Nelson-Plosser revisited: the ACF approach

DOI10.1016/J.JECONOM.2013.02.006MaRDI QIDQ2440331zbMATH OpenOpenAlexFDO

Authors Karim M. Abadir, Giovanni Caggiano, Gabriel Talmain

Publication date 18 March 2014

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jeconom.2013.02.006

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64) Economic time series analysis (91B84) General equilibrium theory (91B50)

Recommendations

• Aggregation, Persistence and Volatility in a Macro Model
• Trends and random walks in macroeconomic time series
• The Macroeconomy as a Network of Money-Flow Transfer Functions
• scientific article; zbMATH DE number 1432780
• A Bayesian approach to dynamic macroeconomics

Cites work

• scientific article; zbMATH DE number 3886886 (Why is no real title available?)
• scientific article; zbMATH DE number 4047369 (Why is no real title available?)
• scientific article; zbMATH DE number 3565994 (Why is no real title available?)
• scientific article; zbMATH DE number 2230055 (Why is no real title available?)
• A note on calculating autocovariances of long‐memory processes
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• Aggregation, Persistence and Volatility in a Macro Model
• An introduction to hypergeometric functions for economists
• Correlograms for Non-Stationary Autoregressions
• Fractional differencing
• Gaussian estimation of parametric spectral density with unknown pole
• Likelihood Ratio Tests for Model Selection and Non-Nested Hypotheses
• Long memory relationships and the aggregation of dynamic models
• Maximum likelihood principle and model selection when the true model is unspecified
• Notation in econometrics: a proposal for a standard
• Rare disasters and asset markets in the twentieth century
• Semiparametric estimation for stationary processes whose spectra have an unknown pole
• Statistical Adequacy and the Testing of Trend Versus Difference Stationarity
• Testing of unit root and other nonstationary hypotheses in macroeconomic time series
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
• Time series: theory and methods.

Cited in

(3)

• Exact local Whittle estimation in long memory time series with multiple poles
• Wavelet estimation of the dimensionality of curve time series
• The cyclical structure of the UK inflation rate: 1210--2016

This page was built for publication: Nelson-Plosser revisited: the ACF approach

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2440331)