Details about Marcus J. Chambers
Access statistics for papers by Marcus J. Chambers.
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Short-id: pch222
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Working Papers
2019
- Deterministic Parameter Change Models in Continuous and Discrete Time
Essex Finance Centre Working Papers, University of Essex, Essex Business School View citations (1)
See also Journal Article in Journal of Time Series Analysis (2020)
2018
- Frequency Domain Estimation of Cointegrating Vectors with Mixed Frequency and Mixed Sample Data
Economics Discussion Papers, University of Essex, Department of Economics 
See also Journal Article in Journal of Econometrics (2020)
- Time-Varying Parameters in Continuous and Discrete Time
Essex Finance Centre Working Papers, University of Essex, Essex Business School
2017
- Continuous Time Modelling Based on an Exact Discrete Time Representation
Economics Discussion Papers, University of Essex, Department of Economics
2016
- Continuous Time ARMA Processes: Discrete Time Representation and Likelihood Evaluation
Discussion Papers, Department of Economics, University of York View citations (3)
See also Journal Article in Journal of Economic Dynamics and Control (2017)
- Jackknife Bias Reduction in the Presence of a Near-Unit Root
Economics Discussion Papers, University of Essex, Department of Economics 
See also Journal Article in Econometrics (2018)
- The Effects of Sampling Frequency on Detrending Methods for Unit Root Tests
Economics Discussion Papers, University of Essex, Department of Economics
- The Estimation of Continuous Time Models with Mixed Frequency Data
Economics Discussion Papers, University of Essex, Department of Economics View citations (6)
See also Journal Article in Journal of Econometrics (2016)
2013
- The Calculation of Some Limiting Distributions Arising in Near-Integrated Models with GLS Detrending
Economics Discussion Papers, University of Essex, Department of Economics View citations (1)
See also Journal Article in Journal of Time Series Analysis (2015)
2012
- Jackknife bias reduction in autoregressive models with a unit root
MPRA Paper, University Library of Munich, Germany View citations (2)
2010
- Jackknife Bias Reduction in the Presence of a Unit Root
Economics Discussion Papers, University of Essex, Department of Economics View citations (6)
- Jackknife Estimation of Stationary Autoregressive Models
Economics Discussion Papers, University of Essex, Department of Economics View citations (6)
See also Journal Article in Journal of Econometrics (2013)
- Testing for seasonal unit roots by frequency domain regression
Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics 
See also Journal Article in Journal of Econometrics (2014)
2004
- Frequency Domain Gaussian Estimation of Temporally Aggregated Cointegrated Systems
Other publications TiSEM, Tilburg University, School of Economics and Management 
Also in Discussion Paper, Tilburg University, Center for Economic Research (2004)
- Granger Causality and the Sampling of Economic Processes
Other publications TiSEM, Tilburg University, School of Economics and Management View citations (2)
Also in Discussion Paper, Tilburg University, Center for Economic Research (2004) View citations (2)
See also Journal Article in Journal of Econometrics (2006)
- Identification and Estimation of Exchange Rate Models with Unobservable Fundamentals
Other publications TiSEM, Tilburg University, School of Economics and Management View citations (1)
Also in Discussion Paper, Tilburg University, Center for Economic Research (2004) View citations (1)
See also Journal Article in International Economic Review (2006)
2001
- Cointegration and Sampling Frequency
Economics Discussion Papers, University of Essex, Department of Economics View citations (6)
See also Journal Article in Econometrics Journal (2011)
- Testing for Unit Roots with Flow Data and Varying Sampling Frequency
Economics Discussion Papers, University of Essex, Department of Economics View citations (1)
See also Journal Article in Journal of Econometrics (2004)
1998
- Gaussian estimation of temporally aggregated cointegrated systems
Economics Discussion Papers, University of Essex, Department of Economics View citations (1)
- Temporal aggregation and the asymptotic variance of optimal estimators in cointegrated systems
Economics Discussion Papers, University of Essex, Department of Economics
1995
- Long Memory and Aggregation in Macroeconomic Time Series
Economics Discussion Papers, University of Essex, Department of Economics 
See also Journal Article in International Economic Review (1998)
- Seasonality in Continuous Time Models
Economics Discussion Papers, University of Essex, Department of Economics View citations (1)
- The Estimation of Systems of Joint Differential-Difference Equations
Economics Discussion Papers, University of Essex, Department of Economics 
See also Journal Article in Journal of Econometrics (1998)
- The Price of Wheat in Early Modern England
Economics Discussion Papers, University of Essex, Department of Economics
1994
- A Theory of Commodity Price Fluctuations
Economics Discussion Papers, University of Essex, Department of Economics View citations (2)
See also Journal Article in Journal of Political Economy (1996)
- Forecasting with the Almost Ideal Demand System
Economics Discussion Papers, University of Essex, Department of Economics 
Also in Economics Discussion Papers, University of Essex, Department of Economics (1994)
1993
- Short-term demographic interactions in pre-census England: A stochastic differential equations approach
Economics Discussion Papers, University of Essex, Department of Economics
Journal Articles
2020
- Deterministic Parameter Change Models in Continuous and Discrete Time
Journal of Time Series Analysis, 2020, 41, (1), 134-145 
See also Working Paper (2019)
- Frequency domain estimation of cointegrating vectors with mixed frequency and mixed sample data
Journal of Econometrics, 2020, 217, (1), 140-160 View citations (1)
See also Working Paper (2018)
2019
- Econometric Modelling with Mixed Frequency and Temporally Aggregated Data
Journal of Time Series Analysis, 2019, 40, (6), 869-871
- Frequency Domain Estimation of Continuous Time Cointegrated Models with Mixed Frequency and Mixed Sample Data
Journal of Time Series Analysis, 2019, 40, (6), 887-913 View citations (1)
2018
- Jackknife Bias Reduction in the Presence of a Near-Unit Root
Econometrics, 2018, 6, (1), 1-28 View citations (1)
See also Working Paper (2016)
2017
- Continuous time ARMA processes: Discrete time representation and likelihood evaluation
Journal of Economic Dynamics and Control, 2017, 79, (C), 48-65 View citations (8)
See also Working Paper (2016)
2016
- The estimation of continuous time models with mixed frequency data
Journal of Econometrics, 2016, 193, (2), 390-404 View citations (6)
See also Working Paper (2016)
- The exact discretisation of CARMA models with applications in finance
Journal of Empirical Finance, 2016, 38, (PB), 739-761 View citations (2)
- 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
2015
- A Jackknife Correction to a Test for Cointegration Rank
Econometrics, 2015, 3, (2), 1-21 View citations (2)
- Monetary policy, exchange rates and stock prices in the Middle East region
International Review of Financial Analysis, 2015, 37, (C), 14-28 View citations (10)
- Testing for a Unit Root in a Near-Integrated Model with Skip-Sampled Data
Journal of Time Series Analysis, 2015, 36, (5), 630-649 View citations (2)
- The Calculation of Some Limiting Distributions Arising in Near-Integrated Models with GLS Detrending
Journal of Time Series Analysis, 2015, 36, (4), 562-586 View citations (1)
See also Working Paper (2013)
2014
- Testing for seasonal unit roots by frequency domain regression
Journal of Econometrics, 2014, 178, (P2), 243-258 View citations (5)
See also Working Paper (2010)
2013
- Continuous-time autoregressive moving average processes in discrete time: representation and embeddability
Journal of Time Series Analysis, 2013, 34, (5), 552-561 View citations (2)
- Jackknife estimation of stationary autoregressive models
Journal of Econometrics, 2013, 172, (1), 142-157 View citations (20)
See also Working Paper (2010)
- Jackknife estimation with a unit root
Statistics & Probability Letters, 2013, 83, (7), 1677-1682 View citations (7)
2012
- DISCRETE TIME REPRESENTATION OF CONTINUOUS TIME ARMA PROCESSES
Econometric Theory, 2012, 28, (1), 219-238 View citations (13)
2011
- Cointegration and sampling frequency
Econometrics Journal, 2011, 14, (2), 156-185 View citations (13)
See also Working Paper (2001)
2009
- DISCRETE TIME REPRESENTATIONS OF COINTEGRATED CONTINUOUS TIME MODELS WITH MIXED SAMPLE DATA
Econometric Theory, 2009, 25, (4), 1030-1049 View citations (11)
2008
- 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 View citations (1)
2007
- Frequency domain estimation of temporally aggregated Gaussian cointegrated systems
Journal of Econometrics, 2007, 136, (1), 1-29 View citations (8)
2006
- ESTIMATION OF DIFFERENTIAL-DIFFERENCE EQUATION SYSTEMS WITH UNKNOWN LAG PARAMETERS
Econometric Theory, 2006, 22, (3), 483-498 View citations (3)
- Granger causality and the sampling of economic processes
Journal of Econometrics, 2006, 132, (2), 311-336 View citations (15)
See also Working Paper (2004)
- IDENTIFICATION AND ESTIMATION OF EXCHANGE RATE MODELS WITH UNOBSERVABLE FUNDAMENTALS
International Economic Review, 2006, 47, (2), 573-582 View citations (2)
See also Working Paper (2004)
2005
- The purchasing power parity puzzle, temporal aggregation, and half-life estimation
Economics Letters, 2005, 86, (2), 193-198 View citations (9)
2004
- Testing for unit roots with flow data and varying sampling frequency
Journal of Econometrics, 2004, 119, (1), 1-18 View citations (8)
See also Working Paper (2001)
2003
- THE ASYMPTOTIC EFFICIENCY OF COINTEGRATION ESTIMATORS UNDER TEMPORAL AGGREGATION
Econometric Theory, 2003, 19, (1), 49-77 View citations (16)
2002
- MODELING CYCLICAL BEHAVIOR WITH DIFFERENTIAL-DIFFERENCE EQUATIONS IN AN UNOBSERVED COMPONENTS FRAMEWORK
Econometric Theory, 2002, 18, (2), 387-419 View citations (7)
2001
- TEMPORAL AGGREGATION AND THE FINITE SAMPLE PERFORMANCE OF SPECTRAL REGRESSION ESTIMATORS IN COINTEGRATED SYSTEMS
Econometric Theory, 2001, 17, (3), 591-607 View citations (3)
1999
- A Note on Modelling Seasonal Processes in Continuous Time
Journal of Time Series Analysis, 1999, 20, (2), 139-143 View citations (1)
- A Statistical Analysis of Wheat Price Fluctuations in England: 1685–1850
Journal of Agricultural Economics, 1999, 50, (3), 564-588 View citations (1)
- Discrete time representation of stationary and non-stationary continuous time systems
Journal of Economic Dynamics and Control, 1999, 23, (4), 619-639 View citations (22)
1998
- Long Memory and Aggregation in Macroeconomic Time Series
International Economic Review, 1998, 39, (4), 1053-72 View citations (109)
See also Working Paper (1995)
- The estimation of systems of joint differential-difference equations
Journal of Econometrics, 1998, 85, (1), 1-31 View citations (5)
See also Working Paper (1995)
- The impact of real wage and mortality fluctuations on fertility and nuptiality in precensus England
Journal of Population Economics, 1998, 11, (3), 413-434 View citations (7)
1997
- Forecasting with the almost ideal demand system: evidence from some alternative dynamic specifications
Applied Economics, 1997, 29, (7), 935-943 View citations (19)
1996
- A Theory of Commodity Price Fluctuations
Journal of Political Economy, 1996, 104, (5), 924-57 View citations (121)
See also Working Paper (1994)
- Fractional integration, trend stationarity and difference stationarity Evidence from some U.K. macroeconomic time series
Economics Letters, 1996, 50, (1), 19-24 View citations (2)
- Speed of adjustment and estimation of the partial adjustment model
Applied Economics Letters, 1996, 3, (1), 21-23
- The Estimation of Continuous Parameter Long-Memory Time Series Models
Econometric Theory, 1996, 12, (2), 374-390 View citations (15)
1993
- A nonnested approach to testing continuous time models against discrete alternatives
Journal of Econometrics, 1993, 57, (1-3), 319-343
- Long‐Term Demographic Interactions in Precensus England
Journal of the Royal Statistical Society Series A, 1993, 156, (3), 339-362 View citations (9)
1992
- Estimation of a Continuous-Time Dynamic Demand System
Journal of Applied Econometrics, 1992, 7, (1), 53-64 View citations (2)
1991
- Discrete Models for Estimating General Linear Continuous Time Systems
Econometric Theory, 1991, 7, (4), 531-542 View citations (4)
1990
- Forecasting with demand systems: A comparative study
Journal of Econometrics, 1990, 44, (3), 363-376 View citations (14)
Chapters
2013
- Temporal aggregation in macroeconomics
Chapter 13 in Handbook of Research Methods and Applications in Empirical Macroeconomics, 2013, pp 289-310 View citations (2)
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