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Continuous time autoregressive models with common stochastic trends
14 references·11 citing·35 second hop
Continuous time autoregressive models with common stochastic trends (1988)Continuous time autoregressive models wit…Trends and random walks in macroeconomic time series (1988)Trends and random walks in ma…The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)The Dynamic Effects of Aggreg…How Big Is the Random Walk in GNP? (1988)How Big Is the Random Walk in…The Cyclical Component of U. S. Economic Activity (1987)The Cyclical Component of U. …Stochastic Trends and Economic Fluctuations (1987)Stochastic Trends and Economi…Permanent and Transitory Components in Macroeconomic Fluctuations (1987)Permanent and Transitory Comp…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…Are Output Fluctuations Transitory? (1987)Are Output Fluctuations Trans…Univariate detrending methods with stochastic trends (1986)Univariate detrending methods…Temporal Aggregation and Structural Inference in Macroeconomics (1986)Temporal Aggregation and Stru…Trends and Cycles in Macroeconomic Time Series (1985)Trends and Cycles in Macroeco…Gaussian Estimation of Structural Parameters in Higher Order Continuous Time Dynamic Models (1983)Gaussian Estimation of Struct…Trends and random walks in macroeconmic time series (1982)Trends and random walks in ma…Note on the Correlation of First Differences of Averages in a Random Chain (1960)Note on the Correlation of Fi…Tracking the Slowdown in Long-Run GDP Growth (2016)Tracking the Slowdown in Long…Change-Point Problems: Bibliography and Review (2010)Change-Point Problems: Biblio…ESTIMATING CONTINUOUS-TIME MODELS ON THE BASIS OF DISCRETE DATA VIA AN EXACT DISCRETE ANALOG (2009)ESTIMATING CONTINUOUS-TIME MO…DISCRETE TIME REPRESENTATIONS OF COINTEGRATED CONTINUOUS TIME MODELS WITH MIXED SAMPLE DATA (2009)DISCRETE TIME REPRESENTATIONS…A Continuous Time Econometric Model of the United Kingdom with Stochastic Trends (2007)A Continuous Time Econometric…Monetary Policy Transmission through the Consumption-Wealth Channel (2005)Monetary Policy Transmission …How fast can the new economy grow? 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this work references cited by second hop

References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
  • 1982Trends and random walks in macroeconmic time series4,670 cited
  • 1988The Dynamic Effects of Aggregate Demand and Supply Disturbances3,940 cited
  • 1988Trends and random walks in macroeconomic time series2,433 cited
  • 1988How Big Is the Random Walk in GNP?1,270 cited
  • 1986Univariate detrending methods with stochastic trends851 cited
  • 1987Are Output Fluctuations Transitory?811 cited
  • 1987The Cyclical Component of U. S. Economic Activity741 cited
  • 1985Trends and Cycles in Macroeconomic Time Series688 cited
  • 1960Note on the Correlation of First Differences of Averages in a Random Chain406 cited
  • 1987Stochastic Trends and Economic Fluctuations343 cited
  • 1987Permanent and Transitory Components in Macroeconomic Fluctuations253 cited
  • 1986Temporal Aggregation and Structural Inference in Macroeconomics149 cited
  • 1983Gaussian Estimation of Structural Parameters in Higher Order Continuous Time Dynamic Models149 cited

Cited by

  • 2016Tracking the Slowdown in Long-Run GDP Growth135 cited

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  • 2005How fast can the new economy grow? A Bayesian analysis of the evolution of trend growth43 cited
  • 2007A Continuous Time Econometric Model of the United Kingdom with Stochastic Trends42 cited
  • 2004Identification and Inference for Multivariate Cointegrated and Ergodic Gaussian Diffusions39 cited
  • 1989Estimating integrated higher-order continuous time autoregressions with an application to money-income causality33 cited
  • 2005Monetary Policy Transmission through the Consumption-Wealth Channel33 cited
  • 2010Change-Point Problems: Bibliography and Review26 cited
  • 2000The Dynamic Behavior of Wages and Prices: Cointegration Tests within a Large Macroeconomic System18 cited
  • 2009ESTIMATING CONTINUOUS-TIME MODELS ON THE BASIS OF DISCRETE DATA VIA AN EXACT DISCRETE ANALOG17 cited
  • 2004Granger Causality and the Sampling of Economic Processes16 cited
  • 2009DISCRETE TIME REPRESENTATIONS OF COINTEGRATED CONTINUOUS TIME MODELS WITH MIXED SAMPLE DATA15 cited