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Bias correction of persistence measures in fractionally integrated models
Grose, Simone D., (2014)
Empirical size distortions of residual based tests for cointegration under aggregation over time (temporal aggregation, systematic sampling and mixed aggregation) : a Monte Carlo investigation
Mamingi, Nlandu, (2021)
Supplement To 'Estimation and Forecasting in Vector Autoregressive Moving Average Models for Rich Datasets'
Fruet Dias, Gustavo, (2017)
A nonparametric method for asymmetrically extending signal extraction filters
McElroy, Tucker, (2011)
Exact formulas for the Hodrick-Prescott filter
McElroy, Tucker, (2008)
Matrix formulars for nonstationary ARIMA signal extraction