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The Sources and Nature of Long-Term Memory in Aggregate Output
16 references·3 citing·43 second hop
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References

  • 1982Time to Build and Aggregate Fluctuations5,933 cited
  • 1982Trends and random walks in macroeconmic time series4,670 cited
  • 1991Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation4,039 cited
  • 1983THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS2,936 cited
  • 1999Measuring Business Cycles: Approximate Band-Pass Filters for Economic Time Series2,829 cited
  • 1987Time Series Regression with a Unit Root2,821 cited
  • 1996Monitoring the world economy, 1820-19922,413 cited
  • 1996Fractionally integrated generalized autoregressive conditional heteroskedasticity2,290 cited
  • 1983Real Business Cycles2,076 cited
  • 1999The Band Pass Filter1,909 cited
  • 1987Models of business cycles1,509 cited
  • 1989Long-term Memory in Stock Market Prices1,433 cited
  • 1988How Big Is the Random Walk in GNP?1,270 cited
  • 1992Maximum likelihood estimation of stationary univariate fractionally integrated time series models1,050 cited
  • 1969Some long‐run properties of geophysical records991 cited
  • 1937The Summation of Random Causes as the Source of Cyclic Processes

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Cited by

  • 2009Persistence in some energy futures markets36 cited
  • 2009Long Memory in US Real Output Per Capita30 cited
  • 2010Estimating DSGE Models with Unknown Data Persistence21 cited