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

A Multivariate Generalized Orthogonal Factor GARCH Model |
0 |
1 |
7 |
34 |
0 |
2 |
21 |
97 |

A Skewed GARCH-in-Mean Model: An Application to U.S. Stock Returns |
0 |
2 |
6 |
950 |
3 |
12 |
45 |
2,188 |

A note on the geometric ergodicity of a nonlinear AR–ARCH model |
1 |
1 |
4 |
99 |
3 |
8 |
35 |
298 |

A review of systemscointegration tests |
0 |
2 |
9 |
18 |
1 |
4 |
16 |
597 |

Asymptotic Inference on Nonlinear Functions of the Coefficients of Infinite Order Cointegated VAR Processes |
0 |
0 |
0 |
25 |
2 |
3 |
3 |
174 |

Break Date Estimation and Cointegration Testing in VAR Processes with Level Shift |
1 |
6 |
8 |
321 |
1 |
7 |
15 |
714 |

Cointegrated Vector Autoregressive Processes with Continuous Structural Changes |
0 |
1 |
1 |
21 |
0 |
2 |
2 |
48 |

Cointegrating smooth transition regressions with applications to the Asian currency crisis |
0 |
0 |
2 |
39 |
0 |
4 |
11 |
202 |

Comparison of Tests for the Cointegrating Rank of a VAR Process with a Structural Shift |
1 |
2 |
4 |
199 |
1 |
3 |
11 |
513 |

Comparison of tests for the cointegrating rank of a VAR process with a structural shift |
0 |
0 |
1 |
45 |
1 |
1 |
5 |
222 |

Comparison of unit root tests for time series with level shifts |
0 |
1 |
2 |
106 |
0 |
3 |
7 |
615 |

Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models |
0 |
0 |
0 |
323 |
1 |
3 |
15 |
1,051 |

Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models |
0 |
0 |
3 |
149 |
1 |
1 |
8 |
361 |

Forecasting with a noncausal VAR model |
1 |
2 |
9 |
95 |
1 |
5 |
21 |
96 |

GMM Estimation with Noncausal Instruments |
0 |
2 |
3 |
41 |
0 |
3 |
10 |
63 |

Identification and estimation of non-Gaussian structural vector autoregressions |
1 |
13 |
44 |
44 |
3 |
22 |
33 |
33 |

Impulse Response Analysis in Infinite Order Cointegrated Vector Autoregressive Processes |
0 |
0 |
0 |
111 |
1 |
2 |
5 |
525 |

Local power of likelihood ratio tests for the cointegrating rank of a VAR process |
0 |
0 |
1 |
2 |
1 |
3 |
7 |
118 |

Maximum Likelihood Estimation of a Noninvertible ARMA Model with Autoregressive Conditional Heteroskedasticity |
0 |
2 |
7 |
57 |
2 |
9 |
31 |
203 |

Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process |
17 |
50 |
143 |
395 |
54 |
191 |
603 |
2,010 |

Modeling Conditional Skewness in Stock Returns |
0 |
0 |
0 |
374 |
0 |
1 |
2 |
1,091 |

Modeling Expectations with Noncausal Autoregressions |
0 |
2 |
4 |
112 |
0 |
2 |
8 |
312 |

Modeling Expectations with Noncausal Autoregressions |
0 |
1 |
2 |
44 |
0 |
1 |
4 |
96 |

Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes |
0 |
0 |
0 |
0 |
1 |
2 |
10 |
614 |

Modeling the US short-term interest rate by mixture autoregressive processes |
1 |
1 |
5 |
30 |
2 |
3 |
8 |
136 |

Noncausal Vector Autoregression |
1 |
4 |
8 |
81 |
1 |
6 |
15 |
142 |

Noncausal autoregressions for economic time series |
1 |
3 |
18 |
50 |
4 |
10 |
41 |
145 |

Noncausal vector autoregression |
0 |
0 |
2 |
82 |
0 |
1 |
13 |
185 |

Nonlinear GARCH models for highly persistent volatility |
0 |
0 |
1 |
77 |
0 |
0 |
6 |
348 |

On the Estimation of Euler Equations in the Presence of a Potential Regime Shift |
0 |
0 |
0 |
13 |
0 |
1 |
3 |
50 |

Optimal Forecasting of Noncausal Autoregressive Time Series |
0 |
0 |
4 |
76 |
0 |
1 |
11 |
130 |

Order selection in testing for the cointegrating rank of a VAR process |
0 |
1 |
7 |
14 |
2 |
4 |
11 |
268 |

Parameter Estimation in Nonlinear AR-GARCH Models |
0 |
0 |
0 |
179 |
0 |
0 |
3 |
403 |

Parameter estimation in nonlinear AR-GARCH models |
0 |
0 |
1 |
44 |
0 |
2 |
15 |
147 |

Parameter estimation in nonlinear AR-GARCH models |
0 |
0 |
3 |
233 |
0 |
0 |
14 |
605 |

Parameter estimation in nonlinear AR–GARCH models |
0 |
0 |
6 |
121 |
2 |
12 |
50 |
444 |

Reducing size distortions of parametric stationarity tests |
0 |
0 |
1 |
6 |
0 |
4 |
5 |
63 |

Residual Autocorrelation Testing for Vector Error Correction Models |
0 |
3 |
9 |
555 |
0 |
6 |
38 |
1,748 |

Stability of nonlinear AR-GARCH models |
0 |
1 |
1 |
170 |
0 |
1 |
4 |
380 |

Stability of nonlinear AR-GARCH models |
0 |
0 |
1 |
193 |
0 |
2 |
9 |
507 |

Stability of nonlinear AR-GARCH models |
0 |
0 |
3 |
7 |
0 |
4 |
11 |
42 |

Stability results for nonlinear vector autoregressions with an application to a nonlinear error correction model |
0 |
0 |
1 |
50 |
0 |
0 |
4 |
440 |

Supplementary appendix to "noncausal vector autoregression" |
1 |
4 |
5 |
22 |
1 |
4 |
7 |
37 |

Test procedures for unit roots in time series with level shifts at unknown time |
2 |
5 |
12 |
97 |
3 |
6 |
20 |
465 |

Testing for Predictability in a Noninvertible ARMA Model |
0 |
0 |
6 |
41 |
0 |
3 |
24 |
124 |

Testing for a Unit Root in a Time Series with a Level Shift at Unknown Time |
0 |
2 |
4 |
406 |
0 |
3 |
10 |
756 |

Testing for a unit root in a time series with a level shift at unknown time |
0 |
0 |
0 |
71 |
0 |
2 |
3 |
309 |

Testing for a unit root in noncausal autoregressive models |
0 |
3 |
8 |
45 |
2 |
8 |
28 |
56 |

Testing for predictability in a noninvertible ARMA model |
0 |
1 |
6 |
71 |
0 |
2 |
18 |
108 |

Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break |
0 |
2 |
5 |
132 |
1 |
11 |
30 |
367 |

Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break |
0 |
1 |
8 |
127 |
0 |
2 |
11 |
258 |

Testing for the Cointegrating Rank of a VAR Process with a Time Trend |
0 |
0 |
0 |
0 |
1 |
3 |
8 |
216 |

Testing for the Cointegrating Rank of a Vector Autoregressive Process with Uncertain Deterministic Trend Term |
0 |
2 |
8 |
128 |
0 |
4 |
16 |
270 |

Testing for the cointegrating rank of a VAR process with an intercept |
0 |
1 |
6 |
15 |
0 |
3 |
17 |
197 |

Testing for the cointegrating rank of a VAR process with level shift at unknown time |
0 |
1 |
5 |
101 |
0 |
3 |
11 |
453 |

Testing for the cointegrating rank of a VAR process with structural shifts |
0 |
1 |
4 |
17 |
1 |
3 |
8 |
247 |

Testing for unit roots in time series with level shifts |
0 |
0 |
1 |
3 |
0 |
2 |
5 |
348 |

Threshold Autoregression for Strongly Autocorrelated Time Series |
0 |
0 |
0 |
0 |
1 |
2 |
9 |
516 |

Trend adjustment prior to testing for the cointegrating rank of a VAR process |
1 |
1 |
2 |
7 |
1 |
4 |
8 |
182 |

Unit root tests for time series with a structural break: When the break point is known |
1 |
3 |
6 |
266 |
1 |
5 |
12 |
958 |

Unit root tests in the presence of innovational outliers |
1 |
2 |
3 |
48 |
1 |
2 |
4 |
246 |

Total Working Papers |
31 |
130 |
420 |
7,182 |
101 |
423 |
1,438 |
24,537 |