Details about Tucker Sprague McElroy

Access statistics for papers by Tucker Sprague McElroy.

Last updated 2022-10-31. Update your information in the RePEc Author Service.

Short-id: pmc150

Working Papers

2017

1. Labor Reallocation, Employment, and Earnings: Vector Autoregression Evidence
   Working Papers, U.S. Census Bureau, Center for Economic Studies
   See also Journal Article Labor Reallocation, Employment, and Earnings: Vector Autoregression Evidence, LABOUR, CEIS (2019) View citations (2) (2019)

2013

2. Spectral Density and Spectral Distribution Inference for Long Memory Time Series via Fixed-b Asymptotics
   University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego
   See also Journal Article Spectral density and spectral distribution inference for long memory time series via fixed-b asymptotics, Journal of Econometrics, Elsevier (2014) View citations (6) (2014)

2012

3. Distribution Theory for the Studentized Mean for Long, Short, and Negative Memory Time Series
   University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations (14)
   Also in University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego (2011) View citations (1)
   See also Journal Article Distribution theory for the studentized mean for long, short, and negative memory time series, Journal of Econometrics, Elsevier (2013) View citations (4) (2013)
4. Multi-step ahead forecasting of vector time series
   Working Papers, Federal Reserve Bank of St. Louis View citations (3)
   See also Journal Article Multistep ahead forecasting of vector time series, Econometric Reviews, Taylor & Francis Journals (2017) View citations (2) (2017)
5. Signal extraction for nonstationary multivariate time series with illustrations for trend inflation
   Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (4)
   See also Journal Article Signal Extraction for Non-Stationary Multivariate Time Series with Illustrations for Trend Inflation, Journal of Time Series Analysis, Wiley Blackwell (2015) View citations (3) (2015)

2009

6. Fixed-b asymptotics for the studentized mean from time series with short, long or negative memory
   University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations (9)
   See also Journal Article FIXED-B ASYMPTOTICS FOR THE STUDENTIZED MEAN FROM TIME SERIES WITH SHORT, LONG, OR NEGATIVE MEMORY, Econometric Theory, Cambridge University Press (2012) View citations (14) (2012)

2007

7. Continuous time extraction of a nonstationary signal with illustrations in continuous low-pass and band-pass filtering
   Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (2)

Journal Articles

2023

1. Identification of the differencing operator of a non-stationary time series via testing for zeroes in the spectral density
   Computational Statistics & Data Analysis, 2023, 177, (C) View citations (1)

2022

2. A Review of Seasonal Adjustment Diagnostics
   International Statistical Review, 2022, 90, (2), 259-284
3. Assessing Residual Seasonality in the U.S. National Income and Product Accounts Aggregates
   Journal of Official Statistics, 2022, 38, (2), 399-428
4. Model identification via total Frobenius norm of multivariate spectra
   Journal of the Royal Statistical Society Series B, 2022, 84, (2), 473-495
5. Optimal linear interpolation of multiple missing values
   Statistical Inference for Stochastic Processes, 2022, 25, (3), 471-483
6. The Term Structure of Uncertainty: New Evidence from Survey Expectations
   Journal of Money, Credit and Banking, 2022, 54, (1), 39-71 View citations (3)

2021

7. A Diagnostic for Seasonality Based Upon Polynomial Roots of ARMA Models
   Journal of Official Statistics, 2021, 37, (2), 367-394 View citations (2)
8. Nonlinear prediction via Hermite transformation
   Statistical Theory and Related Fields, 2021, 5, (1), 49-54

2020

9. Expectation Formation Following Large, Unexpected Shocks
   The Review of Economics and Statistics, 2020, 102, (2), 287-303 View citations (37)
10. The Multivariate Linear Prediction Problem: Model-Based and Direct Filtering Solutions
    Econometrics and Statistics, 2020, 14, (C), 112-130 View citations (2)
11. Time Series Seasonal Adjustment Using Regularized Singular Value Decomposition
    Journal of Business & Economic Statistics, 2020, 38, (3), 487-501 View citations (5)

2019

12. Labor Reallocation, Employment, and Earnings: Vector Autoregression Evidence
    LABOUR, 2019, 33, (4), 463-487 View citations (2)
    See also Working Paper Labor Reallocation, Employment, and Earnings: Vector Autoregression Evidence, Working Papers (2017) (2017)
13. Subsampling Inference for the Autocorrelations of GARCH Processes
    Journal of Financial Econometrics, 2019, 17, (3), 495-515
14. Testing collinearity of vector time series
    The Econometrics Journal, 2019, 22, (2), 97-116 View citations (2)
15. The trilemma between accuracy, timeliness and smoothness in real-time signal extraction
    International Journal of Forecasting, 2019, 35, (3), 1072-1084 View citations (2)

2018

16. Recursive Computation for Block†Nested Covariance Matrices
    Journal of Time Series Analysis, 2018, 39, (3), 299-312 View citations (1)
17. Seasonal adjustment subject to accounting constraints
    Statistica Neerlandica, 2018, 72, (4), 574-589 View citations (1)
18. The Inverse Kullback–Leibler Method for Fitting Vector Moving Averages
    Journal of Time Series Analysis, 2018, 39, (2), 172-191 View citations (1)
19. The multivariate bullwhip effect
    European Journal of Operational Research, 2018, 267, (1), 96-106 View citations (5)

2017

20. Computation of vector ARMA autocovariances
    Statistics & Probability Letters, 2017, 124, (C), 92-96 View citations (1)
21. Multistep ahead forecasting of vector time series
    Econometric Reviews, 2017, 36, (5), 495-513 View citations (2)
    See also Working Paper Multi-step ahead forecasting of vector time series, Working Papers (2012) View citations (3) (2012)
22. Multivariate Seasonal Adjustment, Economic Identities, and Seasonal Taxonomy
    Journal of Business & Economic Statistics, 2017, 35, (4), 611-625 View citations (8)
23. Signal Extraction for Nonstationary Time Series with Diverse Sampling Rules
    Journal of Time Series Econometrics, 2017, 9, (1), 37
24. Signal extraction goodness-of-fit diagnostic tests under model parameter uncertainty: Formulations and empirical evaluation
    Econometric Reviews, 2017, 36, (4), 447-467 View citations (2)
25. Time Series Econometrics Klaus Neusser Springer International Publishing, 2016, xxiv + 409 pages, £99.00, hardcover ISBN: 978-3-319-32861-4
    International Statistical Review, 2017, 85, (1), 181-183

2016

26. Computation of the autocovariances for time series with multiple long-range persistencies
    Computational Statistics & Data Analysis, 2016, 101, (C), 44-56 View citations (13)
27. Corrigendum to ‘Subsampling Inference for the Mean of Heavy-Tailed Long-Memory Time Series’ by A. Jach, T. S. McElroy and D. N. Politis
    Journal of Time Series Analysis, 2016, 37, (5), 713-720 View citations (1)
28. Hermite expansion and estimation of monotonic transformations of Gaussian data
    Journal of Nonparametric Statistics, 2016, 28, (1), 207-234
29. Nonnested model comparisons for time series
    Biometrika, 2016, 103, (4), 905-914 View citations (1)
30. Optimal Real-Time Filters for Linear Prediction Problems
    Journal of Time Series Econometrics, 2016, 8, (2), 155-192 View citations (1)

2015

31. Model Estimation, Prediction, and Signal Extraction for Nonstationary Stock and Flow Time Series Observed at Mixed Frequencies
    Journal of the American Statistical Association, 2015, 110, (511), 1284-1303 View citations (1)
32. Signal Extraction for Non-Stationary Multivariate Time Series with Illustrations for Trend Inflation
    Journal of Time Series Analysis, 2015, 36, (2), 209-227 View citations (3)
    See also Working Paper Signal extraction for nonstationary multivariate time series with illustrations for trend inflation, Finance and Economics Discussion Series (2012) View citations (4) (2012)
33. When are Direct Multi‐step and Iterative Forecasts Identical?
    Journal of Forecasting, 2015, 34, (4), 315-336 View citations (2)

2014

34. Optimal Signal Extraction with Correlated Components
    Journal of Time Series Econometrics, 2014, 6, (2), 237-273 View citations (2)
35. Spectral density and spectral distribution inference for long memory time series via fixed-b asymptotics
    Journal of Econometrics, 2014, 182, (1), 211-225 View citations (6)
    See also Working Paper Spectral Density and Spectral Distribution Inference for Long Memory Time Series via Fixed-b Asymptotics, University of California at San Diego, Economics Working Paper Series (2013) (2013)

2013

36. Distribution theory for the studentized mean for long, short, and negative memory time series
    Journal of Econometrics, 2013, 177, (1), 60-74 View citations (4)
    See also Working Paper Distribution Theory for the Studentized Mean for Long, Short, and Negative Memory Time Series, University of California at San Diego, Economics Working Paper Series (2012) View citations (14) (2012)
37. Forecasting continuous-time processes with applications to signal extraction
    Annals of the Institute of Statistical Mathematics, 2013, 65, (3), 439-456 View citations (3)
38. Multi-step-ahead estimation of time series models
    International Journal of Forecasting, 2013, 29, (3), 378-394 View citations (5)

2012

39. A Review of Some Modern Approaches to the Problem of Trend Extraction
    Econometric Reviews, 2012, 31, (6), 593-624 View citations (26)
40. FIXED-B ASYMPTOTICS FOR THE STUDENTIZED MEAN FROM TIME SERIES WITH SHORT, LONG, OR NEGATIVE MEMORY
    Econometric Theory, 2012, 28, (2), 471-481 View citations (14)
    See also Working Paper Fixed-b asymptotics for the studentized mean from time series with short, long or negative memory, University of California at San Diego, Economics Working Paper Series (2009) View citations (9) (2009)
41. Subsampling inference for the autocovariances and autocorrelations of long-memory heavy- tailed linear time series
    Journal of Time Series Analysis, 2012, 33, (6), 935-953 View citations (2)
42. Subsampling inference for the mean of heavy‐tailed long‐memory time series
    Journal of Time Series Analysis, 2012, 33, (1), 96-111 View citations (10)
43. Tail index estimation in the presence of long-memory dynamics
    Computational Statistics & Data Analysis, 2012, 56, (2), 266-282 View citations (2)
44. The perils of inferring serial dependence from sample autocorrelations of moving average series
    Statistics & Probability Letters, 2012, 82, (9), 1632-1636

2011

45. A nonparametric method for asymmetrically extending signal extraction filters
    Journal of Forecasting, 2011, 30, (7), 597-621 View citations (3)
46. On the Discretization of Continuous-Time Filters for Nonstationary Stock and Flow Time Series
    Econometric Reviews, 2011, 30, (5), 475-513 View citations (3)

2010

47. A Nonlinear Algorithm for Seasonal Adjustment in Multiplicative Component Decompositions
    Studies in Nonlinear Dynamics & Econometrics, 2010, 14, (4), 23 View citations (2)
48. Signal Extraction Revision Variances as a Goodness-of-Fit Measure
    Journal of Time Series Econometrics, 2010, 2, (1), 32 View citations (3)

2009

49. A local spectral approach for assessing time series model misspecification
    Journal of Multivariate Analysis, 2009, 100, (4), 604-621 View citations (3)

2008

50. Exact formulas for the Hodrick-Prescott filter
    Econometrics Journal, 2008, 11, (1), 209-217 View citations (28)
51. MATRIX FORMULAS FOR NONSTATIONARY ARIMA SIGNAL EXTRACTION
    Econometric Theory, 2008, 24, (4), 988-1009 View citations (27)

2006

52. An iterated parametric approach to nonstationary signal extraction
    Computational Statistics & Data Analysis, 2006, 50, (9), 2206-2231 View citations (8)

2002

53. ROBUST INFERENCE FOR THE MEAN IN THE PRESENCE OF SERIAL CORRELATION AND HEAVY-TAILED DISTRIBUTIONS
    Econometric Theory, 2002, 18, (5), 1019-1039 View citations (3)