Details about Josu Arteche

Access statistics for papers by Josu Arteche.

Last updated 2024-12-06. Update your information in the RePEc Author Service.

Short-id: par54

Working Papers

2023

1. Long memory, fractional integration and cointegration analysis of real convergence in Spain
   Papers, arXiv.org

2006

2. Semiparametric estimation in perturbed long memory series
   Computing in Economics and Finance 2006, Society for Computational Economics View citations (22)
   See also Journal Article Semiparametric estimation in perturbed long memory series, Computational Statistics & Data Analysis, Elsevier (2006) View citations (22) (2006)

1998

3. Seasonal and Cyclical Long Memory - (Now published in S Ghosh (ed): Asymptotics, Nonparametrics and Time Series: A Tribute to Madam Lal Puri (Marcel Decker, 1999), pp.115-145.)
   STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE
4. Seasonal and cyclical long memory
   LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (56)
5. Semiparametric Inference in Seasonal and Cyclical Long Memory Processes - (Now published in Journal of Time Series Analysis, 21 (2000), pp.1-25.)
   STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE
6. Semiparametric inference in seasonal and cyclical long memory processes
   LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (49)
   See also Journal Article Semiparametric Inference in Seasonal and Cyclical Long Memory Processes, Journal of Time Series Analysis, Wiley Blackwell (2000) View citations (79) (2000)

Journal Articles

2024

1. Bootstrapping long memory time series: Application in low frequency estimators
   Econometrics and Statistics, 2024, 29, (C), 1-15
2. Do Spanish regions converge? A time-series approach using fractional cointegration
   Applied Economics, 2024, 56, (59), 8666-8679

2022

3. Singular spectrum analysis for value at risk in stochastic volatility models
   Journal of Forecasting, 2022, 41, (1), 3-16

2020

4. EXACT LOCAL WHITTLE ESTIMATION IN LONG MEMORY TIME SERIES WITH MULTIPLE POLES
   Econometric Theory, 2020, 36, (6), 1064-1098 View citations (7)

2017

5. A strategy for optimal bandwidth selection in Local Whittle estimation
   Econometrics and Statistics, 2017, 4, (C), 3-17 View citations (5)
6. Singular Spectrum Analysis for signal extraction in Stochastic Volatility models
   Econometrics and Statistics, 2017, 1, (C), 85-98 View citations (8)
7. Testing for substitutability in the mackerel market: a new method using fractional cointegration
   Applied Economics, 2017, 49, (39), 3912-3926

2016

8. A bootstrap approximation for the distribution of the Local Whittle estimator
   Computational Statistics & Data Analysis, 2016, 100, (C), 645-660 View citations (5)
9. Economic structure of fishing activity: An analysis of mackerel fishery management in the Basque Country
   Economia Agraria y Recursos Naturales, 2016, 16, (01) View citations (2)
10. Spatial Integration in the Spanish Mackerel Market Volume 65, Issue 1, January 2014, pp. 234–256
    Journal of Agricultural Economics, 2016, 67, (1), 250-250

2015

11. SIGNAL EXTRACTION IN LONG MEMORY STOCHASTIC VOLATILITY
    Econometric Theory, 2015, 31, (6), 1382-1402 View citations (6)

2014

12. A semiparametric approach to estimate two seasonal fractional parameters in the SARFIMA model
    Mathematics and Computers in Simulation (MATCOM), 2014, 98, (C), 1-17 View citations (6)
13. Spatial Integration in the Spanish Mackerel Market
    Journal of Agricultural Economics, 2014, 65, (1), 234-256 View citations (6)

2012

14. Doubly fractional models for dynamic heteroscedastic cycles
    Computational Statistics & Data Analysis, 2012, 56, (6), 2139-2158 View citations (8)
15. Semiparametric Inference in Correlated Long Memory Signal Plus Noise Models
    Econometric Reviews, 2012, 31, (4), 440-474 View citations (3)
16. Standard and seasonal long memory in volatility: an application to Spanish inflation
    Empirical Economics, 2012, 42, (3), 693-712 View citations (6)

2009

17. Bootstrap‐based bandwidth choice for log‐periodogram regression
    Journal of Time Series Analysis, 2009, 30, (6), 591-617 View citations (2)
18. Using the bootstrap for finite sample confidence intervals of the log periodogram regression
    Computational Statistics & Data Analysis, 2009, 53, (6), 1940-1953 View citations (4)

2007

19. The Analysis of Seasonal Long Memory: The Case of Spanish Inflation*
    Oxford Bulletin of Economics and Statistics, 2007, 69, (6), 749-772 View citations (8)

2006

20. Semiparametric estimation in perturbed long memory series
    Computational Statistics & Data Analysis, 2006, 51, (4), 2118-2141 View citations (22)
    See also Working Paper Semiparametric estimation in perturbed long memory series, Computing in Economics and Finance 2006 (2006) View citations (22) (2006)

2005

21. Bootstrapping the log-periodogram regression
    Economics Letters, 2005, 86, (1), 79-85 View citations (11)
22. Trimming and Tapering Semi‐Parametric Estimates in Asymmetric Long Memory Time Series
    Journal of Time Series Analysis, 2005, 26, (4), 581-611 View citations (11)

2004

23. Gaussian semiparametric estimation in long memory in stochastic volatility and signal plus noise models
    Journal of Econometrics, 2004, 119, (1), 131-154 View citations (58)

2002

24. Semiparametric robust tests on seasonal or cyclical long memory time series
    Journal of Time Series Analysis, 2002, 23, (3), 251-285 View citations (34)

2000

25. Semiparametric Inference in Seasonal and Cyclical Long Memory Processes
    Journal of Time Series Analysis, 2000, 21, (1), 1-25 View citations (79)
    See also Working Paper Semiparametric inference in seasonal and cyclical long memory processes, LSE Research Online Documents on Economics (1998) View citations (49) (1998)

Books

2000

1. Ejercicios de estadística I. Elementos de Probabilidad y Estadística
   UPV/EHU Books, Universidad del País Vasco - Facultad de Ciencias Económicas y Empresariales
2. Ejercicios de estadística II. Estadística Empresarial y para Economistas
   UPV/EHU Books, Universidad del País Vasco - Facultad de Ciencias Económicas y Empresariales