Access Statistics for J. Isaac Miller

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Nonlinear IV Likelihood-Based Rank Test for Multivariate Time Series and Long Panels 0 0 2 49 2 3 13 126
Cointegrating MiDaS Regressions and a MiDaS Test 0 0 6 53 4 6 23 92
Cointegrating Regressions with Messy Regressors: Missingness, Mixed Frequency, and Measurement Error 0 1 2 73 2 4 9 208
Conditionally Efficient Estimation of Long-run Relationships Using Mixed-frequency Time Series 0 0 2 26 0 3 9 39
Crude Oil and Stock Markets: Stability, Instability, and Bubbles 4 7 37 488 8 29 117 1,380
Disentangling Temporal Patterns in Elasticities: A Functional Coefficient Panel Analysis of Electricity Demand 1 3 25 25 4 14 33 33
Extracting a Common Stochastic Trend: Theories with Some Applications 0 0 2 24 0 2 7 82
Extracting a Common Stochastic Trend:Theories with Some Applications 0 0 8 215 0 1 23 601
How They Interact to Generate Persistency in Memory 0 0 0 5 2 4 16 63
Long-Term Oil Price Forecasts: A New Perspective on Oil and the Macroeconomy 0 1 14 126 0 7 28 202
Mixed-frequency Cointegrating Regressions with Parsimonious Distributed Lag Structures 0 0 3 8 4 6 14 36
Nonlinearity, Nonstationarity, and Thick Tails: How They Interact to Generate Persistency in Memory 0 1 2 59 4 10 21 184
Nonlinearity, Nonstationarity, and Thick Tails: How They Interact to Generate Persistency in Memory 0 0 0 1 0 3 16 399
On the Spatial Correlation of International Conflict Initiation and Other Binary and Dyadic Dependent Variables 0 0 3 13 0 0 13 15
We examine the effects of mixed sampling frequencies and temporal aggregation on standard tests for cointegration. While it is well known that aggregation and sampling frequency do not affect the long-run properties of time series, we find that the effects of aggregation on the size of commonly used tests may be severe. Matching sampling schemes of all series generally reduces size, and the nominal size is obtained when all series are skip- sampled in the same way -- e.g., end-of-period sampling. When matching is not feasible, the size of the likelihood-based trace test may be improved by using a mixed-frequency model rather than an aggregated model. However, a mixed-frequency strategy may not improve the size distortion of residual-based cointegration tests compared to aggregated series. We test stock prices and dividends for cointegration as an empirical demonstration of the size distortion 0 2 35 35 3 9 39 39
Total Working Papers 5 15 141 1,200 33 101 381 3,499


Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Nonlinear IV Likelihood-Based Rank Test for Multivariate Time Series and Long Panels 0 0 1 18 1 6 20 84
Cointegrating regressions with messy regressors and an application to mixed-frequency series 0 0 1 11 0 1 2 18
Crude oil and stock markets: Stability, instability, and bubbles 0 0 9 78 2 6 36 355
Extracting a common stochastic trend: Theory with some applications 0 1 6 54 1 3 13 134
LONG-TERM OIL PRICE FORECASTS: A NEW PERSPECTIVE ON OIL AND THE MACROECONOMY 0 0 7 17 2 4 21 44
Nonlinearity, nonstationarity, and thick tails: How they interact to generate persistence in memory 0 1 4 39 4 11 24 109
On the spatial correlation of international conflict initiation and other binary and dyadic dependent variables 1 1 1 1 2 4 8 8
Testing the bounds: Empirical behavior of target zone fundamentals 0 0 0 3 1 5 12 33
Total Journal Articles 1 3 29 221 13 40 136 785


Statistics updated 2014-07-03