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

A Multivariate Generalized Orthogonal Factor GARCH Model |
0 |
1 |
5 |
39 |
0 |
2 |
16 |
113 |

A Skewed GARCH-in-Mean Model: An Application to U.S. Stock Returns |
0 |
0 |
1 |
951 |
4 |
8 |
35 |
2,223 |

A note on the geometric ergodicity of a nonlinear AR–ARCH model |
0 |
1 |
3 |
102 |
2 |
6 |
21 |
319 |

A review of systemscointegration tests |
1 |
1 |
4 |
22 |
1 |
6 |
15 |
612 |

Asymptotic Inference on Nonlinear Functions of the Coefficients of Infinite Order Cointegated VAR Processes |
0 |
0 |
0 |
25 |
1 |
1 |
4 |
178 |

Break Date Estimation and Cointegration Testing in VAR Processes with Level Shift |
1 |
2 |
4 |
325 |
1 |
3 |
8 |
722 |

Cointegrated vector autoregressive processes with continuous structural changes |
0 |
0 |
0 |
21 |
1 |
4 |
8 |
56 |

Cointegrating smooth transition regressions with applications to the Asian currency crisis |
0 |
1 |
2 |
41 |
1 |
4 |
16 |
218 |

Comparison of Tests for the Cointegrating Rank of a VAR Process with a Structural Shift |
1 |
2 |
3 |
202 |
2 |
5 |
11 |
524 |

Comparison of tests for the cointegrating rank of a VAR process with a structural shift |
0 |
0 |
1 |
46 |
3 |
5 |
14 |
236 |

Comparison of unit root tests for time series with level shifts |
2 |
3 |
6 |
112 |
2 |
8 |
22 |
637 |

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 |
12 |
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 |
2 |
17 |
378 |

Forecasting with a noncausal VAR model |
0 |
0 |
2 |
97 |
6 |
6 |
22 |
118 |

GMM Estimation with Noncausal Instruments |
0 |
0 |
2 |
43 |
2 |
2 |
9 |
72 |

Identification and estimation of non-Gaussian structural vector autoregressions |
2 |
12 |
34 |
78 |
7 |
20 |
64 |
97 |

Impulse Response Analysis in Infinite Order Cointegrated Vector Autoregressive Processes |
0 |
0 |
0 |
111 |
4 |
7 |
16 |
541 |

Local power of likelihood ratio tests for the cointegrating rank of a VAR process |
0 |
0 |
1 |
3 |
0 |
1 |
10 |
128 |

Maximum Likelihood Estimation of a Noninvertible ARMA Model with Autoregressive Conditional Heteroskedasticity |
0 |
0 |
2 |
59 |
1 |
2 |
30 |
233 |

Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process |
6 |
39 |
156 |
551 |
36 |
190 |
672 |
2,682 |

Modeling Conditional Skewness in Stock Returns |
1 |
1 |
2 |
376 |
1 |
5 |
10 |
1,101 |

Modeling Expectations with Noncausal Autoregressions |
0 |
0 |
1 |
45 |
1 |
4 |
9 |
105 |

Modeling Expectations with Noncausal Autoregressions |
0 |
1 |
3 |
115 |
1 |
3 |
10 |
322 |

Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes |
0 |
0 |
0 |
0 |
0 |
2 |
7 |
621 |

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

Noncausal Vector Autoregression |
0 |
0 |
2 |
83 |
0 |
2 |
13 |
155 |

Noncausal autoregressions for economic time series |
0 |
2 |
9 |
59 |
1 |
5 |
27 |
172 |

Noncausal vector autoregression |
0 |
0 |
1 |
83 |
0 |
3 |
19 |
204 |

Nonlinear GARCH models for highly persistent volatility |
0 |
3 |
4 |
81 |
0 |
4 |
14 |
362 |

On the estimation of Euler equations in the presence of a potential regime shift |
0 |
1 |
2 |
15 |
3 |
5 |
10 |
60 |

Optimal Forecasting of Noncausal Autoregressive Time Series |
0 |
1 |
4 |
80 |
0 |
3 |
14 |
144 |

Order selection in testing for the cointegrating rank of a VAR process |
1 |
2 |
8 |
22 |
1 |
3 |
13 |
281 |

Parameter Estimation in Nonlinear AR-GARCH Models |
0 |
0 |
0 |
179 |
0 |
2 |
12 |
415 |

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

Parameter estimation in nonlinear AR-GARCH models |
0 |
0 |
1 |
234 |
1 |
4 |
20 |
625 |

Parameter estimation in nonlinear AR–GARCH models |
0 |
0 |
10 |
131 |
2 |
7 |
44 |
488 |

Reducing size distortions of parametric stationarity tests |
0 |
0 |
0 |
6 |
1 |
3 |
6 |
69 |

Residual Autocorrelation Testing for Vector Error Correction Models |
0 |
0 |
2 |
557 |
1 |
1 |
14 |
1,762 |

Stability of nonlinear AR-GARCH models |
0 |
0 |
4 |
11 |
0 |
0 |
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 |
1 |
12 |
392 |

Stability results for nonlinear vector autoregressions with an application to a nonlinear error correction model |
1 |
1 |
1 |
51 |
1 |
1 |
5 |
445 |

Supplementary appendix to "noncausal vector autoregression" |
0 |
0 |
1 |
23 |
1 |
1 |
6 |
43 |

Test procedures for unit roots in time series with level shifts at unknown time |
1 |
4 |
7 |
104 |
2 |
9 |
25 |
490 |

Testing for Predictability in a Noninvertible ARMA Model |
0 |
0 |
0 |
41 |
1 |
4 |
16 |
140 |

Testing for a Unit Root in a Time Series with a Level Shift at Unknown Time |
1 |
2 |
2 |
408 |
1 |
5 |
11 |
767 |

Testing for a unit root in a time series with a level shift at unknown time |
1 |
1 |
1 |
72 |
1 |
1 |
7 |
316 |

Testing for a unit root in noncausal autoregressive models |
2 |
2 |
2 |
47 |
2 |
2 |
19 |
75 |

Testing for predictability in a noninvertible ARMA model |
0 |
0 |
0 |
71 |
0 |
2 |
9 |
117 |

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

Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break |
0 |
0 |
0 |
132 |
0 |
0 |
21 |
388 |

Testing for the Cointegrating Rank of a VAR Process with a Time Trend |
0 |
0 |
0 |
0 |
1 |
1 |
11 |
227 |

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

Testing for the cointegrating rank of a VAR process with an intercept |
0 |
0 |
4 |
19 |
1 |
2 |
19 |
216 |

Testing for the cointegrating rank of a VAR process with level shift at unknown time |
1 |
2 |
2 |
103 |
2 |
6 |
12 |
465 |

Testing for the cointegrating rank of a VAR process with structural shifts |
1 |
3 |
7 |
24 |
3 |
8 |
17 |
264 |

Testing for unit roots in time series with level shifts |
0 |
1 |
2 |
5 |
0 |
1 |
5 |
353 |

Threshold Autoregression for Strongly Autocorrelated Time Series |
0 |
0 |
0 |
0 |
2 |
2 |
9 |
525 |

Trend adjustment prior to testing for the cointegrating rank of a VAR process |
0 |
0 |
1 |
8 |
3 |
4 |
12 |
194 |

Unit root tests for time series with a structural break: When the break point is known |
0 |
1 |
3 |
269 |
1 |
2 |
12 |
970 |

Unit root tests in the presence of innovational outliers |
0 |
0 |
1 |
49 |
3 |
6 |
12 |
258 |

Total Working Papers |
23 |
91 |
330 |
7,512 |
112 |
409 |
1,556 |
26,093 |