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12 months |
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Last month |
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12 months |
Total |

A Multivariate Generalized Orthogonal Factor GARCH Model |
1 |
1 |
3 |
35 |
2 |
4 |
13 |
103 |

A Skewed GARCH-in-Mean Model: An Application to U.S. Stock Returns |
0 |
0 |
5 |
951 |
3 |
7 |
37 |
2,203 |

A note on the geometric ergodicity of a nonlinear AR–ARCH model |
0 |
1 |
3 |
100 |
2 |
6 |
25 |
306 |

A review of systemscointegration tests |
0 |
0 |
6 |
19 |
0 |
1 |
12 |
602 |

Asymptotic Inference on Nonlinear Functions of the Coefficients of Infinite Order Cointegated VAR Processes |
0 |
0 |
0 |
25 |
1 |
1 |
4 |
175 |

Break Date Estimation and Cointegration Testing in VAR Processes with Level Shift |
0 |
1 |
10 |
323 |
0 |
3 |
16 |
718 |

Cointegrated Vector Autoregressive Processes with Continuous Structural Changes |
0 |
0 |
1 |
21 |
0 |
0 |
3 |
49 |

Cointegrating smooth transition regressions with applications to the Asian currency crisis |
0 |
0 |
1 |
39 |
0 |
2 |
13 |
207 |

Comparison of Tests for the Cointegrating Rank of a VAR Process with a Structural Shift |
0 |
1 |
3 |
200 |
0 |
2 |
7 |
516 |

Comparison of tests for the cointegrating rank of a VAR process with a structural shift |
0 |
1 |
2 |
46 |
0 |
2 |
9 |
228 |

Comparison of unit root tests for time series with level shifts |
0 |
0 |
1 |
106 |
0 |
1 |
9 |
621 |

Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models |
0 |
0 |
1 |
324 |
1 |
3 |
16 |
1,058 |

Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models |
1 |
1 |
5 |
152 |
1 |
3 |
12 |
370 |

Forecasting with a noncausal VAR model |
0 |
0 |
6 |
96 |
1 |
4 |
20 |
103 |

GMM Estimation with Noncausal Instruments |
0 |
1 |
4 |
43 |
0 |
1 |
7 |
65 |

Identification and estimation of non-Gaussian structural vector autoregressions |
1 |
3 |
57 |
57 |
3 |
8 |
58 |
58 |

Impulse Response Analysis in Infinite Order Cointegrated Vector Autoregressive Processes |
0 |
0 |
0 |
111 |
0 |
3 |
9 |
530 |

Local power of likelihood ratio tests for the cointegrating rank of a VAR process |
0 |
0 |
1 |
3 |
0 |
3 |
10 |
123 |

Maximum Likelihood Estimation of a Noninvertible ARMA Model with Autoregressive Conditional Heteroskedasticity |
0 |
0 |
6 |
58 |
1 |
7 |
40 |
225 |

Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process |
15 |
39 |
166 |
461 |
54 |
157 |
685 |
2,300 |

Modeling Conditional Skewness in Stock Returns |
0 |
0 |
1 |
375 |
2 |
2 |
5 |
1,094 |

Modeling Expectations with Noncausal Autoregressions |
0 |
0 |
2 |
45 |
0 |
0 |
3 |
98 |

Modeling Expectations with Noncausal Autoregressions |
0 |
1 |
5 |
114 |
1 |
2 |
6 |
315 |

Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes |
0 |
0 |
0 |
0 |
0 |
1 |
6 |
616 |

Modeling the US short-term interest rate by mixture autoregressive processes |
0 |
0 |
4 |
30 |
0 |
1 |
7 |
137 |

Noncausal Vector Autoregression |
0 |
2 |
8 |
83 |
0 |
5 |
16 |
148 |

Noncausal autoregressions for economic time series |
0 |
1 |
15 |
54 |
1 |
6 |
36 |
156 |

Noncausal vector autoregression |
0 |
0 |
0 |
82 |
1 |
8 |
18 |
199 |

Nonlinear GARCH models for highly persistent volatility |
0 |
0 |
1 |
78 |
0 |
1 |
6 |
353 |

On the Estimation of Euler Equations in the Presence of a Potential Regime Shift |
0 |
0 |
0 |
13 |
0 |
2 |
4 |
53 |

Optimal Forecasting of Noncausal Autoregressive Time Series |
0 |
1 |
4 |
79 |
0 |
3 |
14 |
137 |

Order selection in testing for the cointegrating rank of a VAR process |
0 |
0 |
3 |
15 |
0 |
0 |
7 |
269 |

Parameter Estimation in Nonlinear AR-GARCH Models |
0 |
0 |
0 |
179 |
0 |
0 |
5 |
407 |

Parameter estimation in nonlinear AR-GARCH models |
0 |
0 |
1 |
45 |
1 |
1 |
7 |
149 |

Parameter estimation in nonlinear AR-GARCH models |
0 |
0 |
2 |
233 |
0 |
1 |
17 |
615 |

Parameter estimation in nonlinear AR–GARCH models |
0 |
2 |
9 |
128 |
0 |
6 |
47 |
466 |

Reducing size distortions of parametric stationarity tests |
0 |
0 |
1 |
6 |
0 |
0 |
6 |
64 |

Residual Autocorrelation Testing for Vector Error Correction Models |
0 |
0 |
8 |
557 |
0 |
0 |
25 |
1,756 |

Stability of nonlinear AR-GARCH models |
0 |
0 |
1 |
193 |
1 |
2 |
13 |
514 |

Stability of nonlinear AR-GARCH models |
0 |
1 |
5 |
9 |
0 |
2 |
11 |
45 |

Stability of nonlinear AR-GARCH models |
0 |
0 |
2 |
171 |
0 |
3 |
8 |
387 |

Stability results for nonlinear vector autoregressions with an application to a nonlinear error correction model |
0 |
0 |
0 |
50 |
0 |
1 |
3 |
441 |

Supplementary appendix to "noncausal vector autoregression" |
0 |
0 |
5 |
22 |
0 |
0 |
5 |
37 |

Test procedures for unit roots in time series with level shifts at unknown time |
0 |
2 |
13 |
100 |
1 |
6 |
24 |
477 |

Testing for Predictability in a Noninvertible ARMA Model |
0 |
0 |
3 |
41 |
0 |
3 |
19 |
131 |

Testing for a Unit Root in a Time Series with a Level Shift at Unknown Time |
0 |
0 |
3 |
406 |
0 |
1 |
10 |
760 |

Testing for a unit root in a time series with a level shift at unknown time |
0 |
0 |
0 |
71 |
0 |
0 |
4 |
311 |

Testing for a unit root in noncausal autoregressive models |
0 |
0 |
4 |
45 |
2 |
3 |
18 |
61 |

Testing for predictability in a noninvertible ARMA model |
0 |
0 |
3 |
71 |
0 |
1 |
11 |
110 |

Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break |
0 |
0 |
3 |
132 |
5 |
9 |
30 |
377 |

Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break |
0 |
0 |
6 |
128 |
0 |
2 |
12 |
263 |

Testing for the Cointegrating Rank of a VAR Process with a Time Trend |
0 |
0 |
0 |
0 |
0 |
3 |
11 |
222 |

Testing for the Cointegrating Rank of a Vector Autoregressive Process with Uncertain Deterministic Trend Term |
0 |
1 |
5 |
129 |
0 |
1 |
12 |
275 |

Testing for the cointegrating rank of a VAR process with an intercept |
1 |
2 |
5 |
18 |
2 |
4 |
18 |
209 |

Testing for the cointegrating rank of a VAR process with level shift at unknown time |
0 |
0 |
4 |
101 |
0 |
1 |
10 |
455 |

Testing for the cointegrating rank of a VAR process with structural shifts |
0 |
1 |
5 |
20 |
0 |
1 |
9 |
252 |

Testing for unit roots in time series with level shifts |
0 |
0 |
1 |
3 |
0 |
1 |
5 |
350 |

Threshold Autoregression for Strongly Autocorrelated Time Series |
0 |
0 |
0 |
0 |
2 |
3 |
7 |
521 |

Trend adjustment prior to testing for the cointegrating rank of a VAR process |
1 |
1 |
3 |
8 |
1 |
3 |
11 |
187 |

Unit root tests for time series with a structural break: When the break point is known |
1 |
1 |
6 |
268 |
1 |
4 |
13 |
963 |

Unit root tests in the presence of innovational outliers |
0 |
1 |
4 |
49 |
0 |
3 |
6 |
249 |

Total Working Papers |
21 |
66 |
426 |
7,321 |
90 |
314 |
1,510 |
25,189 |