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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 |
3 |
4 |
37 |
2 |
8 |
17 |
109 |

A Skewed GARCH-in-Mean Model: An Application to U.S. Stock Returns |
0 |
0 |
3 |
951 |
1 |
9 |
35 |
2,209 |

A note on the geometric ergodicity of a nonlinear AR–ARCH model |
0 |
0 |
2 |
100 |
2 |
6 |
22 |
310 |

A review of systemscointegration tests |
1 |
1 |
4 |
20 |
2 |
3 |
12 |
605 |

Asymptotic Inference on Nonlinear Functions of the Coefficients of Infinite Order Cointegated VAR Processes |
0 |
0 |
0 |
25 |
1 |
2 |
5 |
176 |

Break Date Estimation and Cointegration Testing in VAR Processes with Level Shift |
0 |
0 |
8 |
323 |
0 |
1 |
12 |
719 |

Cointegrated Vector Autoregressive Processes with Continuous Structural Changes |
0 |
0 |
1 |
21 |
1 |
2 |
5 |
51 |

Cointegrating smooth transition regressions with applications to the Asian currency crisis |
1 |
1 |
1 |
40 |
2 |
3 |
14 |
210 |

Comparison of Tests for the Cointegrating Rank of a VAR Process with a Structural Shift |
0 |
0 |
3 |
200 |
1 |
2 |
9 |
518 |

Comparison of tests for the cointegrating rank of a VAR process with a structural shift |
0 |
0 |
2 |
46 |
0 |
1 |
9 |
229 |

Comparison of unit root tests for time series with level shifts |
1 |
2 |
3 |
108 |
1 |
4 |
13 |
625 |

Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models |
1 |
2 |
6 |
153 |
2 |
5 |
16 |
374 |

Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models |
0 |
0 |
1 |
324 |
0 |
2 |
13 |
1,059 |

Forecasting with a noncausal VAR model |
0 |
1 |
5 |
97 |
3 |
8 |
22 |
110 |

GMM Estimation with Noncausal Instruments |
0 |
0 |
4 |
43 |
1 |
2 |
7 |
67 |

Identification and estimation of non-Gaussian structural vector autoregressions |
0 |
7 |
63 |
63 |
3 |
18 |
73 |
73 |

Impulse Response Analysis in Infinite Order Cointegrated Vector Autoregressive Processes |
0 |
0 |
0 |
111 |
0 |
4 |
13 |
534 |

Local power of likelihood ratio tests for the cointegrating rank of a VAR process |
0 |
0 |
1 |
3 |
0 |
2 |
11 |
125 |

Maximum Likelihood Estimation of a Noninvertible ARMA Model with Autoregressive Conditional Heteroskedasticity |
1 |
1 |
4 |
59 |
3 |
6 |
36 |
230 |

Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process |
21 |
44 |
169 |
490 |
73 |
172 |
682 |
2,418 |

Modeling Conditional Skewness in Stock Returns |
0 |
0 |
1 |
375 |
1 |
4 |
7 |
1,096 |

Modeling Expectations with Noncausal Autoregressions |
0 |
0 |
2 |
45 |
2 |
3 |
6 |
101 |

Modeling Expectations with Noncausal Autoregressions |
0 |
0 |
4 |
114 |
1 |
3 |
7 |
317 |

Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes |
0 |
0 |
0 |
0 |
2 |
3 |
7 |
619 |

Modeling the US short-term interest rate by mixture autoregressive processes |
1 |
1 |
2 |
31 |
1 |
1 |
5 |
138 |

Noncausal Vector Autoregression |
0 |
0 |
7 |
83 |
2 |
4 |
19 |
152 |

Noncausal autoregressions for economic time series |
1 |
3 |
11 |
57 |
4 |
8 |
31 |
163 |

Noncausal vector autoregression |
0 |
1 |
1 |
83 |
0 |
3 |
19 |
201 |

Nonlinear GARCH models for highly persistent volatility |
0 |
0 |
1 |
78 |
2 |
4 |
9 |
357 |

On the Estimation of Euler Equations in the Presence of a Potential Regime Shift |
1 |
1 |
1 |
14 |
1 |
2 |
6 |
55 |

Optimal Forecasting of Noncausal Autoregressive Time Series |
0 |
0 |
4 |
79 |
1 |
2 |
13 |
139 |

Order selection in testing for the cointegrating rank of a VAR process |
0 |
4 |
6 |
19 |
2 |
7 |
13 |
276 |

Parameter Estimation in Nonlinear AR-GARCH Models |
0 |
0 |
0 |
179 |
1 |
5 |
9 |
412 |

Parameter estimation in nonlinear AR-GARCH models |
1 |
1 |
1 |
234 |
1 |
5 |
15 |
620 |

Parameter estimation in nonlinear AR-GARCH models |
1 |
1 |
2 |
46 |
1 |
5 |
8 |
153 |

Parameter estimation in nonlinear AR–GARCH models |
1 |
1 |
9 |
129 |
5 |
10 |
50 |
476 |

Reducing size distortions of parametric stationarity tests |
0 |
0 |
0 |
6 |
0 |
2 |
7 |
66 |

Residual Autocorrelation Testing for Vector Error Correction Models |
0 |
0 |
5 |
557 |
1 |
3 |
19 |
1,759 |

Stability of nonlinear AR-GARCH models |
0 |
0 |
1 |
193 |
0 |
2 |
13 |
515 |

Stability of nonlinear AR-GARCH models |
1 |
2 |
5 |
11 |
1 |
4 |
13 |
49 |

Stability of nonlinear AR-GARCH models |
0 |
1 |
3 |
172 |
1 |
3 |
11 |
390 |

Stability results for nonlinear vector autoregressions with an application to a nonlinear error correction model |
0 |
0 |
0 |
50 |
1 |
2 |
3 |
443 |

Supplementary appendix to "noncausal vector autoregression" |
0 |
1 |
6 |
23 |
2 |
5 |
10 |
42 |

Test procedures for unit roots in time series with level shifts at unknown time |
0 |
0 |
12 |
100 |
1 |
3 |
25 |
479 |

Testing for Predictability in a Noninvertible ARMA Model |
0 |
0 |
2 |
41 |
2 |
4 |
17 |
135 |

Testing for a Unit Root in a Time Series with a Level Shift at Unknown Time |
0 |
0 |
3 |
406 |
0 |
1 |
9 |
761 |

Testing for a unit root in a time series with a level shift at unknown time |
0 |
0 |
0 |
71 |
0 |
1 |
5 |
312 |

Testing for a unit root in noncausal autoregressive models |
0 |
0 |
3 |
45 |
1 |
13 |
24 |
72 |

Testing for predictability in a noninvertible ARMA model |
0 |
0 |
3 |
71 |
2 |
3 |
10 |
113 |

Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break |
0 |
1 |
4 |
129 |
2 |
4 |
13 |
267 |

Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break |
0 |
0 |
2 |
132 |
1 |
13 |
31 |
385 |

Testing for the Cointegrating Rank of a VAR Process with a Time Trend |
0 |
0 |
0 |
0 |
0 |
3 |
13 |
225 |

Testing for the Cointegrating Rank of a Vector Autoregressive Process with Uncertain Deterministic Trend Term |
1 |
2 |
6 |
131 |
1 |
2 |
12 |
277 |

Testing for the cointegrating rank of a VAR process with an intercept |
0 |
2 |
5 |
19 |
1 |
5 |
19 |
212 |

Testing for the cointegrating rank of a VAR process with level shift at unknown time |
0 |
0 |
3 |
101 |
0 |
2 |
11 |
457 |

Testing for the cointegrating rank of a VAR process with structural shifts |
0 |
0 |
5 |
20 |
1 |
2 |
11 |
254 |

Testing for unit roots in time series with level shifts |
0 |
0 |
1 |
3 |
0 |
1 |
6 |
351 |

Threshold Autoregression for Strongly Autocorrelated Time Series |
0 |
0 |
0 |
0 |
1 |
3 |
8 |
522 |

Trend adjustment prior to testing for the cointegrating rank of a VAR process |
0 |
1 |
2 |
8 |
1 |
3 |
12 |
189 |

Unit root tests for time series with a structural break: When the break point is known |
0 |
1 |
6 |
268 |
2 |
4 |
14 |
966 |

Unit root tests in the presence of innovational outliers |
0 |
0 |
3 |
49 |
1 |
2 |
7 |
251 |

Total Working Papers |
34 |
86 |
416 |
7,386 |
148 |
419 |
1,573 |
25,518 |