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

A Multivariate Generalized Orthogonal Factor GARCH Model |
0 |
2 |
5 |
39 |
0 |
4 |
16 |
113 |

A Skewed GARCH-in-Mean Model: An Application to U.S. Stock Returns |
0 |
0 |
1 |
951 |
2 |
10 |
34 |
2,219 |

A note on the geometric ergodicity of a nonlinear AR–ARCH model |
0 |
2 |
4 |
102 |
1 |
7 |
22 |
317 |

A review of systemscointegration tests |
0 |
1 |
3 |
21 |
2 |
6 |
15 |
611 |

Asymptotic Inference on Nonlinear Functions of the Coefficients of Infinite Order Cointegated VAR Processes |
0 |
0 |
0 |
25 |
0 |
1 |
5 |
177 |

Break Date Estimation and Cointegration Testing in VAR Processes with Level Shift |
0 |
1 |
4 |
324 |
0 |
2 |
8 |
721 |

Cointegrated Vector Autoregressive Processes with Continuous Structural Changes |
0 |
0 |
0 |
21 |
2 |
4 |
7 |
55 |

Cointegrating smooth transition regressions with applications to the Asian currency crisis |
0 |
1 |
2 |
41 |
1 |
7 |
15 |
217 |

Comparison of Tests for the Cointegrating Rank of a VAR Process with a Structural Shift |
0 |
1 |
3 |
201 |
0 |
4 |
10 |
522 |

Comparison of tests for the cointegrating rank of a VAR process with a structural shift |
0 |
0 |
1 |
46 |
1 |
4 |
12 |
233 |

Comparison of unit root tests for time series with level shifts |
1 |
2 |
4 |
110 |
4 |
10 |
20 |
635 |

Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models |
0 |
0 |
1 |
324 |
0 |
4 |
13 |
1,063 |

Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models |
0 |
1 |
5 |
154 |
0 |
4 |
18 |
378 |

Forecasting with a noncausal VAR model |
0 |
0 |
3 |
97 |
0 |
2 |
17 |
112 |

GMM Estimation with Noncausal Instruments |
0 |
0 |
2 |
43 |
0 |
3 |
7 |
70 |

Identification and estimation of non-Gaussian structural vector autoregressions |
6 |
13 |
33 |
76 |
7 |
17 |
60 |
90 |

Impulse Response Analysis in Infinite Order Cointegrated Vector Autoregressive Processes |
0 |
0 |
0 |
111 |
1 |
3 |
13 |
537 |

Local power of likelihood ratio tests for the cointegrating rank of a VAR process |
0 |
0 |
1 |
3 |
1 |
3 |
11 |
128 |

Maximum Likelihood Estimation of a Noninvertible ARMA Model with Autoregressive Conditional Heteroskedasticity |
0 |
0 |
2 |
59 |
0 |
2 |
31 |
232 |

Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process |
16 |
55 |
167 |
545 |
61 |
228 |
690 |
2,646 |

Modeling Conditional Skewness in Stock Returns |
0 |
0 |
1 |
375 |
2 |
4 |
9 |
1,100 |

Modeling Expectations with Noncausal Autoregressions |
1 |
1 |
3 |
115 |
2 |
4 |
9 |
321 |

Modeling Expectations with Noncausal Autoregressions |
0 |
0 |
1 |
45 |
2 |
3 |
8 |
104 |

Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes |
0 |
0 |
0 |
0 |
2 |
2 |
8 |
621 |

Modeling the US short-term interest rate by mixture autoregressive processes |
0 |
0 |
2 |
31 |
0 |
0 |
4 |
138 |

Noncausal Vector Autoregression |
0 |
0 |
3 |
83 |
1 |
3 |
14 |
155 |

Noncausal autoregressions for economic time series |
1 |
2 |
10 |
59 |
3 |
8 |
30 |
171 |

Noncausal vector autoregression |
0 |
0 |
1 |
83 |
0 |
1 |
17 |
202 |

Nonlinear GARCH models for highly persistent volatility |
2 |
3 |
4 |
81 |
3 |
5 |
14 |
362 |

On the Estimation of Euler Equations in the Presence of a Potential Regime Shift |
0 |
1 |
2 |
15 |
1 |
2 |
7 |
57 |

Optimal Forecasting of Noncausal Autoregressive Time Series |
0 |
1 |
4 |
80 |
1 |
5 |
14 |
144 |

Order selection in testing for the cointegrating rank of a VAR process |
1 |
2 |
7 |
21 |
2 |
4 |
14 |
280 |

Parameter Estimation in Nonlinear AR-GARCH Models |
0 |
0 |
0 |
179 |
1 |
3 |
12 |
415 |

Parameter estimation in nonlinear AR-GARCH models |
0 |
0 |
1 |
234 |
0 |
4 |
19 |
624 |

Parameter estimation in nonlinear AR-GARCH models |
0 |
0 |
2 |
46 |
1 |
2 |
8 |
155 |

Parameter estimation in nonlinear AR–GARCH models |
0 |
2 |
10 |
131 |
1 |
10 |
44 |
486 |

Reducing size distortions of parametric stationarity tests |
0 |
0 |
0 |
6 |
1 |
2 |
5 |
68 |

Residual Autocorrelation Testing for Vector Error Correction Models |
0 |
0 |
2 |
557 |
0 |
2 |
13 |
1,761 |

Stability of nonlinear AR-GARCH models |
0 |
0 |
4 |
11 |
0 |
2 |
9 |
51 |

Stability of nonlinear AR-GARCH models |
0 |
0 |
0 |
193 |
0 |
1 |
9 |
516 |

Stability of nonlinear AR-GARCH models |
0 |
0 |
2 |
172 |
0 |
2 |
12 |
392 |

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

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

Test procedures for unit roots in time series with level shifts at unknown time |
0 |
3 |
8 |
103 |
3 |
9 |
26 |
488 |

Testing for Predictability in a Noninvertible ARMA Model |
0 |
0 |
0 |
41 |
1 |
4 |
15 |
139 |

Testing for a Unit Root in a Time Series with a Level Shift at Unknown Time |
0 |
1 |
1 |
407 |
1 |
5 |
10 |
766 |

Testing for a unit root in a time series with a level shift at unknown time |
0 |
0 |
0 |
71 |
0 |
3 |
6 |
315 |

Testing for a unit root in noncausal autoregressive models |
0 |
0 |
0 |
45 |
0 |
1 |
19 |
73 |

Testing for predictability in a noninvertible ARMA model |
0 |
0 |
0 |
71 |
1 |
4 |
9 |
117 |

Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break |
0 |
0 |
2 |
129 |
2 |
2 |
11 |
269 |

Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break |
0 |
0 |
0 |
132 |
0 |
3 |
22 |
388 |

Testing for the Cointegrating Rank of a VAR Process with a Time Trend |
0 |
0 |
0 |
0 |
0 |
1 |
11 |
226 |

Testing for the Cointegrating Rank of a Vector Autoregressive Process with Uncertain Deterministic Trend Term |
0 |
1 |
4 |
132 |
2 |
6 |
13 |
283 |

Testing for the cointegrating rank of a VAR process with an intercept |
0 |
0 |
4 |
19 |
0 |
3 |
18 |
215 |

Testing for the cointegrating rank of a VAR process with level shift at unknown time |
0 |
1 |
1 |
102 |
3 |
6 |
10 |
463 |

Testing for the cointegrating rank of a VAR process with structural shifts |
0 |
3 |
6 |
23 |
2 |
7 |
15 |
261 |

Testing for unit roots in time series with level shifts |
0 |
2 |
2 |
5 |
0 |
2 |
5 |
353 |

Threshold Autoregression for Strongly Autocorrelated Time Series |
0 |
0 |
0 |
0 |
0 |
1 |
8 |
523 |

Trend adjustment prior to testing for the cointegrating rank of a VAR process |
0 |
0 |
2 |
8 |
1 |
2 |
10 |
191 |

Unit root tests for time series with a structural break: When the break point is known |
1 |
1 |
4 |
269 |
1 |
3 |
12 |
969 |

Unit root tests in the presence of innovational outliers |
0 |
0 |
2 |
49 |
1 |
4 |
10 |
255 |

Total Working Papers |
29 |
103 |
338 |
7,489 |
124 |
461 |
1,543 |
25,979 |