| Working Paper |
File Downloads |
Abstract Views |
| Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
| A New Look at Panel Testing of Stationarity and the PPP Hypothesis |
1 |
1 |
2 |
484 |
3 |
4 |
17 |
1,319 |
| A New Look at Panel Testing of Stationarity and the PPP Hypothesis |
0 |
0 |
0 |
87 |
0 |
1 |
4 |
585 |
| A Note on Spurious Break and Regime Shift in Cointegrating Relationship |
0 |
0 |
0 |
0 |
0 |
2 |
8 |
527 |
| A PANIC Attack on Unit Roots and Cointegration |
0 |
0 |
1 |
890 |
2 |
6 |
36 |
2,378 |
| A Panic Attack on Unit Roots and Cointegration |
0 |
0 |
0 |
158 |
3 |
3 |
34 |
1,055 |
| A Quantile-based Asset Pricing Model |
1 |
1 |
7 |
52 |
3 |
6 |
26 |
44 |
| A Test for Conditional Symmetry in Time Series Models |
0 |
0 |
0 |
465 |
0 |
1 |
4 |
2,002 |
| A simple new test for slope homogeneity in panel data models with interactive effects |
1 |
1 |
2 |
63 |
1 |
1 |
7 |
106 |
| An Inequality for Vector-Valued Martingales and Its Applications |
0 |
0 |
0 |
0 |
0 |
2 |
6 |
486 |
| Computation and Analysis of Multiple Structural-Change Models |
0 |
4 |
12 |
2,495 |
4 |
16 |
54 |
5,199 |
| Conditional Markov chain and its application in economic time series analysis |
1 |
2 |
8 |
427 |
20 |
63 |
140 |
1,507 |
| Confidence Intervals for Diffusion Index Forecasts with a Large Number of Predictor |
0 |
0 |
2 |
216 |
0 |
0 |
6 |
491 |
| Determining the Number of Factors in Approximate Factor Models |
4 |
8 |
19 |
1,415 |
10 |
20 |
71 |
4,455 |
| Determining the Number of Factors in Approximate Factor Models |
0 |
0 |
2 |
389 |
2 |
7 |
42 |
1,081 |
| Efficient Estimation of Approximate Factor Models |
0 |
0 |
1 |
101 |
1 |
1 |
7 |
206 |
| Estimating & Testing Linear Models with Multiple Structural Changes |
0 |
0 |
0 |
0 |
1 |
4 |
11 |
1,045 |
| Estimating Multiple Breaks One at a Time |
0 |
0 |
0 |
0 |
1 |
4 |
18 |
1,164 |
| Estimating and Testing Linear Models with Multiple Structural Changes |
0 |
0 |
0 |
10 |
4 |
9 |
48 |
1,891 |
| Estimating and Testing Linear Models with Multiple Structural Changes |
3 |
8 |
22 |
715 |
13 |
29 |
94 |
1,811 |
| Estimation and inference of FAVAR models |
3 |
7 |
25 |
431 |
15 |
43 |
252 |
1,433 |
| Estimation of Structural Change Based on Wald-Type Statistics |
0 |
0 |
0 |
0 |
2 |
4 |
15 |
664 |
| Estimation of multiple-regime regressions with least absolutes deviation |
0 |
0 |
0 |
16 |
0 |
0 |
5 |
78 |
| Evaluating Latent and Observed Factors in Macroeconomics and Financ |
0 |
0 |
3 |
531 |
1 |
2 |
19 |
1,339 |
| Feasible Generalized Least Squares for Panel Data with Cross-sectional and Serial Correlations |
1 |
1 |
8 |
30 |
4 |
7 |
36 |
57 |
| Identification and estimation of dynamic factor models |
1 |
7 |
27 |
293 |
2 |
16 |
66 |
625 |
| Least squares estimation of a shift in linear processes |
0 |
0 |
4 |
106 |
5 |
7 |
17 |
242 |
| Likelihood approach to dynamic panel models with interactive effects |
0 |
1 |
8 |
130 |
2 |
4 |
18 |
224 |
| Matrix Completion, Counterfactuals, and Factor Analysis of Missing Data |
3 |
4 |
14 |
27 |
5 |
10 |
37 |
48 |
| Maximum likelihood estimation and inference for approximate factor models of high dimension |
1 |
3 |
6 |
164 |
2 |
4 |
11 |
290 |
| Multifactor asset pricing with a large number of observable risk factors and unobservable common and group-specific factors |
1 |
1 |
2 |
79 |
4 |
5 |
18 |
197 |
| Olive: a simple method for estimating betas when factors are measured with error |
0 |
0 |
1 |
52 |
1 |
1 |
8 |
156 |
| On the Estimation and Inference of a Panel Cointegration Model with Cross-Sectional Dependence |
0 |
0 |
0 |
719 |
1 |
1 |
12 |
1,470 |
| Panel Cointegration with Global Stochastic Trends |
0 |
0 |
0 |
468 |
1 |
6 |
26 |
1,007 |
| Panel data models with grouped factor structure under unknown group membership |
1 |
3 |
6 |
149 |
1 |
3 |
15 |
255 |
| Practical notes on panel data models with interactive effects |
1 |
1 |
4 |
99 |
1 |
2 |
10 |
75 |
| Principal Components and Regularized Estimation of Factor Models |
1 |
1 |
9 |
74 |
1 |
1 |
17 |
137 |
| Quantile co-movement in financial markets: A panel quantile model with unobserved heterogeneity |
1 |
1 |
5 |
64 |
1 |
2 |
21 |
100 |
| Robust Principal Component Analysis with Non-Sparse Errors |
2 |
2 |
11 |
36 |
2 |
2 |
17 |
46 |
| Spatial panel data models with common shocks |
0 |
0 |
3 |
106 |
0 |
0 |
9 |
196 |
| Standard Errors for Panel Data Models with Unknown Clusters |
0 |
1 |
12 |
31 |
2 |
4 |
41 |
51 |
| Stochastic Equicontinuity and Weak Convergence of Unbounded Sequential Empirical Proceses |
0 |
0 |
0 |
0 |
0 |
4 |
9 |
298 |
| Structural changes, common stochastic trends and unit roots in panel data |
0 |
0 |
2 |
531 |
0 |
0 |
10 |
1,051 |
| Testing Panel Cointegration with Unobservable Dynamic Common Factors |
0 |
0 |
0 |
100 |
0 |
0 |
6 |
224 |
| Testing for Parameter Constancy in Linear Regressions: Empirical Distribution Function Approach |
0 |
0 |
0 |
0 |
0 |
2 |
6 |
391 |
| Tests for Skewness, Kurtosis, and Normality for Time Series Data |
0 |
0 |
5 |
4,573 |
6 |
19 |
64 |
19,759 |
| The Impact of 1989 California Major Anti-Smoking Legislation on Cigarette Consumption: Three Years Later |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
824 |
| The Impact of a Large Tax Increase on Cigarette Consumption: The Case of California |
0 |
0 |
0 |
1 |
1 |
2 |
3 |
286 |
| Theory and Applications of TAR Model with Two Threshold Variables |
0 |
1 |
2 |
32 |
2 |
7 |
14 |
133 |
| Theory and methods of panel data models with interactive effects |
0 |
0 |
4 |
121 |
0 |
0 |
7 |
246 |
| Vector Autoregressive Models with Structural Changes in Regression Coefficients and in Variance-Covariance Matrices |
4 |
7 |
35 |
342 |
13 |
25 |
96 |
1,071 |
| Weak convergence of the sequential empirical processes of residuals in ARMA models |
0 |
0 |
0 |
20 |
0 |
0 |
5 |
79 |
| the Impact of 1989 California Major Anti-Smoking Legislation Cigarette Consumption: Three Years Later |
0 |
0 |
0 |
1 |
0 |
0 |
0 |
10 |
| the Impact of a Large Tax Increase on Cigarette Consumption: The Case of California |
0 |
0 |
0 |
5 |
0 |
1 |
2 |
30 |
| Total Working Papers |
31 |
66 |
274 |
17,298 |
143 |
363 |
1,526 |
60,444 |
| Journal Article |
File Downloads |
Abstract Views |
| Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
| A PANIC Attack on Unit Roots and Cointegration |
0 |
0 |
1 |
1,031 |
3 |
8 |
47 |
3,008 |
| A consistent test for conditional symmetry in time series models |
0 |
0 |
0 |
55 |
0 |
0 |
5 |
195 |
| A simple new test for slope homogeneity in panel data models with interactive effects |
0 |
0 |
2 |
28 |
1 |
2 |
6 |
90 |
| Asset Pricing with a General Multifactor Structure |
1 |
8 |
15 |
63 |
1 |
10 |
27 |
133 |
| Boosting diffusion indices |
0 |
0 |
0 |
103 |
0 |
0 |
4 |
379 |
| Clustering Huge Number of Financial Time Series: A Panel Data Approach With High-Dimensional Predictors and Factor Structures |
0 |
0 |
3 |
18 |
0 |
0 |
13 |
50 |
| Common breaks in means and variances for panel data |
0 |
0 |
5 |
175 |
0 |
2 |
15 |
392 |
| Computation and analysis of multiple structural change models |
3 |
17 |
72 |
2,901 |
27 |
80 |
296 |
6,540 |
| Conditional Markov chain and its application in economic time series analysis |
0 |
0 |
0 |
0 |
1 |
1 |
7 |
151 |
| Confidence Intervals for Diffusion Index Forecasts and Inference for Factor-Augmented Regressions |
0 |
1 |
4 |
180 |
1 |
8 |
26 |
656 |
| Critical values for multiple structural change tests |
1 |
3 |
11 |
445 |
5 |
14 |
40 |
973 |
| Cross‐Sectional Dependence in Panel Data Models: A Special Issue |
0 |
0 |
1 |
63 |
0 |
3 |
6 |
135 |
| Determining the Number of Factors in Approximate Factor Models |
0 |
0 |
4 |
1,297 |
13 |
43 |
104 |
4,742 |
| Determining the Number of Primitive Shocks in Factor Models |
3 |
8 |
23 |
348 |
5 |
13 |
47 |
763 |
| Econometric Analysis of Large Factor Models |
1 |
2 |
5 |
20 |
1 |
7 |
28 |
80 |
| Efficient estimation of approximate factor models via penalized maximum likelihood |
0 |
0 |
3 |
65 |
0 |
1 |
12 |
187 |
| Estimating High Dimensional Covariance Matrices and its Applications |
0 |
2 |
13 |
251 |
5 |
14 |
55 |
875 |
| Estimating Multiple Breaks One at a Time |
0 |
2 |
7 |
324 |
4 |
16 |
44 |
636 |
| Estimating and Testing Linear Models with Multiple Structural Changes |
0 |
0 |
0 |
9 |
23 |
60 |
190 |
4,602 |
| Estimating cross-section common stochastic trends in nonstationary panel data |
0 |
1 |
4 |
316 |
0 |
2 |
10 |
686 |
| Estimation Of A Change Point In Multiple Regression Models |
8 |
21 |
57 |
850 |
14 |
40 |
123 |
2,282 |
| Estimation and Inference of FAVAR Models |
0 |
1 |
2 |
5 |
1 |
6 |
20 |
48 |
| Evaluating latent and observed factors in macroeconomics and finance |
1 |
1 |
5 |
333 |
3 |
4 |
21 |
778 |
| Extremum Estimation when the Predictors are Estimated from Large Panels |
0 |
0 |
2 |
37 |
0 |
0 |
6 |
236 |
| Fama–MacBeth two-pass regressions: Improving risk premia estimates |
0 |
1 |
6 |
55 |
2 |
10 |
43 |
247 |
| Fixed‐Effects Dynamic Panel Models, a Factor Analytical Method |
0 |
0 |
0 |
72 |
3 |
9 |
21 |
243 |
| Forecasting economic time series using targeted predictors |
7 |
21 |
102 |
595 |
21 |
51 |
237 |
1,452 |
| Generic consistency of the break-point estimators under specification errors in a multiple-break model |
0 |
0 |
0 |
44 |
0 |
0 |
2 |
299 |
| INSTRUMENTAL VARIABLE ESTIMATION IN A DATA RICH ENVIRONMENT |
1 |
1 |
2 |
97 |
2 |
4 |
12 |
234 |
| Identification and Bayesian Estimation of Dynamic Factor Models |
2 |
3 |
8 |
55 |
3 |
6 |
19 |
116 |
| Identification theory for high dimensional static and dynamic factor models |
0 |
1 |
7 |
101 |
0 |
3 |
15 |
281 |
| Inferences in panel data with interactive effects using large covariance matrices |
0 |
0 |
7 |
34 |
1 |
2 |
21 |
96 |
| Inferential Theory for Factor Models of Large Dimensions |
0 |
0 |
0 |
332 |
3 |
13 |
37 |
1,135 |
| LEAST SQUARES ESTIMATION OF A SHIFT IN LINEAR PROCESSES |
0 |
1 |
3 |
5 |
2 |
3 |
9 |
23 |
| Large Dimensional Factor Analysis |
0 |
0 |
7 |
93 |
2 |
5 |
28 |
264 |
| Least Absolute Deviation Estimation of a Shift |
1 |
1 |
1 |
48 |
3 |
5 |
10 |
242 |
| Likelihood ratio tests for multiple structural changes |
1 |
1 |
3 |
262 |
3 |
4 |
9 |
546 |
| Maximum Likelihood Estimation and Inference for Approximate Factor Models of High Dimension |
3 |
5 |
14 |
50 |
5 |
11 |
41 |
154 |
| OLIVE: A SIMPLE METHOD FOR ESTIMATING BETAS WHEN FACTORS ARE MEASURED WITH ERROR |
0 |
0 |
0 |
0 |
0 |
2 |
4 |
174 |
| ON THE PARTIAL SUMS OF RESIDUALS IN AUTOREGRESSIVE AND MOVING AVERAGE MODELS |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
3 |
| PANEL UNIT ROOT TESTS WITH CROSS-SECTION DEPENDENCE: A FURTHER INVESTIGATION |
1 |
1 |
2 |
97 |
1 |
3 |
8 |
233 |
| Panel Data Models With Interactive Fixed Effects |
2 |
3 |
7 |
442 |
6 |
16 |
53 |
1,226 |
| Panel Data Models with Grouped Factor Structure Under Unknown Group Membership |
1 |
1 |
2 |
43 |
1 |
1 |
8 |
136 |
| Panel cointegration with global stochastic trends |
1 |
1 |
11 |
282 |
2 |
6 |
37 |
709 |
| Principal components estimation and identification of static factors |
0 |
1 |
7 |
122 |
1 |
8 |
31 |
378 |
| Rank regularized estimation of approximate factor models |
0 |
0 |
15 |
19 |
2 |
7 |
50 |
59 |
| Selecting Instrumental Variables in a Data Rich Environment |
0 |
0 |
8 |
167 |
2 |
7 |
36 |
455 |
| Selecting the regularization parameters in high-dimensional panel data models: Consistency and efficiency |
1 |
1 |
1 |
10 |
1 |
2 |
9 |
23 |
| Special Issue on Big Data |
0 |
0 |
1 |
5 |
1 |
1 |
10 |
27 |
| Structural Changes in High Dimensional Factor Models |
1 |
2 |
12 |
39 |
1 |
5 |
26 |
95 |
| Structural Changes, Common Stochastic Trends, and Unit Roots in Panel Data |
0 |
2 |
17 |
266 |
0 |
8 |
44 |
703 |
| Testing For and Dating Common Breaks in Multivariate Time Series |
1 |
1 |
4 |
568 |
3 |
5 |
21 |
1,287 |
| Testing Parametric Conditional Distributions of Dynamic Models |
0 |
1 |
2 |
161 |
0 |
3 |
7 |
478 |
| Testing for Parameter Constancy in Linear Regressions: An Empirical Distribution Function Approach |
0 |
0 |
1 |
133 |
0 |
5 |
8 |
634 |
| Testing multivariate distributions in GARCH models |
1 |
1 |
2 |
125 |
1 |
2 |
10 |
303 |
| Testing panel cointegration with unobservable dynamic common factors that are correlated with the regressors |
1 |
1 |
2 |
41 |
2 |
3 |
8 |
103 |
| Tests for Skewness, Kurtosis, and Normality for Time Series Data |
0 |
1 |
6 |
280 |
2 |
4 |
26 |
785 |
| Theory and Applications of TAR Model with Two Threshold Variables |
0 |
0 |
2 |
2 |
0 |
0 |
5 |
22 |
| Vector Autoregressive Models with Structural Changes in Regression Coefficients and in Variance-Covariance Matrices |
0 |
0 |
6 |
213 |
2 |
3 |
24 |
534 |
| Total Journal Articles |
43 |
119 |
507 |
13,775 |
186 |
551 |
2,082 |
42,316 |
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