The 32 references in paper John Barkoulas, Christopher F. Baum, Mustafa Caglayan (1998) “Fractional Monetary Dynamics” / RePEc:boc:bocoec:321

1
Baillie, R. T., C.-F. Chung, and M. A. Tieslau (1996), Analysing inflation by the fractionally integrated ARFIMA-GARCH model, Journal of Applied Econometrics, 11, 23-40.
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2
Baum, C.F., J. T. Barkoulas, and M. Caglayan (1997), Persistence in international inflation rates, working paper No. 333, Boston College.
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3
Barnett, W., E. Offenbacher and P. Spindt (1984), The new Divisia monetary aggregates, Journal of Political Economy, 92(6), 1049-1085.
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4
Diebold, F. X. and G. D. Rudebusch (1989), Long memory and persistence in aggregate output, Journal of Monetary Economics, 24, 189-209.
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5
Diebold, F. X. and G. D. Rudebusch (1991), Is consumption too smooth? Long memory and the Deaton paradox, Review of Economics and Statistics, 71, 1-9.
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6
Fox, R. and M. S. Taqqu (1986), Large sample properties of parameter estimates for strongly dependent Gaussian time-series, Annals of Statistics, 14, 517-532.
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7
Friedman, B. and K. Kuttner (1992), Money, income, prices, and interest rates, American Economic
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8
Geweke J. and S. Porter-Hudak (1983), The estimation and application of long memory time series models, Journal of Time Series Analysis, 4, 221-238.
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9
Gould, J. P. and C. R. Nelson (1974), The Stochastic Structure of the Velocity of
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10
Money, American Economic Review, 64, 405-18.
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11
Granger, C. W. J. (1980), Long memory relationships and the aggregation of dynamic models, Journal of Econometrics, 25, 227-238.
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12
Granger, C. W. J. and Z. Ding (1996), Varieties of Long Memory Models, Journal of Econometrics, 73, 61-77.
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13
Granger, C. W. J. and R. Joyeux (1980), An introduction to long-memory time series models and fractional differencing, Journal of Time Series Analysis, 1, 15-39. -14-
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14
Haraf, W. S. (1986), Monetary Velocity and Monetary Rules, Cato Journal, 6, 641-62.
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15
Hassler, U. (1993), Regression of spectral estimators with fractionally integrated time series, Journal of Time Series Analysis, 14, 369-380.
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16
Hassler, U. and J. Wolters (1995), Long memory in inflation rates: International evidence, Journal of Business and Economic Statistics, 13, 37-45.
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17
Hosking, J. R. M. (1981), Fractional Differencing, Biometrika, 68, 165-176.
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18
King, R., C. Plosser, J. Stock, and M. Watson (1991), Stochastic trends and economic fluctuations, American Economic Review, 81, 819-840.
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19
Kwiatkowski, D., P. C. B. Phillips, P. Schmidt, and Y. Shin (1992), Testing the null hypothesis of stationarity against the alternative of a unit root: How sure are we that economic time series have a unit root?, Journal of Econometrics, 54, 159-178.
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20
Nelson, C. R. and C. I. Plosser (1982), Trends and Random Walks in Macroeconomic
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21
Time Series: Some Evidence and Implications, Journal of Monetary Economics,139-62.
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22
Phillips, P. C. B. and P. Perron (1988), Testing for a Unit Root in Time Series
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23
Regression, Biometrika, 75, 335-346.
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24
Porter-Hudak, S. (1990), An application of the seasonal fractionally differenced model to the monetary aggregates, Journal of the American Statistical Association, 85, 338-344.
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25
Robinson, P. (1995), Log-periodogram regression of time series with long range dependence, Annals of Statistics, 23, 1048-1072.
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26
Schmidt, C. M. and R. Tschernig (1993), Identification of fractional ARMA models in the presence of long memory, Munchener Wirschaftswissenschaftliche Beitrage 93-04. -15-
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27
Serletis, A. (1995), Random Walks, Breaking Trend Functions, and the Chaotic Structure of the Velocity of Money, Journal of Business and Economic Statistics, 13(4), 453-
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28
Shea, G. S. (1991), Uncertainty and implied variance bounds in long-memory models of the interest rate term structure, Empirical Economics, 16, 287-312.
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29
Sowell, F. (1992a), Modeling long-run behavior with the fractional ARIMA model, Journal of Monetary Economics, 29, 277-302.
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30
Sowell, F. (1992b), Maximum likelihood estimation of stationary univariate fractionally-integrated time-series models, Journal of Econometrics, 53, 165188.
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31
Thornton, D. and P. Yue (1992), An extended series of Divisia monetary aggregates, Federal Reserve
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32
Tsay, W. and C. Chung (1995), The spurious regression of fractionally integrated processes, working paper 9503, Michigan State University. -16-
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