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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 |
39 |
1 |
4 |
16 |
117 |

A Skewed GARCH-in-Mean Model: An Application to U.S. Stock Returns |
0 |
0 |
0 |
951 |
4 |
10 |
39 |
2,239 |

A note on the geometric ergodicity of a nonlinear AR–ARCH model |
0 |
0 |
3 |
103 |
1 |
2 |
21 |
325 |

A review of systemscointegration tests |
0 |
0 |
3 |
22 |
0 |
2 |
17 |
619 |

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

Break Date Estimation and Cointegration Testing in VAR Processes with Level Shift |
0 |
0 |
2 |
325 |
2 |
2 |
6 |
724 |

Cointegrated vector autoregressive processes with continuous structural changes |
0 |
0 |
0 |
21 |
1 |
3 |
11 |
60 |

Cointegrating smooth transition regressions with applications to the Asian currency crisis |
0 |
2 |
5 |
44 |
2 |
6 |
22 |
229 |

Comparison of Tests for the Cointegrating Rank of a VAR Process with a Structural Shift |
0 |
1 |
3 |
203 |
0 |
2 |
10 |
526 |

Comparison of tests for the cointegrating rank of a VAR process with a structural shift |
0 |
0 |
0 |
46 |
1 |
3 |
11 |
239 |

Comparison of unit root tests for time series with level shifts |
1 |
1 |
7 |
113 |
3 |
3 |
20 |
641 |

Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models |
1 |
1 |
4 |
155 |
1 |
1 |
12 |
381 |

Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models |
0 |
0 |
0 |
324 |
0 |
0 |
9 |
1,066 |

Forecasting with a noncausal VAR model |
0 |
0 |
1 |
97 |
0 |
0 |
19 |
121 |

GMM Estimation with Noncausal Instruments |
0 |
0 |
0 |
43 |
1 |
1 |
8 |
73 |

Identification and estimation of non-Gaussian structural vector autoregressions |
0 |
6 |
32 |
88 |
5 |
20 |
76 |
131 |

Impulse Response Analysis in Infinite Order Cointegrated Vector Autoregressive Processes |
0 |
0 |
0 |
111 |
0 |
0 |
12 |
542 |

Local power of likelihood ratio tests for the cointegrating rank of a VAR process |
0 |
0 |
0 |
3 |
0 |
1 |
6 |
129 |

Maximum Likelihood Estimation of a Noninvertible ARMA Model with Autoregressive Conditional Heteroskedasticity |
0 |
1 |
2 |
60 |
0 |
3 |
12 |
236 |

Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process |
8 |
18 |
138 |
584 |
27 |
80 |
585 |
2,831 |

Modeling Conditional Skewness in Stock Returns |
0 |
1 |
2 |
377 |
0 |
2 |
14 |
1,106 |

Modeling Expectations with Noncausal Autoregressions |
0 |
1 |
2 |
47 |
0 |
1 |
10 |
108 |

Modeling Expectations with Noncausal Autoregressions |
0 |
1 |
4 |
118 |
0 |
3 |
14 |
328 |

Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes |
0 |
0 |
0 |
0 |
0 |
0 |
7 |
623 |

Modeling the US short-term interest rate by mixture autoregressive processes |
0 |
0 |
2 |
32 |
2 |
5 |
9 |
146 |

Noncausal Vector Autoregression |
0 |
2 |
3 |
86 |
2 |
5 |
14 |
162 |

Noncausal autoregressions for economic time series |
0 |
3 |
10 |
64 |
0 |
5 |
27 |
182 |

Noncausal vector autoregression |
0 |
0 |
1 |
83 |
0 |
2 |
10 |
208 |

Nonlinear GARCH models for highly persistent volatility |
0 |
0 |
3 |
81 |
1 |
2 |
12 |
365 |

On the estimation of Euler equations in the presence of a potential regime shift |
0 |
0 |
2 |
15 |
0 |
1 |
9 |
62 |

Optimal Forecasting of Noncausal Autoregressive Time Series |
0 |
2 |
4 |
83 |
2 |
5 |
14 |
151 |

Order selection in testing for the cointegrating rank of a VAR process |
1 |
2 |
9 |
24 |
1 |
3 |
15 |
284 |

Parameter Estimation in Nonlinear AR-GARCH Models |
0 |
0 |
0 |
179 |
1 |
2 |
11 |
418 |

Parameter estimation in nonlinear AR-GARCH models |
0 |
0 |
1 |
46 |
0 |
1 |
10 |
158 |

Parameter estimation in nonlinear AR-GARCH models |
0 |
0 |
1 |
234 |
3 |
3 |
14 |
629 |

Parameter estimation in nonlinear AR–GARCH models |
1 |
2 |
6 |
134 |
4 |
7 |
31 |
497 |

Reducing size distortions of parametric stationarity tests |
0 |
0 |
0 |
6 |
0 |
1 |
6 |
70 |

Residual Autocorrelation Testing for Vector Error Correction Models |
0 |
0 |
0 |
557 |
0 |
1 |
9 |
1,765 |

Stability of nonlinear AR-GARCH models |
0 |
0 |
2 |
11 |
1 |
2 |
9 |
54 |

Stability of nonlinear AR-GARCH models |
0 |
0 |
2 |
173 |
0 |
1 |
9 |
396 |

Stability of nonlinear AR-GARCH models |
0 |
0 |
0 |
193 |
0 |
0 |
3 |
516 |

Stability results for nonlinear vector autoregressions with an application to a nonlinear error correction model |
0 |
0 |
1 |
51 |
0 |
3 |
7 |
448 |

Supplementary appendix to "noncausal vector autoregression" |
0 |
1 |
2 |
24 |
0 |
1 |
9 |
46 |

Test procedures for unit roots in time series with level shifts at unknown time |
1 |
2 |
7 |
107 |
1 |
3 |
19 |
495 |

Testing for Predictability in a Noninvertible ARMA Model |
1 |
1 |
1 |
42 |
4 |
8 |
18 |
149 |

Testing for a Unit Root in a Time Series with a Level Shift at Unknown Time |
0 |
0 |
2 |
408 |
0 |
0 |
7 |
767 |

Testing for a unit root in a time series with a level shift at unknown time |
0 |
1 |
2 |
73 |
4 |
5 |
10 |
321 |

Testing for a unit root in noncausal autoregressive models |
0 |
1 |
3 |
48 |
0 |
4 |
23 |
82 |

Testing for predictability in a noninvertible ARMA model |
0 |
0 |
0 |
71 |
1 |
2 |
10 |
120 |

Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break |
0 |
0 |
0 |
132 |
0 |
0 |
17 |
389 |

Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break |
0 |
0 |
1 |
129 |
0 |
1 |
7 |
270 |

Testing for the Cointegrating Rank of a VAR Process with a Time Trend |
0 |
0 |
0 |
0 |
0 |
0 |
6 |
228 |

Testing for the Cointegrating Rank of a Vector Autoregressive Process with Uncertain Deterministic Trend Term |
0 |
0 |
3 |
132 |
0 |
0 |
8 |
283 |

Testing for the cointegrating rank of a VAR process with an intercept |
0 |
0 |
2 |
19 |
0 |
0 |
10 |
217 |

Testing for the cointegrating rank of a VAR process with level shift at unknown time |
0 |
1 |
3 |
104 |
0 |
5 |
17 |
472 |

Testing for the cointegrating rank of a VAR process with structural shifts |
0 |
0 |
5 |
25 |
0 |
2 |
17 |
269 |

Testing for unit roots in time series with level shifts |
1 |
1 |
3 |
6 |
2 |
4 |
7 |
357 |

Threshold Autoregression for Strongly Autocorrelated Time Series |
0 |
0 |
0 |
0 |
0 |
5 |
11 |
530 |

Trend adjustment prior to testing for the cointegrating rank of a VAR process |
0 |
0 |
3 |
10 |
0 |
1 |
11 |
197 |

Unit root tests for time series with a structural break: When the break point is known |
0 |
2 |
5 |
272 |
0 |
3 |
13 |
975 |

Unit root tests in the presence of innovational outliers |
0 |
0 |
0 |
49 |
0 |
3 |
14 |
263 |

Total Working Papers |
15 |
54 |
302 |
7,602 |
78 |
245 |
1,414 |
26,513 |