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

A Multivariate Generalized Orthogonal Factor GARCH Model |
1 |
2 |
5 |
39 |
2 |
6 |
17 |
113 |

A Skewed GARCH-in-Mean Model: An Application to U.S. Stock Returns |
0 |
0 |
1 |
951 |
2 |
9 |
37 |
2,217 |

A note on the geometric ergodicity of a nonlinear AR–ARCH model |
1 |
2 |
4 |
102 |
3 |
8 |
24 |
316 |

A review of systemscointegration tests |
0 |
2 |
3 |
21 |
3 |
6 |
13 |
609 |

Asymptotic Inference on Nonlinear Functions of the Coefficients of Infinite Order Cointegated VAR Processes |
0 |
0 |
0 |
25 |
0 |
2 |
6 |
177 |

Break Date Estimation and Cointegration Testing in VAR Processes with Level Shift |
1 |
1 |
5 |
324 |
2 |
2 |
9 |
721 |

Cointegrated Vector Autoregressive Processes with Continuous Structural Changes |
0 |
0 |
1 |
21 |
1 |
3 |
7 |
53 |

Cointegrating smooth transition regressions with applications to the Asian currency crisis |
1 |
2 |
2 |
41 |
2 |
8 |
16 |
216 |

Comparison of Tests for the Cointegrating Rank of a VAR Process with a Structural Shift |
1 |
1 |
3 |
201 |
3 |
5 |
11 |
522 |

Comparison of tests for the cointegrating rank of a VAR process with a structural shift |
0 |
0 |
1 |
46 |
1 |
3 |
11 |
232 |

Comparison of unit root tests for time series with level shifts |
0 |
2 |
3 |
109 |
2 |
7 |
17 |
631 |

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

Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models |
1 |
2 |
5 |
154 |
2 |
6 |
18 |
378 |

Forecasting with a noncausal VAR model |
0 |
0 |
3 |
97 |
0 |
5 |
19 |
112 |

GMM Estimation with Noncausal Instruments |
0 |
0 |
3 |
43 |
0 |
4 |
8 |
70 |

Identification and estimation of non-Gaussian structural vector autoregressions |
4 |
7 |
33 |
70 |
6 |
13 |
62 |
83 |

Impulse Response Analysis in Infinite Order Cointegrated Vector Autoregressive Processes |
0 |
0 |
0 |
111 |
2 |
2 |
13 |
536 |

Local power of likelihood ratio tests for the cointegrating rank of a VAR process |
0 |
0 |
1 |
3 |
0 |
2 |
11 |
127 |

Maximum Likelihood Estimation of a Noninvertible ARMA Model with Autoregressive Conditional Heteroskedasticity |
0 |
1 |
2 |
59 |
1 |
5 |
35 |
232 |

Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process |
17 |
60 |
170 |
529 |
93 |
240 |
693 |
2,585 |

Modeling Conditional Skewness in Stock Returns |
0 |
0 |
1 |
375 |
2 |
3 |
8 |
1,098 |

Modeling Expectations with Noncausal Autoregressions |
0 |
0 |
1 |
45 |
1 |
3 |
6 |
102 |

Modeling Expectations with Noncausal Autoregressions |
0 |
0 |
2 |
114 |
0 |
3 |
7 |
319 |

Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes |
0 |
0 |
0 |
0 |
0 |
2 |
7 |
619 |

Modeling the US short-term interest rate by mixture autoregressive processes |
0 |
1 |
2 |
31 |
0 |
1 |
5 |
138 |

Noncausal Vector Autoregression |
0 |
0 |
4 |
83 |
1 |
4 |
16 |
154 |

Noncausal autoregressions for economic time series |
1 |
2 |
9 |
58 |
1 |
9 |
30 |
168 |

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

Nonlinear GARCH models for highly persistent volatility |
1 |
1 |
2 |
79 |
1 |
4 |
11 |
359 |

On the Estimation of Euler Equations in the Presence of a Potential Regime Shift |
1 |
2 |
2 |
15 |
1 |
2 |
7 |
56 |

Optimal Forecasting of Noncausal Autoregressive Time Series |
1 |
1 |
4 |
80 |
2 |
5 |
14 |
143 |

Order selection in testing for the cointegrating rank of a VAR process |
0 |
1 |
6 |
20 |
0 |
4 |
12 |
278 |

Parameter Estimation in Nonlinear AR-GARCH Models |
0 |
0 |
0 |
179 |
1 |
3 |
11 |
414 |

Parameter estimation in nonlinear AR-GARCH models |
0 |
1 |
1 |
234 |
3 |
5 |
19 |
624 |

Parameter estimation in nonlinear AR-GARCH models |
0 |
1 |
2 |
46 |
1 |
2 |
9 |
154 |

Parameter estimation in nonlinear AR–GARCH models |
0 |
3 |
10 |
131 |
4 |
14 |
47 |
485 |

Reducing size distortions of parametric stationarity tests |
0 |
0 |
0 |
6 |
1 |
1 |
8 |
67 |

Residual Autocorrelation Testing for Vector Error Correction Models |
0 |
0 |
2 |
557 |
0 |
3 |
15 |
1,761 |

Stability of nonlinear AR-GARCH models |
0 |
0 |
0 |
193 |
1 |
1 |
10 |
516 |

Stability of nonlinear AR-GARCH models |
0 |
0 |
2 |
172 |
1 |
3 |
12 |
392 |

Stability of nonlinear AR-GARCH models |
0 |
1 |
4 |
11 |
0 |
3 |
13 |
51 |

Stability results for nonlinear vector autoregressions with an application to a nonlinear error correction model |
0 |
0 |
0 |
50 |
0 |
2 |
4 |
444 |

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

Test procedures for unit roots in time series with level shifts at unknown time |
3 |
3 |
9 |
103 |
4 |
7 |
24 |
485 |

Testing for Predictability in a Noninvertible ARMA Model |
0 |
0 |
0 |
41 |
2 |
5 |
15 |
138 |

Testing for a Unit Root in a Time Series with a Level Shift at Unknown Time |
1 |
1 |
2 |
407 |
3 |
4 |
11 |
765 |

Testing for a unit root in a time series with a level shift at unknown time |
0 |
0 |
0 |
71 |
0 |
3 |
8 |
315 |

Testing for a unit root in noncausal autoregressive models |
0 |
0 |
1 |
45 |
0 |
2 |
21 |
73 |

Testing for predictability in a noninvertible ARMA model |
0 |
0 |
0 |
71 |
1 |
5 |
9 |
116 |

Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break |
0 |
0 |
2 |
129 |
0 |
2 |
9 |
267 |

Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break |
0 |
0 |
1 |
132 |
0 |
4 |
27 |
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 |
2 |
4 |
132 |
2 |
5 |
11 |
281 |

Testing for the cointegrating rank of a VAR process with an intercept |
0 |
0 |
4 |
19 |
1 |
4 |
18 |
215 |

Testing for the cointegrating rank of a VAR process with level shift at unknown time |
1 |
1 |
1 |
102 |
1 |
3 |
9 |
460 |

Testing for the cointegrating rank of a VAR process with structural shifts |
2 |
3 |
6 |
23 |
3 |
6 |
13 |
259 |

Testing for unit roots in time series with level shifts |
1 |
2 |
2 |
5 |
1 |
2 |
7 |
353 |

Threshold Autoregression for Strongly Autocorrelated Time Series |
0 |
0 |
0 |
0 |
0 |
2 |
9 |
523 |

Trend adjustment prior to testing for the cointegrating rank of a VAR process |
0 |
0 |
2 |
8 |
0 |
2 |
9 |
190 |

Unit root tests for time series with a structural break: When the break point is known |
0 |
0 |
4 |
268 |
0 |
4 |
13 |
968 |

Unit root tests in the presence of innovational outliers |
0 |
0 |
3 |
49 |
2 |
4 |
10 |
254 |

Total Working Papers |
39 |
108 |
344 |
7,460 |
171 |
485 |
1,568 |
25,855 |