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subject:"Time series analysis"
subject:"United States"
~isPartOf:"Discussion paper / Department of Economics, University of California San Diego"
~isPartOf:"Oxford bulletin of economics and statistics"
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Time series analysis
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Estimation theory
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43
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Discussion paper / Department of Economics, University of California San Diego
Oxford bulletin of economics and statistics
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1
Are fiscal multipliers estimated with proxy-SVARs robust?
Angelini, Giovanni
;
Caggiano, Giovanni
;
Castelnuovo, Efrem
- In:
Oxford bulletin of economics and statistics
85
(
2023
)
1
,
pp. 95-122
Persistent link: https://www.econbiz.de/10014304351
Saved in:
2
Multiple testing for no cointegration under nonstationary volatility
Demetrescu, Matei
;
Hanck, Christoph
- In:
Oxford bulletin of economics and statistics
80
(
2018
)
3
,
pp. 485-513
Persistent link: https://www.econbiz.de/10011969530
Saved in:
3
An IV test for a unit root in generally trending and correlated panels
Westerlund, Joakim
- In:
Oxford bulletin of economics and statistics
78
(
2016
)
5
,
pp. 752-764
Persistent link: https://www.econbiz.de/10011579106
Saved in:
4
Outlier detection in the lognormal logarithmic conditional autoregressive range model
Chiang, Min-Hsien
;
Chou, Ray Yeutien
;
Wang, Li-Min
- In:
Oxford bulletin of economics and statistics
78
(
2016
)
1
,
pp. 126-144
Persistent link: https://www.econbiz.de/10011494656
Saved in:
5
Trend and initial condition in stationarity tests : the asymptotic analysis
Skrobotov, Anton
- In:
Oxford bulletin of economics and statistics
77
(
2015
)
2
,
pp. 254-273
Persistent link: https://www.econbiz.de/10011384012
Saved in:
6
Merger cycles : a frequency domain approach
Kastrinaki, Zafeira
;
Stoneman, Paul
- In:
Oxford bulletin of economics and statistics
75
(
2013
)
2
,
pp. 259-275
Persistent link: https://www.econbiz.de/10009754622
Saved in:
7
Testing for fractional integration versus short memory with structural breaks
Mayoral, Laura
- In:
Oxford bulletin of economics and statistics
74
(
2012
)
2
,
pp. 278-305
Persistent link: https://www.econbiz.de/10009526715
Saved in:
8
Local linear impulse responses for a small open economy
Haug, Alfred Albert
;
Smith, Christie
- In:
Oxford bulletin of economics and statistics
74
(
2012
)
3
,
pp. 470492
Persistent link: https://www.econbiz.de/10009545874
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9
Testing steady-state restrictions of linear rational expectations models when data are highly persistent
Juselius, Mikael
- In:
Oxford bulletin of economics and statistics
73
(
2011
)
3
,
pp. 315-334
Persistent link: https://www.econbiz.de/10009012697
Saved in:
10
Testing stationarity in small- and medium-sized samples when disturbances are serially correlated
Jönsson, Kristian
- In:
Oxford bulletin of economics and statistics
73
(
2011
)
5
,
pp. 669-690
Persistent link: https://www.econbiz.de/10009308826
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11
Estimation of the long-run average relationship in nonstationary panel time series
Sun, Yixiao
-
2003
Persistent link: https://www.econbiz.de/10001753311
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12
On more robust estimation of skewness and kurtosis : simulation and application to the S&P500 index
Kim, Tae-hwan
;
White, Halbert
-
2003
Persistent link: https://www.econbiz.de/10002118385
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13
Minimum distance estimation and testing of DSGE models from structural VARs
Fève, Patrick
;
Matheron, Julien
;
Sahuc, Jean-Guillaume
- In:
Oxford bulletin of economics and statistics
71
(
2009
)
6
,
pp. 883-894
Persistent link: https://www.econbiz.de/10003899016
Saved in:
14
Log income vs. linear income : an application of the encompassing principle
Ermini, Luigi
;
Hendry, David F.
- In:
Oxford bulletin of economics and statistics
70
(
2008
),
pp. 807-827
Persistent link: https://www.econbiz.de/10003787676
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15
Estimation bias and inference in overlapping autoregressions : implications for the target-zone literature
Darvas, Zsolt M.
- In:
Oxford bulletin of economics and statistics
70
(
2008
)
1
,
pp. 1-22
Persistent link: https://www.econbiz.de/10003624783
Saved in:
16
Cointegration testing in single error-correction equations in the presence of linear time trends
Hassler, Uwe
- In:
Oxford bulletin of economics and statistics
62
(
2000
)
5
,
pp. 621-632
Persistent link: https://www.econbiz.de/10003465517
Saved in:
17
Occasional structural breaks and long memory
Granger, C. W. J.
;
Hyung, Namwon
-
1999
Persistent link: https://www.econbiz.de/10001395178
Saved in:
18
Maximum likelihood estimation in panels with incidental trends
Moon, Hyungsik Roger
;
Phillips, Peter C. B.
- In:
Oxford bulletin of economics and statistics
61
(
1999
)
4,Suppl.
,
pp. 711-747
Persistent link: https://www.econbiz.de/10001437552
Saved in:
19
Trades and quotes : a bivariate point process
Engle, Robert F.
;
Lunde, Asger
-
1998
Persistent link: https://www.econbiz.de/10000983784
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20
Dangers of data-driven inference : the case of calendar effects in stock returns
Sullivan, Ryan
;
Timmermann, Allan
;
White, Halbert
-
1998
Persistent link: https://www.econbiz.de/10000988757
Saved in:
21
Moment-based estimation of latent class models of event counts
Deb, Partha
;
Xia, Ming
;
Trivedi, Pravin K.
-
1998
Persistent link: https://www.econbiz.de/10000988762
Saved in:
22
Econometric analysis of discrete-valued irregulary-spaced financial transactions data using a new autoregressive conditional multinominal model
Russell, Jeffrey R.
;
Engle, Robert F.
-
1998
Persistent link: https://www.econbiz.de/10000988764
Saved in:
23
Introduction to m-m processes
Granger, C. W. J.
;
Hyung, Namwon
-
1998
Persistent link: https://www.econbiz.de/10000993944
Saved in:
24
Non-parametric regression models of deviations from orthogonality in the expectations theory of the term structure
Campbell, Bryan
- In:
Oxford bulletin of economics and statistics
59
(
1997
)
2
,
pp. 265-284
Persistent link: https://www.econbiz.de/10001223699
Saved in:
25
A reconciliation of some paradoxical empirical results on the expectations model of the term structure
Driffill, John
- In:
Oxford bulletin of economics and statistics
59
(
1997
)
1
,
pp. 29-42
Persistent link: https://www.econbiz.de/10001223732
Saved in:
26
Testing for unit roots with breaks : evidence on the great crash and the unit root hypothesis reconsidered
Nunes, Luis C.
- In:
Oxford bulletin of economics and statistics
59
(
1997
)
4
,
pp. 435-448
Persistent link: https://www.econbiz.de/10001230927
Saved in:
27
Evaluation of panal data models : some suggestions from time series
Granger, C. W. J.
;
Huang, Ling-ling
-
1997
Persistent link: https://www.econbiz.de/10010364336
Saved in:
28
The econometrics of ultra-high frequency data
Engle, Robert F.
-
1996
Persistent link: https://www.econbiz.de/10000939559
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29
Triangular representation and error correction mechanism in cointegrated systems
Cappuccio, Nunzio
- In:
Oxford bulletin of economics and statistics
58
(
1996
)
2
,
pp. 409-415
Persistent link: https://www.econbiz.de/10001201675
Saved in:
30
Some reparameterizations of lag polynomials for dynamic analysis
Burke, Simon P.
- In:
Oxford bulletin of economics and statistics
58
(
1996
)
2
,
pp. 373-389
Persistent link: https://www.econbiz.de/10001201678
Saved in:
31
A linearity test for near-unit root time series
Aparicio Acosta, Felipe M.
;
Granger, C. W. J.
-
1995
Persistent link: https://www.econbiz.de/10000914253
Saved in:
32
The comovements between real activity and prices at different business cycle frequencies
Den Haan, Wouter J.
-
1995
Persistent link: https://www.econbiz.de/10000914405
Saved in:
33
Lag order and critical values of a modified Dickey-Fuller test
Cheung, Yin-Wong
- In:
Oxford bulletin of economics and statistics
57
(
1995
)
3
,
pp. 411-419
Persistent link: https://www.econbiz.de/10001183768
Saved in:
34
Separation in cointegrated systems, long memory components and common stochastic trends
Granger, C. W. J.
;
Haldrup, Niels
-
1995
Persistent link: https://www.econbiz.de/10000930724
Saved in:
35
Multiple unit roots in periodic autoregression
Boswijk, Herman Peter
;
Franses, Philip Hans
;
Haldrup, Niels
-
1995
Persistent link: https://www.econbiz.de/10000930725
Saved in:
36
Forecasting transaction rates : the autoregressive conditional duration model
Engle, Robert F.
;
Russell, Jeffrey R.
-
1994
Persistent link: https://www.econbiz.de/10000904213
Saved in:
37
Cointegrated time series : a guide to estimation and hypothesis testing
Dickey, David A.
- In:
Oxford bulletin of economics and statistics
56
(
1994
)
3
,
pp. 325-353
Persistent link: https://www.econbiz.de/10001165109
Saved in:
38
Model selection in periodic autoregressions
Franses, Philip Hans
- In:
Oxford bulletin of economics and statistics
56
(
1994
)
4
,
pp. 421-439
Persistent link: https://www.econbiz.de/10001172652
Saved in:
39
Consistent specification testing via nonparametric series regression
Hong, Yongmiao
;
White, Halbert
-
1994
-
Rev
Persistent link: https://www.econbiz.de/10000892194
Saved in:
40
Autoregressive conditional heteroskedasticity and changes in regime
Hamilton, James D.
;
Susmel, Raul
-
1993
Persistent link: https://www.econbiz.de/10000877974
Saved in:
41
Arch models
Bollerslev, Tim
;
Engle, Robert F.
;
Nelson, Daniel B.
-
1993
Persistent link: https://www.econbiz.de/10000878183
Saved in:
42
Survey vs ARCH measures of inflation uncertainty
Dua, Pami
- In:
Oxford bulletin of economics and statistics
55
(
1993
)
3
,
pp. 341-353
Persistent link: https://www.econbiz.de/10001147189
Saved in:
43
A note on empirical power of unit root tests under threshold processes : practitioners corner
Pippenger, Michael Kirk
- In:
Oxford bulletin of economics and statistics
55
(
1993
)
4
,
pp. 473-481
Persistent link: https://www.econbiz.de/10001149573
Saved in:
44
Common trends and common cycles in Latin America
Engle, Robert F.
;
Issler, João Victor
-
1993
Persistent link: https://www.econbiz.de/10000862856
Saved in:
45
Common trends and common cycles
Vahid, Farshid
;
Engle, Robert F.
-
1992
Persistent link: https://www.econbiz.de/10000841625
Saved in:
46
Central limit and functional central limit theorems for Hilbert space-valued dependent processes
Chen, Xiaohong
;
White, Halbert
-
1992
Persistent link: https://www.econbiz.de/10000853606
Saved in:
47
Impulse response functions based on a causal approach to residual orthogonalization in vector autoregressions
Swanson, Norman R.
;
Granger, C. W. J.
-
1992
Persistent link: https://www.econbiz.de/10000853659
Saved in:
48
Stock-flow relationships in US housing construction
Lee, Tae-hwy
- In:
Oxford bulletin of economics and statistics
54
(
1992
)
3
,
pp. 419-430
Persistent link: https://www.econbiz.de/10001330266
Saved in:
49
Long memory series with attractors
Granger, C. W. J.
- In:
Oxford bulletin of economics and statistics
53
(
1991
)
1
,
pp. 11-26
Persistent link: https://www.econbiz.de/10001102945
Saved in:
50
Power properties of linearity tests for time series
Teräsvirta, Timo
-
1990
Persistent link: https://www.econbiz.de/10000168174
Saved in:
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