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Unit root log periodogram regression

Citations

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Cited by:

  1. Shimotsu, Katsumi, 2002. "Exact Local Whittle Estimation of Fractional Integration with Unknown Mean and Time Trend," Economics Discussion Papers 8844, University of Essex, Department of Economics.
  2. Kasparis, Ioannis & Andreou, Elena & Phillips, Peter C.B., 2015. "Nonparametric predictive regression," Journal of Econometrics, Elsevier, vol. 185(2), pages 468-494.
  3. Peter C.B. Phillips, 1999. "Discrete Fourier Transforms of Fractional Processes," Cowles Foundation Discussion Papers 1243, Cowles Foundation for Research in Economics, Yale University.
  4. Samet Günay, 2016. "Performance of the Multifractal Model of Asset Returns (MMAR): Evidence from Emerging Stock Markets," IJFS, MDPI, vol. 4(2), pages 1-17, May.
  5. Phillips, Peter C.B., 2010. "Bootstrapping I(1) data," Journal of Econometrics, Elsevier, vol. 158(2), pages 280-284, October.
  6. Perron, Pierre & Qu, Zhongjun, 2010. "Long-Memory and Level Shifts in the Volatility of Stock Market Return Indices," Journal of Business & Economic Statistics, American Statistical Association, vol. 28(2), pages 275-290.
  7. Ngene, Geoffrey & Tah, Kenneth A. & Darrat, Ali F., 2017. "Long memory or structural breaks: Some evidence for African stock markets," Review of Financial Economics, Elsevier, vol. 34(C), pages 61-73.
  8. Ibragimov, Rustam & Phillips, Peter C.B., 2008. "Regression Asymptotics Using Martingale Convergence Methods," Econometric Theory, Cambridge University Press, vol. 24(4), pages 888-947, August.
  9. Al-Shboul, Mohammad & Alsharari, Nizar, 2019. "The dynamic behavior of evolving efficiency: Evidence from the UAE stock markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 73(C), pages 119-135.
  10. Peter C.B. Phillips & Tassos Magadalinos, 2005. "Limit Theory for Moderate Deviations from a Unit Root under Weak Dependence," Cowles Foundation Discussion Papers 1517, Cowles Foundation for Research in Economics, Yale University.
  11. Coleman, Simeon & Sirichand, Kavita, 2012. "Fractional integration and the volatility of UK interest rates," Economics Letters, Elsevier, vol. 116(3), pages 381-384.
  12. Basma Bekdache & Christopher F. Baum, 1999. "A re-evaluation of empirical tests of the Fisher hypothesis," Computing in Economics and Finance 1999 944, Society for Computational Economics, revised 18 Sep 2000.
  13. Peter C.B. Phillips & Zhipeng Liao, 2012. "Series Estimation of Stochastic Processes: Recent Developments and Econometric Applications," Cowles Foundation Discussion Papers 1871, Cowles Foundation for Research in Economics, Yale University.
  14. Peter C. B. Phillips & Zhentao Shi, 2021. "Boosting: Why You Can Use The Hp Filter," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 62(2), pages 521-570, May.
  15. Kufenko, Vadim, 2016. "Spurious periodicities in cliometric series: Simultaneous testing," Violette Reihe: Schriftenreihe des Promotionsschwerpunkts "Globalisierung und Beschäftigung" 48/2016, University of Hohenheim, Carl von Ossietzky University Oldenburg, Evangelisches Studienwerk.
  16. Kyongwook Choi & Eric Zivot, 2003. "Long Memory and Structural Changes in the Forward Discount: An Empirical Investigation," EERI Research Paper Series EERI_RP_2003_02, Economics and Econometrics Research Institute (EERI), Brussels.
  17. Ziwei Mei & Peter C. B. Phillips & Zhentao Shi, 2022. "The boosted HP filter is more general than you might think," Papers 2209.09810, arXiv.org, revised Apr 2024.
  18. Proelss, Juliane & Schweizer, Denis & Seiler, Volker, 2020. "The economic importance of rare earth elements volatility forecasts," International Review of Financial Analysis, Elsevier, vol. 71(C).
  19. Peter C. B. Phillips, 2005. "Econometric Analysis of Fisher's Equation," American Journal of Economics and Sociology, Wiley Blackwell, vol. 64(1), pages 125-168, January.
  20. del Rio, Marta & Infante, Juan & Gil-Alana, Luis A., 2021. "Gender Diversity Index. Measuring persistence," Research in International Business and Finance, Elsevier, vol. 58(C).
  21. Matteo, T. Di & Aste, T. & Dacorogna, Michel M., 2005. "Long-term memories of developed and emerging markets: Using the scaling analysis to characterize their stage of development," Journal of Banking & Finance, Elsevier, vol. 29(4), pages 827-851, April.
  22. Giorgio Canarella & Luis A. Gil-Alana & Rangan Gupta & Stephen M. Miller, 2020. "Modeling US historical time-series prices and inflation using alternative long-memory approaches," Empirical Economics, Springer, vol. 58(4), pages 1491-1511, April.
  23. Christopher F. Baum & Mustafa Caglayan, 2008. "The Volatility of International Trade Flows and Exchange Rate Uncertainty," Boston College Working Papers in Economics 695, Boston College Department of Economics.
  24. Monge, Manuel & Cristóbal, Enrique, 2021. "Terrorism and the behavior of oil production and prices in OPEC," Resources Policy, Elsevier, vol. 74(C).
  25. Monge, Manuel & Gil-Alana, Luis A., 2021. "Lithium industry and the U.S. crude oil prices. A fractional cointegration VAR and a Continuous Wavelet Transform analysis," Resources Policy, Elsevier, vol. 72(C).
  26. T. Di Matteo, 2007. "Multi-scaling in finance," Quantitative Finance, Taylor & Francis Journals, vol. 7(1), pages 21-36.
  27. Niclas Kruger & Mikael Svensson, 2010. "Good times are drinking times: empirical evidence on business cycles and alcohol sales in Sweden 1861-2000," Applied Economics Letters, Taylor & Francis Journals, vol. 17(6), pages 543-546.
  28. Gary Biglaiser & Ching-to Albert Ma, 2007. "Moonlighting: public service and private practice," RAND Journal of Economics, RAND Corporation, vol. 38(4), pages 1113-1133, December.
  29. Chevillon, Guillaume & Mavroeidis, Sophocles, 2011. "Learning generates Long Memory," ESSEC Working Papers WP1113, ESSEC Research Center, ESSEC Business School.
  30. Baillie Richard T. & Kapetanios George, 2016. "On the estimation of short memory components in long memory time series models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 20(4), pages 365-375, September.
  31. Alex Maynard & Peter C. B. Phillips, 2001. "Rethinking an old empirical puzzle: econometric evidence on the forward discount anomaly," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(6), pages 671-708.
  32. Phillips, Peter C.B., 2005. "Hac Estimation By Automated Regression," Econometric Theory, Cambridge University Press, vol. 21(1), pages 116-142, February.
  33. Pierre Perron & Zhongjun Qu, 2007. "An Analytical Evaluation of the Log-periodogram Estimate in the Presence of Level Shifts," Boston University - Department of Economics - Working Papers Series wp2007-044, Boston University - Department of Economics.
  34. Christopoulos, Dimitris & McAdam, Peter, 2017. "Do financial reforms help stabilize inequality?," Journal of International Money and Finance, Elsevier, vol. 70(C), pages 45-61.
  35. Kühl, Michael, 2008. "Strong comovements of exchange rates: Theoretical and empirical cases when currencies become the same asset," University of Göttingen Working Papers in Economics 76, University of Goettingen, Department of Economics.
  36. Geoffrey Ngene & Ann Nduati Mungai & Allen K. Lynch, 2018. "Long-Term Dependency Structure and Structural Breaks: Evidence from the U.S. Sector Returns and Volatility," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 21(02), pages 1-38, June.
  37. Campos, I. & Cortazar, G. & Reyes, T., 2017. "Modeling and predicting oil VIX: Internet search volume versus traditional mariables," Energy Economics, Elsevier, vol. 66(C), pages 194-204.
  38. Phillips, Peter C.B., 2014. "Optimal estimation of cointegrated systems with irrelevant instruments," Journal of Econometrics, Elsevier, vol. 178(P2), pages 210-224.
  39. Baillie, Richard T. & Kapetanios, George & Papailias, Fotis, 2014. "Bandwidth selection by cross-validation for forecasting long memory financial time series," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 129-143.
  40. Soon, Siew-Voon & Baharumshah, Ahmad Zubaidi & Mohamad Shariff, Nurul Sima, 2017. "The persistence in real interest rates: Does it solve the intertemporal consumption behavior puzzle?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 50(C), pages 36-51.
  41. Giorgio Canarella & Stephen M Miller, 2017. "Inflation Persistence Before and After Inflation Targeting: A Fractional Integration Approach," Eastern Economic Journal, Palgrave Macmillan;Eastern Economic Association, vol. 43(1), pages 78-103, January.
  42. Peter C. B. Phillips & Sainan Jin, 2021. "Business Cycles, Trend Elimination, And The Hp Filter," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 62(2), pages 469-520, May.
  43. Yaya, OlaOluwa S. & Gil-Alana, Luis A., 2014. "The persistence and asymmetric volatility in the Nigerian stock bull and bear markets," Economic Modelling, Elsevier, vol. 38(C), pages 463-469.
  44. Geoffrey Ngene & Kenneth A. Tah & Ali F. Darrat, 2017. "Long memory or structural breaks: Some evidence for African stock markets," Review of Financial Economics, John Wiley & Sons, vol. 34(1), pages 61-73, September.
  45. Magazzino, Cosimo & Giolli, Lorenzo, 2021. "The relationship among railway networks, energy consumption, and real added value in Italy. Evidence form ARDL and Wavelet analysis," Research in Transportation Economics, Elsevier, vol. 90(C).
  46. Magazzino, Cosimo & Mutascu, Mihai Ioan, 2022. "The Italian fiscal sustainability in a long-run perspective," The Journal of Economic Asymmetries, Elsevier, vol. 26(C).
  47. Manuel Monge & Ana Lazcano, 2022. "Commodity Prices after COVID-19: Persistence and Time Trends," Risks, MDPI, vol. 10(6), pages 1-20, June.
  48. Al-Shboul, Mohammad & Anwar, Sajid, 2016. "Fractional integration in daily stock market indices at Jordan's Amman stock exchange," The North American Journal of Economics and Finance, Elsevier, vol. 37(C), pages 16-37.
  49. Daniel Agyapong & Anokye M. Adam, 2012. "Exchange Rate Behaviour: Implication for West African Monetary Zone," International Journal of Academic Research in Accounting, Finance and Management Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Accounting, Finance and Management Sciences, vol. 2(4), pages 215-228, October.
  50. Karanasos, Menelaos & Paraskevopoulos, Alexandros & Magdalinos, Anastasios & Canepa, Alessandra, 2024. "A Unified Theory for Arma Models with Varying Coefficients: One Solution Fits All," Department of Economics and Statistics Cognetti de Martiis. Working Papers 202413, University of Turin.
  51. Baillie, Richard T. & Kongcharoen, Chaleampong & Kapetanios, George, 2012. "Prediction from ARFIMA models: Comparisons between MLE and semiparametric estimation procedures," International Journal of Forecasting, Elsevier, vol. 28(1), pages 46-53.
  52. Guglielmo Maria Caporale & Marinko Skare, 2014. "Long Memory in UK Real GDP, 1851-2013: An ARFIMA-FIGARCH Analysis," Discussion Papers of DIW Berlin 1395, DIW Berlin, German Institute for Economic Research.
  53. Giorgio Canarella & Stephen M. Miller, 2016. "Inflation Persistence and Structural Breaks: The Experience of Inflation Targeting Countries and the US," Working papers 2016-11, University of Connecticut, Department of Economics.
  54. Jim Granato & Melody Lo & M. C. Sunny Wong, 2006. "Testing Monetary Policy Intentions in Open Economies," Southern Economic Journal, John Wiley & Sons, vol. 72(3), pages 730-746, January.
  55. Monge, Manuel & Poza, Carlos & Borgia, Sofía, 2022. "A proposal of a suspicion of tax fraud indicator based on Google trends to foresee Spanish tax revenues," International Economics, Elsevier, vol. 169(C), pages 1-12.
  56. He, Xue-Zhong & Zheng, Huanhuan, 2016. "Trading heterogeneity under information uncertainty," Journal of Economic Behavior & Organization, Elsevier, vol. 130(C), pages 64-80.
  57. Cheah, Eng-Tuck & Mishra, Tapas & Parhi, Mamata & Zhang, Zhuang, 2018. "Long Memory Interdependency and Inefficiency in Bitcoin Markets," Economics Letters, Elsevier, vol. 167(C), pages 18-25.
  58. Arteche, Josu & Orbe, Jesus, 2009. "Using the bootstrap for finite sample confidence intervals of the log periodogram regression," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 1940-1953, April.
  59. End, Nicolas, 2023. "Big Brother is also being watched: Measuring fiscal credibility," Journal of Macroeconomics, Elsevier, vol. 77(C).
  60. Esposti, Roberto, 2021. "On the long-term common movement of resource and commodity prices.A methodological proposal," Resources Policy, Elsevier, vol. 72(C).
  61. Manuel Monge, 2024. "Trends and persistence in global olive oil prices after COVID-19," Journal of Revenue and Pricing Management, Palgrave Macmillan, vol. 23(5), pages 481-488, October.
  62. Chang Sik Kim & Peter C.B. Phillips, 2006. "Log Periodogram Regression: The Nonstationary Case," Cowles Foundation Discussion Papers 1587, Cowles Foundation for Research in Economics, Yale University.
  63. Monge, Manuel & Claudio-Quiroga, Gloria & Poza, Carlos, 2024. "Chinese economic behavior in times of covid-19. A new leading economic indicator based on Google trends," International Economics, Elsevier, vol. 177(C).
  64. Boonman, Tjeerd & Litsios, Ioannis & Pilbeam, Keith & Pouliot, William, 2022. "Modelling the trade balance between the northern and southern eurozone using an intertemporal approach," Journal of International Money and Finance, Elsevier, vol. 121(C).
  65. Goodell, John W. & McGroarty, Frank & Urquhart, Andrew, 2015. "Political uncertainty and the 2012 US presidential election: A cointegration study of prediction markets, polls and a stand-out expert," International Review of Financial Analysis, Elsevier, vol. 42(C), pages 162-171.
  66. Zhengyan Lin & Hanchao Wang, 2016. "On Convergence to Stochastic Integrals," Journal of Theoretical Probability, Springer, vol. 29(3), pages 717-736, September.
  67. Phillips, Peter C.B. & Lee, Ji Hyung, 2016. "Robust econometric inference with mixed integrated and mildly explosive regressors," Journal of Econometrics, Elsevier, vol. 192(2), pages 433-450.
  68. repec:ebl:ecbull:v:3:y:2007:i:16:p:1-14 is not listed on IDEAS
  69. Baum, Christopher F. & Caglayan, Mustafa, 2010. "On the sensitivity of the volume and volatility of bilateral trade flows to exchange rate uncertainty," Journal of International Money and Finance, Elsevier, vol. 29(1), pages 79-93, February.
  70. Ziwei Mei & Peter C. B. Phillips & Zhentao Shi, 2024. "The boosted Hodrick‐Prescott filter is more general than you might think," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 39(7), pages 1260-1281, November.
  71. Gündüz, Yalin & Kaya, Orcun, 2013. "Sovereign default swap market efficiency and country risk in the eurozone," Discussion Papers 08/2013, Deutsche Bundesbank.
  72. Pierre Perron & Wendong Shi, 2014. "Temporal Aggregation, Bandwidth Selection and Long Memory for Volatility Models," Boston University - Department of Economics - Working Papers Series wp2014-009, Boston University - Department of Economics.
  73. Giorgio Canarella & Stephen M. Miller, 2016. "Inflation Targeting: New Evidence from Fractional Integration and Cointegration," Working papers 2016-08, University of Connecticut, Department of Economics.
  74. Baillie, Richard T. & Kapetanios, George & Papailias, Fotis, 2014. "Modified information criteria and selection of long memory time series models," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 116-131.
  75. Coleman, Simeon, 2012. "Where Does the Axe Fall? Inflation Dynamics and Poverty Rates: Regional and Sectoral Evidence for Ghana," World Development, Elsevier, vol. 40(12), pages 2454-2467.
  76. Monge, Manuel, 2021. "U.S. historical initial jobless claims. Is it different with the coronavirus crisis? A fractional integration analysis," International Economics, Elsevier, vol. 167(C), pages 88-95.
  77. repec:got:cegedp:76 is not listed on IDEAS
  78. Peter C.B. Phillips & Binbin Guo & Zhijie Xiao, 2002. "Efficient Regression in Time Series Partial Linear Models," Cowles Foundation Discussion Papers 1363, Cowles Foundation for Research in Economics, Yale University.
  79. Pierre Perron & Zhongjun Qu, 2006. "An Analytical Evaluation of the Log-periodogram Estimate in the Presence of Level Shifts and its Implications for Stock Returns Volatility," Boston University - Department of Economics - Working Papers Series WP2006-016, Boston University - Department of Economics.
  80. Baillie, Richard T. & Kapetanios, George, 2008. "Nonlinear models for strongly dependent processes with financial applications," Journal of Econometrics, Elsevier, vol. 147(1), pages 60-71, November.
  81. Jin Lee, 2004. "Wavelet transform for log periodogram regression in long memory stochastic volatility model," Econometric Society 2004 Far Eastern Meetings 682, Econometric Society.
  82. Monge, Manuel & Romero Rojo, María Fátima & Gil-Alana, Luis Alberiko, 2023. "The impact of geopolitical risk on the behavior of oil prices and freight rates," Energy, Elsevier, vol. 269(C).
  83. Monge, Manuel & Lazcano, Ana & Parada, José Luis, 2023. "Growth vs value investing: Persistence and time trend before and after COVID-19," Research in International Business and Finance, Elsevier, vol. 65(C).
  84. Cevik, Emrah Ismail, 2012. "İstanbul Menkul Kıymetler Borsası’nda etkin piyasa hipotezinin uzun hafıza modelleri ile analizi: sektörel bazda bir inceleme [The testing of efficient market hypothesis in the Istanbul Stock Excha," MPRA Paper 71484, University Library of Munich, Germany, revised 2012.
  85. Peter C. B. Phillips, 2021. "Pitfalls in Bootstrapping Spurious Regression," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 19(1), pages 163-217, December.
  86. Esposti, Roberto, 2017. "What Makes Commodity Prices Move Together? An Answer From A Dynamic Factor Model," 2017 International Congress, August 28-September 1, 2017, Parma, Italy 260889, European Association of Agricultural Economists.
  87. Lenin Arango-Castillo & Francisco J. Martínez-Ramírez & María José Orraca, 2024. "Univariate Measures of Persistence: A Comparative Analysis," Working Papers 2024-11, Banco de México.
  88. Gündüz, Yalin & Kaya, Orcun, 2014. "Impacts of the financial crisis on eurozone sovereign CDS spreads," Journal of International Money and Finance, Elsevier, vol. 49(PB), pages 425-442.
  89. Shimotsu, Katsumi & Phillips, Peter C.B., 2006. "Local Whittle estimation of fractional integration and some of its variants," Journal of Econometrics, Elsevier, vol. 130(2), pages 209-233, February.
  90. Peter C.B. Phillips, 2001. "Bootstrapping Spurious Regression," Cowles Foundation Discussion Papers 1330, Cowles Foundation for Research in Economics, Yale University.
  91. Sibbertsen, Philipp & Wegener, Christoph & Basse, Tobias, 2014. "Testing for a break in the persistence in yield spreads of EMU government bonds," Journal of Banking & Finance, Elsevier, vol. 41(C), pages 109-118.
  92. Canarella, Giorgio & Miller, Stephen M., 2017. "Inflation targeting and inflation persistence: New evidence from fractional integration and cointegration," Journal of Economics and Business, Elsevier, vol. 92(C), pages 45-62.
  93. Berta Marcos Ceron & Manuel Monge, 2024. "Luxury goods and services in recession periods. Time trends and persistence analysis," Journal of Revenue and Pricing Management, Palgrave Macmillan, vol. 23(6), pages 588-595, December.
  94. Franco, G.C. & Reisen, V.A. & Alves, F.A., 2013. "Bootstrap tests for fractional integration and cointegration: A comparison study," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 87(C), pages 19-29.
  95. Veselin Hadzhiev (ed.), 2017. "8th International Academic Conference The Economy in a Changing World: National, Regional and Global Aspects (EWT – 2017), volume 1," University conferences organized by University of Economics Varna, Publishing house Science and Economics Varna, number 1.
  96. Katsumi Shimotsu & Peter C.B. Phillips, 2000. "Local Whittle Estimation in Nonstationary and Unit Root Cases," Cowles Foundation Discussion Papers 1266, Cowles Foundation for Research in Economics, Yale University, revised Sep 2003.
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