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

A Multivariate Generalized Orthogonal Factor GARCH Model |
0 |
2 |
6 |
29 |
0 |
3 |
17 |
79 |

A Skewed GARCH-in-Mean Model: An Application to U.S. Stock Returns |
0 |
1 |
5 |
945 |
3 |
11 |
46 |
2,154 |

A note on the geometric ergodicity of a nonlinear AR–ARCH model |
0 |
0 |
9 |
95 |
1 |
2 |
37 |
265 |

A review of systemscointegration tests |
0 |
2 |
6 |
11 |
0 |
5 |
12 |
586 |

Asymptotic Inference on Nonlinear Functions of the Coefficients of Infinite Order Cointegated VAR Processes |
0 |
0 |
0 |
25 |
0 |
0 |
0 |
171 |

Break Date Estimation and Cointegration Testing in VAR Processes with Level Shift |
0 |
0 |
1 |
313 |
0 |
1 |
3 |
700 |

Cointegrated Vector Autoregressive Processes with Continuous Structural Changes |
0 |
0 |
0 |
20 |
0 |
0 |
3 |
46 |

Cointegrating smooth transition regressions with applications to the Asian currency crisis |
0 |
1 |
6 |
38 |
1 |
2 |
12 |
193 |

Comparison of Tests for the Cointegrating Rank of a VAR Process with a Structural Shift |
0 |
0 |
0 |
195 |
0 |
1 |
13 |
503 |

Comparison of tests for the cointegrating rank of a VAR process with a structural shift |
0 |
0 |
0 |
44 |
0 |
1 |
10 |
218 |

Comparison of unit root tests for time series with level shifts |
0 |
0 |
1 |
104 |
0 |
2 |
6 |
610 |

Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models |
0 |
0 |
0 |
323 |
1 |
4 |
22 |
1,040 |

Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models |
0 |
0 |
2 |
146 |
1 |
1 |
11 |
354 |

Forecasting with a noncausal VAR model |
2 |
3 |
7 |
89 |
2 |
3 |
14 |
78 |

GMM Estimation with Noncausal Instruments |
0 |
1 |
2 |
39 |
0 |
2 |
8 |
55 |

Impulse Response Analysis in Infinite Order Cointegrated Vector Autoregressive Processes |
0 |
0 |
0 |
111 |
0 |
1 |
7 |
521 |

Local power of likelihood ratio tests for the cointegrating rank of a VAR process |
0 |
0 |
0 |
1 |
1 |
1 |
2 |
112 |

Maximum Likelihood Estimation of a Noninvertible ARMA Model with Autoregressive Conditional Heteroskedasticity |
0 |
1 |
6 |
51 |
1 |
6 |
65 |
178 |

Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process |
10 |
19 |
104 |
271 |
42 |
72 |
403 |
1,479 |

Modeling Conditional Skewness in Stock Returns |
0 |
0 |
0 |
374 |
0 |
0 |
3 |
1,089 |

Modeling Expectations with Noncausal Autoregressions |
0 |
1 |
2 |
43 |
0 |
1 |
6 |
93 |

Modeling Expectations with Noncausal Autoregressions |
0 |
1 |
10 |
109 |
0 |
2 |
37 |
306 |

Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes |
0 |
0 |
0 |
0 |
0 |
4 |
11 |
608 |

Modeling the US short-term interest rate by mixture autoregressive processes |
1 |
1 |
3 |
26 |
2 |
2 |
13 |
130 |

Noncausal Vector Autoregression |
1 |
1 |
6 |
74 |
1 |
2 |
16 |
129 |

Noncausal autoregressions for economic time series |
0 |
5 |
14 |
37 |
0 |
9 |
46 |
113 |

Noncausal vector autoregression |
1 |
2 |
4 |
82 |
1 |
6 |
13 |
178 |

Nonlinear GARCH models for highly persistent volatility |
0 |
0 |
1 |
76 |
0 |
2 |
8 |
344 |

On the Estimation of Euler Equations in the Presence of a Potential Regime Shift |
0 |
0 |
1 |
13 |
1 |
2 |
5 |
49 |

Optimal Forecasting of Noncausal Autoregressive Time Series |
0 |
3 |
6 |
75 |
0 |
3 |
14 |
122 |

Order selection in testing for the cointegrating rank of a VAR process |
0 |
0 |
2 |
7 |
0 |
0 |
6 |
257 |

Parameter Estimation in Nonlinear AR-GARCH Models |
0 |
0 |
0 |
179 |
0 |
0 |
5 |
400 |

Parameter estimation in nonlinear AR-GARCH models |
0 |
1 |
4 |
231 |
0 |
2 |
16 |
593 |

Parameter estimation in nonlinear AR-GARCH models |
0 |
0 |
1 |
43 |
1 |
2 |
8 |
134 |

Parameter estimation in nonlinear AR–GARCH models |
1 |
3 |
9 |
118 |
8 |
14 |
67 |
408 |

Reducing size distortions of parametric stationarity tests |
0 |
0 |
1 |
5 |
0 |
0 |
3 |
58 |

Residual Autocorrelation Testing for Vector Error Correction Models |
1 |
1 |
12 |
547 |
2 |
6 |
44 |
1,716 |

Stability of nonlinear AR-GARCH models |
0 |
0 |
0 |
192 |
0 |
0 |
7 |
498 |

Stability of nonlinear AR-GARCH models |
0 |
0 |
0 |
169 |
0 |
0 |
11 |
376 |

Stability of nonlinear AR-GARCH models |
0 |
0 |
0 |
4 |
1 |
2 |
2 |
33 |

Stability results for nonlinear vector autoregressions with an application to a nonlinear error correction model |
0 |
0 |
1 |
49 |
0 |
1 |
5 |
437 |

Supplementary appendix to "noncausal vector autoregression" |
0 |
0 |
2 |
17 |
0 |
0 |
6 |
30 |

Test procedures for unit roots in time series with level shifts at unknown time |
0 |
1 |
9 |
86 |
1 |
5 |
31 |
450 |

Testing for Predictability in a Noninvertible ARMA Model |
1 |
1 |
4 |
36 |
1 |
2 |
30 |
102 |

Testing for a Unit Root in a Time Series with a Level Shift at Unknown Time |
1 |
1 |
6 |
403 |
1 |
2 |
16 |
748 |

Testing for a unit root in a time series with a level shift at unknown time |
0 |
0 |
1 |
71 |
0 |
1 |
4 |
307 |

Testing for a unit root in noncausal autoregressive models |
0 |
3 |
40 |
40 |
1 |
10 |
38 |
38 |

Testing for predictability in a noninvertible ARMA model |
1 |
2 |
7 |
67 |
1 |
3 |
14 |
93 |

Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break |
0 |
1 |
3 |
128 |
2 |
3 |
11 |
340 |

Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break |
0 |
0 |
0 |
119 |
0 |
1 |
6 |
248 |

Testing for the Cointegrating Rank of a VAR Process with a Time Trend |
0 |
0 |
0 |
0 |
2 |
2 |
10 |
210 |

Testing for the Cointegrating Rank of a Vector Autoregressive Process with Uncertain Deterministic Trend Term |
1 |
1 |
1 |
121 |
1 |
2 |
5 |
256 |

Testing for the cointegrating rank of a VAR process with an intercept |
1 |
3 |
7 |
12 |
3 |
6 |
18 |
186 |

Testing for the cointegrating rank of a VAR process with level shift at unknown time |
0 |
1 |
3 |
97 |
1 |
2 |
13 |
444 |

Testing for the cointegrating rank of a VAR process with structural shifts |
0 |
0 |
6 |
13 |
0 |
1 |
8 |
240 |

Testing for unit roots in time series with level shifts |
0 |
0 |
1 |
2 |
2 |
2 |
6 |
345 |

Threshold Autoregression for Strongly Autocorrelated Time Series |
0 |
0 |
0 |
0 |
1 |
4 |
25 |
511 |

Trend adjustment prior to testing for the cointegrating rank of a VAR process |
0 |
0 |
1 |
5 |
0 |
0 |
3 |
174 |

Unit root tests for time series with a structural break: When the break point is known |
0 |
0 |
1 |
260 |
1 |
1 |
6 |
947 |

Unit root tests in the presence of innovational outliers |
0 |
0 |
1 |
45 |
0 |
0 |
3 |
242 |

Total Working Papers |
22 |
63 |
325 |
6,825 |
88 |
225 |
1,290 |
23,324 |