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

by Sims, Christopher A

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  1. 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.
  2. 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.
  3. 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.
  4. 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.
  5. 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.
  6. 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.
  7. 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.
  8. Lawrence J. Christiano, 1980. "The term structure of interest rates and the aliasing identification problem," Working Papers 165, Federal Reserve Bank of Minneapolis.
  9. Lars Peter Hansen & Thomas J. Sargent, 1982. "Formulating and estimating continuous time rational expectations models," Staff Report 75, Federal Reserve Bank of Minneapolis.
  10. 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.
  11. Jean-Marie Dufour, 2003. "Identification, Weak Instruments and Statistical Inference in Econometrics," CIRANO Working Papers 2003s-49, CIRANO.
  12. Andreou, Elena & Ghysels, Eric & Kourtellos, Andros, 2010. "Regression models with mixed sampling frequencies," Journal of Econometrics, Elsevier, vol. 158(2), pages 246-261, October.
  13. Götz, Thomas B. & Hecq, Alain & Smeekes, Stephan, 2016. "Testing for Granger causality in large mixed-frequency VARs," Journal of Econometrics, Elsevier, vol. 193(2), pages 418-432.
  14. Andrew W. Lo, "undated". "Maximum Likelihood Estimation of Generalized Ito Processes with Discretely Sampled Data," Rodney L. White Center for Financial Research Working Papers 15-86, Wharton School Rodney L. White Center for Financial Research.
  15. Alexandre Petkovic & David Veredas, 2010. "Aggregation of linear models for panel data," ULB Institutional Repository 2013/136203, ULB -- Universite Libre de Bruxelles.
  16. Peter K. Clark, 1974. "Operational Time and Seasonality in Distributed Lag Estimation," NBER Working Papers 0032, National Bureau of Economic Research, Inc.
  17. Grant Kirkpatrick, 1982. "Real factor prices and German manufacturing employment: A time series analysis, 1960I–1979IV," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 118(1), pages 79-103, March.
  18. P.Antipa, 2014. "How Fiscal Policy Affects the Price Level: Britain’s First Experience with Paper Money," Working papers 525, Banque de France.
  19. Phoebus J. Dhrymes, 1972. "Distributed Lags:A Survey," UCLA Economics Working Papers 024, UCLA Department of Economics.
  20. Dufour, Jean-Marie, 2001. "Logique et tests d’hypothèses," L'Actualité Economique, Société Canadienne de Science Economique, vol. 77(2), pages 171-190, juin.
  21. Aadland, David, 2005. "Detrending time-aggregated data," Economics Letters, Elsevier, vol. 89(3), pages 287-293, December.
  22. 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.
  23. Forni, Mario & Lippi, Marco, 1999. "Aggregation of linear dynamic microeconomic models," Journal of Mathematical Economics, Elsevier, vol. 31(1), pages 131-158, February.
  24. 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.
  25. Dufour, J.M., 2001. "Logique et tests d'hypotheses: reflexions sur les problemes mal poses en econometrie," Cahiers de recherche 2001-15, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  26. McCrorie, J. Roderick & Chambers, Marcus J., 2006. "Granger causality and the sampling of economic processes," Journal of Econometrics, Elsevier, vol. 132(2), pages 311-336, June.
  27. Lawrence J. Christiano & Martin Eichenbaum & David Marshall, 1987. "The Permanent Income Hypothesis Revisited," NBER Working Papers 2209, National Bureau of Economic Research, Inc.
  28. 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.
  29. 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.
  30. Bent Jesper Christensen & Olaf Posch & Michel van der Wel, 2014. "Estimating Dynamic Equilibrium Models Using Mixed Frequency Macro and Financial Data," CESifo Working Paper Series 5030, CESifo Group Munich.
  31. 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.
  32. Marcellino, Massimiliano, 1999. "Some Consequences of Temporal Aggregation in Empirical Analysis," Journal of Business & Economic Statistics, American Statistical Association, vol. 17(1), pages 129-136, January.
  33. 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.
  34. Lars Peter Hansen & Thomas J. Sargent, 1980. "Rational expectations models and the aliasing phenomenon," Staff Report 60, Federal Reserve Bank of Minneapolis.
  35. Gary R. Skoog, 1976. "Systematically missing data in econometric models," Staff Report 13, Federal Reserve Bank of Minneapolis.
  36. Michael J. Stutzer, 1980. "Chaotic dynamics and bifurcation in a macro model," Staff Report 55, Federal Reserve Bank of Minneapolis.
  37. Lawrence J. Christiano, 1986. "Temporal aggregation bias and government policy evaluation," Working Papers 302, Federal Reserve Bank of Minneapolis.
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