Long-run covariability

DOI10.3982/ECTA15047MaRDI QIDQ4630012zbMATH OpenOpenAlexFDO

Authors Ulrich K. Müller, Mark W. Watson

Publication date 29 March 2019

Published in Econometrica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3982/ecta15047

zbMATH Keywords

bandpass regressionconfidence setsfractional integrationgreat ratios

Mathematics Subject Classification ID

Nonparametric tolerance and confidence regions (62G15) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Recommendations

• Residual log-periodogram inference for long-run relationships
• Long memory and long run variation
• Short run and long run causality in time series: inference
• Covariances estimation for long-memory processes
• Inference in nearly nonstationary SVAR models with long-run identifying restrictions

Cited in

(18)

• Cointegration of long span saving and investment
• Long-run invariance in economic dynamics: a note
• Do TFP and the relative price of investment share a common I(1) component?
• Consistent inference for predictive regressions in persistent economic systems
• Global temperatures and greenhouse gases: a common features approach
• Finite-sample corrected inference for two-step GMM in time series
• Measuring uncertainty about long-run predictions
• SPECTRAL FINANCIAL ECONOMETRICS
• The spectral analysis of the Hodrick–Prescott filter
• A SMOOTHING METHOD THAT LOOKS LIKE THE HODRICK–PRESCOTT FILTER
• An Algebraic Estimator for Large Spectral Density Matrices
• High-dimensional IV cointegration estimation and inference
• Estimating the effects of demographics on interest rates: a robust Bayesian perspective
• Estimation and inference in a possibly multicointegrated system with a fixed number of instruments
• How large are hysteresis effects? Estimates from a Keynesian growth model
• An empirical evaluation of some long-horizon macroeconomic forecasts
• DecoR: deconfounding time series with robust regression
• A robust-filtering method for noisy non-stationary multivariate time series with econometric applications

This page was built for publication: Long-run covariability

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4630012)