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

A Multivariate Generalized Orthogonal Factor GARCH Model |
0 |
0 |
2 |
39 |
0 |
3 |
10 |
119 |

A Skewed GARCH-in-Mean Model: An Application to U.S. Stock Returns |
0 |
0 |
0 |
951 |
0 |
5 |
34 |
2,243 |

A note on the geometric ergodicity of a nonlinear AR–ARCH model |
0 |
1 |
4 |
104 |
0 |
5 |
20 |
330 |

A review of systemscointegration tests |
1 |
1 |
3 |
23 |
4 |
9 |
22 |
627 |

Asymptotic Inference on Nonlinear Functions of the Coefficients of Infinite Order Cointegated VAR Processes |
0 |
0 |
0 |
25 |
1 |
2 |
4 |
180 |

Break Date Estimation and Cointegration Testing in VAR Processes with Level Shift |
2 |
2 |
4 |
327 |
3 |
5 |
10 |
729 |

Cointegrated vector autoregressive processes with continuous structural changes |
0 |
0 |
0 |
21 |
0 |
0 |
8 |
59 |

Cointegrating smooth transition regressions with applications to the Asian currency crisis |
2 |
2 |
6 |
46 |
3 |
5 |
23 |
233 |

Comparison of Tests for the Cointegrating Rank of a VAR Process with a Structural Shift |
0 |
0 |
3 |
203 |
3 |
6 |
14 |
532 |

Comparison of Unit Root Tests for Time Series with Level Shifts |
0 |
2 |
2 |
2 |
1 |
6 |
6 |
6 |

Comparison of tests for the cointegrating rank of a VAR process with a structural shift |
1 |
2 |
2 |
48 |
2 |
6 |
16 |
245 |

Comparison of unit root tests for time series with level shifts |
0 |
0 |
5 |
113 |
1 |
4 |
20 |
645 |

Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models |
0 |
0 |
2 |
155 |
0 |
2 |
9 |
383 |

Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models |
0 |
1 |
1 |
325 |
0 |
4 |
11 |
1,070 |

Forecasting with a noncausal VAR model |
0 |
1 |
1 |
98 |
1 |
4 |
15 |
125 |

GMM Estimation with Noncausal Instruments |
1 |
1 |
1 |
44 |
1 |
3 |
9 |
76 |

Identification and estimation of non-Gaussian structural vector autoregressions |
2 |
3 |
28 |
91 |
1 |
9 |
67 |
140 |

Impulse Response Analysis in Infinite Order Cointegrated Vector Autoregressive Processes |
0 |
0 |
0 |
111 |
1 |
2 |
10 |
544 |

Local power of likelihood ratio tests for the cointegrating rank of a VAR process |
0 |
0 |
0 |
3 |
1 |
3 |
7 |
132 |

Maximum Likelihood Estimation of a Noninvertible ARMA Model with Autoregressive Conditional Heteroskedasticity |
0 |
0 |
1 |
60 |
0 |
1 |
7 |
237 |

Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process |
9 |
26 |
120 |
610 |
40 |
94 |
505 |
2,923 |

Modeling Conditional Skewness in Stock Returns |
0 |
0 |
2 |
377 |
0 |
2 |
12 |
1,108 |

Modeling Expectations with Noncausal Autoregressions |
1 |
1 |
5 |
119 |
1 |
4 |
15 |
332 |

Modeling Expectations with Noncausal Autoregressions |
0 |
0 |
2 |
47 |
0 |
1 |
8 |
109 |

Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes |
0 |
0 |
0 |
0 |
0 |
3 |
7 |
626 |

Modeling the US short-term interest rate by mixture autoregressive processes |
0 |
0 |
1 |
32 |
1 |
4 |
11 |
149 |

Noncausal Vector Autoregression |
1 |
1 |
4 |
87 |
1 |
4 |
14 |
166 |

Noncausal autoregressions for economic time series |
0 |
0 |
7 |
64 |
1 |
9 |
28 |
191 |

Noncausal vector autoregression |
1 |
1 |
1 |
84 |
1 |
2 |
9 |
210 |

Nonlinear GARCH models for highly persistent volatility |
0 |
0 |
3 |
81 |
0 |
4 |
12 |
369 |

On the estimation of Euler equations in the presence of a potential regime shift |
1 |
1 |
2 |
16 |
1 |
2 |
9 |
64 |

Optimal Forecasting of Noncausal Autoregressive Time Series |
0 |
0 |
4 |
83 |
0 |
4 |
15 |
154 |

Order selection in testing for the cointegrating rank of a VAR process |
0 |
2 |
7 |
26 |
1 |
5 |
12 |
288 |

Parameter Estimation in Nonlinear AR-GARCH Models |
0 |
0 |
0 |
179 |
0 |
1 |
6 |
418 |

Parameter estimation in nonlinear AR-GARCH models |
0 |
0 |
0 |
46 |
0 |
1 |
5 |
158 |

Parameter estimation in nonlinear AR-GARCH models |
1 |
2 |
2 |
236 |
1 |
4 |
13 |
633 |

Parameter estimation in nonlinear AR–GARCH models |
0 |
0 |
5 |
134 |
1 |
5 |
25 |
501 |

Reducing size distortions of parametric stationarity tests |
0 |
0 |
0 |
6 |
0 |
2 |
5 |
71 |

Residual Autocorrelation Testing for Vector Error Correction Models |
1 |
1 |
1 |
558 |
3 |
4 |
10 |
1,769 |

Stability of nonlinear AR-GARCH models |
0 |
0 |
1 |
173 |
0 |
1 |
7 |
397 |

Stability of nonlinear AR-GARCH models |
0 |
0 |
0 |
11 |
1 |
2 |
7 |
56 |

Stability of nonlinear AR-GARCH models |
0 |
0 |
0 |
193 |
0 |
0 |
1 |
516 |

Stability results for nonlinear vector autoregressions with an application to a nonlinear error correction model |
0 |
0 |
1 |
51 |
0 |
0 |
5 |
448 |

Supplementary appendix to "noncausal vector autoregression" |
0 |
1 |
2 |
25 |
0 |
1 |
5 |
47 |

Test procedures for unit roots in time series with level shifts at unknown time |
1 |
1 |
8 |
108 |
2 |
6 |
21 |
500 |

Testing for Predictability in a Noninvertible ARMA Model |
0 |
0 |
1 |
42 |
0 |
3 |
17 |
152 |

Testing for a Unit Root in a Time Series with a Level Shift at Unknown Time |
0 |
0 |
2 |
408 |
1 |
3 |
9 |
770 |

Testing for a unit root in a time series with a level shift at unknown time |
0 |
0 |
2 |
73 |
1 |
2 |
9 |
321 |

Testing for a unit root in noncausal autoregressive models |
1 |
4 |
7 |
52 |
1 |
5 |
15 |
87 |

Testing for predictability in a noninvertible ARMA model |
0 |
0 |
0 |
71 |
0 |
4 |
11 |
124 |

Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break |
0 |
0 |
0 |
129 |
1 |
3 |
6 |
273 |

Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break |
1 |
1 |
1 |
133 |
2 |
5 |
9 |
394 |

Testing for the Cointegrating Rank of a VAR Process with a Time Trend |
0 |
0 |
0 |
0 |
1 |
4 |
7 |
232 |

Testing for the Cointegrating Rank of a Vector Autoregressive Process with Uncertain Deterministic Trend Term |
0 |
0 |
1 |
132 |
1 |
3 |
9 |
286 |

Testing for the cointegrating rank of a VAR process with an intercept |
0 |
1 |
1 |
20 |
1 |
3 |
8 |
220 |

Testing for the cointegrating rank of a VAR process with level shift at unknown time |
2 |
4 |
7 |
108 |
3 |
7 |
22 |
479 |

Testing for the cointegrating rank of a VAR process with structural shifts |
0 |
0 |
5 |
25 |
1 |
4 |
19 |
273 |

Testing for unit roots in time series with level shifts |
0 |
0 |
3 |
6 |
1 |
1 |
7 |
358 |

Threshold Autoregression for Strongly Autocorrelated Time Series |
0 |
0 |
0 |
0 |
0 |
3 |
11 |
533 |

Trend adjustment prior to testing for the cointegrating rank of a VAR process |
0 |
0 |
2 |
10 |
1 |
1 |
8 |
197 |

Unit root tests for time series with a structural break: When the break point is known |
1 |
1 |
5 |
273 |
2 |
4 |
13 |
979 |

Unit root tests in the presence of innovational outliers |
1 |
1 |
1 |
50 |
2 |
4 |
15 |
266 |

Total Working Papers |
31 |
65 |
281 |
7,667 |
97 |
308 |
1,284 |
26,802 |