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Discrete Approximations to Continuous Time Distributed Lags in Econometrics

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Cited by:

  1. Lars Peter Hansen & Thomas J. Sargent, 1982. "Formulating and estimating continuous time rational expectations models," Staff Report 75, Federal Reserve Bank of Minneapolis.
  2. Dufour, J.M., 2001. "Logique et tests d'hypotheses: reflexions sur les problemes mal poses en econometrie," Cahiers de recherche 2001-15, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  3. DUFOUR, Jean-Marie & JOUINI, Tarek, 2005. "Finite-Sample Simulation-Based Inference in VAR Models with Applications to Order Selection and Causality Testing," Cahiers de recherche 16-2005, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  4. Jean-Marie Dufour, 2003. "Identification, weak instruments, and statistical inference in econometrics," Canadian Journal of Economics, Canadian Economics Association, vol. 36(4), pages 767-808, November.
  5. Mercenier, Jean & Michel, Philippe, 2001. "Temporal aggregation in a multi-sector economy with endogenous growth," Journal of Economic Dynamics and Control, Elsevier, vol. 25(8), pages 1179-1191, August.
  6. R Jea & C-T Su & J-L Lin, 2005. "Time aggregation effect on the correlation coefficient: added-systematically sampled framework," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 56(11), pages 1303-1309, November.
  7. Chih-Nan Chen & Tsutomu Watanabe & Tomoyoshi Yabu, 2012. "A New Method for Identifying the Effects of Foreign Exchange Interventions," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 44(8), pages 1507-1533, December.
  8. Alexandre Petkovic & David Veredas, 2009. "Aggregation of linear models for panel data," Working Papers ECARES 2009-012, ULB -- Universite Libre de Bruxelles.
  9. Mamingi Nlandu, 2017. "Beauty and Ugliness of Aggregation over Time: A Survey," Review of Economics, De Gruyter, vol. 68(3), pages 205-227, December.
  10. van der Wel, M., 2020. "Connecting Silos : On linking macroeconomics and finance, and the role of econometrics therein," ERIM Inaugural Address Series Research in Management 124748, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam..
  11. Marcellino, Massimiliano, 1999. "Some Consequences of Temporal Aggregation in Empirical Analysis," Journal of Business & Economic Statistics, American Statistical Association, vol. 17(1), pages 129-136, January.
  12. Aadland, David, 2005. "Detrending time-aggregated data," Economics Letters, Elsevier, vol. 89(3), pages 287-293, December.
  13. Lars Peter Hansen & Thomas J. Sargent, 1983. "Identification of continuous time rational expectations models from discrete time data," Staff Report 73, Federal Reserve Bank of Minneapolis.
  14. Linton, Oliver B. & Mammen, Enno, 2008. "Nonparametric transformation to white noise," Journal of Econometrics, Elsevier, vol. 142(1), pages 241-264, January.
  15. Lo, Andrew W., 1988. "Maximum Likelihood Estimation of Generalized Itô Processes with Discretely Sampled Data," Econometric Theory, Cambridge University Press, vol. 4(2), pages 231-247, August.
  16. Cimadomo, Jacopo & Giannone, Domenico & Lenza, Michele & Monti, Francesca & Sokol, Andrej, 2022. "Nowcasting with large Bayesian vector autoregressions," Journal of Econometrics, Elsevier, vol. 231(2), pages 500-519.
  17. Peter C. B. Phillips & Jun Yu, 2005. "Comments on “A selective overview of nonparametric methods in financial econometricsâ€Â," Finance Working Papers 22469, East Asian Bureau of Economic Research.
  18. Palm, Franz C & Nijman, Theo E, 1984. "Missing Observations in the Dynamic Regression Model," Econometrica, Econometric Society, vol. 52(6), pages 1415-1435, November.
  19. Lawrence J. Christiano, 1980. "The term structure of interest rates and the aliasing identification problem," Working Papers 165, Federal Reserve Bank of Minneapolis.
  20. Christiano, Lawrence J & Eichenbaum, Martin & Marshall, David, 1991. "The Permanent Income Hypothesis Revisited," Econometrica, Econometric Society, vol. 59(2), pages 397-423, March.
  21. Andrea Silvestrini & David Veredas, 2008. "Temporal Aggregation Of Univariate And Multivariate Time Series Models: A Survey," Journal of Economic Surveys, Wiley Blackwell, vol. 22(3), pages 458-497, July.
  22. Massimiliano Marcellino & Oscar Jorda, "undated". "Stochastic Processes Subject to Time-Scale Transformations: An Application to High-Frequency FX Data," Working Papers 164, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  23. Ghysels, Eric & Santa-Clara, Pedro & Valkanov, Rossen, 2004. "The MIDAS Touch: Mixed Data Sampling Regression Models," University of California at Los Angeles, Anderson Graduate School of Management qt9mf223rs, Anderson Graduate School of Management, UCLA.
  24. Du, Yingxin & Ju, Jiandong & Ramirez, Carlos D. & Yao, Xi, 2017. "Bilateral trade and shocks in political relations: Evidence from China and some of its major trading partners, 1990–2013," Journal of International Economics, Elsevier, vol. 108(C), pages 211-225.
  25. Phoebus J. Dhrymes, 1972. "Distributed Lags:A Survey," UCLA Economics Working Papers 024, UCLA Department of Economics.
  26. Andreou, Elena & Ghysels, Eric & Kourtellos, Andros, 2010. "Regression models with mixed sampling frequencies," Journal of Econometrics, Elsevier, vol. 158(2), pages 246-261, October.
  27. Grant Kirkpatrick, 1982. "Real factor prices and German manufacturing employment: A time series analysis, 1960I–1979IV," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 118(1), pages 79-103, March.
  28. Stutzer, Michael J., 1980. "Chaotic dynamics and bifurcation in a macro model," Journal of Economic Dynamics and Control, Elsevier, vol. 2(1), pages 353-376, May.
  29. Andrea Gazzani & Alejandro Vicondoa, 2020. "Bridge Proxy-SVAR: estimating the macroeconomic effects of shocks identified at high-frequency," Temi di discussione (Economic working papers) 1274, Bank of Italy, Economic Research and International Relations Area.
  30. Götz, Thomas B. & Hecq, Alain & Smeekes, Stephan, 2016. "Testing for Granger causality in large mixed-frequency VARs," Journal of Econometrics, Elsevier, vol. 193(2), pages 418-432.
  31. Andrii Babii, 2022. "High-Dimensional Mixed-Frequency IV Regression," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 40(4), pages 1470-1483, October.
  32. McCrorie, J. Roderick & Chambers, Marcus J., 2006. "Granger causality and the sampling of economic processes," Journal of Econometrics, Elsevier, vol. 132(2), pages 311-336, June.
  33. Alessandri, Piergiorgio & Gazzani, Andrea & Vicondoa, Alejandro, 2023. "Are the effects of uncertainty shocks big or small?," European Economic Review, Elsevier, vol. 158(C).
  34. Massimiliano Marcellino & Oscar Jorda, "undated". "Stochastic Processes Subject to Time-Scale Transformations: An Application to High-Frequency FX Data," Working Papers 164, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  35. Yimin Yang & Fei Jia & Haoran Li, 2023. "Estimation of Panel Data Models with Mixed Sampling Frequencies," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 85(3), pages 514-544, June.
  36. Piergiorgio Alessandri & Andrea Gazzani & Alejandro Vicondoa, 2021. "The real effects of financial uncertainty shocks: A daily identification approach," Working Papers 61, Red Nacional de Investigadores en Economía (RedNIE).
  37. Dufour, Jean-Marie, 2001. "Logique et tests d’hypothèses," L'Actualité Economique, Société Canadienne de Science Economique, vol. 77(2), pages 171-190, juin.
  38. Lars Peter Hansen & Thomas J. Sargent, 1980. "Methods for estimating continuous time Rational Expectations models from discrete time data," Staff Report 59, Federal Reserve Bank of Minneapolis.
  39. Dufour, Jean-Marie & Jouini, Tarek, 2006. "Finite-sample simulation-based inference in VAR models with application to Granger causality testing," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 229-254.
  40. Nerlove, Marc & Schuermann, Til, 1997. "Businessmen's Expectations Are Neither Rational nor Adaptive," ZEW Discussion Papers 97-01, ZEW - Leibniz Centre for European Economic Research.
  41. Òscar Jordà & Massimiliano Marcellino, 2004. "Time‐scale transformations of discrete time processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 25(6), pages 873-894, November.
  42. Lars Peter Hansen & Thomas J. Sargent, 1980. "Rational expectations models and the aliasing phenomenon," Staff Report 60, Federal Reserve Bank of Minneapolis.
  43. Jonathan E Butner & Ascher K Munion & Brian R W Baucom & Alexander Wong, 2019. "Ghost hunting in the nonlinear dynamic machine," PLOS ONE, Public Library of Science, vol. 14(12), pages 1-21, December.
  44. Gary R. Skoog, 1976. "Systematically missing data in econometric models," Staff Report 13, Federal Reserve Bank of Minneapolis.
  45. Oscar Jordà & Massimiliano Marcellino, 2004. "Time-scale transformations of discrete time processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 25(6), pages 873-894, November.
  46. E Andreou & A Pelloni & M Sensier, 2003. "The effect of nominal shock uncertainty on output growth," Centre for Growth and Business Cycle Research Discussion Paper Series 40, Economics, The University of Manchester.
  47. Andrea Giovanni Gazzani & Alejandro Vicondoa, 2019. "Proxy-SVAR as a Bridge for Identification with Higher Frequency Data," 2019 Meeting Papers 855, Society for Economic Dynamics.
  48. Pierre St-Amant & David Tessier, 1998. "A Discussion of the Reliability of Results Obtained with Long-Run Identifying Restrictions," Staff Working Papers 98-4, Bank of Canada.
  49. Lawrence J. Christiano, 1986. "Temporal aggregation bias and government policy evaluation," Working Papers 302, Federal Reserve Bank of Minneapolis.
  50. Bartsch, Zachary, 2019. "Economic policy uncertainty and dollar-pound exchange rate return volatility," Journal of International Money and Finance, Elsevier, vol. 98(C), pages 1-1.
  51. Forni, Mario & Lippi, Marco, 1999. "Aggregation of linear dynamic microeconomic models," Journal of Mathematical Economics, Elsevier, vol. 31(1), pages 131-158, February.
  52. Giusto Andrea & İşcan Talan B., 2018. "The Rescaled VAR Model with an Application to Mixed-Frequency Macroeconomic Forecasting," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 22(4), pages 1-16, September.
  53. Peter C. B. Phillips & Jun Yu, 2005. "Comments on “A Selective Overview of Nonparametric Methods in Financial Econometrics” by Jianqing Fan," Working Papers 08-2005, Singapore Management University, School of Economics.
  54. Christensen, Bent Jesper & Posch, Olaf & van der Wel, Michel, 2016. "Estimating dynamic equilibrium models using mixed frequency macro and financial data," Journal of Econometrics, Elsevier, vol. 194(1), pages 116-137.
  55. P.Antipa, 2014. "How Fiscal Policy Affects the Price Level: Britain’s First Experience with Paper Money," Working papers 525, Banque de France.
  56. Gulasekaran Rajaguru & Michael O’Neill & Tilak Abeysinghe, 2018. "Does Systematic Sampling Preserve Granger Causality with an Application to High Frequency Financial Data?," Econometrics, MDPI, vol. 6(2), pages 1-24, June.
  57. Arie ten Cate, 2004. "Refinement of the partial adjustment model using continuous-time econometrics," CPB Discussion Paper 41, CPB Netherlands Bureau for Economic Policy Analysis.
  58. Masuda, Kazuto, 2024. "The Special Theory of Employment, Exchange Rate, and Money With the Focus on Inflation and Technological Progress," SocArXiv nxshd, Center for Open Science.
  59. Peter K. Clark, 1974. "Operational Time and Seasonality in Distributed Lag Estimation," NBER Working Papers 0032, National Bureau of Economic Research, Inc.
  60. Kirkpatrick, Grant, 1984. "A continuous time cyclical growth model for the Federal Republic of Germany: Construction, estimation and analysis," Kiel Working Papers 219, Kiel Institute for the World Economy (IfW Kiel).
  61. Christopher A. Sims, 1974. "Optimal Stable Policies for Unstable Instruments," NBER Chapters, in: Annals of Economic and Social Measurement, Volume 3, number 1, pages 257-265, National Bureau of Economic Research, Inc.
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