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ArticleFractional integration analysis of long-run behavior for US macroeconomic time series

Nuno Crato1994

Article1994

Fractional integration analysis of long-run behavior for US macroeconomic time series

Nuno Crato · Philip Rothman

50 citations·0/0 files stored·Economics Letters

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Monetary Policy and Economic Impact Complex Systems and Time Series Analysis Time Series Analysis and Forecasting

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References

1982Trends and random walks in macroeconmic time series 1988How Big Is the Random Walk in GNP?1992Maximum likelihood estimation of stationary univariate fractionally integrated time series models 1987Are Output Fluctuations Transitory?1989Efficient Parameter Estimation for Self-Similar Processes 1991Real Exchange Rates under the Gold Standard 1992Modeling long-run behavior with the fractional ARIMA model 1991On Bayesian routes to unit roots

Cited by

2006The Fractional Ornstein-Uhlenbeck Process: Term Structure Theory and Application 2022Presidential approval in Peru: an empirical analysis using a fractionally cointegrated VAR 2008Long Memory and the Term Structure of Risk 2007Detecting Long Memory Co-Movements in Macroeconomic Time Series 2002Purchasing Power Parity and the Fractional Integration of the Real Exchange Rate: New Evidence for Less Developed Countries

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Year1994

Typearticle

Published1994-01-01

VenueEconomics Letters

ISSN-L0165-1765

Languageen

Citations50

Files0 public / 0

ShelfMonetary Policy and Economic Impact

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doi10.1016/0165-1765(94)90025-6

openalex_workW2090195563

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