwell, vol. 24(1), pages 65-84, January.
  13. J. M. Marriott & J. C. Naylor & A. R. Tremayne, 2003. "Exploring economic time series: a Bayesian graphical approach," Econometrics Journal, Royal Economic Society, vol. 6(1), pages 124-145, June.
  14. Leybourne, S J & McCabe, B P M & Tremayne, A R, 1996. "Can Economic Time Series Be Differenced to Stationarity?," Journal of Business & Economic Statistics, American Statistical Association, vol. 14(4), pages 435-446, October.
  15. Davies, N & Tremayne, A R, 1994. "Review of STATGRAPHICS," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 9(3), pages 335-341, July-Sept.
  16. Tremayne, A. R., 1986. "Prediction Error Variances under Heteroscedasticity," Econometric Theory, Cambridge University Press, vol. 2(03), pages 452-454, December.
  17. Poskitt, D. S. & Tremayne, A. R., 1986. "The selection and use of linear and bilinear time series models," International Journal of Forecasting, Elsevier, vol. 2(1), pages 101-114.
  18. Hendry, David F & Tremayne, Andrew R, 1976. "Estimating Systems of Dynamic Reduced Form Equations with Vector Autoregressive Errors," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 17(2), pages 463-471, June.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Tena Horrillo, Juan de Dios & Tremayne, A. R., 2006. "Modelling monetary transmission in UK manufacturing industry," DES - Working Papers. Statistics and Econometrics. WS ws062911, Universidad Carlos III de Madrid. Departamento de Estadística.

    Cited by:

    1. Singh, Sunny Kumar & Rao, D. Tripati, 2014. "Sectoral effects of monetary policy shock: evidence from India," MPRA Paper 62069, University Library of Munich, Germany.
    2. Kirstin Hubrich & Timo Teräsvirta, 2013. "Thresholds and Smooth Transitions in Vector Autoregressive Models," CREATES Research Papers 2013-18, Department of Economics and Business Economics, Aarhus University.
    3. Tena Horrillo, Juan de Dios & Tremayne, A. R., 2006. "Modelling monetary transmission in UK manufacturing industry," DES - Working Papers. Statistics and Econometrics. WS ws062911, Universidad Carlos III de Madrid. Departamento de Estadística.
    4. Demetrescu, Matei & Leppin, Julian Sebastian & Reitz, Stefan, 2017. "Homogenous vs. heterogenous transition functions in smooth transition regressions: A LM-type test," Kiel Working Papers 2094, Kiel Institute for the World Economy (IfW).
    5. Alam, Tasneem & Waheed, Muhammad, 2006. "The monetary transmission mechanism in Pakistan: a sectoral analysis," MPRA Paper 2719, University Library of Munich, Germany, revised 13 Apr 2007.

  2. Tsung Ping Chung & Peter Dolton & Andrew Tremayne, 2004. "The Determinants Of Teacher Supply: Time Series Evidence For The UK, 1962-2001," Royal Economic Society Annual Conference 2004 66, Royal Economic Society.

    Cited by:

    1. Paul Frijters & Michael A. Shields & Stephen Wheatley Price, 2004. "To Teach Or Not To Teach? Panel Data Evidence On The Quitting Decision," Paul Frijters Discussion Papers 2004-5, School of Economics and Finance, Queensland University of Technology.

  3. Jung, Robert & Tremayne, Andrew R., 2001. "Testing serial dependence in time series models of counts against some INARMA alternatives," Tübinger Diskussionsbeiträge 204, University of Tübingen, School of Business and Economics.

    Cited by:

    1. Pitterle, Ingo A. & Steffen, Dirk, 2004. "Welfare effects of fiscal policy under alternative exchange rate regimes: the role of the scale variable of money demand," MPRA Paper 13047, University Library of Munich, Germany, revised Oct 2004.
    2. Manfred Stadler & Rüdiger Wapler, 2004. "Endogenous Skilled-biased Technological Change and Matching Unemployment," Journal of Economics, Springer, vol. 81(1), pages 1-24, January.
    3. Köpke, Nikola & Baten, Jörg, 2003. "The biological standard of living in Europe during the last two millennia," Tübinger Diskussionsbeiträge 265, University of Tübingen, School of Business and Economics.
    4. Stadler, Manfred, 2003. "Innovation and growth: The role of labor-force qualification," Tübinger Diskussionsbeiträge 255, University of Tübingen, School of Business and Economics.
    5. Baten, Jörg & Wallusch, Jacek, 2003. "Market integration and disintegration of Poland and Gemany [Germany] in the 18th century," Tübinger Diskussionsbeiträge 268, University of Tübingen, School of Business and Economics.

  4. McCabe,B.P.M. & Tremayne,A.R., 1995. "Testing a Time-Series for Difference Stationarity," Cambridge Working Papers in Economics 9420, Faculty of Economics, University of Cambridge.

    Cited by:

    1. Psaradakis, Zacharias & Sola, Martin & Spagnolo, Fabio, 2001. "A simple procedure for detecting periodically collapsing rational bubbles," Economics Letters, Elsevier, vol. 72(3), pages 317-323, September.
    2. Distaso, Walter, 2008. "Testing for unit root processes in random coefficient autoregressive models," Journal of Econometrics, Elsevier, vol. 142(1), pages 581-609, January.
    3. Ha, Jeongcheol & Lee, Sangyeol, 2002. "Coefficient constancy test in AR-ARCH models," Statistics & Probability Letters, Elsevier, vol. 57(1), pages 65-77, March.
    4. K Abadir & W Distaso, "undated". "Testing joint hypotheses when one of the alternatives is one-sided," Discussion Papers 05/13, Department of Economics, University of York.
    5. Granger, Clive W. J. & Swanson, Norman R., 1997. "An introduction to stochastic unit-root processes," Journal of Econometrics, Elsevier, vol. 80(1), pages 35-62, September.
    6. Charemza W.W. & M. Lifshits & S. Makarova, 2002. "Conditional testing for unit-root bilinearity in financial time series: some theoretical and empirical results," Computing in Economics and Finance 2002 251, Society for Computational Economics.
    7. Westerlund, Joakim & Larsson, Rolf, 2009. "Testing for a Unit Root in a Random Coefficient Panel Data Model," Working Papers in Economics 383, University of Gothenburg, Department of Economics.
    8. Fong, Pak Wing & Li, Wai Keung, 2003. "On time series with randomized unit root and randomized seasonal unit root," Computational Statistics & Data Analysis, Elsevier, vol. 43(3), pages 369-395, July.
    9. Nagakura, Daisuke, 2009. "Asymptotic theory for explosive random coefficient autoregressive models and inconsistency of a unit root test against a stochastic unit root process," Statistics & Probability Letters, Elsevier, vol. 79(24), pages 2476-2483, December.
    10. Yoon, Gawon, 2016. "Stochastic unit root processes: Maximum likelihood estimation, and new Lagrange multiplier and likelihood ratio tests," Economic Modelling, Elsevier, vol. 52(PB), pages 725-732.

Articles

  1. Robert C. Jung & A. R. Tremayne, 2011. "Convolution‐closed models for count time series with applications," Journal of Time Series Analysis, Wiley Blackwell, vol. 32(3), pages 268-280, May.

    Cited by:

    1. Bisaglia, Luisa & Canale, Antonio, 2016. "Bayesian nonparametric forecasting for INAR models," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 70-78.
    2. Jentsch, Carsten & Weiß, Christian, 2017. "Bootstrapping INAR models," Working Papers 17-02, University of Mannheim, Department of Economics.

  2. Robert Jung & A. Tremayne, 2011. "Useful models for time series of counts or simply wrong ones?," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 95(1), pages 59-91, March.

    Cited by:

    1. Andrea Bastianin & Marzio Galeotti & Matteo Manera, 2011. "Forecast Evaluation in Call Centers: Combined Forecasts, Flexible Loss Functions and Economic Criteria," UNIMI - Research Papers in Economics, Business, and Statistics unimi-1109, Universitá degli Studi di Milano.
    2. Christian Weiß & Hee-Young Kim, 2013. "Parameter estimation for binomial AR(1) models with applications in finance and industry," Statistical Papers, Springer, vol. 54(3), pages 563-590, August.
    3. Dunsmuir, William T. M. & Scott, David J., 2015. "The glarma Package for Observation-Driven Time Series Regression of Counts," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 67(i07).
    4. Christian H. Weiß & Esmeralda Gonçalves & Nazaré Mendes Lopes, 2017. "Testing the compounding structure of the CP-INARCH model," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 80(5), pages 571-603, July.
    5. Šárka Hudecová & Marie Hušková & Simos G. Meintanis, 2017. "Tests for Structural Changes in Time Series of Counts," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 44(4), pages 843-865, December.
    6. Chen, Cathy W.S. & Lee, Sangyeol, 2016. "Generalized Poisson autoregressive models for time series of counts," Computational Statistics & Data Analysis, Elsevier, vol. 99(C), pages 51-67.
    7. Jiwon Kang & Sangyeol Lee, 2014. "Parameter Change Test for Poisson Autoregressive Models," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 41(4), pages 1136-1152, December.
    8. Li, Qi & Lian, Heng & Zhu, Fukang, 2016. "Robust closed-form estimators for the integer-valued GARCH (1,1) model," Computational Statistics & Data Analysis, Elsevier, vol. 101(C), pages 209-225.
    9. Wooi Chen Khoo & Seng Huat Ong & Atanu Biswas, 2017. "Modeling time series of counts with a new class of INAR(1) model," Statistical Papers, Springer, vol. 58(2), pages 393-416, June.
    10. Ole E. Barndorff-Nielsen & Asger Lunde & Neil Shephard & Almut E.D. Veraart, 2014. "Integer-valued Trawl Processes: A Class of Stationary Infinitely Divisible Processes," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 41(3), pages 693-724, September.
    11. Andrea Bastianin & Marzio Galeotti & Matteo Manera, 2017. "Statistical and Economic Evaluation of Time Series Models for Forecasting Arrivals at Call Centers," Working Papers 2017.06, Fondazione Eni Enrico Mattei.
    12. Scotto, Manuel G. & Weiß, Christian H. & Silva, Maria Eduarda & Pereira, Isabel, 2014. "Bivariate binomial autoregressive models," Journal of Multivariate Analysis, Elsevier, vol. 125(C), pages 233-251.

  3. Tena, Juan de Dios & Tremayne, A.R., 2009. "Modelling monetary transmission in UK manufacturing industry," Economic Modelling, Elsevier, vol. 26(5), pages 1053-1066, September.
    See citations under working paper version above.
  4. S. de Silva & K. Hadri & A. R. Tremayne, 2009. "Panel unit root tests in the presence of cross-sectional dependence: finite sample performance and an application," Econometrics Journal, Royal Economic Society, vol. 12(2), pages 340-366, July.

    Cited by:

    1. Hadri, Kaddour & Kurozumi, Eiji, 2012. "A simple panel stationarity test in the presence of serial correlation and a common factor," Economics Letters, Elsevier, vol. 115(1), pages 31-34.
    2. Amélie Charles & Olivier Darné & Jean-François Hoarau, 2010. "Does the real GDP per capita convergence hold in the Common Market for Eastern and Southern Africa?," Post-Print hal-00797485, HAL.
    3. Mitze, Timo & Reinkowski, Janina, 2010. "Testing the Neoclassical Migration Model: Overall and Age-Group Specific Results for German Regions," Ruhr Economic Papers 226, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
    4. Timo Mitze & Selin Özyurt, 2014. "The Spatial Dimension of Trade- and FDI-driven Productivity Growth in Chinese Provinces: A Global Cointegration Approach," Growth and Change, Wiley Blackwell, vol. 45(2), pages 263-291, June.
    5. Becheri, I.G., 2012. "Limiting experiments for panel-data and jump-diffusion models," Other publications TiSEM 7e53f6cf-fab1-4f86-9e5d-b, Tilburg University, School of Economics and Management.
    6. HASHIGUCHI, Yoshihiro & HAMORI, Shigeyuki, 2010. "Small sample properties of CIPS panel unit root test under conditional and unconditional heteroscedasticity," MPRA Paper 24053, University Library of Munich, Germany.
    7. Amélie Charles & Olivier Darne & Jean-François Hoarau, 2012. "Convergence of real per capita GDP within COMESA countries: A panel unit root evidence," The Annals of Regional Science, Springer;Western Regional Science Association, vol. 49(1), pages 53-71, August.
    8. Kaddour Hadri & Eiji Kurozumi, 2008. "A Simple Panel Stationarity Test in the Presence of Cross-Sectional Dependence," Global COE Hi-Stat Discussion Paper Series gd08-016, Institute of Economic Research, Hitotsubashi University.
    9. Robertson, Donald & Sarafidis, Vasilis & Westerlund, Joakim, 2014. "GMM Unit Root Inference in Generally Trending and Cross-Correlated Dynamic Panels," MPRA Paper 53419, University Library of Munich, Germany.
    10. Eiji Kurozumi & Daisuke Yamazaki & Kaddour Hadri, 2013. "Covariate Unit Root Test for Cross-Sectionally Dependent Panel Data," Economics Working Papers 13-01, Queen's Management School, Queen's University Belfast.
    11. Chingnun Lee & Jyh-Lin Wu & Lixiong Yang, 2016. "A Simple Panel Unit-Root Test with Smooth Breaks in the Presence of a Multifactor Error Structure," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 78(3), pages 365-393, June.
    12. Mitze, Timo & Reinkowski, Janina, 2010. "Testing the Validity of the Neoclassical Migration Model: Overall and Age-Group Specific Estimation Results for German Spatial Planning Regions," MPRA Paper 23616, University Library of Munich, Germany.
    13. Shuddhasattwa Rafiq & Ruhul Salim, 2014. "Does oil price volatility matter for Asian emerging economies?," Economic Analysis and Policy, Elsevier, vol. 44(4), pages 417-441.

  5. Jung, Robert C. & Tremayne, A.R., 2006. "Coherent forecasting in integer time series models," International Journal of Forecasting, Elsevier, vol. 22(2), pages 223-238.

    Cited by:

    1. Ruijun Bu & Kaddour Hadri & Brendan McCabe, 2006. "Conditional Maximum Likelihood Estimation of Higher-Order Integer-Valued Autoregressive Processes," Research Papers 200619, University of Liverpool Management School.
    2. Christian Weiß, 2008. "Thinning operations for modeling time series of counts—a survey," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 92(3), pages 319-341, August.
    3. Mohammadipour, Maryam & Boylan, John E., 2012. "Forecast horizon aggregation in integer autoregressive moving average (INARMA) models," Omega, Elsevier, vol. 40(6), pages 703-712.
    4. Jung, Robert C. & Kukuk, Martin & Liesenfeld, Roman, 2006. "Time series of count data: modeling, estimation and diagnostics," Computational Statistics & Data Analysis, Elsevier, vol. 51(4), pages 2350-2364, December.
    5. Chen Xi & Wang Lihong, 2013. "Conditional L1 estimation for random coefficient integer-valued autoregressive processes," Statistics & Risk Modeling, De Gruyter, vol. 30(3), pages 221-235, August.
    6. Bisaglia, Luisa & Canale, Antonio, 2016. "Bayesian nonparametric forecasting for INAR models," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 70-78.
    7. Víctor Enciso-Mora & Peter Neal & T. Subba Rao, 2009. "Efficient order selection algorithms for integer-valued ARMA processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 30(1), pages 1-18, January.
    8. Ruijun Bu & Brendan McCabe & Kaddour Hadri, 2008. "Maximum likelihood estimation of higher-order integer-valued autoregressive processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 29(6), pages 973-994, November.
    9. Raju Maiti & Atanu Biswas, 2015. "Coherent forecasting for stationary time series of discrete data," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 99(3), pages 337-365, July.
    10. Hee-Young Kim & Yousung Park, 2008. "A non-stationary integer-valued autoregressive model," Statistical Papers, Springer, vol. 49(3), pages 485-502, July.
    11. Bu, Ruijun & McCabe, Brendan, 2008. "Model selection, estimation and forecasting in INAR(p) models: A likelihood-based Markov Chain approach," International Journal of Forecasting, Elsevier, vol. 24(1), pages 151-162.
    12. Yousung Park & Hee-Young Kim, 2012. "Diagnostic checks for integer-valued autoregressive models using expected residuals," Statistical Papers, Springer, vol. 53(4), pages 951-970, November.
    13. Vance L. Martin & Andrew R. Tremayne & Robert C. Jung, 2014. "Efficient Method Of Moments Estimators For Integer Time Series Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 35(6), pages 491-516, November.
    14. Jentsch, Carsten & Weiß, Christian, 2017. "Bootstrapping INAR models," Working Papers 17-02, University of Mannheim, Department of Economics.
    15. Luisa Bisaglia & Margherita Gerolimetto, 2015. "Forecasting integer autoregressive processes of order 1: are simple AR competitive?," Economics Bulletin, AccessEcon, vol. 35(3), pages 1652-1660.

  6. Robert Jung & Gerd Ronning & A. Tremayne, 2005. "Estimation in conditional first order autoregression with discrete support," Statistical Papers, Springer, vol. 46(2), pages 195-224, April.

    Cited by:

    1. Schweer, Sebastian & Weiß, Christian H., 2014. "Compound Poisson INAR(1) processes: Stochastic properties and testing for overdispersion," Computational Statistics & Data Analysis, Elsevier, vol. 77(C), pages 267-284.
    2. Sebastian Schweer, 2016. "A Goodness-of-Fit Test for Integer-Valued Autoregressive Processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 37(1), pages 77-98, January.
    3. Christian Weiß & Hee-Young Kim, 2013. "Parameter estimation for binomial AR(1) models with applications in finance and industry," Statistical Papers, Springer, vol. 54(3), pages 563-590, August.
    4. Feike C. Drost & Ramon van den Akker & Bas J. M. Werker, 2009. "Efficient estimation of auto-regression parameters and innovation distributions for semiparametric integer-valued AR("p") models," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 71(2), pages 467-485.
    5. Christian Weiß, 2008. "Thinning operations for modeling time series of counts—a survey," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 92(3), pages 319-341, August.
    6. Jung, Robert C. & Tremayne, A.R., 2006. "Coherent forecasting in integer time series models," International Journal of Forecasting, Elsevier, vol. 22(2), pages 223-238.
    7. Chen Xi & Wang Lihong, 2013. "Conditional L1 estimation for random coefficient integer-valued autoregressive processes," Statistics & Risk Modeling, De Gruyter, vol. 30(3), pages 221-235, August.
    8. Bisaglia, Luisa & Canale, Antonio, 2016. "Bayesian nonparametric forecasting for INAR models," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 70-78.
    9. Weiß, Christian H. & Schweer, Sebastian, 2016. "Bias corrections for moment estimators in Poisson INAR(1) and INARCH(1) processes," Statistics & Probability Letters, Elsevier, vol. 112(C), pages 124-130.
    10. Predrag M. Popović & Miroslav M. Ristić & Aleksandar S. Nastić, 2016. "A geometric bivariate time series with different marginal parameters," Statistical Papers, Springer, vol. 57(3), pages 731-753, September.
    11. Jonas Andersson & Dimitris Karlis, 2010. "Treating missing values in INAR(1) models: An application to syndromic surveillance data," Journal of Time Series Analysis, Wiley Blackwell, vol. 31(1), pages 12-19, January.
    12. Vance L. Martin & Andrew R. Tremayne & Robert C. Jung, 2014. "Efficient Method Of Moments Estimators For Integer Time Series Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 35(6), pages 491-516, November.
    13. Sebastian Schweer & Christian H. Weiß, 2016. "Testing for Poisson arrivals in INAR(1) processes," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 25(3), pages 503-524, September.
    14. Luisa Bisaglia & Margherita Gerolimetto, 2015. "Forecasting integer autoregressive processes of order 1: are simple AR competitive?," Economics Bulletin, AccessEcon, vol. 35(3), pages 1652-1660.
    15. José M. R. Murteira & Mário A. G. Augusto, 2017. "Hurdle models of repayment behaviour in personal loan contracts," Empirical Economics, Springer, vol. 53(2), pages 641-667, September.

  7. Godfrey, L.G. & Tremayne, A.R., 2005. "The wild bootstrap and heteroskedasticity-robust tests for serial correlation in dynamic regression models," Computational Statistics & Data Analysis, Elsevier, vol. 49(2), pages 377-395, April.

    Cited by:

    1. H. Peter Boswijk & Giuseppe Cavaliere & Anders Rahbek & A. M. Robert Taylor, 2013. "Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions," Tinbergen Institute Discussion Papers 13-187/III, Tinbergen Institute.
    2. Erdenebat Bataa & Dong H. Kim & Denise R. Osborn, 2007. "Expectations Hypothesis Tests in the Presence of Model Uncertainty," Discussion Paper Series 0703, Institute of Economic Research, Korea University.
    3. Klaus Grobys, 2015. "Size distortions of the wild bootstrapped HCCME-based LM test for serial correlation in the presence of asymmetric conditional heteroskedasticity," Empirical Economics, Springer, vol. 48(3), pages 1189-1202, May.
    4. Erdenebat Bataa & Denise R. Osborn & Marianne Sensier & Dick van Dijk, 2009. "Changes in International Business Cycle Affiliations," Centre for Growth and Business Cycle Research Discussion Paper Series 132, Economics, The Univeristy of Manchester.
    5. Frauke Schleer & Willi Semmler, 2014. "Financial Sector and Output Dynamics in the Euro Area: Non-linearities Reconsidered," SCEPA working paper series. SCEPA's main areas of research are macroeconomic policy, inequality and poverty, and globalization. 2014-5, Schwartz Center for Economic Policy Analysis (SCEPA), The New School.
    6. E Bataa & D R Osborn & D H Kim, 2006. "A Further Examination of the Expectations Hypothesis for the Term Structure," Centre for Growth and Business Cycle Research Discussion Paper Series 72, Economics, The Univeristy of Manchester.
    7. Godfrey, L.G., 2007. "Alternative approaches to implementing Lagrange multiplier tests for serial correlation in dynamic regression models," Computational Statistics & Data Analysis, Elsevier, vol. 51(7), pages 3282-3295, April.
    8. Asai, Manabu & Brugal, Ivan, 2013. "Forecasting volatility via stock return, range, trading volume and spillover effects: The case of Brazil," The North American Journal of Economics and Finance, Elsevier, vol. 25(C), pages 202-213.
    9. Schleer, Frauke & Semmler, Willi, 2014. "Financial sector-output dynamics in the euro area: Non-linearities reconsidered," ZEW Discussion Papers 13-068 [rev.], ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
    10. Halunga, Andreea G. & Orme, Chris D. & Yamagata, Takashi, 2017. "A heteroskedasticity robust Breusch–Pagan test for Contemporaneous correlation in dynamic panel data models," Journal of Econometrics, Elsevier, vol. 198(2), pages 209-230.
    11. Soo-Bin Jeong & Bong-Hwan Kim & Tae-Hwan Kim & Hyung-Ho Moon, 2017. "Unit Root Tests In The Presence Of Multiple Breaks In Variance," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 62(02), pages 345-361, June.
    12. Karl Whelan, 2005. "Testing parameter stability : a wild bootstrap approach," Open Access publications 10197/225, School of Economics, University College Dublin.
    13. David Harris & Hsein Kew, 2014. "Portmanteau Autocorrelation Tests Under Q-Dependence And Heteroskedasticity," Journal of Time Series Analysis, Wiley Blackwell, vol. 35(3), pages 203-217, May.
    14. Niklas Ahlgren & Paul Catani, 2017. "Wild bootstrap tests for autocorrelation in vector autoregressive models," Statistical Papers, Springer, vol. 58(4), pages 1189-1216, December.

  8. A Stewart Fotheringham & Phil Rees & Tony Champion & Stamatis Kalogirou & Andy R Tremayne, 2004. "The development of a migration model for England and Wales: overview and modelling out-migration," Environment and Planning A, Pion Ltd, London, vol. 36(9), pages 1633-1672, September.

    Cited by:

    1. John Muellbauer & Anthony Murphy & John Muellbauer, 2006. "Housing Market Dynamics and Regional Migration in Britain," Economics Series Working Papers 275, University of Oxford, Department of Economics.
    2. Ioannis Kaplanis & Vassilis Monastiriotis, 2012. "Flexible Employment and Cross-Regional Adjustment," SERC Discussion Papers 0100, Spatial Economics Research Centre, LSE.
    3. Xin Lao & Tiyan Shen & Hengyu Gu, 2018. "Prospect on China’s Urban System by 2020: Evidence from the Prediction Based on Internal Migration Network," Sustainability, MDPI, Open Access Journal, vol. 10(3), pages 1-21, February.
    4. Leo JG Van Wissen & Nicole Gaag & Phil Rees & John Stillwell, 2005. "In search of a modelling strategy for projecting internal migration in European countries - Demographic versus economic-geographical approaches," ERSA conference papers ersa05p787, European Regional Science Association.
    5. John Stillwell, 2005. "Inter-regional migration modelling - a review and assessment," ERSA conference papers ersa05p770, European Regional Science Association.

  9. Robert C. Jung & A. R. Tremayne, 2003. "Testing for serial dependence in time series models of counts," Journal of Time Series Analysis, Wiley Blackwell, vol. 24(1), pages 65-84, January.

    Cited by:

    1. B.P.M. McCabe & G.M. Martin, 2003. "Coherent Predictions of Low Count Time Series," Monash Econometrics and Business Statistics Working Papers 8/03, Monash University, Department of Econometrics and Business Statistics.
    2. Christian Weiß, 2008. "Thinning operations for modeling time series of counts—a survey," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 92(3), pages 319-341, August.
    3. Pedro H. C. Sant’Anna, 2017. "Testing for Uncorrelated Residuals in Dynamic Count Models With an Application to Corporate Bankruptcy," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 35(3), pages 349-358, July.
    4. Jung, Robert C. & Tremayne, A.R., 2006. "Coherent forecasting in integer time series models," International Journal of Forecasting, Elsevier, vol. 22(2), pages 223-238.
    5. Christian Weiß, 2015. "A Poisson INAR(1) model with serially dependent innovations," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 78(7), pages 829-851, October.
    6. McCabe, B.P.M. & Martin, G.M., 2005. "Bayesian predictions of low count time series," International Journal of Forecasting, Elsevier, vol. 21(2), pages 315-330.
    7. Alfredo García-Hiernaux, 2009. "Diagnostic checking using subspace methods," Documentos de Trabajo del ICAE 2009-03, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    8. Yousung Park & Hee-Young Kim, 2012. "Diagnostic checks for integer-valued autoregressive models using expected residuals," Statistical Papers, Springer, vol. 53(4), pages 951-970, November.
    9. Robert Jung & Gerd Ronning & A. Tremayne, 2005. "Estimation in conditional first order autoregression with discrete support," Statistical Papers, Springer, vol. 46(2), pages 195-224, April.

  10. J. M. Marriott & J. C. Naylor & A. R. Tremayne, 2003. "Exploring economic time series: a Bayesian graphical approach," Econometrics Journal, Royal Economic Society, vol. 6(1), pages 124-145, June.

    Cited by:

    1. Naylor, J.C. & Tremayne, A.R. & Marriott, J.M., 2010. "Exploratory data analysis and model criticism with posterior plots," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2707-2720, November.
    2. Yoon, Gawon, 2005. "Has the U.S. economy really become less correlated with that of the rest of the world?," Economic Modelling, Elsevier, vol. 22(1), pages 147-158, January.
    3. Iolanda Lo Cascio & Stephen Pollock, 2007. "Comparative Economic Cycles," Working Papers 599, Queen Mary University of London, School of Economics and Finance.
    4. Gawon Yoon, 2005. "Stochastic Unit Roots in the Capital Asset Pricing Model?," Bulletin of Economic Research, Wiley Blackwell, vol. 57(4), pages 369-389, October.

  11. Leybourne, S J & McCabe, B P M & Tremayne, A R, 1996. "Can Economic Time Series Be Differenced to Stationarity?," Journal of Business & Economic Statistics, American Statistical Association, vol. 14(4), pages 435-446, October.

    Cited by:

    1. Lee, Hwa-Taek & Yoon, Gawon, 2007. "Does Purchasing Power Parity Hold Sometimes? Regime Switching in Real Exchange Rates," Economics Working Papers 2007-24, Christian-Albrechts-University of Kiel, Department of Economics.
    2. Jacek Kwiatkowski, 2006. "A Bayesian Estimation and Testing of STUR Models with Application to Polish Financial Time Series," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 7, pages 151-160.
    3. Francisco de Castro & José M. González-Páramo & Pablo Hernández de Cos, 2001. "Evaluating the dynamics of fiscal policy in Spain: patterns of interdependence and consistency of public expenditure and revenues," Working Papers 0103, Banco de España;Working Papers Homepage.
    4. Psaradakis, Zacharias & Sola, Martin & Spagnolo, Fabio, 2001. "A simple procedure for detecting periodically collapsing rational bubbles," Economics Letters, Elsevier, vol. 72(3), pages 317-323, September.
    5. Offer Lieberman & Peter C.B. Phillips, 2013. "Norming Rates and Limit Theory for Some Time-Varying Coefficient Autoregressions," Cowles Foundation Discussion Papers 1916, Cowles Foundation for Research in Economics, Yale University.
    6. Wu, Jyh-Lin & Chen, Show-Lin, 1997. "Can nominal exchange rates be differenced to stationarity?," Economics Letters, Elsevier, vol. 55(3), pages 397-402, September.
    7. Yoon, Gawon, 2004. "On the existence of expected utility with CRRA under STUR," Economics Letters, Elsevier, vol. 83(2), pages 219-224, May.
    8. Distaso, Walter, 2008. "Testing for unit root processes in random coefficient autoregressive models," Journal of Econometrics, Elsevier, vol. 142(1), pages 581-609, January.
    9. Lucey, Brian M. & Voronkova, Svitlana, 2008. "Russian equity market linkages before and after the 1998 crisis: Evidence from stochastic and regime-switching cointegration tests," Journal of International Money and Finance, Elsevier, vol. 27(8), pages 1303-1324, December.
    10. W. K. Li & Shiqing Ling & Michael McAleer, 2001. "A Survey of Recent Theoretical Results for Time Series Models with GARCH Errors," ISER Discussion Paper 0545, Institute of Social and Economic Research, Osaka University.
    11. Brendan McCabe & Stephen Leybourne & David Harris, 2003. "Testing for Stochastic Cointegration and Evidence for Present Value Models," Econometrics 0311009, EconWPA.
    12. Angelos Kanas, 2009. "Real exchange rate, stationarity, and economic fundamentals," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 33(4), pages 393-409, October.
    13. K Abadir & W Distaso, "undated". "Testing joint hypotheses when one of the alternatives is one-sided," Discussion Papers 05/13, Department of Economics, University of York.
    14. Chowdhury, Khorshed & Mallik, Girijasankar, 2007. "SPair-Wise Output Convergence in East Asia and the Pacific: An Application of Stochastic Unit Root Test," Economics Working Papers wp07-07, School of Economics, University of Wollongong, NSW, Australia.
    15. Granger, Clive W.J., 2005. "The past and future of empirical finance: some personal comments," Journal of Econometrics, Elsevier, vol. 129(1-2), pages 35-40.
    16. Kanas, Angelos, 2006. "Purchasing Power Parity and Markov Regime Switching," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 38(6), pages 1669-1687, September.
    17. Magdalena Osinska & Joanna Górka, 2006. "Identification of Non-linearity in Economic Time Series," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 7, pages 83-92.
    18. Yoon, Gawon, 2005. "An introduction to I([infinity]) processes," Economic Modelling, Elsevier, vol. 22(3), pages 473-483, May.
    19. Granger, Clive W. J. & Swanson, Norman R., 1997. "An introduction to stochastic unit-root processes," Journal of Econometrics, Elsevier, vol. 80(1), pages 35-62, September.
    20. Charemza W.W. & M. Lifshits & S. Makarova, 2002. "Conditional testing for unit-root bilinearity in financial time series: some theoretical and empirical results," Computing in Economics and Finance 2002 251, Society for Computational Economics.
    21. Westerlund, Joakim & Larsson, Rolf, 2009. "Testing for a Unit Root in a Random Coefficient Panel Data Model," Working Papers in Economics 383, University of Gothenburg, Department of Economics.
    22. Daisuke Nagakura, 2007. "Testing for Coefficient Stability of AR(1) Model When the Null is an Integrated or a Stationary Process," IMES Discussion Paper Series 07-E-20, Institute for Monetary and Economic Studies, Bank of Japan.
    23. Fong, P.W. & Li, W.K. & An, Hong-Zhi, 2006. "A simple multivariate ARCH model specified by random coefficients," Computational Statistics & Data Analysis, Elsevier, vol. 51(3), pages 1779-1802, December.
    24. Yoon, Gawon, 2005. "Has the U.S. economy really become less correlated with that of the rest of the world?," Economic Modelling, Elsevier, vol. 22(1), pages 147-158, January.
    25. Zacharias Psaradakis & Martin Sola & Fabio Spagnolo, 2004. "On Markov error-correction models, with an application to stock prices and dividends," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 19(1), pages 69-88.
    26. Franco Bevilacqua & Adriaan van Zon, 2002. "Random Walks and Non-Linear Paths in Macroeconomic Time Series: Some Evidence and Implications," Working Papers geewp22, Vienna University of Economics and Business Research Group: Growth and Employment in Europe: Sustainability and Competitiveness.
    27. Hwa-Taek Lee & Gawon Yoon, 2013. "Does purchasing power parity hold sometimes? Regime switching in real exchange rates," Applied Economics, Taylor & Francis Journals, vol. 45(16), pages 2279-2294, June.
    28. Zacharias Psaradakis & Fabio Spagnolo, 2005. "Forecast performance of nonlinear error-correction models with multiple regimes," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 24(2), pages 119-138.
    29. Angelos Kanas, 2009. "Real exchange rates and developing countries," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 14(3), pages 280-299.
    30. Gawon Yoon, 2005. "Stochastic Unit Roots in the Capital Asset Pricing Model?," Bulletin of Economic Research, Wiley Blackwell, vol. 57(4), pages 369-389, October.
    31. Ruey Yau & C. James Hueng, 2007. "Output convergence revisited: new time series results on industrialized countries," Applied Economics Letters, Taylor & Francis Journals, vol. 14(1), pages 75-77.
    32. Berenguer Rico, Vanessa & Gonzalo, Jesús, 2011. "Summability of stochastic processes: a generalization of integration and co-integration valid for non-linear processes," UC3M Working papers. Economics we1115, Universidad Carlos III de Madrid. Departamento de Economía.
    33. Berenguer-Rico, Vanessa & Gonzalo, Jesús, 2014. "Summability of stochastic processes—A generalization of integration for non-linear processes," Journal of Econometrics, Elsevier, vol. 178(P2), pages 331-341.
    34. Francisco De Castro & Pablo Hernández De Cos, 2002. "On the sustainability of the Spanish public budget performance," Hacienda Pública Española, IEF, vol. 160(1), pages 9-28, march.
    35. Fong, Pak Wing & Li, Wai Keung, 2003. "On time series with randomized unit root and randomized seasonal unit root," Computational Statistics & Data Analysis, Elsevier, vol. 43(3), pages 369-395, July.
    36. Magdalena Osińska & Aleksandra Matuszewska, 2006. "Detecting Some Dynamic Properties of the Euro/Dollar Exchange Rate," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 12(3), pages 327-341, August.
    37. Franses, Philip Hans & Paap, Richard & Vroomen, Bjorn, 2004. "Forecasting unemployment using an autoregression with censored latent effects parameters," International Journal of Forecasting, Elsevier, vol. 20(2), pages 255-271.
    38. Francq, Christian & Makarova, Svetlana & Zakoi[diaeresis]an, Jean-Michel, 2008. "A class of stochastic unit-root bilinear processes: Mixing properties and unit-root test," Journal of Econometrics, Elsevier, vol. 142(1), pages 312-326, January.
    39. Asmaa Ahmed, 2005. "Random Walks in the Economic Dynamic Series," Economic Thought journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 2, pages 78-100.
    40. Franses, Ph.H.B.F. & Paap, R., 1998. "Modelling asymmetric persistence over the business cycle," Econometric Institute Research Papers EI 9852, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    41. Offer Lieberman & Peter C.B. Phillips, 2017. "Hybrid Stochastic Local Unit Roots," Cowles Foundation Discussion Papers 2113, Cowles Foundation for Research in Economics, Yale University.
    42. Yoon, Gawon, 2016. "Stochastic unit root processes: Maximum likelihood estimation, and new Lagrange multiplier and likelihood ratio tests," Economic Modelling, Elsevier, vol. 52(PB), pages 725-732.

  12. Poskitt, D. S. & Tremayne, A. R., 1986. "The selection and use of linear and bilinear time series models," International Journal of Forecasting, Elsevier, vol. 2(1), pages 101-114.

    Cited by:

    1. Franses, Ph.H.B.F., 2018. "Model-based forecast adjustment; with an illustration to inflation," Econometric Institute Research Papers EI2018-14, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    2. Jan G. de Gooijer & Rob J. Hyndman, 2005. "25 Years of IIF Time Series Forecasting: A Selective Review," Tinbergen Institute Discussion Papers 05-068/4, Tinbergen Institute.
    3. Rossen, Anja, 2011. "On the predictive content of nonlinear transformations of lagged autoregression residuals and time series observations," HWWI Research Papers 113, Hamburg Institute of International Economics (HWWI).
    4. De Gooijer, Jan G. & Hyndman, Rob J., 2006. "25 years of time series forecasting," International Journal of Forecasting, Elsevier, vol. 22(3), pages 443-473.
    5. Liu, Yamei, 2000. "Overfitting and forecasting: linear versus non-linear time series models," ISU General Staff Papers 2000010108000014914, Iowa State University, Department of Economics.
    6. Zaher Mundher Yaseen & Mazen Ismaeel Ghareb & Isa Ebtehaj & Hossein Bonakdari & Ridwan Siddique & Salim Heddam & Ali A. Yusif & Ravinesh Deo, 2018. "Rainfall Pattern Forecasting Using Novel Hybrid Intelligent Model Based ANFIS-FFA," Water Resources Management: An International Journal, Published for the European Water Resources Association (EWRA), Springer;European Water Resources Association (EWRA), vol. 32(1), pages 105-122, January.

  13. Hendry, David F & Tremayne, Andrew R, 1976. "Estimating Systems of Dynamic Reduced Form Equations with Vector Autoregressive Errors," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 17(2), pages 463-471, June.

    Cited by:

    1. David F. Hendry & Gordon J. Anderson, 1975. "Testing Dynamic Specification in Small Simultaneous Systems: An Application to a Model of Building Society Behavior in the United Kingdom," Cowles Foundation Discussion Papers 398, Cowles Foundation for Research in Economics, Yale University.

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NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 2 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-CBA: Central Banking (1) 2006-06-03
  2. NEP-ECM: Econometrics (1) 2003-09-28
  3. NEP-ETS: Econometric Time Series (1) 2003-09-28
  4. NEP-MAC: Macroeconomics (1) 2006-06-03
  5. NEP-MON: Monetary Economics (1) 2006-06-03

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