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

A Multivariate Generalized Orthogonal Factor GARCH Model |
0 |
0 |
1 |
39 |
0 |
2 |
8 |
119 |

A Skewed GARCH-in-Mean Model: An Application to U.S. Stock Returns |
0 |
0 |
0 |
951 |
0 |
1 |
28 |
2,243 |

A note on the geometric ergodicity of a nonlinear AR–ARCH model |
1 |
2 |
4 |
105 |
2 |
5 |
19 |
332 |

A review of systemscointegration tests |
1 |
2 |
3 |
24 |
2 |
8 |
23 |
629 |

Asymptotic Inference on Nonlinear Functions of the Coefficients of Infinite Order Cointegated VAR Processes |
0 |
0 |
0 |
25 |
0 |
2 |
3 |
180 |

Break Date Estimation and Cointegration Testing in VAR Processes with Level Shift |
1 |
3 |
5 |
328 |
1 |
6 |
11 |
730 |

Cointegrated vector autoregressive processes with continuous structural changes |
0 |
0 |
0 |
21 |
0 |
0 |
7 |
59 |

Cointegrating smooth transition regressions with applications to the Asian currency crisis |
0 |
2 |
6 |
46 |
1 |
5 |
20 |
234 |

Comparison of Tests for the Cointegrating Rank of a VAR Process with a Structural Shift |
0 |
0 |
3 |
203 |
0 |
6 |
13 |
532 |

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

Comparison of tests for the cointegrating rank of a VAR process with a structural shift |
0 |
2 |
2 |
48 |
0 |
5 |
14 |
245 |

Comparison of unit root tests for time series with level shifts |
0 |
0 |
4 |
113 |
0 |
3 |
16 |
645 |

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 |

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 |
7 |
383 |

Forecasting with a noncausal VAR model |
1 |
2 |
2 |
99 |
1 |
5 |
14 |
126 |

GMM Estimation with Noncausal Instruments |
0 |
1 |
1 |
44 |
1 |
3 |
7 |
77 |

Identification and estimation of non-Gaussian structural vector autoregressions |
2 |
4 |
27 |
93 |
5 |
10 |
68 |
145 |

Impulse Response Analysis in Infinite Order Cointegrated Vector Autoregressive Processes |
0 |
0 |
0 |
111 |
1 |
3 |
11 |
545 |

Local power of likelihood ratio tests for the cointegrating rank of a VAR process |
0 |
0 |
0 |
3 |
0 |
3 |
5 |
132 |

Maximum Likelihood Estimation of a Noninvertible ARMA Model with Autoregressive Conditional Heteroskedasticity |
0 |
0 |
1 |
60 |
1 |
2 |
7 |
238 |

Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process |
10 |
25 |
108 |
620 |
38 |
102 |
469 |
2,961 |

Modeling Conditional Skewness in Stock Returns |
1 |
1 |
3 |
378 |
1 |
3 |
13 |
1,109 |

Modeling Expectations with Noncausal Autoregressions |
1 |
1 |
3 |
48 |
2 |
3 |
10 |
111 |

Modeling Expectations with Noncausal Autoregressions |
0 |
1 |
5 |
119 |
0 |
2 |
13 |
332 |

Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes |
0 |
0 |
0 |
0 |
0 |
2 |
7 |
626 |

Modeling the US short-term interest rate by mixture autoregressive processes |
0 |
0 |
1 |
32 |
2 |
5 |
13 |
151 |

Noncausal Vector Autoregression |
1 |
2 |
5 |
88 |
3 |
7 |
16 |
169 |

Noncausal autoregressions for economic time series |
1 |
1 |
8 |
65 |
2 |
7 |
26 |
193 |

Noncausal vector autoregression |
0 |
1 |
1 |
84 |
1 |
3 |
10 |
211 |

Nonlinear GARCH models for highly persistent volatility |
1 |
1 |
4 |
82 |
2 |
5 |
13 |
371 |

On the estimation of Euler equations in the presence of a potential regime shift |
0 |
1 |
2 |
16 |
0 |
2 |
9 |
64 |

Optimal Forecasting of Noncausal Autoregressive Time Series |
0 |
0 |
4 |
83 |
1 |
4 |
14 |
155 |

Order selection in testing for the cointegrating rank of a VAR process |
0 |
0 |
6 |
26 |
0 |
3 |
10 |
288 |

Parameter Estimation in Nonlinear AR-GARCH Models |
0 |
0 |
0 |
179 |
0 |
1 |
5 |
418 |

Parameter estimation in nonlinear AR-GARCH models |
1 |
1 |
1 |
47 |
1 |
2 |
6 |
159 |

Parameter estimation in nonlinear AR-GARCH models |
0 |
2 |
2 |
236 |
0 |
4 |
12 |
633 |

Parameter estimation in nonlinear AR–GARCH models |
1 |
1 |
4 |
135 |
1 |
3 |
21 |
502 |

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

Residual Autocorrelation Testing for Vector Error Correction Models |
1 |
2 |
2 |
559 |
3 |
6 |
11 |
1,772 |

Stability of nonlinear AR-GARCH models |
0 |
0 |
1 |
173 |
0 |
1 |
6 |
397 |

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

Stability of nonlinear AR-GARCH models |
0 |
0 |
0 |
11 |
0 |
2 |
5 |
56 |

Stability results for nonlinear vector autoregressions with an application to a nonlinear error correction model |
0 |
0 |
1 |
51 |
1 |
1 |
5 |
449 |

Supplementary appendix to "noncausal vector autoregression" |
0 |
0 |
2 |
25 |
1 |
1 |
6 |
48 |

Test procedures for unit roots in time series with level shifts at unknown time |
0 |
1 |
8 |
108 |
1 |
7 |
20 |
501 |

Testing for Predictability in a Noninvertible ARMA Model |
0 |
0 |
1 |
42 |
0 |
3 |
16 |
152 |

Testing for a Unit Root in a Time Series with a Level Shift at Unknown Time |
0 |
0 |
2 |
408 |
1 |
4 |
9 |
771 |

Testing for a unit root in a time series with a level shift at unknown time |
0 |
0 |
2 |
73 |
1 |
3 |
7 |
322 |

Testing for a unit root in noncausal autoregressive models |
1 |
3 |
8 |
53 |
2 |
5 |
16 |
89 |

Testing for predictability in a noninvertible ARMA model |
0 |
0 |
0 |
71 |
1 |
4 |
10 |
125 |

Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break |
0 |
1 |
1 |
133 |
0 |
5 |
6 |
394 |

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

Testing for the Cointegrating Rank of a VAR Process with a Time Trend |
0 |
0 |
0 |
0 |
0 |
4 |
6 |
232 |

Testing for the Cointegrating Rank of a Vector Autoregressive Process with Uncertain Deterministic Trend Term |
0 |
0 |
0 |
132 |
1 |
4 |
8 |
287 |

Testing for the cointegrating rank of a VAR process with an intercept |
1 |
2 |
2 |
21 |
1 |
4 |
7 |
221 |

Testing for the cointegrating rank of a VAR process with level shift at unknown time |
0 |
4 |
7 |
108 |
2 |
9 |
22 |
481 |

Testing for the cointegrating rank of a VAR process with structural shifts |
1 |
1 |
5 |
26 |
1 |
5 |
18 |
274 |

Testing for unit roots in time series with level shifts |
0 |
0 |
2 |
6 |
1 |
2 |
7 |
359 |

Threshold Autoregression for Strongly Autocorrelated Time Series |
0 |
0 |
0 |
0 |
1 |
3 |
11 |
534 |

Trend adjustment prior to testing for the cointegrating rank of a VAR process |
0 |
0 |
2 |
10 |
1 |
2 |
8 |
198 |

Unit root tests for time series with a structural break: When the break point is known |
0 |
1 |
5 |
273 |
1 |
4 |
12 |
980 |

Unit root tests in the presence of innovational outliers |
0 |
1 |
1 |
50 |
1 |
5 |
15 |
267 |

Total Working Papers |
27 |
73 |
273 |
7,694 |
90 |
324 |
1,208 |
26,892 |