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Details about Francesc Marmol

This author is deceased (2005-05-18).

Access statistics for papers by Francesc Marmol.

Last updated 2019-09-23. Update your information in the RePEc Author Service.

Short-id: pma391


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Working Papers

2002

  1. Effects of Applying Linear and Nonlinear Filters on Tests for Unit Roots with Additive Outliers
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía Downloads View citations (1)
  2. Residual Log-Periodogram Inference for Long-Run Relationships
    Darmstadt Discussion Papers in Economics, Darmstadt University of Technology, Department of Law and Economics Downloads View citations (5)
    See also Journal Article in Journal of Econometrics (2006)

2000

  1. FRACTIONAL COINTEGRATING REGRESSION IN THE PRESENCE OF LINEAR TIME TRENDS
    Computing in Economics and Finance 2000, Society for Computational Economics View citations (2)
    Also in DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística (1998) Downloads View citations (1)

1999

  1. A new instrumental variable approach for estimation and testing in fractional cointegrating regressions
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística Downloads
  2. Asymptotic Inference for Nonstationary Fractionally Integrated Processes
    Computing in Economics and Finance 1999, Society for Computational Economics View citations (4)
    Also in DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística (1999) Downloads
  3. How spurious features arise in case of fractional cointegration
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística Downloads
  4. Ols-based asymptotic inference in linear regression models with trending regressors and ar(p)-disturbances
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística Downloads
    Also in Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen (1998) Downloads View citations (1)
  5. The power of residual base tests for cointegration when residuals are fractionally integrated
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística Downloads
    Also in Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen (1998) Downloads View citations (2)

    See also Journal Article in Economics Letters (2004)

1998

  1. A beveridge-nelson decomposition for fractionally integrated time series
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística Downloads
  2. FM-OLS estimation of cointegrating relationships among nonstationary fractionally integrated processes
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística Downloads View citations (3)
  3. Near observational equivalence and fractionally integrated processes
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística Downloads
    See also Journal Article in Oxford Bulletin of Economics and Statistics (1999)
  4. Out-of-sample forecast errors in misspecified perturbed long memory processes
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística Downloads
    See also Journal Article in Statistical Papers (2001)
  5. Searching for fractional evidence using combined unit root tests
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística Downloads View citations (4)
  6. The correlogram of a long memory process plus a simple noise
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística Downloads View citations (6)

1997

  1. Detecting Unbalanced Regressions Using the Durbin-Watson Test
    UFAE and IAE Working Papers, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC)
  2. Fractional integration versus trend stationary in time series analysis
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística Downloads View citations (1)
  3. Monte Carlo evidence on the power of the Durbin-Watson test against nonsense relationships
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística Downloads
  4. On the Finite Sample Bhaviour of the Durbin-Watson Test in the Presence of Nonsense Regressions
    UFAE and IAE Working Papers, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC)
  5. On the properties of the Dickey-Pantula test against fractional alternatives
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística Downloads View citations (3)
    See also Journal Article in Economics Letters (1997)
  6. Spurius regression theory with nonstationary fractionally integrated processes
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística Downloads
    See also Journal Article in Journal of Econometrics (1998)

1996

  1. Efficient Estimation of Cointegrating Relationships Among Higher Order and Fractionally Integrated Processes
    Working Papers, Banco de España View citations (21)

1995

  1. Spurious Multicointegration
    UFAE and IAE Working Papers, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC)

Journal Articles

2008

  1. Fractional cointegration in the presence of linear trends
    Journal of Time Series Analysis, 2008, 29, (6), 1088-1103 Downloads

2006

  1. Residual log-periodogram inference for long-run relationships
    Journal of Econometrics, 2006, 130, (1), 165-207 Downloads View citations (31)
    See also Working Paper (2002)

2004

  1. Asymptotic inference results for multivariate long-memory processes
    Econometrics Journal, 2004, 7, (1), 168-190 Downloads View citations (12)
  2. Consistent Testing of Cointegrating Relationships
    Econometrica, 2004, 72, (6), 1809-1844 Downloads View citations (24)
  3. The power of residual-based tests for cointegration when residuals are fractionally integrated
    Economics Letters, 2004, 82, (1), 63-69 Downloads View citations (8)
    See also Working Paper (1999)

2002

  1. INSTRUMENTAL VARIABLE INTERPRETATION OF COINTEGRATION WITH INFERENCE RESULTS FOR FRACTIONAL COINTEGRATION
    Econometric Theory, 2002, 18, (3), 646-672 Downloads View citations (5)
  2. Trend stationarity versus long-range dependence in time series analysis
    Journal of Econometrics, 2002, 108, (1), 25-42 Downloads View citations (10)

2001

  1. Out-of-sample forecast errors in misspecific perturbed long memory processes
    Statistical Papers, 2001, 42, (4), 423-436 Downloads
    See also Working Paper (1998)

1999

  1. New Observational Equivalence and Fractionally Integrated Processes
    Oxford Bulletin of Economics and Statistics, 1999, 61, (2), 283-90 Downloads
    See also Working Paper (1998)

1998

  1. Spurious regression theory with nonstationary fractionally integrated processes
    Journal of Econometrics, 1998, 84, (2), 233-250 Downloads View citations (33)
    See also Working Paper (1997)

1997

  1. On the properties of the Dickey-Pantula test against fractional alternatives
    Economics Letters, 1997, 57, (1), 11-16 Downloads View citations (5)
    See also Working Paper (1997)

1996

  1. Correlation theory of spuriously related higher order integrated processes
    Economics Letters, 1996, 50, (2), 169-173 Downloads View citations (4)
  2. Nonsense Regressions between Integrated Processes of Different Orders
    Oxford Bulletin of Economics and Statistics, 1996, 58, (3), 525-36 View citations (23)

1995

  1. SPURIOUS REGRESSIONS BETWEEN I(d) PROCESSES
    Journal of Time Series Analysis, 1995, 16, (3), 313-321 Downloads View citations (21)
 
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