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12 months |
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Last month |
3 months |
12 months |
Total |

A Multivariate Generalized Orthogonal Factor GARCH Model |
0 |
1 |
6 |
25 |
0 |
3 |
16 |
68 |

A Skewed GARCH-in-Mean Model: An Application to U.S. Stock Returns |
1 |
2 |
9 |
942 |
3 |
10 |
53 |
2,123 |

A note on the geometric ergodicity of a nonlinear AR–ARCH model |
1 |
3 |
13 |
91 |
3 |
6 |
41 |
241 |

A review of systemscointegration tests |
0 |
0 |
5 |
7 |
0 |
0 |
18 |
578 |

Asymptotic Inference on Nonlinear Functions of the Coefficients of Infinite Order Cointegated VAR Processes |
0 |
0 |
0 |
25 |
0 |
0 |
4 |
171 |

Break Date Estimation and Cointegration Testing in VAR Processes with Level Shift |
0 |
1 |
3 |
313 |
0 |
1 |
7 |
699 |

Cointegrated Vector Autoregressive Processes with Continuous Structural Changes |
0 |
0 |
1 |
20 |
1 |
1 |
9 |
44 |

Cointegrating smooth transition regressions with applications to the Asian currency crisis |
2 |
2 |
5 |
35 |
3 |
3 |
10 |
186 |

Comparison of Tests for the Cointegrating Rank of a VAR Process with a Structural Shift |
0 |
0 |
2 |
195 |
1 |
7 |
22 |
500 |

Comparison of tests for the cointegrating rank of a VAR process with a structural shift |
0 |
0 |
2 |
44 |
0 |
6 |
14 |
216 |

Comparison of unit root tests for time series with level shifts |
0 |
0 |
4 |
103 |
0 |
1 |
12 |
606 |

Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models |
0 |
0 |
4 |
323 |
0 |
7 |
18 |
1,027 |

Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models |
0 |
1 |
5 |
145 |
1 |
3 |
16 |
348 |

Forecasting with a noncausal VAR model |
0 |
1 |
19 |
84 |
1 |
3 |
38 |
69 |

GMM Estimation with Noncausal Instruments |
1 |
1 |
2 |
38 |
1 |
2 |
8 |
50 |

Impulse Response Analysis in Infinite Order Cointegrated Vector Autoregressive Processes |
0 |
0 |
0 |
111 |
1 |
1 |
7 |
518 |

Local power of likelihood ratio tests for the cointegrating rank of a VAR process |
0 |
0 |
0 |
1 |
0 |
0 |
0 |
110 |

Maximum Likelihood Estimation of a Noninvertible ARMA Model with Autoregressive Conditional Heteroskedasticity |
2 |
2 |
16 |
48 |
13 |
29 |
89 |
153 |

Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process |
9 |
26 |
100 |
218 |
40 |
117 |
367 |
1,267 |

Modeling Conditional Skewness in Stock Returns |
0 |
0 |
5 |
374 |
0 |
0 |
8 |
1,086 |

Modeling Expectations with Noncausal Autoregressions |
0 |
1 |
3 |
42 |
1 |
3 |
8 |
90 |

Modeling Expectations with Noncausal Autoregressions |
1 |
4 |
15 |
107 |
4 |
12 |
56 |
295 |

Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes |
0 |
0 |
0 |
0 |
3 |
4 |
13 |
603 |

Modeling the US short-term interest rate by mixture autoregressive processes |
1 |
1 |
3 |
24 |
2 |
4 |
9 |
122 |

Noncausal Vector Autoregression |
2 |
4 |
8 |
72 |
3 |
7 |
43 |
123 |

Noncausal autoregressions for economic time series |
1 |
6 |
17 |
31 |
5 |
15 |
48 |
89 |

Noncausal vector autoregression |
0 |
0 |
1 |
78 |
0 |
1 |
16 |
168 |

Nonlinear GARCH models for highly persistent volatility |
0 |
0 |
4 |
76 |
1 |
2 |
17 |
340 |

On the Estimation of Euler Equations in the Presence of a Potential Regime Shift |
0 |
1 |
2 |
13 |
0 |
1 |
3 |
45 |

Optimal Forecasting of Noncausal Autoregressive Time Series |
1 |
2 |
8 |
71 |
2 |
3 |
20 |
112 |

Order selection in testing for the cointegrating rank of a VAR process |
0 |
0 |
2 |
5 |
0 |
0 |
5 |
251 |

Parameter Estimation in Nonlinear AR-GARCH Models |
0 |
0 |
3 |
179 |
0 |
1 |
13 |
398 |

Parameter estimation in nonlinear AR-GARCH models |
0 |
1 |
9 |
229 |
0 |
4 |
32 |
587 |

Parameter estimation in nonlinear AR-GARCH models |
1 |
1 |
4 |
43 |
1 |
1 |
10 |
129 |

Parameter estimation in nonlinear AR–GARCH models |
0 |
1 |
13 |
110 |
7 |
18 |
78 |
377 |

Reducing size distortions of parametric stationarity tests |
0 |
0 |
1 |
5 |
0 |
0 |
4 |
57 |

Residual Autocorrelation Testing for Vector Error Correction Models |
3 |
3 |
16 |
540 |
5 |
11 |
59 |
1,692 |

Stability of nonlinear AR-GARCH models |
0 |
0 |
2 |
192 |
0 |
3 |
17 |
496 |

Stability of nonlinear AR-GARCH models |
0 |
0 |
2 |
169 |
2 |
7 |
18 |
373 |

Stability of nonlinear AR-GARCH models |
0 |
0 |
0 |
4 |
0 |
0 |
7 |
31 |

Stability results for nonlinear vector autoregressions with an application to a nonlinear error correction model |
0 |
0 |
4 |
48 |
1 |
1 |
7 |
434 |

Supplementary appendix to "noncausal vector autoregression" |
1 |
1 |
3 |
16 |
1 |
2 |
10 |
26 |

Test procedures for unit roots in time series with level shifts at unknown time |
1 |
2 |
8 |
80 |
5 |
10 |
35 |
432 |

Testing for Predictability in a Noninvertible ARMA Model |
1 |
2 |
7 |
34 |
3 |
10 |
37 |
89 |

Testing for a Unit Root in a Time Series with a Level Shift at Unknown Time |
0 |
0 |
7 |
399 |
0 |
2 |
16 |
739 |

Testing for a unit root in a time series with a level shift at unknown time |
0 |
0 |
2 |
71 |
0 |
1 |
6 |
306 |

Testing for a unit root in noncausal autoregressive models |
2 |
6 |
32 |
32 |
3 |
12 |
20 |
20 |

Testing for predictability in a noninvertible ARMA model |
0 |
3 |
15 |
63 |
1 |
6 |
33 |
87 |

Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break |
1 |
1 |
4 |
126 |
2 |
4 |
9 |
333 |

Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break |
0 |
0 |
0 |
119 |
1 |
2 |
9 |
246 |

Testing for the Cointegrating Rank of a VAR Process with a Time Trend |
0 |
0 |
0 |
0 |
1 |
4 |
9 |
206 |

Testing for the Cointegrating Rank of a Vector Autoregressive Process with Uncertain Deterministic Trend Term |
0 |
0 |
3 |
120 |
0 |
2 |
14 |
253 |

Testing for the cointegrating rank of a VAR process with an intercept |
0 |
1 |
4 |
6 |
0 |
1 |
6 |
169 |

Testing for the cointegrating rank of a VAR process with level shift at unknown time |
0 |
1 |
5 |
95 |
1 |
6 |
22 |
439 |

Testing for the cointegrating rank of a VAR process with structural shifts |
0 |
2 |
10 |
11 |
0 |
3 |
12 |
237 |

Testing for unit roots in time series with level shifts |
0 |
1 |
1 |
2 |
0 |
3 |
6 |
342 |

Threshold Autoregression for Strongly Autocorrelated Time Series |
0 |
0 |
0 |
0 |
1 |
5 |
22 |
501 |

Trend adjustment prior to testing for the cointegrating rank of a VAR process |
1 |
1 |
3 |
5 |
1 |
1 |
13 |
174 |

Unit root tests for time series with a structural break: When the break point is known |
0 |
0 |
2 |
259 |
2 |
4 |
10 |
945 |

Unit root tests in the presence of innovational outliers |
0 |
0 |
1 |
44 |
1 |
2 |
4 |
241 |

Total Working Papers |
33 |
86 |
425 |
6,662 |
128 |
378 |
1,533 |
22,657 |