Testing Models of Low-Frequency Variability

Citations

Cited by:

1. Giraitis, Liudas & Kapetanios, George & Marcellino, Massimiliano, 2021. "Time-varying instrumental variable estimation," Journal of Econometrics, Elsevier, vol. 224(2), pages 394-415.
   • Luidas Giraitis & George Kapetanios & Massimiliano Marcellino, 2020. "Time-Varying Instrumental Variable Estimation," Working Papers 911, Queen Mary University of London, School of Economics and Finance.
   • Marcellino, Massimiliano & Kapetanios, George & Giraitis, Liudas, 2020. "Time-Varying Instrumental Variable Estimation," CEPR Discussion Papers 15210, C.E.P.R. Discussion Papers.
2. Alfred A. Haug & Ian P. King, 2011. "Empirical Evidence on Inflation and Unemployment in the Long Run," Department of Economics - Working Papers Series 1128, The University of Melbourne.
   • Alfred A. Haug & Ian P. King, 2011. "Empirical Evidence on Inflation and Unemployment in the Long Run," Working Papers 1109, University of Otago, Department of Economics, revised Aug 2011.
   • Haug, Alfred A. & King, Ian P., 2011. "Empirical evidence on inflation and unemployment in the long run," MPRA Paper 33409, University Library of Munich, Germany.
3. Zhongjun Qu, 2011. "A Test Against Spurious Long Memory," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 29(3), pages 423-438, July.
   • Qu, Zhongjun, 2011. "A Test Against Spurious Long Memory," Journal of Business & Economic Statistics, American Statistical Association, vol. 29(3), pages 423-438.
   • Zhongjun Qu, 2010. "A Test Against Spurious Long Memory," Boston University - Department of Economics - Working Papers Series WP2010-051, Boston University - Department of Economics.
4. Gadea Rivas, María Dolores & Gonzalo, Jesús, 2020. "Trends in distributional characteristics: Existence of global warming," Journal of Econometrics, Elsevier, vol. 214(1), pages 153-174.
   • Gadea Rivas, María Dolores & Gonzalo, Jesús, 2017. "Trends in distributional characteristics : Existence of global warming," UC3M Working papers. Economics 24121, Universidad Carlos III de Madrid. Departamento de Economía.
5. Bauwens, Luc & Chevillon, Guillaume & Laurent, Sébastien, 2023. "We modeled long memory with just one lag!," Journal of Econometrics, Elsevier, vol. 236(1).
   • Bauwens, Luc & Chevillon, Guillaume & Laurent, Sébastien, 2022. "We modeled long memory with just one lag!," LIDAM Discussion Papers CORE 2022016, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
   • Luc Bauwens & Guillaume Chevillon & Sébastien Laurent, 2023. "We modeled long memory with just one lag!," Post-Print hal-04185755, HAL.
   • Bauwens, Luc & Chevillon, Guillaume & Laurent, Sébastien, 2023. "We modeled long memory with just one lag!," LIDAM Reprints CORE 3234, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
6. Andrew T. Foerster & Andreas Hornstein & Pierre-Daniel G. Sarte & Mark W. Watson, 2022. "Aggregate Implications of Changing Sectoral Trends," Journal of Political Economy, University of Chicago Press, vol. 130(12), pages 3286-3333.
   • Andrew Foerster & Andreas Hornstein & Mark Watson & Pierre-Daniel Sarte, 2019. "Sectoral and Aggregate Structural Change," 2019 Meeting Papers 532, Society for Economic Dynamics.
   • Andrew T. Foerster & Andreas Hornstein & Pierre-Daniel G. Sarte & Mark W. Watson, 2021. "Aggregate Implications of Changing Sectoral Trends," Working Papers 2021-54, Princeton University. Economics Department..
   • Andrew Foerster & Andreas Hornstein & Pierre-Daniel Sarte & Mark W. Watson, 2019. "Aggregate Implications of Changing Sectoral Trends," NBER Working Papers 25867, National Bureau of Economic Research, Inc.
   • Andrew T. Foerster & Andreas Hornstein & Pierre-Daniel G. Sarte & Mark W. Watson, 2022. "Aggregate Implications of Changing Sectoral Trends," Working Paper Series 2019-16, Federal Reserve Bank of San Francisco.
   • Andrew Foerster & Andreas Hornstein & Pierre-Daniel G. Sarte & Mark W. Watson, 2019. "Aggregate Implications of Changing Sectoral Trends," Working Paper 19-11, Federal Reserve Bank of Richmond.
7. Chevillon, Guillaume & Hecq, Alain & Laurent, Sébastien, 2018. "Generating univariate fractional integration within a large VAR(1)," Journal of Econometrics, Elsevier, vol. 204(1), pages 54-65.
   • Guillaume Chevillon & Alain Hecq & Sébastien Laurent, 2018. "Generating Univariate Fractional Integration within a Large VAR(1)," Working Papers halshs-01944588, HAL.
   • Guillaume Chevillon & Alain Hecq & Sébastien Laurent, 2018. "Generating Univariate Fractional Integration within a Large VAR(1)," AMSE Working Papers 1844, Aix-Marseille School of Economics, France.
   • Guillaume Chevillon & Alain Hecq & Sébastien Laurent, 2018. "Generating univariate fractional integration within a large VAR(1)," Post-Print hal-01980783, HAL.
8. Ulrich K. Müller & Mark W. Watson, 2021. "Spatial Correlation Robust Inference," Working Papers 2021-61, Princeton University. Economics Department..
9. Chevillon, Guillaume & Mavroeidis, Sophocles, 2011. "Learning generates Long Memory," ESSEC Working Papers WP1113, ESSEC Research Center, ESSEC Business School.
   • Guillaume Chevillon & Sophocles Mavroeidis, 2013. "Learning generates Long Memory," Post-Print hal-00661012, HAL.
10. Zhou, Bo, 2017. "Semiparametric inference for non-LAN models," Other publications TiSEM 0ea4fd8a-937d-4c19-8f77-f, Tilburg University, School of Economics and Management.
11. Domenico Giannone & Michele Lenza & Giorgio E. Primiceri, 2019. "Priors for the Long Run," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 114(526), pages 565-580, April.
    • Primiceri, Giorgio & Giannone, Domenico & Lenza, Michele, 2016. "Priors for the Long Run," CEPR Discussion Papers 11261, C.E.P.R. Discussion Papers.
    • Domenico Giannone & Michele Lenza & Giorgio E. Primiceri, 2017. "Priors for the long run," Staff Reports 832, Federal Reserve Bank of New York.
    • Giannone, Domenico & Lenza, Michele & Primiceri, Giorgio E., 2018. "Priors for the long run," Working Paper Series 2132, European Central Bank.
12. Cuestas Juan Carlos & Gil-Alana Luis Alberiko, 2016. "Testing for long memory in the presence of non-linear deterministic trends with Chebyshev polynomials," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 20(1), pages 57-74, February.
13. Arturo Estrella, 2007. "Extracting business cycle fluctuations: what do time series filters really do?," Staff Reports 289, Federal Reserve Bank of New York.
14. Francesco Bianchi & Martin Lettau & Sydney C. Ludvigson, 2016. "Monetary Policy and Asset Valuation," NBER Working Papers 22572, National Bureau of Economic Research, Inc.
    • Bianchi, Francesco & Lettau, Martin & Ludvigson, Sydney, 2017. "Monetary Policy and Asset Valuation," CEPR Discussion Papers 12275, C.E.P.R. Discussion Papers.
    • Lettau, Martin & Ludvigson, Sydney & Bianchi, Francesco, 2018. "Monetary Policy and Asset Valuation," CEPR Discussion Papers 12671, C.E.P.R. Discussion Papers.
    • Francesco Bianchi, 2017. "Monetary Policy and Asset Valuation," 2017 Meeting Papers 500, Society for Economic Dynamics.
15. Ye Lu & Adrian Pagan, 2023. "To Boost or Not to Boost? That is the Question," CAMA Working Papers 2023-12, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    • Ye Lu & Adrian Pagan, 2023. "To Boost or Not to Boost? That is the Question," Working Papers 2023-05, University of Sydney, School of Economics.
16. Bandi, F.M. & Perron, B. & Tamoni, A. & Tebaldi, C., 2019. "The scale of predictability," Journal of Econometrics, Elsevier, vol. 208(1), pages 120-140.
    • Federico M. Bandi & Bernard Perron & Andrea Tamoni & Claudio Tebaldi, 2014. "The scale of predictability," Working Papers 509, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    • Bandi, F.M & Perron, B & Tamoni, Andrea & Tebaldi, C., 2018. "The scale of predictability," LSE Research Online Documents on Economics 85646, London School of Economics and Political Science, LSE Library.
    • Federico M. Bandi & Benoit Perron & Andrea Tamoni & Claudio Tebaldi, 2015. "The scale of predictability," CIRANO Working Papers 2015s-21, CIRANO.
17. Chevillon, Guillaume & Hecq , Alain & Laurent, Sébastien, 2015. "Long Memory Through Marginalization of Large Systems and Hidden Cross-Section Dependence," ESSEC Working Papers WP1507, ESSEC Research Center, ESSEC Business School.
    • Chevillon, G. & Hecq, A.W. & Laurent, S.F.J.A., 2015. "Long memory through marginalization of large systems and hidden cross-section dependence," Research Memorandum 014, Maastricht University, Graduate School of Business and Economics (GSBE).
    • Guillaume Chevillon & Alain Hecq & Sébastien Laurent, 2015. "Long Memory Through Marginalization of Large Systems and Hidden Cross-Section Dependence," Working Papers hal-01158524, HAL.
18. Hansen, Peter R. & Lunde, Asger, 2014. "Estimating The Persistence And The Autocorrelation Function Of A Time Series That Is Measured With Error," Econometric Theory, Cambridge University Press, vol. 30(1), pages 60-93, February.
    • Peter R. Hansen & Asger Lunde, 2010. "Estimating the Persistence and the Autocorrelation Function of a Time Series that is Measured with Error," CREATES Research Papers 2010-08, Department of Economics and Business Economics, Aarhus University.
19. Alfred A. Haug & William G. Dewald, 2012. "Money, Output, And Inflation In The Longer Term: Major Industrial Countries, 1880–2001," Economic Inquiry, Western Economic Association International, vol. 50(3), pages 773-787, July.
    • Alfred A. Haug & William G. Dewald, 2010. "Money, Output and Inflation in the Longer Term: Major Industrial Countries, 1880-2001," Working Papers 1013, University of Otago, Department of Economics, revised Sep 2010.
20. Jungbin Hwang & Gonzalo Valdés, 2020. "Low Frequency Cointegrating Regression in the Presence of Local to Unity Regressors and Unknown Form of Serial Dependence," Working papers 2020-03, University of Connecticut, Department of Economics, revised Aug 2020.
21. Charles S. Bos & Siem Jan Koopman & Marius Ooms, 2007. "Long memory modelling of inflation with stochastic variance and structural breaks," CREATES Research Papers 2007-44, Department of Economics and Business Economics, Aarhus University.
    • C.S. Bos & S.J. Koopman & M. Ooms, 2007. "Long Memory Modelling of Inflation with Stochastic Variance and Structural Breaks," Tinbergen Institute Discussion Papers 07-099/4, Tinbergen Institute.
22. Zhang, Rongmao & Chan, Ngai Hang, 2018. "Portmanteau-type tests for unit-root and cointegration," Journal of Econometrics, Elsevier, vol. 207(2), pages 307-324.
23. Alfred A. Haug, 2014. "On real interest rate persistence: the role of breaks," Applied Economics, Taylor & Francis Journals, vol. 46(10), pages 1058-1066, April.
    • Alfred Haug, 2012. "On real interest rate persistence: the role of breaks," Working Papers 65, Department of Applied Econometrics, Warsaw School of Economics.
    • Alfred A. Haug, 2013. "On Real Interest Rate Persistence: The Role of Breaks," Working Papers 1303, University of Otago, Department of Economics, revised Jan 2013.
24. Ulrich K. Müller & Mark W. Watson, 2015. "Low-Frequency Econometrics," NBER Working Papers 21564, National Bureau of Economic Research, Inc.
25. Ulrich K. Müller & Mark W. Watson, 2016. "Measuring Uncertainty about Long-Run Predictions," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 83(4), pages 1711-1740.
    • Ulrich Mueller & Mark W. Watson, 2013. "Measuring Uncertainty about Long-Run Prediction," NBER Working Papers 18870, National Bureau of Economic Research, Inc.
26. Müller, Ulrich K. & Watson, Mark W., 2013. "Low-frequency robust cointegration testing," Journal of Econometrics, Elsevier, vol. 174(2), pages 66-81.
    • Ulrich Müller & Mark W. Watson, 2009. "Low-Frequency Robust Cointegration Testing," NBER Working Papers 15292, National Bureau of Economic Research, Inc.
27. Chevillon, Guillaume & Mavroeidis, Sophocles, 2017. "Learning can generate long memory," Journal of Econometrics, Elsevier, vol. 198(1), pages 1-9.
28. María Dolores Gadea Rivas & Jesús Gonzalo, 2022. "A tale of three cities: climate heterogeneity," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, vol. 13(1), pages 475-511, May.
29. Haug, Alfred A. & King, Ian, 2014. "In the long run, US unemployment follows inflation like a faithful dog," Journal of Macroeconomics, Elsevier, vol. 41(C), pages 42-52.
30. Onatski, Alexei & Uhlig, Harald, 2012. "Unit Roots In White Noise," Econometric Theory, Cambridge University Press, vol. 28(3), pages 485-508, June.
    • Onatski, Alexei & Uhlig, Harald, 2009. "Unit Roots in White Noise," MPRA Paper 14057, University Library of Munich, Germany.
31. White Halbert & Granger Clive W.J., 2011. "Consideration of Trends in Time Series," Journal of Time Series Econometrics, De Gruyter, vol. 3(1), pages 1-40, February.
32. Gadea Rivas, Marta Dolores & Gonzalo, Jesús, 2022. "Climate change heterogeneity: a new quantitative approach," UC3M Working papers. Economics 35442, Universidad Carlos III de Madrid. Departamento de Economía.
    • Maria Dolores Gadea & Jesus Gonzalo, 2023. "Climate change heterogeneity: A new quantitative approach," Papers 2301.02648, arXiv.org.
33. Sizova, Natalia, 2014. "A frequency-domain alternative to long-horizon regressions with application to return predictability," Journal of Empirical Finance, Elsevier, vol. 28(C), pages 261-272.
34. Giraitis, L. & Kapetanios, G. & Yates, T., 2014. "Inference on stochastic time-varying coefficient models," Journal of Econometrics, Elsevier, vol. 179(1), pages 46-65.
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36. Dmitry Arkhangelsky & Vasily Korovkin, 2020. "On Policy Evaluation with Aggregate Time-Series Shocks," CERGE-EI Working Papers wp657, The Center for Economic Research and Graduate Education - Economics Institute, Prague.