Details about Marcus J. Chambers

Access statistics for papers by Marcus J. Chambers.

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Short-id: pch222

Working Papers

2019

1. 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

2. 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)
3. Time-Varying Parameters in Continuous and Discrete Time
   Essex Finance Centre Working Papers, University of Essex, Essex Business School

2017

4. Continuous Time Modelling Based on an Exact Discrete Time Representation
   Economics Discussion Papers, University of Essex, Department of Economics

2016

5. 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)
6. 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)
7. The Effects of Sampling Frequency on Detrending Methods for Unit Root Tests
   Economics Discussion Papers, University of Essex, Department of Economics
8. 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

9. 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

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

2010

11. Jackknife Bias Reduction in the Presence of a Unit Root
    Economics Discussion Papers, University of Essex, Department of Economics View citations (6)
12. 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)
13. 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

14. 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)
15. 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)
16. 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

17. Cointegration and Sampling Frequency
    Economics Discussion Papers, University of Essex, Department of Economics View citations (6)
    See also Journal Article in Econometrics Journal (2011)
18. 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

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

1995

21. 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)
22. Seasonality in Continuous Time Models
    Economics Discussion Papers, University of Essex, Department of Economics View citations (1)
23. 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)
24. The Price of Wheat in Early Modern England
    Economics Discussion Papers, University of Essex, Department of Economics

1994

25. 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)
26. 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

27. 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

1. Deterministic Parameter Change Models in Continuous and Discrete Time
   Journal of Time Series Analysis, 2020, 41, (1), 134-145
   See also Working Paper (2019)
2. 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

3. Econometric Modelling with Mixed Frequency and Temporally Aggregated Data
   Journal of Time Series Analysis, 2019, 40, (6), 869-871
4. 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

5. 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

6. 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

7. 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)
8. The exact discretisation of CARMA models with applications in finance
   Journal of Empirical Finance, 2016, 38, (PB), 739-761 View citations (2)
9. 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

10. A Jackknife Correction to a Test for Cointegration Rank
    Econometrics, 2015, 3, (2), 1-21 View citations (2)
11. 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)
12. 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)
13. 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

14. 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

15. 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)
16. Jackknife estimation of stationary autoregressive models
    Journal of Econometrics, 2013, 172, (1), 142-157 View citations (20)
    See also Working Paper (2010)
17. Jackknife estimation with a unit root
    Statistics & Probability Letters, 2013, 83, (7), 1677-1682 View citations (7)

2012

18. DISCRETE TIME REPRESENTATION OF CONTINUOUS TIME ARMA PROCESSES
    Econometric Theory, 2012, 28, (1), 219-238 View citations (13)

2011

19. Cointegration and sampling frequency
    Econometrics Journal, 2011, 14, (2), 156-185 View citations (13)
    See also Working Paper (2001)

2009

20. DISCRETE TIME REPRESENTATIONS OF COINTEGRATED CONTINUOUS TIME MODELS WITH MIXED SAMPLE DATA
    Econometric Theory, 2009, 25, (4), 1030-1049 View citations (11)

2008

21. 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

22. Frequency domain estimation of temporally aggregated Gaussian cointegrated systems
    Journal of Econometrics, 2007, 136, (1), 1-29 View citations (8)

2006

23. ESTIMATION OF DIFFERENTIAL-DIFFERENCE EQUATION SYSTEMS WITH UNKNOWN LAG PARAMETERS
    Econometric Theory, 2006, 22, (3), 483-498 View citations (3)
24. Granger causality and the sampling of economic processes
    Journal of Econometrics, 2006, 132, (2), 311-336 View citations (15)
    See also Working Paper (2004)
25. 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

26. The purchasing power parity puzzle, temporal aggregation, and half-life estimation
    Economics Letters, 2005, 86, (2), 193-198 View citations (9)

2004

27. 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

28. THE ASYMPTOTIC EFFICIENCY OF COINTEGRATION ESTIMATORS UNDER TEMPORAL AGGREGATION
    Econometric Theory, 2003, 19, (1), 49-77 View citations (16)

2002

29. MODELING CYCLICAL BEHAVIOR WITH DIFFERENTIAL-DIFFERENCE EQUATIONS IN AN UNOBSERVED COMPONENTS FRAMEWORK
    Econometric Theory, 2002, 18, (2), 387-419 View citations (7)

2001

30. 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

31. A Note on Modelling Seasonal Processes in Continuous Time
    Journal of Time Series Analysis, 1999, 20, (2), 139-143 View citations (1)
32. A Statistical Analysis of Wheat Price Fluctuations in England: 1685–1850
    Journal of Agricultural Economics, 1999, 50, (3), 564-588 View citations (1)
33. 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

34. Long Memory and Aggregation in Macroeconomic Time Series
    International Economic Review, 1998, 39, (4), 1053-72 View citations (109)
    See also Working Paper (1995)
35. 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)
36. 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

37. Forecasting with the almost ideal demand system: evidence from some alternative dynamic specifications
    Applied Economics, 1997, 29, (7), 935-943 View citations (19)

1996

38. A Theory of Commodity Price Fluctuations
    Journal of Political Economy, 1996, 104, (5), 924-57 View citations (121)
    See also Working Paper (1994)
39. 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)
40. Speed of adjustment and estimation of the partial adjustment model
    Applied Economics Letters, 1996, 3, (1), 21-23
41. The Estimation of Continuous Parameter Long-Memory Time Series Models
    Econometric Theory, 1996, 12, (2), 374-390 View citations (15)

1993

42. A nonnested approach to testing continuous time models against discrete alternatives
    Journal of Econometrics, 1993, 57, (1-3), 319-343
43. Long‐Term Demographic Interactions in Precensus England
    Journal of the Royal Statistical Society Series A, 1993, 156, (3), 339-362 View citations (9)

1992

44. Estimation of a Continuous-Time Dynamic Demand System
    Journal of Applied Econometrics, 1992, 7, (1), 53-64 View citations (2)

1991

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

1990

46. Forecasting with demand systems: A comparative study
    Journal of Econometrics, 1990, 44, (3), 363-376 View citations (14)

Chapters

2013

1. Temporal aggregation in macroeconomics
   Chapter 13 in Handbook of Research Methods and Applications in Empirical Macroeconomics, 2013, pp 289-310 View citations (2)