메뉴 건너뛰기




Volumn 39, Issue 4, 1998, Pages 1053-1072

Long memory and aggregation in macroeconomic time series

Author keywords

[No Author keywords available]

Indexed keywords


EID: 0038969887     PISSN: 00206598     EISSN: None     Source Type: Journal    
DOI: 10.2307/2527352     Document Type: Article
Times cited : (113)

References (23)
  • 1
    • 28444488750 scopus 로고
    • Further Evidence on the Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
    • ANDREWS, D.W.K. AND E. ZIVOT, "Further Evidence on the Great Crash, the Oil Price Shock, and the Unit Root Hypothesis," Journal of Business and Economic Statistics 10 (1992), 251-270.
    • (1992) Journal of Business and Economic Statistics , vol.10 , pp. 251-270
    • Andrews, D.W.K.1    Zivot, E.2
  • 2
    • 0000532842 scopus 로고
    • A Goodness-of-Fit Test for Time Series with Long Range Dependence
    • BERAN, J., "A Goodness-of-Fit Test for Time Series with Long Range Dependence," Journal of the Royal Statistical Society (Series B) 54 (1992), 749-760.
    • (1992) Journal of the Royal Statistical Society (Series B) , vol.54 , pp. 749-760
    • Beran, J.1
  • 3
    • 0030305871 scopus 로고    scopus 로고
    • Fractional Integration, Trend Stationarity and Difference Stationarity: Evidence from Some U.K. Macroeconomic Time Series
    • CHAMBERS, M.J., "Fractional Integration, Trend Stationarity and Difference Stationarity: Evidence from Some U.K. Macroeconomic Time Series," Economics Letters 50 (1996a), 19-24.
    • (1996) Economics Letters , vol.50 , pp. 19-24
    • Chambers, M.J.1
  • 4
    • 0030547111 scopus 로고    scopus 로고
    • The Estimation of Continuous Parameter Long-Memory Time Series Models
    • _, "The Estimation of Continuous Parameter Long-Memory Time Series Models," Econometric Theory 12 (1996b), 274-290.
    • (1996) Econometric Theory , vol.12 , pp. 274-290
  • 5
    • 0039657324 scopus 로고
    • On Maximum Likelihood Estimation of the Differencing Parameter of Fractionally-Integrated Noise with Unknown Mean
    • CHEUNG, Y.-W. AND F.X. DIEBOLD, "On Maximum Likelihood Estimation of the Differencing Parameter of Fractionally-Integrated Noise with Unknown Mean," Journal of Econometrics 62 (1994), 301-316.
    • (1994) Journal of Econometrics , vol.62 , pp. 301-316
    • Cheung, Y.-W.1    Diebold, F.X.2
  • 6
    • 0001318609 scopus 로고
    • Efficient Parameter Estimation for Self-Similar Processes
    • DAHLHAUS, R., "Efficient Parameter Estimation for Self-Similar Processes," Annals of Statistics 17 (1989), 1749-1766.
    • (1989) Annals of Statistics , vol.17 , pp. 1749-1766
    • Dahlhaus, R.1
  • 7
    • 0002188727 scopus 로고
    • Large-Sample Properties of Parameter Estimates for Strongly Dependent Stationary Gaussian Sequences
    • FOX, R. AND M. TAQQU, "Large-Sample Properties of Parameter Estimates for Strongly Dependent Stationary Gaussian Sequences," Annals of Statistics 14 (1986), 517-532.
    • (1986) Annals of Statistics , vol.14 , pp. 517-532
    • Fox, R.1    Taqqu, M.2
  • 8
    • 84986759400 scopus 로고
    • The Estimation and Application of Long Memory Time Series Models
    • GEWEKE, J. AND S. PORTER-HUDAK, "The Estimation and Application of Long Memory Time Series Models," Journal of Time Series Analysis 4 (1983), 221-238.
    • (1983) Journal of Time Series Analysis , vol.4 , pp. 221-238
    • Geweke, J.1    Porter-Hudak, S.2
  • 9
    • 0018872157 scopus 로고
    • Long Memory Relationships and the Aggregation of Dynamic Models
    • GRANGER, C.W.J., "Long Memory Relationships and the Aggregation of Dynamic Models," Journal of Econometrics 14 (1980), 227-238.
    • (1980) Journal of Econometrics , vol.14 , pp. 227-238
    • Granger, C.W.J.1
  • 10
    • 84925744932 scopus 로고
    • Aggregation of Time Series Variables: A Survey
    • T. Barker and M.H. Pesaran, eds., London: Routledge
    • _, "Aggregation of Time Series Variables: A Survey," in T. Barker and M.H. Pesaran, eds., Disaggregation in Econometric Modelling (London: Routledge, 1990, pp. 17-34).
    • (1990) Disaggregation in Econometric Modelling , pp. 17-34
  • 11
    • 77956890381 scopus 로고
    • Fractional Differencing
    • HOSKING, J.R.M., "Fractional Differencing," Biometrika 68 (1981), 165-176.
    • (1981) Biometrika , vol.68 , pp. 165-176
    • Hosking, J.R.M.1
  • 12
    • 84981389490 scopus 로고
    • Automatic Semiparametric Estimation of the Memory Parameter of a Long-Memory Time Series
    • HURVICH, C.M. AND K.I. BELTRAO, "Automatic Semiparametric Estimation of the Memory Parameter of a Long-Memory Time Series," Journal of Time Series Analysis 15 (1994), 285-302.
    • (1994) Journal of Time Series Analysis , vol.15 , pp. 285-302
    • Hurvich, C.M.1    Beltrao, K.I.2
  • 13
    • 30244502301 scopus 로고    scopus 로고
    • Averaged Periodogram Estimation of Long Memory
    • LOBATO, I. AND P.M. ROBINSON, "Averaged Periodogram Estimation of Long Memory," Journal of Econometrics 73 (1996), 303-324.
    • (1996) Journal of Econometrics , vol.73 , pp. 303-324
    • Lobato, I.1    Robinson, P.M.2
  • 15
    • 0000899296 scopus 로고
    • The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
    • PERRON, P., "The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis," Econometrica 57 (1989), 1361-1401.
    • (1989) Econometrica , vol.57 , pp. 1361-1401
    • Perron, P.1
  • 17
    • 21344487840 scopus 로고
    • Semiparametric Analysis of Long-Memory Time Series
    • ROBINSON, P.M., "Semiparametric Analysis of Long-Memory Time Series," Annals of Statistics 22 (1994), 515-539.
    • (1994) Annals of Statistics , vol.22 , pp. 515-539
    • Robinson, P.M.1
  • 18
    • 0000668540 scopus 로고
    • Log-Periodogram Regression of Time Series with Long Range Dependence
    • _, "Log-Periodogram Regression of Time Series with Long Range Dependence," Annals of Statistics 23 (1995), 1048-1072.
    • (1995) Annals of Statistics , vol.23 , pp. 1048-1072
  • 19
    • 0010813557 scopus 로고
    • Aggregation, Unit Roots and the Time Series Structure of Manufacturing Real Wages
    • ROSSANA, R.J. AND J.J. SEATER, "Aggregation, Unit Roots and the Time Series Structure of Manufacturing Real Wages," International Economic Review 33 (1992), 159-179.
    • (1992) International Economic Review , vol.33 , pp. 159-179
    • Rossana, R.J.1    Seater, J.J.2
  • 21
    • 44049120475 scopus 로고
    • Modeling Long Run Behaviour with the Fractional ARFIMA Model
    • SOWELL, F., "Modeling Long Run Behaviour with the Fractional ARFIMA Model," Journal of Monetary Economics 29 (1992), 227-302.
    • (1992) Journal of Monetary Economics , vol.29 , pp. 227-302
    • Sowell, F.1
  • 22
    • 0000447571 scopus 로고
    • Systematic Sampling and Temporal Aggregation in Time Series Models
    • WEISS, A.A., "Systematic Sampling and Temporal Aggregation in Time Series Models," Journal of Econometrics 26 (1984), 271-281.
    • (1984) Journal of Econometrics , vol.26 , pp. 271-281
    • Weiss, A.A.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.