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

by Sims, Christopher A

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  1. Oliver Linton & Enno Mammen, 2006. "Nonparametric Transformation to White Noise," STICERD - Econometrics Paper Series 503, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  2. Dufour, Jean-Marie, 2001. "Logique et tests d’hypothèses," L'Actualité Economique, Société Canadienne de Science Economique, vol. 77(2), pages 171-190, juin.
  3. Elena Andreou & Eric Ghysels & Andros Kourtellos, 2007. "Regression Models with Mixed Sampling Frequencies," University of Cyprus Working Papers in Economics 8-2007, University of Cyprus Department of Economics.
  4. E Andreou & A Pelloni & M Sensier, 2003. "The effect of nominal shock uncertainty on output growth," Centre for Growth and Business Cycle Research Discussion Paper Series 40, Economics, The Univeristy of Manchester.
  5. Gary R. Skoog, 1976. "Systematically missing data in econometric models," Staff Report 13, Federal Reserve Bank of Minneapolis.
  6. Eric Ghysels & Pedro Santa-Clara & Rossen Valkanov, 2004. "The MIDAS Touch: Mixed Data Sampling Regression Models," CIRANO Working Papers 2004s-20, CIRANO.
  7. Lawrence J. Christiano, 1986. "Temporal aggregation bias and government policy evaluation," Working Papers 302, Federal Reserve Bank of Minneapolis.
  8. David Aadland, 2002. "Detrending Time-Aggregated Data," Microeconomics 0211015, EconWPA.
  9. 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.
  10. Michael J. Stutzer, 1980. "Chaotic dynamics and bifurcation in a macro model," Staff Report 55, Federal Reserve Bank of Minneapolis.
  11. Forni, Mario & Lippi, Marco, 1999. "Aggregation of linear dynamic microeconomic models," Journal of Mathematical Economics, Elsevier, vol. 31(1), pages 131-158, February.
  12. Jean-Marie Dufour, 2001. "Logiques et tests d'hypothèses : réflexions sur les problèmes mal posés en économétrie," CIRANO Working Papers 2001s-40, CIRANO.
  13. Lars Peter Hansen & Thomas J. Sargent, 1982. "Formulating and estimating continuous time rational expectations models," Staff Report 75, Federal Reserve Bank of Minneapolis.
  14. Palm, F.C. & Nijman, Th., 1982. "Missing observations in the dynamic regression model," Serie Research Memoranda 0018, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
  15. Marcellino, Massimiliano, 1999. "Some Consequences of Temporal Aggregation in Empirical Analysis," Journal of Business & Economic Statistics, American Statistical Association, vol. 17(1), pages 129-36, January.
  16. 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.
  17. St-Amant, P. & Tessier, D., 1998. "A Discussion of the Reliability of Results Obtained with Long-Run Identifying Restrictions," Staff Working Papers 98-4, Bank of Canada.
  18. Oscar Jorda & Massimiliano Marcellino, 2003. "Stochastic Processes Subject To Time Scale Transformations: An Application To High-Frequency Fx Data," Working Papers 02, University of California, Davis, Department of Economics.
  19. 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.
  20. McCrorie, J.R. & Chambers, M.J., 2004. "Granger Causality and the Sampling of Economic Processes," Discussion Paper 2004-39, Tilburg University, Center for Economic Research.
  21. 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.
  22. 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.
  23. Lawrence J. Christiano & Martin Eichenbaum & David Marshall, 1987. "The Permanent Income Hypothesis Revisited," NBER Working Papers 2209, National Bureau of Economic Research, Inc.
  24. 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.
  25. P.Antipa, 2014. "How Fiscal Policy Affects the Price Level: Britain’s First Experience with Paper Money," Working papers 525, Banque de France.
  26. Lo, Andrew W., 1988. "Maximum Likelihood Estimation of Generalized Itô Processes with Discretely Sampled Data," Econometric Theory, Cambridge University Press, vol. 4(02), pages 231-247, August.
  27. Lawrence J. Christiano, 1980. "The term structure of interest rates and the aliasing identification problem," Working Papers 165, Federal Reserve Bank of Minneapolis.
  28. DUFOUR, Jean-Marie, 2003. "Identification, Weak Instruments and Statistical Inference in Econometrics," Cahiers de recherche 10-2003, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  29. Lars Peter Hansen & Thomas J. Sargent, 1980. "Rational expectations models and the aliasing phenomenon," Staff Report 60, Federal Reserve Bank of Minneapolis.
  30. Jean-Marie Dufour & Tarek Jouini, 2005. "Finite-Sample Simulation-Based Inference in VAR Models with Applications to Order Selection and Causality Testing," CIRANO Working Papers 2005s-26, CIRANO.
  31. Götz T.B. & Hecq A.W., 2014. "Testing for Granger causality in large mixed-frequency VARs," Research Memorandum 028, Maastricht University, Graduate School of Business and Economics (GSBE).
  32. 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.
  33. Peter K. Clark, 1974. "Operational Time and Seasonality in Distributed Lag Estimation," NBER Working Papers 0032, National Bureau of Economic Research, Inc.
  34. 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.
  35. Phoebus J. Dhrymes, 1972. "Distributed Lags:A Survey," UCLA Economics Working Papers 024, UCLA Department of Economics.
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