Testing Stochastic Cycles in Macroeconomic Time Series
From MaRDI portal
Publication:2744933
DOI10.1111/1467-9892.00233zbMath0973.62108OpenAlexW2086323882MaRDI QIDQ2744933
Publication date: 9 October 2001
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: http://edoc.hu-berlin.de/18452/4043
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)
Related Items
Structural breaks and fractional integration in the US output and unemployment rate. ⋮ A joint test of fractional cyclic integration and a linear time trend ⋮ EFFICIENT LIKELIHOOD INFERENCE IN NONSTATIONARY UNIVARIATE MODELS ⋮ Deterministic seasonality versus seasonal fractional integration ⋮ Testing for long memory in the presence of non-linear deterministic trends with Chebyshev polynomials ⋮ LONG MEMORY IN FINANCIAL TIME SERIES DATA WITH NON-GAUSSIAN DISTURBANCES ⋮ A semiparametric approach to estimate two seasonal fractional parameters in the SARFIMA model ⋮ MEASURING THE MEMORY PARAMETER ON SEVERAL TRANSFORMATIONS OF ASSET RETURNS ⋮ MEAN REVERSION IN THE SPANISH STOCK MARKET PRICES USING FRACTIONALLY INTEGRATED SEMIPARAMETRIC TECHNIQUES ⋮ FRACTIONAL INTEGRATION IN THE STOCK MARKET VOLATILITY SERIES ⋮ A fractional integration analysis of the population in some OECD countries ⋮ Seasonal long memory in the aggregate output ⋮ OUTPUT FLUCTUATIONS PERSISTENCE: DO CYCLICAL SHOCKS MATTER? ⋮ The cyclical structure of the UK inflation rate: 1210--2016 ⋮ A bivariate fractionally cointegrated relationship in the context of cyclical structures ⋮ Unemployment and entrepreneurship: a cyclical relation? ⋮ Modelling long-run trends and cycles in financial time series data ⋮ A mean shift break in the US interest rate. ⋮ Empirical evidence of the spot and the forward exchange rates in Canada. ⋮ Testing fractional unit roots with non-linear smooth break approximations using Fourier functions ⋮ Measuring length of business cycles across countries using a new non-stationary unit-root cyclical approach ⋮ The tests of Robinson (1994) for fractional integration. Time domain versus frequency domain
This page was built for publication: Testing Stochastic Cycles in Macroeconomic Time Series