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Testing Models of Low-Frequency Variability
16 references·16 citing·29 second hopsampled
Testing Models of Low-Frequency Variability (2006)Testing Models of Low-Frequency Variabili…LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power (2001)LAG Length Selection and the …Efficient Tests for an Autoregressive Unit Root (1996)Efficient Tests for an Autore…A long memory property of stock market returns and a new model (1993)A long memory property of sto…Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Testing the null hypothesis o…Efficient Tests for an Autoregressive Unit Root (1992)Efficient Tests for an Autore…Forecasting, Structural Time Series Models and the Kalman Filter (1990)Forecasting, Structural Time …Testing for Unit Roots in Autoregressive-Moving Average Models of Unknown Order (1984)Testing for Unit Roots in Aut…THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS (1983)THE ESTIMATION AND APPLICATIO…Empirical exchange rate models of the seventies (1983)Empirical exchange rate model…Trends and random walks in macroeconmic time series (1982)Trends and random walks in ma…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…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)EFFICIENT CAPITAL MARKETS: A …Efficient Capital Markets: A Review of Theory and Empirical Work (1970)Efficient Capital Markets: A …Fractional Brownian Motions, Fractional Noises and Applications (1968)Fractional Brownian Motions, …Output Fluctuations in the United States: What Has Changed since the Early 1980's?Output Fluctuations in the Un…Uncertainty in forecasts of long-run economic growth (2018)Uncertainty in forecasts of l…Priors for the Long Run (2018)Priors for the Long RunThe Disappointing Recovery of Output after 2009 (2017)The Disappointing Recovery of…The Disappointing Recovery of Output after 2009 (2017)The Disappointing Recovery of…Productivity Growth and Real Interest Rates in the Long Run (2017)Productivity Growth and Real …Low-Frequency Econometrics (2017)Low-Frequency EconometricsMeasuring Uncertainty about Long-Run Predictions (2016)Measuring Uncertainty about L…Low-Frequency Econometrics (2015)Low-Frequency EconometricsOn real interest rate persistence: the role of breaks (2014)On real interest rate persist…In the long run, US unemployment follows inflation like a faithful dog (2014)In the long run, US unemploym…HAC Corrections for Strongly Autocorrelated Time Series (2014)HAC Corrections for Strongly …Low-frequency robust cointegration testing (2013)Low-frequency robust cointegr…MONEY, OUTPUT, AND INFLATION IN THE LONGER TERM: MAJOR INDUSTRIAL COUNTRIES, 1880–2001 (2011)MONEY, OUTPUT, AND INFLATION …Empirical Evidence on Inflation and Unemployment in the Long Run (2011)Empirical Evidence on Inflati…Long Memory Modelling of Inflation with Stochastic Variance and Structural Breaks (2008)Long Memory Modelling of Infl…Extracting Business Cycle Fluctuations: What Do Time Series Filters Really Do? (2007)Extracting Business Cycle Flu…Expectations and Exchange Rate Dynamics (1976)Macroeconomics and Reality (1980)The Purchasing Power Parity Puzzle (1996)Monetary Theory and Policy (1999)Forecasting Economic Time Series (2000)Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange (2003)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)Testing for a Unit Root in Time Series Regression (1988)A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test (1999)Unit root tests for panel data (2001)Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework (2014)The Typical Spectral Shape of an Economic Variable (1966)Empirical properties of asset returns: stylized facts and statistical issues (2001)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Behavior of Stock-Market Prices (1965)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Users of the world, unite! 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References

  • 1970EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*15,723 cited
  • 1970Efficient Capital Markets: A Review of Theory and Empirical Work13,616 cited
  • 1992Testing the null hypothesis of stationarity against the alternative of a unit root12,634 cited
  • 1968Fractional Brownian Motions, Fractional Noises and Applications7,658 cited
  • 1996Efficient Tests for an Autoregressive Unit Root5,637 cited
  • 1982Trends and random walks in macroeconmic time series4,670 cited
  • 1992Efficient Tests for an Autoregressive Unit Root4,234 cited
  • 1983Empirical exchange rate models of the seventies4,115 cited
  • 1990Forecasting, Structural Time Series Models and the Kalman Filter4,101 cited
  • 2001LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power3,944 cited
  • 1984Testing for Unit Roots in Autoregressive-Moving Average Models of Unknown Order3,426 cited
  • 1980AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING3,376 cited
  • 1993A long memory property of stock market returns and a new model3,257 cited
  • 1983THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS2,936 cited
  • 1981A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the ‘business cycle’

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2,308 cited
  • n.d.Output Fluctuations in the United States: What Has Changed since the Early 1980's?1,867 cited
  • Cited by

    • 2018Uncertainty in forecasts of long-run economic growth166 cited
    • 2014HAC Corrections for Strongly Autocorrelated Time Series118 cited
    • 2017The Disappointing Recovery of Output after 2009104 cited
    • 2016Measuring Uncertainty about Long-Run Predictions97 cited
    • 2018Priors for the Long Run64 cited
    • 2017The Disappointing Recovery of Output after 200960 cited
    • 2011MONEY, OUTPUT, AND INFLATION IN THE LONGER TERM: MAJOR INDUSTRIAL COUNTRIES, 1880–200129 cited
    • 2017Low-Frequency Econometrics28 cited
    • 2013Low-frequency robust cointegration testing27 cited
    • 2014In the long run, US unemployment follows inflation like a faithful dog25 cited
    • 2007Extracting Business Cycle Fluctuations: What Do Time Series Filters Really Do?21 cited
    • 2015Low-Frequency Econometrics21 cited
    • 2008Long Memory Modelling of Inflation with Stochastic Variance and Structural Breaks21 cited
    • 2014On real interest rate persistence: the role of breaks18 cited
    • 2011Empirical Evidence on Inflation and Unemployment in the Long Run17 cited
    • 2017Productivity Growth and Real Interest Rates in the Long Run14 cited