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Details about Marcus J. Chambers

Homepage:http://privatewww.essex.ac.uk/~mchamb
Postal address:Department of Economics University of Essex Wivenhoe Park Colchester Essex CO4 3SQ England
Workplace:Economics Department, University of Essex, (more information at EDIRC)

Access statistics for papers by Marcus J. Chambers.

Last updated 2017-07-11. Update your information in the RePEc Author Service.

Short-id: pch222


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Working Papers

2016

  1. Continuous Time ARMA Processes: Discrete Time Representation and Likelihood Evaluation
    Discussion Papers, Department of Economics, University of York Downloads View citations (1)
    See also Journal Article in Journal of Economic Dynamics and Control (2017)
  2. Jackknife Bias Reduction in the Presence of a Near-Unit Root
    Economics Discussion Papers, University of Essex, Department of Economics Downloads
  3. The Effects of Sampling Frequency on Detrending Methods for Unit Root Tests
    Economics Discussion Papers, University of Essex, Department of Economics Downloads
  4. The Estimation of Continuous Time Models with Mixed Frequency Data
    Economics Discussion Papers, University of Essex, Department of Economics Downloads
    See also Journal Article in Journal of Econometrics (2016)

2013

  1. The Calculation of Some Limiting Distributions Arising in Near-Integrated Models with GLS Detrending
    Economics Discussion Papers, University of Essex, Department of Economics Downloads
    See also Journal Article in Journal of Time Series Analysis (2015)

2012

  1. Jackknife bias reduction in autoregressive models with a unit root
    MPRA Paper, University Library of Munich, Germany Downloads View citations (2)

2010

  1. Jackknife Bias Reduction in the Presence of a Unit Root
    Economics Discussion Papers, University of Essex, Department of Economics Downloads View citations (6)
  2. Jackknife Estimation of Stationary Autoregressive Models
    Economics Discussion Papers, University of Essex, Department of Economics Downloads View citations (5)
    See also Journal Article in Journal of Econometrics (2013)
  3. Testing for seasonal unit roots by frequency domain regression
    Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics Downloads
    See also Journal Article in Journal of Econometrics (2014)

2004

  1. Frequency Domain Gaussian Estimation of Temporally Aggregated Cointegrated Systems
    Discussion Paper, Tilburg University, Center for Economic Research Downloads
  2. Granger Causality and the Sampling of Economic Processes
    Discussion Paper, Tilburg University, Center for Economic Research Downloads View citations (1)
    See also Journal Article in Journal of Econometrics (2006)
  3. Identification and Estimation of Exchange Rate Models with Unobservable Fundamentals
    Discussion Paper, Tilburg University, Center for Economic Research Downloads View citations (1)
    See also Journal Article in International Economic Review (2006)

2001

  1. Cointegration and Sampling Frequency
    Economics Discussion Papers, University of Essex, Department of Economics Downloads View citations (6)
    See also Journal Article in Econometrics Journal (2011)
  2. Testing for Unit Roots with Flow Data and Varying Sampling Frequency
    Economics Discussion Papers, University of Essex, Department of Economics Downloads View citations (1)
    See also Journal Article in Journal of Econometrics (2004)

1998

  1. Gaussian estimation of temporally aggregated cointegrated systems
    Economics Discussion Papers, University of Essex, Department of Economics Downloads View citations (1)
  2. Temporal aggregation and the asymptotic variance of optimal estimators in cointegrated systems
    Economics Discussion Papers, University of Essex, Department of Economics Downloads

1995

  1. Long Memory and Aggregation in Macroeconomic Time Series
    Economics Discussion Papers, University of Essex, Department of Economics Downloads
    See also Journal Article in International Economic Review (1998)
  2. Seasonality in Continuous Time Models
    Economics Discussion Papers, University of Essex, Department of Economics Downloads View citations (1)
  3. The Estimation of Systems of Joint Differential-Difference Equations
    Economics Discussion Papers, University of Essex, Department of Economics Downloads
    See also Journal Article in Journal of Econometrics (1998)
  4. The Price of Wheat in Early Modern England
    Economics Discussion Papers, University of Essex, Department of Economics Downloads

1994

  1. A Theory of Commodity Price Fluctuations
    Economics Discussion Papers, University of Essex, Department of Economics Downloads View citations (2)
    See also Journal Article in Journal of Political Economy (1996)
  2. Forecasting with the Almost Ideal Demand System
    Economics Discussion Papers, University of Essex, Department of Economics Downloads
    Also in Economics Discussion Papers, University of Essex, Department of Economics (1994) Downloads

1993

  1. Short-term demographic interactions in pre-census England: A stochastic differential equations approach
    Economics Discussion Papers, University of Essex, Department of Economics Downloads

Journal Articles

2017

  1. Continuous time ARMA processes: Discrete time representation and likelihood evaluation
    Journal of Economic Dynamics and Control, 2017, 79, (C), 48-65 Downloads
    See also Working Paper (2016)

2016

  1. The estimation of continuous time models with mixed frequency data
    Journal of Econometrics, 2016, 193, (2), 390-404 Downloads
    See also Working Paper (2016)
  2. The exact discretisation of CARMA models with applications in finance
    Journal of Empirical Finance, 2016, 38, (PB), 739-761 Downloads
  3. Unobserved Components and Time Series Econometrics, edited by Siem Jan Koopman and Neil Shephard. Published by Oxford University Press, Oxford, 2015. Total number of pages: 400. ISBN: 978-0-19-968366-6
    Journal of Time Series Analysis, 2016, 37, (6), 862-863 Downloads

2015

  1. A Jackknife Correction to a Test for Cointegration Rank
    Econometrics, 2015, 3, (2), 1-21 Downloads View citations (1)
  2. Monetary policy, exchange rates and stock prices in the Middle East region
    International Review of Financial Analysis, 2015, 37, (C), 14-28 Downloads View citations (1)
  3. Testing for a Unit Root in a Near-Integrated Model with Skip-Sampled Data
    Journal of Time Series Analysis, 2015, 36, (5), 630-649 Downloads View citations (1)
  4. The Calculation of Some Limiting Distributions Arising in Near-Integrated Models with GLS Detrending
    Journal of Time Series Analysis, 2015, 36, (4), 562-586 Downloads View citations (1)
    See also Working Paper (2013)

2014

  1. Testing for seasonal unit roots by frequency domain regression
    Journal of Econometrics, 2014, 178, (P2), 243-258 Downloads View citations (1)
    See also Working Paper (2010)

2013

  1. Continuous-time autoregressive moving average processes in discrete time: representation and embeddability
    Journal of Time Series Analysis, 2013, 34, (5), 552-561 Downloads View citations (1)
  2. Jackknife estimation of stationary autoregressive models
    Journal of Econometrics, 2013, 172, (1), 142-157 Downloads View citations (4)
    See also Working Paper (2010)
  3. Jackknife estimation with a unit root
    Statistics & Probability Letters, 2013, 83, (7), 1677-1682 Downloads View citations (3)

2012

  1. DISCRETE TIME REPRESENTATION OF CONTINUOUS TIME ARMA PROCESSES
    Econometric Theory, 2012, 28, (01), 219-238 Downloads View citations (6)

2011

  1. Cointegration and sampling frequency
    Econometrics Journal, 2011, 14, (2), 156-185 View citations (5)
    See also Working Paper (2001)

2009

  1. DISCRETE TIME REPRESENTATIONS OF COINTEGRATED CONTINUOUS TIME MODELS WITH MIXED SAMPLE DATA
    Econometric Theory, 2009, 25, (04), 1030-1049 Downloads View citations (6)
  2. ECONOMETRIC THEORY MEMORIAL TO ALBERT REX BERGSTROM–INTRODUCTION
    Econometric Theory, 2009, 25, (04), 891-900 Downloads

2008

  1. Corrigendum to: "Testing for unit roots with flow data and varying sampling frequency" [J. Econom. 119 (1) (2004) 1-18]
    Journal of Econometrics, 2008, 144, (2), 524-525 Downloads View citations (1)

2007

  1. Frequency domain estimation of temporally aggregated Gaussian cointegrated systems
    Journal of Econometrics, 2007, 136, (1), 1-29 Downloads View citations (4)

2006

  1. ESTIMATION OF DIFFERENTIAL-DIFFERENCE EQUATION SYSTEMS WITH UNKNOWN LAG PARAMETERS
    Econometric Theory, 2006, 22, (03), 483-498 Downloads View citations (2)
  2. Granger causality and the sampling of economic processes
    Journal of Econometrics, 2006, 132, (2), 311-336 Downloads View citations (10)
    See also Working Paper (2004)
  3. IDENTIFICATION AND ESTIMATION OF EXCHANGE RATE MODELS WITH UNOBSERVABLE FUNDAMENTALS
    International Economic Review, 2006, 47, (2), 573-582 Downloads View citations (1)
    See also Working Paper (2004)

2005

  1. The purchasing power parity puzzle, temporal aggregation, and half-life estimation
    Economics Letters, 2005, 86, (2), 193-198 Downloads View citations (7)

2004

  1. Testing for unit roots with flow data and varying sampling frequency
    Journal of Econometrics, 2004, 119, (1), 1-18 Downloads View citations (6)
    See also Working Paper (2001)

2003

  1. THE ASYMPTOTIC EFFICIENCY OF COINTEGRATION ESTIMATORS UNDER TEMPORAL AGGREGATION
    Econometric Theory, 2003, 19, (01), 49-77 Downloads View citations (9)

2002

  1. MODELING CYCLICAL BEHAVIOR WITH DIFFERENTIAL-DIFFERENCE EQUATIONS IN AN UNOBSERVED COMPONENTS FRAMEWORK
    Econometric Theory, 2002, 18, (02), 387-419 Downloads View citations (5)

2001

  1. TEMPORAL AGGREGATION AND THE FINITE SAMPLE PERFORMANCE OF SPECTRAL REGRESSION ESTIMATORS IN COINTEGRATED SYSTEMS
    Econometric Theory, 2001, 17, (03), 591-607 Downloads View citations (1)

1999

  1. A Statistical Analysis of Wheat Price Fluctuations in England: 1685-1850
    Journal of Agricultural Economics, 1999, 50, (3), 564-588 Downloads
  2. Discrete time representation of stationary and non-stationary continuous time systems
    Journal of Economic Dynamics and Control, 1999, 23, (4), 619-639 Downloads View citations (11)

1998

  1. Long Memory and Aggregation in Macroeconomic Time Series
    International Economic Review, 1998, 39, (4), 1053-72 View citations (78)
    See also Working Paper (1995)
  2. The estimation of systems of joint differential-difference equations
    Journal of Econometrics, 1998, 85, (1), 1-31 Downloads View citations (4)
    See also Working Paper (1995)
  3. The impact of real wage and mortality fluctuations on fertility and nuptiality in precensus England
    Journal of Population Economics, 1998, 11, (3), 413-434 Downloads View citations (3)

1997

  1. Forecasting with the almost ideal demand system: evidence from some alternative dynamic specifications
    Applied Economics, 1997, 29, (7), 935-943 Downloads View citations (15)

1996

  1. A Theory of Commodity Price Fluctuations
    Journal of Political Economy, 1996, 104, (5), 924-57 Downloads View citations (89)
    See also Working Paper (1994)
  2. Fractional integration, trend stationarity and difference stationarity Evidence from some U.K. macroeconomic time series
    Economics Letters, 1996, 50, (1), 19-24 Downloads View citations (2)
  3. Speed of adjustment and estimation of the partial adjustment model
    Applied Economics Letters, 1996, 3, (1), 21-23 Downloads
  4. The Estimation of Continuous Parameter Long-Memory Time Series Models
    Econometric Theory, 1996, 12, (02), 374-390 Downloads View citations (9)

1993

  1. A nonnested approach to testing continuous time models against discrete alternatives
    Journal of Econometrics, 1993, 57, (1-3), 319-343 Downloads

1992

  1. Estimation of a Continuous-Time Dynamic Demand System
    Journal of Applied Econometrics, 1992, 7, (1), 53-64 Downloads

1991

  1. Discrete Models for Estimating General Linear Continuous Time Systems
    Econometric Theory, 1991, 7, (04), 531-542 Downloads View citations (4)

1990

  1. Forecasting with demand systems: A comparative study
    Journal of Econometrics, 1990, 44, (3), 363-376 Downloads View citations (12)

Chapters

2013

  1. Temporal aggregation in macroeconomics
    Chapter 13 in Handbook of Research Methods and Applications in Empirical Macroeconomics, 2013, pp 289-310 Downloads
 
Page updated 2017-07-24