Nelson-Plosser revisited: the ACF approach

DOI10.1016/J.JECONOM.2013.02.006zbMATH Open1283.91154OpenAlexW3124424379MaRDI QIDQ2440331FDOQ2440331

Giovanni Caggiano, Karim M. Abadir, 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

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Mathematics Subject Classification ID

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

Cites Work

• Time series: theory and methods.
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• Fractional differencing
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• Long memory relationships and the aggregation of dynamic models
• Gaussian estimation of parametric spectral density with unknown pole
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• Aggregation, Persistence and Volatility in a Macro Model
• An introduction to hypergeometric functions for economists
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
• Testing of unit root and other nonstationary hypotheses in macroeconomic time series
• Notation in econometrics: a proposal for a standard
• A note on calculating autocovariances of long‐memory processes
• Rare disasters and asset markets in the twentieth century
• Maximum likelihood principle and model selection when the true model is unspecified
• Semiparametric estimation for stationary processes whose spectra have an unknown pole
• Statistical Adequacy and the Testing of Trend Versus Difference Stationarity
• Correlograms for Non-Stationary Autoregressions

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

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