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The Source and Nature of Long-term Memory in the Business Cycle
16 references·2 citing·39 second hop
The Source and Nature of Long-term Memory in the Business Cycle (2011)The Source and Nature of Long-term Memory…Long-term Memory in Stock Market Prices (1989)Long-term Memory in Stock Mar…Production, growth and business cycles (1988)Production, growth and busine…How Big Is the Random Walk in GNP? (1988)How Big Is the Random Walk in…Time Series Regression with a Unit Root (1987)Time Series Regression with a…Are Output Fluctuations Transitory? (1987)Are Output Fluctuations Trans…Increasing Returns and Long-Run Growth (1986)Increasing Returns and Long-R…THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS (1983)THE ESTIMATION AND APPLICATIO…Real Business Cycles (1983)Real Business CyclesTrends and random walks in macroeconmic time series (1982)Trends and random walks in ma…Lectures in Public Economics. (1982)Lectures in Public Economics.A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the ‘business cycle’ (1981)A new approach to decompositi…AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING (1980)AN INTRODUCTION TO LONG‐MEMOR…Some long‐run properties of geophysical records (1969)Some long‐run properties of g…Robustness of the rescaled range R/S in the measurement of noncyclic long run statistical dependence (1969)Robustness of the rescaled ra…Fractional Brownian Motions, Fractional Noises and Applications (1968)Fractional Brownian Motions, …The Summation of Random Causes as the Source of Cyclic Processes (1937)The Summation of Random Cause…Wald Tests of I(1) against I(d) Alternatives: Some New Properties and an Extension to Processes with Trending Components (2008)Wald Tests of I(1) against I(…Long memory in time series of economic growth and convergence (1999)Long memory in time series of…A Contribution to the Theory of Economic Growth (1956)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)On the mechanics of economic development (1988)Long-Run Policy Analysis and Long-Run Growth (1991)Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach (2007)The Race between Man and Machine: Implications of Technology for Growth, Factor Shares, and Employment (2018)Fractional Differencing (1981)The distribution of realized stock return volatility (2001)Modeling and Forecasting Realized Volatility (2003)Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards (2004)The Typical Spectral Shape of an Economic Variable (1966)Empirical properties of asset returns: stylized facts and statistical issues (2001)A Theory of the Consumption Function (1960)Optimal Properties of Exponentially Weighted Forecasts (1960)Time Series Analysis: Forecasting and Control (1977)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems (1993)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Testing for a Unit Root in Time Series Regression (1988)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Understanding business cycles (1977)Time to Build and Aggregate Fluctuations (1982)Agency Costs, Collateral, and Business Fluctuations (1986)Noise (1986)The Value Premium (2005)Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence (1978)Unit root tests in panel data: asymptotic and finite-sample properties (2002)A Mathematical Theory of Saving (1928)Rank Correlation Methods. (1957)The Economic Implications of Learning by Doing (1971)Endogenous Technological Change (1989)Increasing Returns and Economic Geography (1990)Pigou, Tiebout, property taxation, and the underprovision of local public goods (1986)Fiscal policy and growth: evidence from OECD countries (1999)The effects of government ownership on bank lending (2003)Some properties of time series data and their use in econometric model specification (1981)A long memory property of stock market returns and a new model (1993)
this work references cited by second hop

References

  • 1986Increasing Returns and Long-Run Growth20,133 cited
  • 1968Fractional Brownian Motions, Fractional Noises and Applications7,658 cited
  • 1982Trends and random walks in macroeconmic time series4,670 cited
  • 1980AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING3,376 cited
  • 1983THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS2,936 cited
  • 1987Time Series Regression with a Unit Root2,821 cited
  • 1981A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the ‘business cycle’2,308 cited
  • 1988Production, growth and business cycles2,193 cited
  • 1983Real Business Cycles2,076 cited
  • 1982Lectures in Public Economics.1,556 cited
  • 1989Long-term Memory in Stock Market Prices1,433 cited
  • 1988How Big Is the Random Walk in GNP?1,270 cited
  • 1969Robustness of the rescaled range R/S in the measurement of noncyclic long run statistical dependence1,066 cited
  • 1969Some long‐run properties of geophysical records991 cited
  • 1937The Summation of Random Causes as the Source of Cyclic Processes868 cited

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  • 1987Are Output Fluctuations Transitory?811 cited
  • Cited by

    • 1999Long memory in time series of economic growth and convergence17 cited
    • 2008Wald Tests of I(1) against I(d) Alternatives: Some New Properties and an Extension to Processes with Trending Components16 cited