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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 |
0 |
5 |
34 |
0 |
2 |
20 |
99 |

A Skewed GARCH-in-Mean Model: An Application to U.S. Stock Returns |
1 |
1 |
6 |
951 |
3 |
8 |
42 |
2,196 |

A note on the geometric ergodicity of a nonlinear AR–ARCH model |
0 |
0 |
4 |
99 |
1 |
2 |
35 |
300 |

A review of systemscointegration tests |
0 |
1 |
8 |
19 |
2 |
4 |
15 |
601 |

Asymptotic Inference on Nonlinear Functions of the Coefficients of Infinite Order Cointegated VAR Processes |
0 |
0 |
0 |
25 |
0 |
0 |
3 |
174 |

Break Date Estimation and Cointegration Testing in VAR Processes with Level Shift |
0 |
1 |
9 |
322 |
0 |
1 |
15 |
715 |

Cointegrated Vector Autoregressive Processes with Continuous Structural Changes |
0 |
0 |
1 |
21 |
1 |
1 |
3 |
49 |

Cointegrating smooth transition regressions with applications to the Asian currency crisis |
0 |
0 |
1 |
39 |
1 |
3 |
12 |
205 |

Comparison of Tests for the Cointegrating Rank of a VAR Process with a Structural Shift |
0 |
0 |
4 |
199 |
1 |
1 |
11 |
514 |

Comparison of tests for the cointegrating rank of a VAR process with a structural shift |
0 |
0 |
1 |
45 |
2 |
4 |
8 |
226 |

Comparison of unit root tests for time series with level shifts |
0 |
0 |
2 |
106 |
2 |
5 |
10 |
620 |

Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models |
1 |
2 |
5 |
151 |
2 |
6 |
13 |
367 |

Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models |
1 |
1 |
1 |
324 |
3 |
4 |
15 |
1,055 |

Forecasting with a noncausal VAR model |
1 |
1 |
7 |
96 |
1 |
3 |
21 |
99 |

GMM Estimation with Noncausal Instruments |
1 |
1 |
3 |
42 |
1 |
1 |
9 |
64 |

Identification and estimation of non-Gaussian structural vector autoregressions |
4 |
10 |
54 |
54 |
8 |
17 |
50 |
50 |

Impulse Response Analysis in Infinite Order Cointegrated Vector Autoregressive Processes |
0 |
0 |
0 |
111 |
1 |
2 |
6 |
527 |

Local power of likelihood ratio tests for the cointegrating rank of a VAR process |
1 |
1 |
2 |
3 |
2 |
2 |
8 |
120 |

Maximum Likelihood Estimation of a Noninvertible ARMA Model with Autoregressive Conditional Heteroskedasticity |
1 |
1 |
7 |
58 |
6 |
15 |
40 |
218 |

Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process |
5 |
27 |
151 |
422 |
47 |
133 |
664 |
2,143 |

Modeling Conditional Skewness in Stock Returns |
1 |
1 |
1 |
375 |
1 |
1 |
3 |
1,092 |

Modeling Expectations with Noncausal Autoregressions |
1 |
1 |
2 |
45 |
2 |
2 |
5 |
98 |

Modeling Expectations with Noncausal Autoregressions |
0 |
1 |
4 |
113 |
0 |
1 |
7 |
313 |

Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes |
0 |
0 |
0 |
0 |
0 |
1 |
7 |
615 |

Modeling the US short-term interest rate by mixture autoregressive processes |
0 |
0 |
4 |
30 |
0 |
0 |
6 |
136 |

Noncausal Vector Autoregression |
0 |
0 |
7 |
81 |
0 |
1 |
14 |
143 |

Noncausal autoregressions for economic time series |
3 |
3 |
16 |
53 |
3 |
5 |
37 |
150 |

Noncausal vector autoregression |
0 |
0 |
0 |
82 |
5 |
6 |
13 |
191 |

Nonlinear GARCH models for highly persistent volatility |
1 |
1 |
2 |
78 |
2 |
4 |
8 |
352 |

On the Estimation of Euler Equations in the Presence of a Potential Regime Shift |
0 |
0 |
0 |
13 |
1 |
1 |
2 |
51 |

Optimal Forecasting of Noncausal Autoregressive Time Series |
2 |
2 |
3 |
78 |
3 |
4 |
12 |
134 |

Order selection in testing for the cointegrating rank of a VAR process |
0 |
1 |
8 |
15 |
0 |
1 |
12 |
269 |

Parameter Estimation in Nonlinear AR-GARCH Models |
0 |
0 |
0 |
179 |
3 |
4 |
7 |
407 |

Parameter estimation in nonlinear AR-GARCH models |
0 |
0 |
2 |
233 |
2 |
9 |
21 |
614 |

Parameter estimation in nonlinear AR-GARCH models |
1 |
1 |
2 |
45 |
1 |
1 |
14 |
148 |

Parameter estimation in nonlinear AR–GARCH models |
1 |
5 |
8 |
126 |
4 |
16 |
52 |
460 |

Reducing size distortions of parametric stationarity tests |
0 |
0 |
1 |
6 |
0 |
1 |
6 |
64 |

Residual Autocorrelation Testing for Vector Error Correction Models |
1 |
2 |
10 |
557 |
4 |
8 |
40 |
1,756 |

Stability of nonlinear AR-GARCH models |
1 |
1 |
2 |
171 |
2 |
4 |
8 |
384 |

Stability of nonlinear AR-GARCH models |
0 |
0 |
1 |
193 |
3 |
5 |
14 |
512 |

Stability of nonlinear AR-GARCH models |
0 |
1 |
4 |
8 |
0 |
1 |
10 |
43 |

Stability results for nonlinear vector autoregressions with an application to a nonlinear error correction model |
0 |
0 |
1 |
50 |
0 |
0 |
3 |
440 |

Supplementary appendix to "noncausal vector autoregression" |
0 |
0 |
5 |
22 |
0 |
0 |
7 |
37 |

Test procedures for unit roots in time series with level shifts at unknown time |
0 |
1 |
12 |
98 |
4 |
6 |
21 |
471 |

Testing for Predictability in a Noninvertible ARMA Model |
0 |
0 |
5 |
41 |
1 |
4 |
26 |
128 |

Testing for a Unit Root in a Time Series with a Level Shift at Unknown Time |
0 |
0 |
3 |
406 |
1 |
3 |
11 |
759 |

Testing for a unit root in a time series with a level shift at unknown time |
0 |
0 |
0 |
71 |
1 |
2 |
4 |
311 |

Testing for a unit root in noncausal autoregressive models |
0 |
0 |
5 |
45 |
1 |
2 |
20 |
58 |

Testing for predictability in a noninvertible ARMA model |
0 |
0 |
4 |
71 |
0 |
1 |
16 |
109 |

Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break |
0 |
1 |
9 |
128 |
0 |
3 |
13 |
261 |

Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break |
0 |
0 |
4 |
132 |
0 |
1 |
28 |
368 |

Testing for the Cointegrating Rank of a VAR Process with a Time Trend |
0 |
0 |
0 |
0 |
2 |
3 |
9 |
219 |

Testing for the Cointegrating Rank of a Vector Autoregressive Process with Uncertain Deterministic Trend Term |
0 |
0 |
7 |
128 |
2 |
4 |
18 |
274 |

Testing for the cointegrating rank of a VAR process with an intercept |
1 |
1 |
4 |
16 |
6 |
8 |
19 |
205 |

Testing for the cointegrating rank of a VAR process with level shift at unknown time |
0 |
0 |
4 |
101 |
0 |
1 |
10 |
454 |

Testing for the cointegrating rank of a VAR process with structural shifts |
0 |
2 |
6 |
19 |
1 |
4 |
11 |
251 |

Testing for unit roots in time series with level shifts |
0 |
0 |
1 |
3 |
1 |
1 |
4 |
349 |

Threshold Autoregression for Strongly Autocorrelated Time Series |
0 |
0 |
0 |
0 |
1 |
2 |
7 |
518 |

Trend adjustment prior to testing for the cointegrating rank of a VAR process |
0 |
0 |
2 |
7 |
1 |
2 |
10 |
184 |

Unit root tests for time series with a structural break: When the break point is known |
0 |
1 |
7 |
267 |
0 |
1 |
12 |
959 |

Unit root tests in the presence of innovational outliers |
0 |
0 |
3 |
48 |
0 |
0 |
4 |
246 |

Total Working Papers |
29 |
73 |
430 |
7,255 |
142 |
338 |
1,551 |
24,875 |