Research Repository

Items where Author is "Chambers, Marcus J"

Up a level
Export as [feed] Atom [feed] RSS 1.0 [feed] RSS 2.0
Group by: Item Type | No Grouping
Number of items: 41.

Article

Chambers, Marcus J and Taylor, AM Robert (2020) 'Deterministic Parameter Change Models in Continuous and Discrete Time.' Journal of Time Series Analysis, 41 (1). pp. 134-145. ISSN 0143-9782

Chambers, Marcus J and Zadrozny, Peter A (2019) 'Econometric Modelling with Mixed Frequency and Temporally Aggregated Data.' Journal of Time Series Analysis, 40 (6). pp. 869-871. ISSN 0143-9782

Chambers, Marcus J (2019) 'Frequency Domain Estimation of Continuous Time Cointegrated Models with Mixed Frequency and Mixed Sample Data.' Journal of Time Series Analysis, 40 (6). pp. 887-913. ISSN 0143-9782

Thornton, Michael A and Chambers, Marcus J (2017) 'Continuous time ARMA processes: Discrete time representation and likelihood evaluation.' Journal of Economic Dynamics and Control, 79. pp. 48-65. ISSN 0165-1889

Chambers, Marcus J (2016) 'The estimation of continuous time models with mixed frequency data.' Journal of Econometrics, 193 (2). pp. 390-404. ISSN 0304-4076

Chambers, Marcus J (2015) 'Testing for a Unit Root in a Near-Integrated Model with Skip-Sampled Data.' Journal of Time Series Analysis, 36 (5). pp. 630-649. ISSN 0143-9782

Chambers, Marcus J (2015) 'The Calculation of Some Limiting Distributions Arising in Near-Integrated Models with GLS Detrending.' Journal of Time Series Analysis, 36 (4). pp. 562-586. ISSN 0143-9782

Abouwafia, Hashem E and Chambers, Marcus J (2015) 'Monetary policy, exchange rates and stock prices in the Middle East region.' International Review of Financial Analysis, 37. pp. 14-28. ISSN 1057-5219

Chambers, Marcus J and Ercolani, Joanne S and Taylor, AM Robert (2014) 'Testing for seasonal unit roots by frequency domain regression.' Journal of Econometrics, 178 (Pt 2). pp. 243-258. ISSN 0304-4076

Chambers, Marcus J and Ercolani, Joanne S and Taylor, AM Robert (2014) 'Testing for seasonal unit roots by frequency domain regression.' Journal of Econometrics, 178 (PART 2). pp. 243-258. ISSN 0304-4076

Chambers, Marcus J (2013) 'Jackknife estimation of stationary autoregressive models.' Journal of Econometrics, 172 (1). pp. 142-157. ISSN 0304-4076

Chambers, Marcus J and Thornton, Michael A (2012) 'DISCRETE TIME REPRESENTATION OF CONTINUOUS TIME ARMA PROCESSES.' Econometric Theory, 28 (1). pp. 219-238. ISSN 0266-4666

Chambers, Marcus J (2011) 'Cointegration and sampling frequency.' The Econometrics Journal, 14 (2). pp. 156-185. ISSN 1368-4221

Chambers, Marcus J (2009) 'DISCRETE TIME REPRESENTATIONS OF COINTEGRATED CONTINUOUS TIME MODELS WITH MIXED SAMPLE DATA.' Econometric Theory, 25 (4). pp. 1030-1049. ISSN 0266-4666

Chambers, Marcus J and Phillips, Peter CB and Taylor, AM Robert (2009) '<i>ECONOMETRIC THEORY</i> MEMORIAL TO ALBERT REX BERGSTROM–INTRODUCTION.' Econometric Theory, 25 (4). pp. 891-900. ISSN 0266-4666

Chambers, Marcus J and Roderick McCrorie, J (2007) 'Frequency domain estimation of temporally aggregated Gaussian cointegrated systems.' Journal of Econometrics, 136 (1). pp. 1-29. ISSN 0304-4076

Ercolani, Joanne S and Chambers, Marcus J (2006) 'ESTIMATION OF DIFFERENTIAL-DIFFERENCE EQUATION SYSTEMS WITH UNKNOWN LAG PARAMETERS.' Econometric Theory, 22 (03). pp. 483-498. ISSN 0266-4666

Chambers, Marcus J and McCrorie, J Roderick (2006) 'IDENTIFICATION AND ESTIMATION OF EXCHANGE RATE MODELS WITH UNOBSERVABLE FUNDAMENTALS*.' International Economic Review, 47 (2). pp. 573-582. ISSN 0020-6598

Chambers, Marcus J (2005) 'The purchasing power parity puzzle, temporal aggregation, and half-life estimation.' Economics Letters, 86 (2). pp. 193-198. ISSN 0165-1765

Chambers, Marcus J (2004) 'Testing for unit roots with flow data and varying sampling frequency.' Journal of Econometrics, 119 (1). pp. 1-18. ISSN 0304-4076

Chambers, Marcus J (2003) 'THE ASYMPTOTIC EFFICIENCY OF COINTEGRATION ESTIMATORS UNDER TEMPORAL AGGREGATION.' Econometric Theory, 19 (01). pp. 49-77. ISSN 0266-4666

Chambers, Marcus J (2001) 'TEMPORAL AGGREGATION AND THE FINITE SAMPLE PERFORMANCE OF SPECTRAL REGRESSION ESTIMATORS IN COINTEGRATED SYSTEMS A Simulation Study.' Econometric Theory, 17 (3). pp. 591-607. ISSN 0266-4666

Chambers, Marcus J (1999) 'Discrete time representation of stationary and non-stationary continuous time systems.' Journal of Economic Dynamics and Control, 23 (4). pp. 619-639. ISSN 0165-1889

Chambers, Marcus J and Bailey, Roy E (1999) 'A Statistical Analysis of Wheat Price Fluctuations in England: 1685-1850.' Journal of Agricultural Economics, 50 (3). pp. 564-588. ISSN 0021-857X

Chambers, Marcus J (1998) 'Long Memory and Aggregation in Macroeconomic Time Series.' International Economic Review, 39 (4). p. 1053. ISSN 0020-6598

Bailey, Roy E and Chambers, Marcus J (1998) 'The impact of real wage and mortality fluctuations on fertility and nuptiality in precensus England.' Journal of Population Economics, 11 (3). pp. 413-434. ISSN 0933-1433

Chambers, Marcus J (1998) 'The estimation of systems of joint differential-difference equations.' Journal of Econometrics, 85 (1). pp. 1-31. ISSN 0304-4076

Chambers, Marcus J and Ben Nowman, K (1997) 'Forecasting with the almost ideal demand system: evidence from some alternative dynamic specifications.' Applied Economics, 29 (7). pp. 935-943. ISSN 0003-6846

Chambers, Marcus J and Bailey, Roy E (1996) 'A Theory of Commodity Price Fluctuations.' Journal of Political Economy, 104 (5). pp. 924-957. ISSN 0022-3808

Chambers, Marcus J (1996) 'The Estimation of Continuous Parameter Long-Memory Time Series Models.' Econometric Theory, 12 (2). pp. 374-390. ISSN 0266-4666

Chambers, Marcus J (1996) 'Fractional integration, trend stationarity and difference stationarity Evidence from some U.K. macroeconomic time series.' Economics Letters, 50 (1). pp. 19-24. ISSN 0165-1765

Chambers, Marcus J (1996) 'Speed of adjustment and estimation of the partial adjustment model.' Applied Economics Letters, 3 (1). pp. 21-23. ISSN 1350-4851

Chambers, Marcus J (1993) 'A nonnested approach to testing continuous time models against discrete alternatives.' Journal of Econometrics, 57 (1-3). pp. 319-343. ISSN 0304-4076

Chambers, Marcus J (1992) 'Estimation of a continuous-time dynamic demand system.' Journal of Applied Econometrics, 7 (1). pp. 53-64. ISSN 0883-7252

Chambers, Marcus J (1991) 'Discrete Models for Estimating General Linear Continuous Time Systems.' Econometric Theory, 7 (4). pp. 531-542. ISSN 0266-4666

Chambers, Marcus J (1990) 'Forecasting with demand systems.' Journal of Econometrics, 44 (3). pp. 363-376. ISSN 0304-4076

Monograph

Chambers, Marcus J and Taylor, AM Robert (2019) Deterministic Parameter Change Models in Continuous and Discrete Time. Working Paper. Essex Finance Centre Working Papers, Colchester. (Unpublished)

Chambers, Marcus J and Taylor, AM Robert (2018) Time-Varying Parameters in Continuous and Discrete Time. Working Paper. Essex Finance Centre Working Papers, Colchester. (Unpublished)

Chambers, Marcus J and Nowman, K Ben (1994) Forecasting with the Almost Ideal Demand System. Working Paper. University of Essex, Department of Economics, Economics Discussion Papers, Colchester.

Conference or Workshop Item

McCrorie, J Roderick and Chambers, Marcus J (2006) Granger causality and the sampling of economic processes. In: UNSPECIFIED, ? - ?.

Chambers, Marcus J and McGarry, Joanne S (2002) MODELING CYCLICAL BEHAVIOR WITH DIFFERENTIAL-DIFFERENCE EQUATIONS IN AN UNOBSERVED COMPONENTS FRAMEWORK. In: UNSPECIFIED, ? - ?.

This list was generated on Wed Aug 17 15:23:02 2022 BST.