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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 |
3 |
5 |
38 |
2 |
8 |
16 |
111 |

A Skewed GARCH-in-Mean Model: An Application to U.S. Stock Returns |
0 |
0 |
3 |
951 |
6 |
12 |
39 |
2,215 |

A note on the geometric ergodicity of a nonlinear AR–ARCH model |
1 |
1 |
3 |
101 |
3 |
7 |
23 |
313 |

A review of systemscointegration tests |
1 |
2 |
5 |
21 |
1 |
4 |
13 |
606 |

Asymptotic Inference on Nonlinear Functions of the Coefficients of Infinite Order Cointegated VAR Processes |
0 |
0 |
0 |
25 |
1 |
2 |
6 |
177 |

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 |
3 |
6 |
52 |

Cointegrating smooth transition regressions with applications to the Asian currency crisis |
0 |
1 |
1 |
40 |
4 |
7 |
16 |
214 |

Comparison of Tests for the Cointegrating Rank of a VAR Process with a Structural Shift |
0 |
0 |
3 |
200 |
1 |
3 |
9 |
519 |

Comparison of tests for the cointegrating rank of a VAR process with a structural shift |
0 |
0 |
1 |
46 |
2 |
3 |
10 |
231 |

Comparison of unit root tests for time series with level shifts |
1 |
3 |
4 |
109 |
4 |
8 |
17 |
629 |

Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models |
0 |
1 |
4 |
153 |
2 |
6 |
16 |
376 |

Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models |
0 |
0 |
1 |
324 |
0 |
1 |
11 |
1,059 |

Forecasting with a noncausal VAR model |
0 |
1 |
4 |
97 |
2 |
9 |
21 |
112 |

GMM Estimation with Noncausal Instruments |
0 |
0 |
4 |
43 |
3 |
5 |
10 |
70 |

Identification and estimation of non-Gaussian structural vector autoregressions |
3 |
9 |
35 |
66 |
4 |
19 |
66 |
77 |

Impulse Response Analysis in Infinite Order Cointegrated Vector Autoregressive Processes |
0 |
0 |
0 |
111 |
0 |
4 |
11 |
534 |

Local power of likelihood ratio tests for the cointegrating rank of a VAR process |
0 |
0 |
1 |
3 |
2 |
4 |
12 |
127 |

Maximum Likelihood Estimation of a Noninvertible ARMA Model with Autoregressive Conditional Heteroskedasticity |
0 |
1 |
4 |
59 |
1 |
6 |
37 |
231 |

Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process |
22 |
51 |
167 |
512 |
74 |
192 |
673 |
2,492 |

Modeling Conditional Skewness in Stock Returns |
0 |
0 |
1 |
375 |
0 |
2 |
6 |
1,096 |

Modeling Expectations with Noncausal Autoregressions |
0 |
0 |
4 |
114 |
2 |
4 |
9 |
319 |

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

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

Modeling the US short-term interest rate by mixture autoregressive processes |
0 |
1 |
2 |
31 |
0 |
1 |
5 |
138 |

Noncausal Vector Autoregression |
0 |
0 |
6 |
83 |
1 |
5 |
17 |
153 |

Noncausal autoregressions for economic time series |
0 |
3 |
10 |
57 |
4 |
11 |
32 |
167 |

Noncausal vector autoregression |
0 |
1 |
1 |
83 |
0 |
2 |
17 |
201 |

Nonlinear GARCH models for highly persistent volatility |
0 |
0 |
1 |
78 |
1 |
5 |
10 |
358 |

On the Estimation of Euler Equations in the Presence of a Potential Regime Shift |
0 |
1 |
1 |
14 |
0 |
2 |
6 |
55 |

Optimal Forecasting of Noncausal Autoregressive Time Series |
0 |
0 |
3 |
79 |
2 |
4 |
12 |
141 |

Order selection in testing for the cointegrating rank of a VAR process |
1 |
5 |
7 |
20 |
2 |
9 |
14 |
278 |

Parameter Estimation in Nonlinear AR-GARCH Models |
0 |
0 |
0 |
179 |
1 |
6 |
10 |
413 |

Parameter estimation in nonlinear AR-GARCH models |
0 |
1 |
1 |
234 |
1 |
6 |
16 |
621 |

Parameter estimation in nonlinear AR-GARCH models |
0 |
1 |
2 |
46 |
0 |
4 |
8 |
153 |

Parameter estimation in nonlinear AR–GARCH models |
2 |
3 |
10 |
131 |
5 |
15 |
49 |
481 |

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 |
2 |
5 |
19 |
1,761 |

Stability of nonlinear AR-GARCH models |
0 |
0 |
0 |
193 |
0 |
1 |
10 |
515 |

Stability of nonlinear AR-GARCH models |
0 |
2 |
4 |
11 |
2 |
6 |
13 |
51 |

Stability of nonlinear AR-GARCH models |
0 |
1 |
3 |
172 |
1 |
4 |
12 |
391 |

Stability results for nonlinear vector autoregressions with an application to a nonlinear error correction model |
0 |
0 |
0 |
50 |
1 |
3 |
4 |
444 |

Supplementary appendix to "noncausal vector autoregression" |
0 |
1 |
5 |
23 |
0 |
5 |
9 |
42 |

Test procedures for unit roots in time series with level shifts at unknown time |
0 |
0 |
8 |
100 |
2 |
4 |
22 |
481 |

Testing for Predictability in a Noninvertible ARMA Model |
0 |
0 |
0 |
41 |
1 |
5 |
15 |
136 |

Testing for a Unit Root in a Time Series with a Level Shift at Unknown Time |
0 |
0 |
2 |
406 |
1 |
2 |
9 |
762 |

Testing for a unit root in a time series with a level shift at unknown time |
0 |
0 |
0 |
71 |
3 |
4 |
8 |
315 |

Testing for a unit root in noncausal autoregressive models |
0 |
0 |
3 |
45 |
1 |
12 |
25 |
73 |

Testing for predictability in a noninvertible ARMA model |
0 |
0 |
1 |
71 |
2 |
5 |
9 |
115 |

Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break |
0 |
0 |
2 |
132 |
3 |
11 |
32 |
388 |

Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break |
0 |
1 |
3 |
129 |
0 |
4 |
11 |
267 |

Testing for the Cointegrating Rank of a VAR Process with a Time Trend |
0 |
0 |
0 |
0 |
1 |
4 |
13 |
226 |

Testing for the Cointegrating Rank of a Vector Autoregressive Process with Uncertain Deterministic Trend Term |
1 |
3 |
6 |
132 |
2 |
4 |
13 |
279 |

Testing for the cointegrating rank of a VAR process with an intercept |
0 |
1 |
5 |
19 |
2 |
5 |
20 |
214 |

Testing for the cointegrating rank of a VAR process with level shift at unknown time |
0 |
0 |
1 |
101 |
2 |
4 |
9 |
459 |

Testing for the cointegrating rank of a VAR process with structural shifts |
1 |
1 |
5 |
21 |
2 |
4 |
12 |
256 |

Testing for unit roots in time series with level shifts |
1 |
1 |
1 |
4 |
1 |
2 |
6 |
352 |

Threshold Autoregression for Strongly Autocorrelated Time Series |
0 |
0 |
0 |
0 |
1 |
2 |
9 |
523 |

Trend adjustment prior to testing for the cointegrating rank of a VAR process |
0 |
0 |
2 |
8 |
1 |
3 |
12 |
190 |

Unit root tests for time series with a structural break: When the break point is known |
0 |
0 |
5 |
268 |
2 |
5 |
15 |
968 |

Unit root tests in the presence of innovational outliers |
0 |
0 |
3 |
49 |
1 |
3 |
8 |
252 |

Total Working Papers |
35 |
100 |
369 |
7,421 |
166 |
495 |
1,570 |
25,684 |