IDEAS home Printed from
MyIDEAS: Log in (now much improved!)

Citations for "Local Whittle estimation of fractional integration and some of its variants"

by Shimotsu, Katsumi & Phillips, Peter C.B.

For a complete description of this item, click here. For a RSS feed for citations of this item, click here.
as in new window

  1. Stengos, Thanasis & Yazgan, M. Ege, 2014. "Persistence In Convergence," Macroeconomic Dynamics, Cambridge University Press, vol. 18(04), pages 753-782, June.
  2. Gawon Yoon, 2009. "Purchasing power parity and long memory," Applied Economics Letters, Taylor & Francis Journals, vol. 16(1), pages 55-61.
  3. Katsumi Shimotsu, 2006. "Exact Local Whittle Estimation of Fractional Integration with Unknown Mean and Time Trend," Working Papers 1061, Queen's University, Department of Economics.
  4. Hans KREMERS & Andreas LOESCHEL, . "The Strategic Implications of Setting Border Tax Adjustments," EcoMod2010 259600097, EcoMod.
  5. de Figueiredo, Erik Alencar, 2010. "Dynamics of regional unemployment rates in Brazil: Fractional behavior, structural breaks, and Markov switching," Economic Modelling, Elsevier, vol. 27(5), pages 900-908, September.
  6. Manabu Asai & Michael McAleer, 2014. "Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance," Documentos de Trabajo del ICAE 2014-05, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  7. Thanasis Stengos & M. Ege Yazgan, 2012. "Persistence in Real Exchange Rate Convergence," Working Papers 1207, University of Guelph, Department of Economics and Finance.
  8. Stelios Arvanitis & Antonis Demos, . "A Class of Indirect Inference Estimators: Higher Order Asymptotics and Approximate Bias Correction (Revised)," DEOS Working Papers 1411, Athens University of Economics and Business, revised 23 Sep 2014.
  9. Mohamed Boutahar & Gilles Dufrénot & Anne Peguin-Feissolle, 2008. "A SIMPLE FRACTIONALLY INTEGRATED MODEL WITH A TIME-VARYING LONG MEMORY PARAMETER Dt," Working Papers halshs-00275254, HAL.
  10. Faÿ, Gilles & Moulines, Eric & Roueff, François & Taqqu, Murad S., 2009. "Estimators of long-memory: Fourier versus wavelets," Journal of Econometrics, Elsevier, vol. 151(2), pages 159-177, August.
  11. Tim Bollerslev & Daniela Osterrieder & Natalia Sizova & George Tauchen, 2011. "Risk and Return: Long-Run Relationships, Fractional Cointegration, and Return Predictability," CREATES Research Papers 2011-51, Department of Economics and Business Economics, Aarhus University.
  12. Iacone, Fabrizio & Leybourne, Stephen J. & Robert Taylor, A.M., 2013. "Testing for a break in trend when the order of integration is unknown," Journal of Econometrics, Elsevier, vol. 176(1), pages 30-45.
  13. M. Ege Yazgan & Hakan Yilmazkuday, 2016. "High versus low inflation: implications for price-level convergence," Empirical Economics, Springer, vol. 50(4), pages 1527-1563, June.
  14. Marco R Barassi & Dayong Zhang, 2009. "Fractional Integration and Cointegration: Testing the Term Structure of Interest Rates," Discussion Papers 09-17, Department of Economics, University of Birmingham.
  15. Renzo Pardo Figueroa & Gabriel Rodríguez, 2014. " Distinguishing between True and Spurious Long Memory in the Volatility of Stock Market Returns in Latin America," Documentos de Trabajo / Working Papers 2014-395, Departamento de Economía - Pontificia Universidad Católica del Perú.
  16. Gilles Dufrénot & Valérie Mignon & Théo Naccache, . "The slow convergence of per capita income between the developing countries: “growth resistance” and sometimes “growth tragedy”," Discussion Papers 09/03, University of Nottingham, CREDIT.
  17. Dechert, Andreas, 2012. "Variance Ratio Testing for Fractional Cointegration in Presence of Trends and Trend Breaks," MPRA Paper 41044, University Library of Munich, Germany.
  18. Baillie, Richard T. & Kapetanios, George & Papailias, Fotis, 2014. "Modified information criteria and selection of long memory time series models," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 116-131.
  19. Gao, Jiti, 2007. "Nonlinear time series: semiparametric and nonparametric methods," MPRA Paper 39563, University Library of Munich, Germany, revised 01 Sep 2007.
  20. Carlos Pestana Barros & Luis A. Gil-Alana & Fernando Perez de Gracia, 2016. "Stationarity and Long Range Dependence of Carbon Dioxide Emissions: Evidence for Disaggregated Data," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 63(1), pages 45-56, January.
  21. Yoon, Gawon, 2009. "Is high real interest rate persistence an intrinsic characteristic of industrialized economies?," Economic Modelling, Elsevier, vol. 26(2), pages 359-363, March.
  22. Goddard, John & Onali, Enrico, 2012. "Self-affinity in financial asset returns," International Review of Financial Analysis, Elsevier, vol. 24(C), pages 1-11.
  23. Marco Barassi & Matthew Cole & Robert Elliott, 2011. "The Stochastic Convergence of CO 2 Emissions: A Long Memory Approach," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 49(3), pages 367-385, July.
  24. Papailias, Fotis & Fruet Dias, Gustavo, 2015. "Forecasting long memory series subject to structural change: A two-stage approach," International Journal of Forecasting, Elsevier, vol. 31(4), pages 1056-1066.
  25. repec:esx:essedp:570 is not listed on IDEAS
  26. Heni Boubaker & Anne Péguin-Feissolle, 2013. "Estimating the Long-Memory Parameter in Nonstationary Processes Using Wavelets," Computational Economics, Springer;Society for Computational Economics, vol. 42(3), pages 291-306, October.
  27. Bent Jesper Christensen & Rasmus T. Varneskov, 2015. "Medium Band Least Squares Estimation of Fractional Cointegration in the Presence of Low-Frequency Contamination," CREATES Research Papers 2015-25, Department of Economics and Business Economics, Aarhus University.
  28. Kerry Patterson & Michael A. Thornton, 2013. "A review of econometric concepts and methods for empirical macroeconomics," Chapters, in: Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 2, pages 4-42 Edward Elgar Publishing.
  29. Marcel Aloy & Mohamed Boutahar & Karine Gente & Anne Peguin-Feissolle, 2011. "Purchasing power parity and the long memory properties of real exchange rates: does one size fit all?," Working Papers halshs-00559170, HAL.
  30. Arteche, Josu & Orbe, Jesus, 2016. "A bootstrap approximation for the distribution of the Local Whittle estimator," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 645-660.
  31. Baillie, Richard T. & Kapetanios, George, 2008. "Nonlinear models for strongly dependent processes with financial applications," Journal of Econometrics, Elsevier, vol. 147(1), pages 60-71, November.
  32. Georgios P. Kouretas & Mark E. Wohar, 2012. "The dynamics of inflation: a study of a large number of countries," Applied Economics, Taylor & Francis Journals, vol. 44(16), pages 2001-2026, June.
  33. Shimotsu, Katsumi, 2012. "Exact local Whittle estimation of fractionally cointegrated systems," Journal of Econometrics, Elsevier, vol. 169(2), pages 266-278.
  34. Bollerslev, Tim & Osterrieder, Daniela & Sizova, Natalia & Tauchen, George, 2013. "Risk and return: Long-run relations, fractional cointegration, and return predictability," Journal of Financial Economics, Elsevier, vol. 108(2), pages 409-424.
  35. Daniela Osterrieder & Peter C. Schotman, 2012. "The Volatility of Long-term Bond Returns: Persistent Interest Shocks and Time-varying Risk Premiums," CREATES Research Papers 2012-35, Department of Economics and Business Economics, Aarhus University.
  36. Steven Clark & T. Coggin, 2011. "Are U.S. stock prices mean reverting? Some new tests using fractional integration models with overlapping data and structural breaks," Empirical Economics, Springer, vol. 40(2), pages 373-391, April.
  37. repec:esx:essedp:543 is not listed on IDEAS
  38. Dechert, Andreas, 2014. "Fraktionale Kointegrationsbeziehungen zwischen Euribor-Zinssätzen," W.E.P. - Würzburg Economic Papers 93, University of Würzburg, Chair for Monetary Policy and International Economics.
  39. Thanasis Stengos & Ege Yazgan & Huran Ozkan, 2016. "Persistence in Convergence: Some further results," Working Papers 1605, University of Guelph, Department of Economics and Finance.
  40. Katsumi Shimotsu, 2006. "Simple (but effective) tests of long memory versus structural breaks," Working Papers 1101, Queen's University, Department of Economics.
This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.