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An Empirical Investigation of Shock Persistence in Economic Time Series*
16 references·0 citing·23 second hop
An Empirical Investigation of Shock Persistence in Economic Time Series* (1995)An Empirical Investigation of Shock Persi…Time series analysis forecasting and control (2009)Time series analysis forecast…Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Testing the null hypothesis o…Maximum likelihood estimation of stationary univariate fractionally integrated time series models (1992)Maximum likelihood estimation…Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots (1991)Pitfalls and Opportunities: W…Long-Term Memory in Stock Market Prices (1991)Long-Term Memory in Stock Mar…Long-term Memory in Stock Market Prices (1989)Long-term Memory in Stock Mar…Testing for a Unit Root in Time Series Regression (1988)Testing for a Unit Root in Ti…How Big Is the Random Walk in GNP? (1988)How Big Is the Random Walk in…Are Output Fluctuations Transitory? (1987)Are Output Fluctuations Trans…THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS (1983)THE ESTIMATION AND APPLICATIO…Trends and random walks in macroeconmic time series (1982)Trends and random walks in ma…Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Likelihood Ratio Statistics f…Fractional Differencing (1981)Fractional DifferencingAN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING (1980)AN INTRODUCTION TO LONG‐MEMOR…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimator…Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecas…Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)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)Fractional Brownian Motions, Fractional Noises and Applications (1968)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)A Monetary History of the United States 1867-1960 (1964)Time Series Analysis Forecasting and Control. (1971)Statistical analysis of cointegration vectors (1988)Bounds testing approaches to the analysis of level relationships (2001)The predictive power of online chatter (2005)Quantile regression for dynamic panel data with fixed effects (2011)Tourism demand forecasting: A deep learning approach (2019)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)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)Unit root tests in panel data: asymptotic and finite-sample properties (2002)A simple panel unit root test in the presence of cross‐section dependence (2007)Generalized autoregressive conditional heteroskedasticity (1986)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Long memory processes and fractional integration in econometrics (1996)
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References

  • 1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root23,183 cited
  • 1988Testing for a Unit Root in Time Series Regression19,288 cited
  • 1977Time Series Analysis: Forecasting and Control19,200 cited
  • 1981Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root14,647 cited
  • 1992Testing the null hypothesis of stationarity against the alternative of a unit root12,634 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
  • 1981Fractional Differencing2,720 cited
  • 2009Time series analysis forecasting and control2,585 cited
  • 1991Long-Term Memory in Stock Market Prices1,743 cited
  • 1989Long-term Memory in Stock Market Prices1,433 cited
  • 1991Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots1,314 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

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  • 1987Are Output Fluctuations Transitory?811 cited
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