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Unit Root Log Periodogram Regression. (1999). Phillips, Peter.
In: Cowles Foundation Discussion Papers.
RePEc:cwl:cwldpp:1244.

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Cited: 40

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Cites: 21

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Cocites: 31

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  1. The Italian fiscal sustainability in a long-run perspective. (2022). Mutascu, Mihai Ioan ; Magazzino, Cosimo.
    In: The Journal of Economic Asymmetries.
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  2. On the long-term common movement of resource and commodity prices.A methodological proposal. (2021). Esposti, Roberto.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:72:y:2021:i:c:s0301420721000271.

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  3. Modeling US historical time-series prices and inflation using alternative long-memory approaches. (2020). Miller, Stephen ; GUPTA, RANGAN ; Gil-Alana, Luis ; Canarella, Giorgio.
    In: Empirical Economics.
    RePEc:spr:empeco:v:58:y:2020:i:4:d:10.1007_s00181-018-1597-2.

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  4. Long-Term Dependency Structure and Structural Breaks: Evidence from the U.S. Sector Returns and Volatility. (2018). Ngene, Geoffrey ; Lynch, Allen K ; Mungai, Ann Nduati.
    In: Review of Pacific Basin Financial Markets and Policies (RPBFMP).
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  5. Long Memory Interdependency and Inefficiency in Bitcoin Markets. (2018). Parhi, Mamata ; Mishra, Tapas ; Cheah, Jeremy Eng Tuck ; Zhang, Zhuang.
    In: Economics Letters.
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  6. Long memory or structural breaks: Some evidence for African stock markets. (2017). Darrat, Ali F ; Tah, Kenneth A ; Ngene, Geoffrey.
    In: Review of Financial Economics.
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  7. Inflation Persistence Before and After Inflation Targeting: A Fractional Integration Approach. (2017). Miller, Stephen ; Canarella, Giorgio.
    In: Eastern Economic Journal.
    RePEc:pal:easeco:v:43:y:2017:i:1:d:10.1057_eej.2015.36.

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  8. Long memory or structural breaks: Some evidence for African stock markets. (2017). Ngene, Geoffrey ; Darrat, Ali F ; Tah, Kenneth A.
    In: Review of Financial Economics.
    RePEc:eee:revfin:v:34:y:2017:i:c:p:61-73.

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  9. What Makes Commodity Prices Move Together? An Answer From A Dynamic Factor Model. (2017). Esposti, Roberto.
    In: 2017 International Congress, August 28-September 1, 2017, Parma, Italy.
    RePEc:ags:eaae17:260889.

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  10. Inflation Targeting: New Evidence from Fractional Integration and Cointegration. (2016). Miller, Stephen ; Canarella, Giorgio.
    In: Working papers.
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  11. Performance of the Multifractal Model of Asset Returns (MMAR): Evidence from Emerging Stock Markets. (2016). Gunay, Samet ; Gnay, Samet .
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  12. Political uncertainty and the 2012 US presidential election: A cointegration study of prediction markets, polls and a stand-out expert. (2015). Goodell, John W ; Urquhart, Andrew ; McGroarty, Frank.
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  13. Exchange Rate Behaviour: Implication for West African Monetary Zone. (2012). Adam, Anokye ; Agyapong, Daniel.
    In: International Journal of Academic Research in Accounting, Finance and Management Sciences.
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  14. Where Does the Axe Fall? Inflation Dynamics and Poverty Rates: Regional and Sectoral Evidence for Ghana. (2012). Coleman, Simeon.
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  15. Fractional integration and the volatility of UK interest rates. (2012). Sirichand, Kavita ; Coleman, Simeon.
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  16. Regression asymptotics using martingale convergence methods.. (2008). Phillips, Peter ; Phillips, Peter C. B., ; Ibragimov, Rustam.
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  17. Multi-scaling in finance. (2007). Di Matteo, T..
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  18. A note on fractional stochastic convergence. (2007). Guimaraes-Filho, Roberto .
    In: Economics Bulletin.
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  19. An Analytical Evaluation of the Log-periodogram Estimate in the Presence of Level Shifts. (2007). Qu, Zhongjun ; Perron, Pierre.
    In: Boston University - Department of Economics - Working Papers Series.
    RePEc:bos:wpaper:wp2007-044.

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  20. Testing Monetary Policy Intentions in Open Economies. (2006). Sunny, M C ; Lo, Melody ; Granato, Jim.
    In: Southern Economic Journal.
    RePEc:wly:soecon:v:72:y:2006:i:3:p:730-746.

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  21. Local Whittle estimation of fractional integration and some of its variants. (2006). Shimotsu, Katsumi ; Phillips, Peter.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:130:y:2006:i:2:p:209-233.

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  22. Log Periodogram Regression: The Nonstationary Case. (2006). Phillips, Peter ; Kim, Chang Sik.
    In: Cowles Foundation Discussion Papers.
    RePEc:cwl:cwldpp:1587.

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  23. Optimal Estimation of Cointegrated Systems with Irrelevant Instruments. (2006). Phillips, Peter.
    In: Cowles Foundation Discussion Papers.
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  24. An Analytical Evaluation of the Log-periodogram Estimate in the Presence of Level Shifts and its Implications for Stock Returns Volatility*. (2006). Qu, Zhongjun ; Perron, Pierre.
    In: Boston University - Department of Economics - Working Papers Series.
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  25. Moonlighting: Public Service and Private Practice. (2006). Ma, Ching-to ; Qu, Zhongjun .
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  26. Long-term memories of developed and emerging markets: Using the scaling analysis to characterize their stage of development. (2005). Dacorogna, Michel ; Aste, T. ; Di Matteo, T..
    In: Econometrics.
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  27. Limit Theory for Moderate Deviations from a Unit Root under Weak Dependence. (2005). Phillips, Peter ; Magadalinos, Tassos.
    In: Cowles Foundation Discussion Papers.
    RePEc:cwl:cwldpp:1517.

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  28. Econometric Analysis of Fishers Equation. (2005). Phillips, Peter.
    In: American Journal of Economics and Sociology.
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  29. Wavelet transform for log periodogram regression in long memory stochastic volatility model. (2004). Lee, Jin .
    In: Econometric Society 2004 Far Eastern Meetings.
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  30. Regression Asymptotics Using Martingale Convergence Methods. (2004). Phillips, Peter ; Ibragimov, Rustam.
    In: Cowles Foundation Discussion Papers.
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  31. HAC Estimation by Automated Regression. (2004). Phillips, Peter.
    In: Cowles Foundation Discussion Papers.
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  32. Long Memory and Structural Changes in the Forward Discount: An Empirical Investigation. (2003). Zivot, Eric ; Choi, Kyongwook.
    In: EERI Research Paper Series.
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  33. Local Whittle Estimation in Nonstationary and Unit Root Cases. (2003). Shimotsu, Katsumi ; Phillips, Peter.
    In: Cowles Foundation Discussion Papers.
    RePEc:cwl:cwldpp:1266.

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  34. Exact Local Whittle Estimation of Fractional Integration with Unknown Mean and Time Trend. (2002). Shimotsu, Katsumi.
    In: Economics Discussion Papers.
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  35. Efficient Regression in Time Series Partial Linear Models. (2002). Xiao, Zhijie ; Phillips, Peter ; Guo, Binbin.
    In: Cowles Foundation Discussion Papers.
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  36. Rethinking an old empirical puzzle: econometric evidence on the forward discount anomaly. (2001). Phillips, Peter ; Maynard, Alex.
    In: Journal of Applied Econometrics.
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  37. Bootstrapping Spurious Regression. (2001). Phillips, Peter.
    In: Cowles Foundation Discussion Papers.
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  38. A re-evaluation of empirical tests of the Fisher hypothesis. (2000). Bekdache, Basma ; Baum, Christopher.
    In: Computing in Economics and Finance 1999.
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  39. A re-evaluation of empirical tests of the Fisher hypothesis. (2000). Bekdache, Basma ; Baum, Christopher.
    In: Boston College Working Papers in Economics.
    RePEc:boc:bocoec:472.

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  40. Discrete Fourier Transforms of Fractional Processes. (1999). Phillips, Peter.
    In: Cowles Foundation Discussion Papers.
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    Full description at Econpapers || Download paper

References

References cited by this document

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  2. [111 Kim, C. S. and P. C. B. Phillips (1999b). Modified Log Periodogram Regression. Yale University, mimeographed.

  3. [121 Künsch, H. R. (1986). Discrimination between long range dependence and monotonic trends. Journal of Applied Probability, 23, 1025-1030.
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  5. [141 Phillips, P. C. B. (1999). Discrete Fourier Transforms of Fractional Processes, Yale University, mimeographed.

  6. [151 Phillips, P. C. B. and V. Solo (1992). Asymptotics for linear processes, Annals of Statistics 20, 971-lOOl. 22

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  9. [181 Schmidt, P. and P. C. B. Phillips (1992). LM tests for a unit root in the presence of deterministic trends, Oxford Bulletin of Economics and Statistics 54, 257-287.

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  15. [31 Csorgö, M. And L. Horváth (1993). Weighted Approximations in Probability and Statistics. New York: Wiley.
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  17. [51 Gil-Alaña, L. A. and P. M. Robinson (1997). Testing of Unit Root and Other Nonstationary Hypothesis in Macroeconomic Time Series, Journal of Econometrics 80, 241-268.

  18. [61 Gradshteyn I. S. and I. M. Ryzhik (1965). Tables of Integrals, Series and Products. New York: Academic Press.
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  19. [71 Hurvich, C. M. and B. K. Ray (1995). Estimation of the Memory Parameter for Nonstationary or Noninvertible Fractionally Integrated Processes, Journal of Time Series Analysis 16, 17-42.

  20. [81 Hurvich, C. M. and K. I. Beltrao (1993). Automatic Semiparametric Estimation of the Memory Parameter of a Long-Memory Time Series, Journal of Time Series Analysis 15, 285-302.
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  21. [91 Hurvich, C. M., R. Deo and J. Brodsky (1998). The Mean Squared Error of Geweke and Porter Hudaks Estimator of the Memory Parameter of a Long Memory Time Series, Journal of Time Series Analysis 19, 19-46.

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