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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 |
2 |
39 |
2 |
4 |
12 |
119 |

A Skewed GARCH-in-Mean Model: An Application to U.S. Stock Returns |
0 |
0 |
0 |
951 |
1 |
9 |
35 |
2,243 |

A note on the geometric ergodicity of a nonlinear AR–ARCH model |
1 |
1 |
4 |
104 |
3 |
6 |
22 |
330 |

A review of systemscointegration tests |
0 |
0 |
3 |
22 |
2 |
5 |
20 |
623 |

Asymptotic Inference on Nonlinear Functions of the Coefficients of Infinite Order Cointegated VAR Processes |
0 |
0 |
0 |
25 |
1 |
1 |
4 |
179 |

Break Date Estimation and Cointegration Testing in VAR Processes with Level Shift |
0 |
0 |
2 |
325 |
2 |
4 |
7 |
726 |

Cointegrated vector autoregressive processes with continuous structural changes |
0 |
0 |
0 |
21 |
0 |
0 |
9 |
59 |

Cointegrating smooth transition regressions with applications to the Asian currency crisis |
0 |
0 |
5 |
44 |
1 |
4 |
22 |
230 |

Comparison of Tests for the Cointegrating Rank of a VAR Process with a Structural Shift |
0 |
0 |
3 |
203 |
3 |
3 |
12 |
529 |

Comparison of tests for the cointegrating rank of a VAR process with a structural shift |
1 |
1 |
1 |
47 |
3 |
5 |
14 |
243 |

Comparison of unit root tests for time series with level shifts |
0 |
1 |
6 |
113 |
2 |
6 |
20 |
644 |

Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models |
0 |
1 |
3 |
155 |
2 |
3 |
11 |
383 |

Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models |
1 |
1 |
1 |
325 |
4 |
4 |
11 |
1,070 |

Forecasting with a noncausal VAR model |
1 |
1 |
1 |
98 |
3 |
3 |
17 |
124 |

GMM Estimation with Noncausal Instruments |
0 |
0 |
0 |
43 |
1 |
3 |
9 |
75 |

Identification and estimation of non-Gaussian structural vector autoregressions |
0 |
1 |
26 |
89 |
4 |
13 |
69 |
139 |

Impulse Response Analysis in Infinite Order Cointegrated Vector Autoregressive Processes |
0 |
0 |
0 |
111 |
1 |
1 |
9 |
543 |

Local power of likelihood ratio tests for the cointegrating rank of a VAR process |
0 |
0 |
0 |
3 |
2 |
2 |
6 |
131 |

Maximum Likelihood Estimation of a Noninvertible ARMA Model with Autoregressive Conditional Heteroskedasticity |
0 |
0 |
2 |
60 |
1 |
1 |
10 |
237 |

Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process |
6 |
25 |
132 |
601 |
24 |
80 |
538 |
2,883 |

Modeling Conditional Skewness in Stock Returns |
0 |
0 |
2 |
377 |
2 |
2 |
13 |
1,108 |

Modeling Expectations with Noncausal Autoregressions |
0 |
0 |
2 |
47 |
1 |
1 |
10 |
109 |

Modeling Expectations with Noncausal Autoregressions |
0 |
0 |
4 |
118 |
1 |
3 |
15 |
331 |

Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes |
0 |
0 |
0 |
0 |
2 |
3 |
9 |
626 |

Modeling the US short-term interest rate by mixture autoregressive processes |
0 |
0 |
2 |
32 |
2 |
4 |
11 |
148 |

Noncausal Vector Autoregression |
0 |
0 |
3 |
86 |
3 |
5 |
15 |
165 |

Noncausal autoregressions for economic time series |
0 |
0 |
8 |
64 |
4 |
8 |
31 |
190 |

Noncausal vector autoregression |
0 |
0 |
0 |
83 |
1 |
1 |
8 |
209 |

Nonlinear GARCH models for highly persistent volatility |
0 |
0 |
3 |
81 |
3 |
5 |
14 |
369 |

On the estimation of Euler equations in the presence of a potential regime shift |
0 |
0 |
2 |
15 |
1 |
1 |
9 |
63 |

Optimal Forecasting of Noncausal Autoregressive Time Series |
0 |
0 |
4 |
83 |
3 |
6 |
16 |
154 |

Order selection in testing for the cointegrating rank of a VAR process |
0 |
3 |
7 |
26 |
2 |
5 |
13 |
287 |

Parameter Estimation in Nonlinear AR-GARCH Models |
0 |
0 |
0 |
179 |
1 |
2 |
7 |
418 |

Parameter estimation in nonlinear AR-GARCH models |
1 |
1 |
2 |
235 |
3 |
6 |
13 |
632 |

Parameter estimation in nonlinear AR-GARCH models |
0 |
0 |
1 |
46 |
1 |
1 |
6 |
158 |

Parameter estimation in nonlinear AR–GARCH models |
0 |
1 |
6 |
134 |
1 |
8 |
29 |
500 |

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

Residual Autocorrelation Testing for Vector Error Correction Models |
0 |
0 |
0 |
557 |
0 |
1 |
8 |
1,766 |

Stability of nonlinear AR-GARCH models |
0 |
0 |
1 |
11 |
1 |
2 |
7 |
55 |

Stability of nonlinear AR-GARCH models |
0 |
0 |
1 |
173 |
1 |
1 |
8 |
397 |

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

Stability results for nonlinear vector autoregressions with an application to a nonlinear error correction model |
0 |
0 |
1 |
51 |
0 |
0 |
6 |
448 |

Supplementary appendix to "noncausal vector autoregression" |
0 |
1 |
2 |
25 |
0 |
1 |
7 |
47 |

Test procedures for unit roots in time series with level shifts at unknown time |
0 |
1 |
7 |
107 |
4 |
5 |
20 |
498 |

Testing for Predictability in a Noninvertible ARMA Model |
0 |
1 |
1 |
42 |
3 |
7 |
19 |
152 |

Testing for a Unit Root in a Time Series with a Level Shift at Unknown Time |
0 |
0 |
2 |
408 |
2 |
2 |
8 |
769 |

Testing for a unit root in a time series with a level shift at unknown time |
0 |
0 |
2 |
73 |
1 |
3 |
8 |
320 |

Testing for a unit root in noncausal autoregressive models |
1 |
3 |
6 |
51 |
2 |
4 |
15 |
86 |

Testing for predictability in a noninvertible ARMA model |
0 |
0 |
0 |
71 |
3 |
5 |
13 |
124 |

Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break |
0 |
0 |
0 |
129 |
2 |
2 |
7 |
272 |

Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break |
0 |
0 |
0 |
132 |
3 |
3 |
8 |
392 |

Testing for the Cointegrating Rank of a VAR Process with a Time Trend |
0 |
0 |
0 |
0 |
3 |
3 |
6 |
231 |

Testing for the Cointegrating Rank of a Vector Autoregressive Process with Uncertain Deterministic Trend Term |
0 |
0 |
2 |
132 |
2 |
2 |
9 |
285 |

Testing for the cointegrating rank of a VAR process with an intercept |
1 |
1 |
1 |
20 |
2 |
2 |
8 |
219 |

Testing for the cointegrating rank of a VAR process with level shift at unknown time |
2 |
2 |
5 |
106 |
4 |
4 |
19 |
476 |

Testing for the cointegrating rank of a VAR process with structural shifts |
0 |
0 |
5 |
25 |
3 |
3 |
19 |
272 |

Testing for unit roots in time series with level shifts |
0 |
1 |
3 |
6 |
0 |
2 |
6 |
357 |

Threshold Autoregression for Strongly Autocorrelated Time Series |
0 |
0 |
0 |
0 |
2 |
3 |
12 |
533 |

Trend adjustment prior to testing for the cointegrating rank of a VAR process |
0 |
0 |
2 |
10 |
0 |
0 |
8 |
196 |

Unit root tests for time series with a structural break: When the break point is known |
0 |
0 |
4 |
272 |
1 |
2 |
13 |
977 |

Unit root tests in the presence of innovational outliers |
0 |
0 |
0 |
49 |
2 |
2 |
14 |
264 |

Total Working Papers |
15 |
47 |
282 |
7,634 |
136 |
279 |
1,330 |
26,700 |