Details about Francesc Marmol

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

Access statistics for papers by Francesc Marmol.

Last updated 2024-11-11. Update your information in the RePEc Author Service.

Short-id: pma391

Working Papers

2009

1. Residual Log-Periodogram Inference for Long-Run-Relationships
   Publications of Darmstadt Technical University, Institute for Business Studies (BWL), Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL) View citations (6)
   Also in Darmstadt Discussion Papers in Economics, Darmstadt University of Technology, Department of Law and Economics (2002) View citations (6)
   Publications of Darmstadt Technical University, Institute for Business Studies (BWL), Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL) (2002) View citations (6)
   Publications of Darmstadt Technical University, Institute for Business Studies (BWL), Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL) (2002) View citations (6)
   See also Journal Article Residual log-periodogram inference for long-run relationships, Journal of Econometrics, Elsevier (2006) View citations (32) (2006)

2002

2. 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 View citations (1)

2000

3. 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) View citations (1)

1999

4. 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
5. 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)
6. How spurious features arise in case of fractional cointegration
   DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística
7. 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
   Also in Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen (1998) View citations (1)
8. 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
   Also in Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen (1998) View citations (2)
   See also Journal Article The power of residual-based tests for cointegration when residuals are fractionally integrated, Economics Letters, Elsevier (2004) View citations (8) (2004)

1998

9. A beveridge-nelson decomposition for fractionally integrated time series
   DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística
10. 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 View citations (4)
11. Near observational equivalence and fractionally integrated processes
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística
    See also Journal Article Near Observational Equivalence and Fractionally Integrated Processes, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (1999) (1999)
12. 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
    See also Journal Article Out-of-sample forecast errors in misspecific perturbed long memory processes, Statistical Papers, Springer (2001) (2001)
13. Searching for fractional evidence using combined unit root tests
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística View citations (5)
14. 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 View citations (6)

1997

15. 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)
16. Fractional integration versus trend stationary in time series analysis
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística View citations (1)
17. 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
18. 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)
19. 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 View citations (5)
    See also Journal Article On the properties of the Dickey-Pantula test against fractional alternatives, Economics Letters, Elsevier (1997) View citations (6) (1997)
20. Spurius regression theory with nonstationary fractionally integrated processes
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística
    See also Journal Article Spurious regression theory with nonstationary fractionally integrated processes, Journal of Econometrics, Elsevier (1998) View citations (34) (1998)

1996

21. Efficient Estimation of Cointegrating Relationships Among Higher Order and Fractionally Integrated Processes
    Working Papers, Banco de España View citations (22)

1995

22. 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

2006

2. Residual log-periodogram inference for long-run relationships
   Journal of Econometrics, 2006, 130, (1), 165-207 View citations (32)
   See also Working Paper Residual Log-Periodogram Inference for Long-Run-Relationships, Publications of Darmstadt Technical University, Institute for Business Studies (BWL) (2009) View citations (6) (2009)

2004

3. Asymptotic inference results for multivariate long-memory processes
   Econometrics Journal, 2004, 7, (1), 168-190 View citations (16)
4. Consistent Testing of Cointegrating Relationships
   Econometrica, 2004, 72, (6), 1809-1844 View citations (31)
5. The power of residual-based tests for cointegration when residuals are fractionally integrated
   Economics Letters, 2004, 82, (1), 63-69 View citations (8)
   See also Working Paper The power of residual base tests for cointegration when residuals are fractionally integrated, DES - Working Papers. Statistics and Econometrics. WS (1999) (1999)

2002

6. INSTRUMENTAL VARIABLE INTERPRETATION OF COINTEGRATION WITH INFERENCE RESULTS FOR FRACTIONAL COINTEGRATION
   Econometric Theory, 2002, 18, (3), 646-672 View citations (6)
7. Trend stationarity versus long-range dependence in time series analysis
   Journal of Econometrics, 2002, 108, (1), 25-42 View citations (11)

2001

8. Out-of-sample forecast errors in misspecific perturbed long memory processes
   Statistical Papers, 2001, 42, (4), 423-436
   See also Working Paper Out-of-sample forecast errors in misspecified perturbed long memory processes, DES - Working Papers. Statistics and Econometrics. WS (1998) (1998)

1999

9. Near Observational Equivalence and Fractionally Integrated Processes
   Oxford Bulletin of Economics and Statistics, 1999, 61, (2), 283-290
   See also Working Paper Near observational equivalence and fractionally integrated processes, DES - Working Papers. Statistics and Econometrics. WS (1998) (1998)

1998

10. Spurious regression theory with nonstationary fractionally integrated processes
    Journal of Econometrics, 1998, 84, (2), 233-250 View citations (34)
    See also Working Paper Spurius regression theory with nonstationary fractionally integrated processes, DES - Working Papers. Statistics and Econometrics. WS (1997) (1997)

1997

11. On the properties of the Dickey-Pantula test against fractional alternatives
    Economics Letters, 1997, 57, (1), 11-16 View citations (6)
    See also Working Paper On the properties of the Dickey-Pantula test against fractional alternatives, DES - Working Papers. Statistics and Econometrics. WS (1997) View citations (5) (1997)

1996

12. Correlation theory of spuriously related higher order integrated processes
    Economics Letters, 1996, 50, (2), 169-173 View citations (5)
13. Nonsense Regressions between Integrated Processes of Different Orders
    Oxford Bulletin of Economics and Statistics, 1996, 58, (3), 525-36 View citations (23)

1995

14. SPURIOUS REGRESSIONS BETWEEN I(d) PROCESSES
    Journal of Time Series Analysis, 1995, 16, (3), 313-321 View citations (22)