Is consumption too smooth? Long memory and the Deaton paradox
Citations
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Cited by:
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"Finite Sample Comparison of Parametric, Semiparametric, and Wavelet Estimators of Fractional Integration,"
Econometric Reviews,
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- Morten Ørregaard Nielsen & Per Frederiksen, 2005. "Finite Sample Comparison of Parametric, Semiparametric, and Wavelet Estimators of Fractional Integration," Working Papers 1189, Queen's University, Department of Economics.
- John Barkoulas & Christopher Baum & Mustafa Caglayan, 1999.
"Fractional monetary dynamics,"
Applied Economics,
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"Bayesian analysis of long memory and persistence using ARFIMA models,"
Journal of Econometrics,
Elsevier, vol. 76(1-2), pages 149-169.
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- Koop, G. & Ley, E. & Osiewalski, J. & Steel, M. F. J., 1997. "Bayesian analysis of long memory and persistence using ARFIMA models," CORE Discussion Papers RP 1246, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Gary Koop & Eduardo Ley & Jacek Osiewalski & Mark F.J. Steel, 1995. "Bayesian Analysis of Long Memory and Persistence using ARFIMA Models," Econometrics 9505001, EconWPA, revised 22 Jun 2004.
- Gary Koop, 1995. "Bayesian Analysis of Long Memory and Persistence using ARFIMA Models," Working Papers gkoop-95-01, University of Toronto, Department of Economics.
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"On the robustness of cointegration tests when series are fractionally intergrated,"
Journal of Applied Statistics,
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"On maximum likelihood estimation of the differencing parameter of fractionally-integrated noise with unknown mean,"
Journal of Econometrics,
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"Further evidence on the PPP analysis of the Australian dollar: Non-linearities, fractional integration and structural changes,"
Economic Modelling,
Elsevier, vol. 26(6), pages 1184-1192, November.
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- Juan Carlos Cuestas & Luís A. Gil-Alana, 2009. "Further evidence on the PPP analysis of the Australian dollar: non-linearities, fractional integration and structural changes," Working Papers 2009/3, Nottingham Trent University, Nottingham Business School, Economics Division.
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"Real Exchange Rates under the Gold Standard,"
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University of Chicago Press, vol. 99(6), pages 1252-1271, December.
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- Mark J. Jensen, 1997.
"Using Wavelets to Obtain a Consistent Ordinary Least Squares Estimator of the Long Memory Parameter,"
Econometrics
9710002, EconWPA.
- Jensen, Mark J, 1999. "Using wavelets to obtain a consistent ordinary least squares estimator of the long-memory parameter," MPRA Paper 39152, University Library of Munich, Germany.
- Bhardwaj, Geetesh & Swanson, Norman R., 2006.
"An empirical investigation of the usefulness of ARFIMA models for predicting macroeconomic and financial time series,"
Journal of Econometrics,
Elsevier, vol. 131(1-2), pages 539-578.
- Geetesh Bhardwaj & Norman Swanson, 2004. "An Empirical Investigation of the Usefulness of ARFIMA Models for Predicting Macroeconomic and Financial Time Series," Departmental Working Papers 200422, Rutgers University, Department of Economics.
- Haubrich, Joseph G, 1993.
"Consumption and Fractional Differencing: Old and New Anomalies,"
The Review of Economics and Statistics,
MIT Press, vol. 75(4), pages 767-772, November.
- Joseph G. Haubrich, "undated". "Consumption and Fractional Differencing: Old and New Anomalies," Rodney L. White Center for Financial Research Working Papers 20-89, Wharton School Rodney L. White Center for Financial Research.
- Joseph G. Haubrich, 1990. "Consumption and fractional differencing: old and new anomalies," Working Paper 9010, Federal Reserve Bank of Cleveland.
- Joseph G. Haubrich, "undated". "Consumption and Fractional Differencing: Old and New Anomalies," Rodney L. White Center for Financial Research Working Papers 26-89, Wharton School Rodney L. White Center for Financial Research.
- Francis X. Diebold & Glenn D. Rudebusch, 2001. "Five questions about business cycles," Economic Review, Federal Reserve Bank of San Francisco, pages 1-15.
- Goodness C. Aye & Mehmet Balcilar & Rangan Gupta & Nicholas Kilimani & Amandine Nakumuryango & Siobhan Redford, 2014.
"Predicting BRICS stock returns using ARFIMA models,"
Applied Financial Economics,
Taylor & Francis Journals, vol. 24(17), pages 1159-1166, September.
- Goodness C. Aye & Mehmet Balcilar & Rangan Gupta & Nicholas Kilimani & Amandine Nakumuryango & Siobhan Redford, 2012. "Predicting BRICS Stock Returns Using ARFIMA Models," Working Papers 201235, University of Pretoria, Department of Economics.
- Andrews, Donald W.K. & Lieberman, Offer & Marmer, Vadim, 2006.
"Higher-order improvements of the parametric bootstrap for long-memory Gaussian processes,"
Journal of Econometrics,
Elsevier, vol. 133(2), pages 673-702, August.
- Donald W.K. Andrews & Offer Lieberman, 2002. "Higher-order Improvements of the Parametric Bootstrap for Long-memory Gaussian Processes," Cowles Foundation Discussion Papers 1378, Cowles Foundation for Research in Economics, Yale University.
- Cheung, Yin-Wong & Chung, Sang-Kuck, 2009.
"A Long Memory Model with Mixed Normal GARCH for US Inflation Data,"
Santa Cruz Department of Economics, Working Paper Series
qt94r403d2, Department of Economics, UC Santa Cruz.
- Cheung, Yin-Wong & Chung, Sang-Kuck, 2009. "A Long Memory Model with Mixed Normal GARCH for US Inflation Data," Santa Cruz Department of Economics, Working Paper Series qt2202s99q, Department of Economics, UC Santa Cruz.
- Jensen Mark J., 1999.
"An Approximate Wavelet MLE of Short- and Long-Memory Parameters,"
Studies in Nonlinear Dynamics & Econometrics,
De Gruyter, vol. 3(4), pages 1-17, January.
- Mark J. Jensen, 1998. "An Approximate Wavelet MLE of Short and Long Memory Parameters," Econometrics 9802003, EconWPA, revised 21 Jun 1999.
- Mark J. Jensen, 1999. "An Approximate Wavelet MLE of Short- and Long-Memory Parameters," Computing in Economics and Finance 1999 1243, Society for Computational Economics.
- Chung, Ching-Fan, 2001. "Calculating and analyzing impulse responses for the vector ARFIMA model," Economics Letters, Elsevier, vol. 71(1), pages 17-25, April.
- Gonzalo, Jesus & Lee, Tae-Hwy, 1998.
"Pitfalls in testing for long run relationships,"
Journal of Econometrics,
Elsevier, vol. 86(1), pages 129-154, June.
- Gonzalo, J. & Lee, T.H., 1995. "Pitfalls in Testing for Long Run Relationships," Papers 38, Boston University - Department of Economics.
- Luis Alberiko Gil-Alaña, 2010. "Tourism in South Africa. Time series persistence and the nature of shocks. Are they transitory or permament?," NCID Working Papers 06/2011, Navarra Center for International Development, University of Navarra.
- Hosking, Jonathan R. M., 1996. "Asymptotic distributions of the sample mean, autocovariances, and autocorrelations of long-memory time series," Journal of Econometrics, Elsevier, vol. 73(1), pages 261-284, July.
- Arteche, Josu & Orbe, Jesus, 2009. "Using the bootstrap for finite sample confidence intervals of the log periodogram regression," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 1940-1953, April.
- Hassler, Uwe & Marmol, Francesc, 1998.
"Fractional cointegrating regressions in the presence of linear time trends,"
DES - Working Papers. Statistics and Econometrics. WS
9794, Universidad Carlos III de Madrid. Departamento de Estadística.
- Uwe Hassler & Francesc Marmol & C. Velasco, 2000. "Fractional Cointegrating Regression In The Presence Of Linear Time Trends," Computing in Economics and Finance 2000 138, Society for Computational Economics.
- Arteche, J. & Orbe, J., 2005. "Bootstrapping the log-periodogram regression," Economics Letters, Elsevier, vol. 86(1), pages 79-85, January.
- Christopher F. Baum & John Barkoulas, 2006.
"Long-memory forecasting of US monetary indices,"
Journal of Forecasting,
John Wiley & Sons, Ltd., vol. 25(4), pages 291-302.
- John Barkoulas & Christopher F. Baum, 2003. "Long-Memory Forecasting of U.S. Monetary Indices," Boston College Working Papers in Economics 558, Boston College Department of Economics.
- Benjamin J. C. Kim & David Karemera, 2006. "Assessing the forecasting accuracy of alternative nominal exchange rate models: the case of long memory," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 25(5), pages 369-380.
- Shimotsu, Katsumi, 2010.
"Exact Local Whittle Estimation Of Fractional Integration With Unknown Mean And Time Trend,"
Econometric Theory,
Cambridge University Press, vol. 26(02), pages 501-540, April.
- 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.
- Gil-Alana, Luis A. & Mudida, Robert & Carcel, Hector, 2017. "Shocks affecting electricity prices in Kenya, a fractional integration study," Energy, Elsevier, vol. 124(C), pages 521-530.
- Chung, Ching-Fan, 1996. "Estimating a generalized long memory process," Journal of Econometrics, Elsevier, vol. 73(1), pages 237-259, July.
- Stephen R. Blough, 1994. "Near common factors and confidence regions for present value models," Working Papers 94-3, Federal Reserve Bank of Boston.
- Apergis, Nicholas & Tsoumas, Chris, 2011. "Integration properties of disaggregated solar, geothermal and biomass energy consumption in the U.S," Energy Policy, Elsevier, vol. 39(9), pages 5474-5479, September.
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