Items where Author is "Chambers, Marcus J"

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. DOI https://doi.org/10.1111/jtsa.12456

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. DOI https://doi.org/10.1111/jtsa.12510

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. DOI https://doi.org/10.1111/jtsa.12461

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. DOI https://doi.org/10.1016/j.jedc.2017.03.012

Chambers, Marcus J (2016) The estimation of continuous time models with mixed frequency data. Journal of Econometrics, 193 (2). pp. 390-404. DOI https://doi.org/10.1016/j.jeconom.2016.04.013

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. DOI https://doi.org/10.1111/jtsa.12097

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. DOI https://doi.org/10.1111/jtsa.12123

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. DOI https://doi.org/10.1016/j.irfa.2014.11.001

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. DOI https://doi.org/10.1016/j.jeconom.2013.08.025

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. DOI https://doi.org/10.1016/j.jeconom.2013.08.025

Chambers, Marcus J (2013) Jackknife estimation of stationary autoregressive models. Journal of Econometrics, 172 (1). pp. 142-157. DOI https://doi.org/10.1016/j.jeconom.2012.09.003

Chambers, Marcus J and Thornton, Michael A (2012) DISCRETE TIME REPRESENTATION OF CONTINUOUS TIME ARMA PROCESSES. Econometric Theory, 28 (1). pp. 219-238. DOI https://doi.org/10.1017/s0266466611000181

Chambers, Marcus J (2011) Cointegration and sampling frequency. The Econometrics Journal, 14 (2). pp. 156-185. DOI https://doi.org/10.1111/j.1368-423x.2010.00329.x

Chambers, Marcus J (2009) DISCRETE TIME REPRESENTATIONS OF COINTEGRATED CONTINUOUS TIME MODELS WITH MIXED SAMPLE DATA. Econometric Theory, 25 (4). pp. 1030-1049. DOI https://doi.org/10.1017/s0266466608090397

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. DOI https://doi.org/10.1017/s0266466608090324

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. DOI https://doi.org/10.1016/j.jeconom.2006.03.005

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. DOI https://doi.org/10.1017/s0266466606060233

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. DOI https://doi.org/10.1111/j.1468-2354.2006.00389.x

Chambers, Marcus J (2005) The purchasing power parity puzzle, temporal aggregation, and half-life estimation. Economics Letters, 86 (2). pp. 193-198. DOI https://doi.org/10.1016/j.econlet.2004.07.011

Chambers, Marcus J (2004) Testing for unit roots with flow data and varying sampling frequency. Journal of Econometrics, 119 (1). pp. 1-18. DOI https://doi.org/10.1016/s0304-4076(03)00152-0

Chambers, Marcus J (2003) THE ASYMPTOTIC EFFICIENCY OF COINTEGRATION ESTIMATORS UNDER TEMPORAL AGGREGATION. Econometric Theory, 19 (01). pp. 49-77. DOI https://doi.org/10.1017/s0266466603191037

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. DOI https://doi.org/10.1017/s0266466601173044

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. DOI https://doi.org/10.1111/j.1477-9552.1999.tb00899.x

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. DOI https://doi.org/10.1016/s0165-1889(98)00032-3

Chambers, Marcus J (1998) Long Memory and Aggregation in Macroeconomic Time Series. International Economic Review, 39 (4). p. 1053. DOI https://doi.org/10.2307/2527352

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. DOI https://doi.org/10.1007/s001480050077

Chambers, Marcus J (1998) The estimation of systems of joint differential-difference equations. Journal of Econometrics, 85 (1). pp. 1-31. DOI https://doi.org/10.1016/s0304-4076(97)00091-2

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. DOI https://doi.org/10.1080/000368497326598

Chambers, Marcus J and Bailey, Roy E (1996) A Theory of Commodity Price Fluctuations. Journal of Political Economy, 104 (5). pp. 924-957. DOI https://doi.org/10.1086/262047

Chambers, Marcus J (1996) The Estimation of Continuous Parameter Long-Memory Time Series Models. Econometric Theory, 12 (2). pp. 374-390. DOI https://doi.org/10.1017/s0266466600006642

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. DOI https://doi.org/10.1016/0165-1765(95)00721-0

Chambers, Marcus J (1996) Speed of adjustment and estimation of the partial adjustment model. Applied Economics Letters, 3 (1). pp. 21-23. DOI https://doi.org/10.1080/758525509

Chambers, Marcus J (1993) A nonnested approach to testing continuous time models against discrete alternatives. Journal of Econometrics, 57 (1-3). pp. 319-343. DOI https://doi.org/10.1016/0304-4076(93)90069-h

Chambers, Marcus J (1992) Estimation of a continuous‐time dynamic demand system. Journal of Applied Econometrics, 7 (1). pp. 53-64. DOI https://doi.org/10.1002/jae.3950070106

Chambers, Marcus J (1991) Discrete Models for Estimating General Linear Continuous Time Systems. Econometric Theory, 7 (4). pp. 531-542. DOI https://doi.org/10.1017/s0266466600004758

Chambers, Marcus J (1990) Forecasting with demand systems. Journal of Econometrics, 44 (3). pp. 363-376. DOI https://doi.org/10.1016/0304-4076(90)90064-z

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, ? - ?.