| Working Paper |
File Downloads |
Abstract Views |
| Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
| A CONTINUOUS TIME APPROXIMATION TO THE UNSTABLE FIRST- ORDER AUTOREGRESSIVE PROCESS: THE CASE WITHOUT AN INTERCEPT |
0 |
0 |
0 |
0 |
2 |
6 |
12 |
286 |
| A Comparison of Alternative Asymptotic Frameworks to Analyze a Structural Change in a Linear Time Trend |
1 |
2 |
12 |
106 |
2 |
6 |
33 |
320 |
| A Modified Information Criterion for Cointegration Tests based on a VAR Approximation |
8 |
19 |
39 |
138 |
11 |
34 |
101 |
315 |
| A Non-local Perspective on the Power Properties of the CUSUM and CUSUM of Squares Tests for Structural Change |
1 |
1 |
10 |
55 |
1 |
6 |
44 |
149 |
| A Non-local Perspective on the Power Properties of the CUSUM and CUSUM of Squares Tests for Structural Change* |
1 |
3 |
10 |
10 |
6 |
14 |
51 |
54 |
| A Note on the Selection of Time Series Models |
7 |
16 |
59 |
869 |
17 |
39 |
108 |
1,883 |
| A Sequential Procedure to Determine the Number of Breaks in Trend with an Integrated or Stationary Noise Component |
10 |
47 |
47 |
47 |
10 |
28 |
28 |
28 |
| A Simple Modification to Improve the Finite Sample Properties of Ng and Perron’s Unit Root Tests |
3 |
8 |
20 |
114 |
3 |
19 |
51 |
230 |
| A Test for Changes in a Polynomial Trend Functions for a Dynamioc Time Series |
0 |
0 |
0 |
0 |
2 |
12 |
59 |
638 |
| AN ANLYSIS OF THE REAL INTEREST RATE UNDER REGIME SHIFTS |
0 |
0 |
0 |
1 |
3 |
12 |
37 |
607 |
| Additional Tests for a Unit Root Allowing for a Break in the Trend Function at an Unknown Time |
0 |
0 |
0 |
1 |
3 |
7 |
21 |
449 |
| Additional Tests for a Unit Root Allowing for a Break in the Trend Function at an Unknown Time |
5 |
11 |
35 |
53 |
6 |
15 |
53 |
204 |
| An Analysis of the Real Interest Rate Under Regime Shifts |
6 |
19 |
45 |
686 |
16 |
38 |
123 |
2,699 |
| An Analysis of the Real Interest rate Under Regime Shifts |
1 |
11 |
27 |
34 |
1 |
13 |
40 |
241 |
| An Analysis of the Real Interest rate Under Regime Shifts |
0 |
0 |
0 |
1 |
7 |
29 |
73 |
545 |
| An Analytical Evaluation of the Log-periodogram Estimate in the Presence of Level Shifts and its Implications for Stock Returns Volatility* |
1 |
3 |
19 |
69 |
2 |
7 |
56 |
94 |
| An Autoregressive Spectral Density Estimator at Frequency Zero for Nonstationarity Tests |
0 |
0 |
0 |
0 |
4 |
32 |
92 |
912 |
| An Autoregressive Spectral Density Estimator at Frequency Zero for Nonstationarity Tests |
1 |
4 |
20 |
24 |
3 |
9 |
33 |
239 |
| An analysis of Real Interest Rate Under Regime Shifts |
0 |
0 |
0 |
0 |
1 |
3 |
5 |
159 |
| An analysis of Real Interest Rate Under Regime Shifts |
0 |
0 |
0 |
0 |
2 |
2 |
5 |
40 |
| Approximations to Some Exact Distributions in the First Order Autogressive Model with Dependent Errors |
0 |
0 |
2 |
2 |
0 |
0 |
4 |
31 |
| Approximations to Some Exact Distributions in the First Order Autogressive Model with Dependent Errors |
0 |
0 |
0 |
0 |
1 |
2 |
7 |
129 |
| Asymptotic Approximations in the Near-Integrated Model with a Non-Zero Initial Condition |
0 |
0 |
4 |
22 |
1 |
2 |
11 |
144 |
| Computation and Analysis of Multiple Structural-Change Models |
40 |
114 |
370 |
1,349 |
63 |
184 |
647 |
2,386 |
| Data Dependent Rules for the Selection of the Number of Leads and Lags in the Dynamic OLS Cointegrating Regression |
3 |
6 |
21 |
38 |
3 |
8 |
40 |
83 |
| Dealing with Structural Breaks |
10 |
26 |
115 |
440 |
16 |
50 |
211 |
731 |
| Does Gnp Have a Unit Root? a Reevaluation |
0 |
0 |
0 |
2 |
3 |
11 |
32 |
164 |
| Estimating & Testing Linear Models with Multiple Structural Changes |
0 |
0 |
0 |
0 |
7 |
16 |
39 |
835 |
| Estimating Deterministic Trends with an Integrated or Stationary Noise Component |
2 |
2 |
2 |
2 |
6 |
9 |
9 |
9 |
| Estimating Deterministic with an Integrated or Stationary Noise Component |
0 |
0 |
0 |
41 |
6 |
12 |
46 |
75 |
| Estimating Deterministric Trends with an Integrated or Stationary Noise Component |
0 |
0 |
7 |
40 |
3 |
5 |
22 |
114 |
| Estimating and Testing Linear Models with Multiple Structural Changes |
0 |
0 |
0 |
10 |
15 |
35 |
160 |
1,149 |
| Estimating and Testing Linear Models with Multiple Structural Changes |
17 |
45 |
172 |
225 |
22 |
58 |
232 |
758 |
| Estimating and testing structural changes in multivariate regressions |
3 |
10 |
45 |
130 |
5 |
18 |
81 |
249 |
| Estimation and Inference in Nearly Unbalanced, Nearly Cointegrated Systems |
1 |
2 |
8 |
9 |
1 |
2 |
14 |
70 |
| Estimation and Inference in Nearly Unbalanced, Nearly Cointegrated Systems |
0 |
0 |
0 |
1 |
6 |
8 |
24 |
143 |
| FURTHER EVIDENCE ON BREAKING TREND FUNCTIONS IN MACROECONOMICS VARIABLES |
0 |
0 |
0 |
4 |
7 |
29 |
94 |
756 |
| Further Evidence on Breaking Trend Functions in Macroeconomic Variables |
5 |
16 |
51 |
73 |
6 |
21 |
77 |
331 |
| Further Evidence on Breaking Trend Functions in Macroeconomic Variables |
0 |
0 |
0 |
7 |
7 |
31 |
116 |
698 |
| GLS Detrending, Efficient Unit Root Tests and Structural Change |
8 |
27 |
92 |
318 |
22 |
63 |
185 |
659 |
| Identifying the Age Profile of Patent Citations |
1 |
3 |
8 |
10 |
5 |
10 |
50 |
73 |
| Lag Length Selection and the Construction of Unit Root Tests with Good Size and Power |
12 |
51 |
168 |
1,273 |
30 |
147 |
449 |
3,807 |
| Let’s Take a Break: Trends and Cycles in US Real GDP? |
3 |
10 |
30 |
143 |
8 |
23 |
113 |
530 |
| Local Asymtotic Distributions Related to the AR(1) MOdel with Dependent Errors |
0 |
0 |
0 |
1 |
2 |
4 |
23 |
414 |
| Methodology in Economics: the Logic of Appraisal |
2 |
4 |
10 |
47 |
3 |
7 |
24 |
165 |
| Moonlighting: Public Service and Private Practice |
0 |
2 |
7 |
55 |
3 |
7 |
49 |
170 |
| Nonstationary and Level Shifts With An Application To Purchasing Power Parity |
0 |
0 |
0 |
6 |
11 |
28 |
89 |
707 |
| PPP May not Hold After all: A Further Investigation |
1 |
13 |
32 |
229 |
6 |
30 |
71 |
481 |
| Pitfalls and Opportunities: What Macroeconomics should know about unit roots |
0 |
0 |
0 |
3 |
6 |
34 |
147 |
1,048 |
| Pitfalls and Opportunities: What Macroeconomists Should Know About Unit Roots |
17 |
67 |
232 |
2,063 |
27 |
98 |
358 |
4,113 |
| Residual Based Tests for Cointegration with GLS Detrended Data |
0 |
0 |
0 |
2 |
4 |
15 |
58 |
470 |
| Sampling Interval and estimated Betas: Implications for the Presence of Transitory Components in Stock Prices |
0 |
0 |
1 |
34 |
3 |
9 |
24 |
261 |
| Seraching for Additive Outliers in Nonstationary Time Series |
0 |
0 |
0 |
1 |
3 |
6 |
39 |
684 |
| TEST CONSISTENCY WITH VARYING SAMPLING FREQUENCY |
0 |
0 |
0 |
0 |
1 |
4 |
15 |
379 |
| TESTING FOR A RANDOM WALK: A SIMULATION EXPERIMENT OF POWER WHEN THE SIMPLING INTERVAL IS VARIED |
0 |
0 |
0 |
0 |
8 |
21 |
58 |
588 |
| TESTING FOR A UNIT ROOT IN A TIME SERIES WITH A CHANGING MEAN |
0 |
0 |
0 |
12 |
7 |
25 |
89 |
830 |
| THE ADEQUACY OF LIMITING DISTRIBUTIONS IN THE AR(1) MODEL WITH DEPENDENT ERRORS |
0 |
0 |
0 |
0 |
0 |
0 |
4 |
127 |
| THE EFFECT OF SEASONAL ADJUSTMENT FILTERS ON TEST FOR UNIT ROOT |
0 |
0 |
0 |
0 |
2 |
3 |
9 |
199 |
| THE EFFECT OF SEASONAL ADJUSTMENT FILTERS ON TESTS FOR A UNIT ROOT |
0 |
0 |
0 |
1 |
3 |
8 |
27 |
301 |
| THE GREAT CRASH, THE OIL PRICE SHOCK AND THE UNIT ROOT HYPOTHESIS |
0 |
0 |
0 |
6 |
18 |
74 |
230 |
1,851 |
| THE LIMITING DISTRIBUTION OF THE LEAST SQUARES ESTIMATOR IN NEARLY INTEGRATED SEASONAL MODELS |
0 |
0 |
0 |
0 |
2 |
4 |
10 |
163 |
| Test Consistency with Varying Sampling Frequency |
0 |
0 |
0 |
2 |
3 |
10 |
41 |
221 |
| Testing for Multiple Structural Changes in Cointegrated Regression Models |
7 |
58 |
58 |
58 |
10 |
35 |
35 |
35 |
| Testing for Shifts in Trend with an Integrated or Stationary Noise Component |
5 |
14 |
29 |
99 |
9 |
27 |
78 |
158 |
| Testing for Shifts in Trend with an Integrated or Stationary Noise Component |
4 |
8 |
18 |
78 |
5 |
15 |
41 |
154 |
| Testing for a Unit Root in Time Series Regression |
31 |
100 |
361 |
1,241 |
49 |
183 |
580 |
2,338 |
| Testing the Random Walk Hypothesis: Power Versus Frequency of Observation |
7 |
29 |
117 |
648 |
16 |
81 |
294 |
2,368 |
| Testing the Random Walk Hypothesis: Power versus Frequency of Observation |
3 |
9 |
39 |
457 |
12 |
53 |
164 |
2,134 |
| Tests of Joint Hypotheses for Time Series Regression with a Unit Root |
1 |
2 |
9 |
28 |
4 |
8 |
26 |
112 |
| The Adequacy of Asymptotic Approximations in the Near- Integrated Autoregressive Model with Dependent Errors |
0 |
0 |
0 |
0 |
1 |
2 |
5 |
89 |
| The Adequacy of Asymptotic Approximations in the Near-Integrated Autoregressive Model with Dependent Errors |
0 |
0 |
3 |
4 |
0 |
0 |
5 |
26 |
| The Calculation of the Limiting Distribution of the Least Squares Estimator in Near-Integrated Model |
0 |
0 |
0 |
0 |
3 |
7 |
15 |
75 |
| The Effect of Linear Filters on Dynamic Time series with Structural Change |
0 |
2 |
9 |
12 |
0 |
3 |
23 |
87 |
| The Effect of Linear Filters on Dynamic Time series with Structural Change |
0 |
0 |
0 |
0 |
2 |
3 |
21 |
216 |
| The Effect of Seasonal Adjustment Filters on Test for Unit Root |
0 |
0 |
0 |
0 |
1 |
2 |
9 |
60 |
| The Exact Error in Estimating the Special Density at the Origin |
0 |
0 |
1 |
3 |
1 |
2 |
5 |
35 |
| The Exact Error in Estimating the Special Density at the Origin |
0 |
0 |
0 |
0 |
5 |
9 |
30 |
145 |
| The FCLT with Dependent Errors: an Helicopter Tour of the Quality of the Approximation |
0 |
0 |
2 |
22 |
2 |
4 |
17 |
156 |
| The Great Crash, the Oil Prices and the Unit Root Hypothesis |
0 |
0 |
0 |
1 |
2 |
13 |
53 |
262 |
| The Limit Distribution of the CUSUM of Square Test Under Genreal MIxing Conditions* |
4 |
10 |
27 |
83 |
12 |
29 |
97 |
279 |
| Trend and Cycles: A New Approach and Explanations of Some Old Puzzles |
7 |
11 |
46 |
197 |
19 |
40 |
135 |
549 |
| Trends and Random Walks in Macroeconomic Time Series: Further Evidence From a New Approach |
0 |
0 |
0 |
3 |
24 |
102 |
341 |
1,145 |
| Unit Root Tests ARMA Models with Data Dependent Methods for the Selection of the Truncation Lag |
0 |
0 |
0 |
1 |
4 |
20 |
67 |
471 |
| Unit Root Tests ARMA Models with Data Dependent Methods for the Selection of the Truncation Lag |
1 |
13 |
46 |
68 |
2 |
29 |
102 |
269 |
| Unit roots in the presence of abrupt governmental interventions with an application to Brazilian to Brazilian data |
0 |
0 |
5 |
7 |
0 |
2 |
11 |
51 |
| Useful Modifications to Some Unit Root Tests with Dependent Errors and Their Local Asymptotic Properties |
3 |
4 |
20 |
25 |
5 |
10 |
34 |
118 |
| Useful Modifications to Some Unit Root Tests with Dependent Errors and Their Local Asymptotic Properties |
0 |
0 |
0 |
1 |
4 |
12 |
22 |
221 |
| Total Working Papers |
243 |
802 |
2,510 |
11,845 |
649 |
2,153 |
7,263 |
48,741 |
| Journal Article |
File Downloads |
Abstract Views |
| Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
| A Continuous Time Approximation to the Stationary First-Order Autoregressive Model |
2 |
2 |
2 |
2 |
2 |
3 |
3 |
3 |
| A Continuous Time Approximation to the Unstable First-Order Autoregressive Process: The Case without an Intercept |
1 |
6 |
12 |
83 |
2 |
10 |
28 |
439 |
| A MODIFIED INFORMATION CRITERION FOR COINTEGRATION TESTS BASED ON A VAR APPROXIMATION |
1 |
4 |
8 |
8 |
7 |
15 |
26 |
26 |
| A Note on Johansen's Cointegration Procedure When Trends Are Present |
0 |
0 |
0 |
0 |
21 |
72 |
284 |
2,171 |
| A Note on the Selection of Time Series Models |
1 |
4 |
17 |
125 |
2 |
9 |
38 |
286 |
| A comparison of alternative asymptotic frameworks to analyse a structural change in a linear time trend |
1 |
1 |
3 |
14 |
2 |
9 |
33 |
112 |
| A look at the quality of the approximation of the functional central limit theorem |
1 |
1 |
1 |
6 |
3 |
3 |
3 |
26 |
| A non-local perspective on the power properties of the CUSUM and CUSUM of squares tests for structural change |
2 |
4 |
13 |
15 |
6 |
12 |
56 |
73 |
| A simple modification to improve the finite sample properties of Ng and Perron's unit root tests |
2 |
4 |
10 |
40 |
4 |
6 |
18 |
100 |
| AN AUTOREGRESSIVE SPECTRAL DENSITY ESTIMATOR AT FREQUENCY ZERO FOR NONSTATIONARITY TESTS |
5 |
8 |
9 |
9 |
10 |
27 |
32 |
32 |
| Additional Tests for a Unit Root Allowing for a Break in the Trend Function at an Unknown Time |
0 |
0 |
0 |
1 |
4 |
19 |
105 |
550 |
| An Analysis of the Real Interest Rate under Regime Shifts |
3 |
11 |
32 |
317 |
8 |
24 |
88 |
828 |
| Approximations to some exact distributions in the rrasr orderautoregressive model with dependenterrors |
1 |
1 |
3 |
3 |
1 |
4 |
9 |
16 |
| Assessing the relative power of structural break tests using a framework based on the approximate Bahadur slope |
4 |
8 |
8 |
8 |
7 |
20 |
20 |
20 |
| Asymptotic approximations in the near-integrated model with a non-zero initial condition |
0 |
0 |
0 |
7 |
1 |
2 |
8 |
199 |
| Computation and analysis of multiple structural change models |
19 |
45 |
166 |
996 |
30 |
88 |
287 |
1,999 |
| Critical values for multiple structural change tests |
2 |
13 |
47 |
248 |
8 |
32 |
93 |
537 |
| DATA DEPENDENT RULES FOR SELECTION OF THE NUMBER OF LEADS AND LAGS IN THE DYNAMIC OLS COINTEGRATING REGRESSION |
3 |
7 |
13 |
13 |
3 |
9 |
20 |
20 |
| Does GNP have a unit root?: A re-evaluation |
0 |
2 |
7 |
23 |
1 |
3 |
22 |
55 |
| Erratum [The Great Crash, the Oil Price Shock and the Unit Root Hypothesis] |
1 |
3 |
28 |
105 |
2 |
5 |
64 |
239 |
| Estimating and Testing Linear Models with Multiple Structural Changes |
0 |
0 |
0 |
9 |
46 |
116 |
503 |
2,275 |
| Estimating and Testing Structural Changes in Multivariate Regressions |
6 |
10 |
58 |
118 |
13 |
31 |
138 |
266 |
| Estimating restricted structural change models |
2 |
6 |
29 |
76 |
3 |
8 |
39 |
131 |
| Estimation and inference in nearly unbalanced nearly cointegrated systems |
2 |
2 |
8 |
37 |
3 |
4 |
18 |
101 |
| Further evidence on breaking trend functions in macroeconomic variables |
5 |
19 |
83 |
442 |
6 |
32 |
131 |
743 |
| GLS detrending, efficient unit root tests and structural change |
3 |
9 |
29 |
89 |
3 |
16 |
59 |
220 |
| LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power |
15 |
55 |
149 |
556 |
31 |
119 |
331 |
1,355 |
| Local asymptotic distribution related to the AR(1) model with dependent errors |
1 |
3 |
11 |
32 |
1 |
4 |
28 |
134 |
| Nonstationarity and Level Shifts with an Application to Purchasing Power Parity |
0 |
0 |
0 |
0 |
12 |
30 |
104 |
680 |
| Racines unitaires en macroéconomie: le cas multidimensionnel |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
| SEARCHING FOR ADDITIVE OUTLIERS IN NONSTATIONARY TIME SERIES* |
2 |
4 |
17 |
96 |
6 |
16 |
45 |
254 |
| Structural breaks with deterministic and stochastic trends |
3 |
8 |
33 |
92 |
6 |
11 |
45 |
153 |
| THE LIMIT DISTRIBUTION OF THE CUSUM OF SQUARES TEST UNDER GENERAL MIXING CONDITIONS |
2 |
3 |
5 |
5 |
3 |
7 |
13 |
13 |
| THE VARIANCE RATIO TEST: AN ANALYSIS OF SIZE AND POWER BASED ON A CONTINUOUS-TIME ASYMPTOTIC FRAMEWORK |
1 |
4 |
5 |
8 |
1 |
5 |
14 |
41 |
| Test Consistency with Varying Sampling Frequency |
1 |
1 |
1 |
1 |
2 |
3 |
4 |
4 |
| Testing for a Unit Root in a Time Series with a Changing Mean |
0 |
0 |
0 |
0 |
9 |
30 |
97 |
673 |
| Testing for a Unit Root in a Time Series with a Changing Mean: Corrections and Extensions |
0 |
0 |
0 |
0 |
3 |
14 |
80 |
406 |
| Testing the random walk hypothesis: Power versus frequency of observation |
1 |
7 |
21 |
62 |
5 |
15 |
59 |
171 |
| Tests of return predictability: an analysis of their properties based on a continuous time asymptotic framework |
1 |
1 |
4 |
30 |
1 |
4 |
11 |
93 |
| The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis |
22 |
88 |
339 |
1,771 |
46 |
181 |
660 |
5,172 |
| The HUMP-Shaped Behavior of Macroeconomic Fluctuations |
0 |
0 |
0 |
0 |
1 |
4 |
9 |
123 |
| The adequacy of asymptotic approximations in the near-integrated autoregressive model with dependent errors |
1 |
1 |
2 |
9 |
1 |
1 |
3 |
29 |
| The effect of linear filters on dynamic time series with structural change |
2 |
3 |
7 |
31 |
2 |
7 |
23 |
111 |
| The effect of seasonal adjustment filters on tests for a unit root |
6 |
13 |
21 |
82 |
7 |
18 |
38 |
177 |
| The limit distribution of the estimates in cointegrated regression models with multiple structural changes |
1 |
2 |
7 |
7 |
2 |
7 |
17 |
17 |
| Trends and random walks in macroeconomic time series: Further evidence from a new approach |
7 |
38 |
86 |
239 |
8 |
46 |
126 |
341 |
| Unit Roots in the Presence of Abrupt Governmental Interventions with an Application to Brazilian Data |
1 |
2 |
12 |
156 |
3 |
8 |
28 |
562 |
| Unit root tests allowing for a break in the trend function at an unknown time under both the null and alternative hypotheses |
9 |
25 |
35 |
35 |
19 |
49 |
66 |
66 |
| Useful Modifications to Some Unit Root Tests with Dependent Errors and Their Local Asymptotic Properties |
7 |
15 |
31 |
126 |
10 |
26 |
79 |
339 |
| Total Journal Articles |
150 |
443 |
1,372 |
6,132 |
377 |
1,184 |
4,005 |
22,381 |
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