| 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 |
0 |
0 |
0 |
87 |
0 |
8 |
11 |
606 |
| A New Look at Panel Testing of Stationarity and the PPP Hypothesis |
0 |
0 |
1 |
491 |
1 |
7 |
10 |
1,358 |
| A Note on Spurious Break and Regime Shift in Cointegrating Relationship |
0 |
0 |
0 |
0 |
0 |
5 |
8 |
537 |
| A PANIC Attack on Unit Roots and Cointegration |
0 |
0 |
0 |
894 |
1 |
4 |
7 |
2,524 |
| A Panic Attack on Unit Roots and Cointegration |
0 |
0 |
0 |
158 |
2 |
20 |
22 |
1,114 |
| A Quantile-based Asset Pricing Model |
0 |
0 |
1 |
66 |
2 |
8 |
12 |
109 |
| A Test for Conditional Symmetry in Time Series Models |
0 |
1 |
1 |
471 |
0 |
6 |
8 |
2,028 |
| A simple new test for slope homogeneity in panel data models with interactive effects |
0 |
0 |
1 |
71 |
1 |
7 |
11 |
135 |
| An Inequality for Vector-Valued Martingales and Its Applications |
0 |
0 |
0 |
0 |
1 |
2 |
6 |
494 |
| Approximate Factor Models with Weaker Loadings |
1 |
1 |
2 |
63 |
2 |
11 |
20 |
79 |
| Bayesian inference for dynamic spatial quantile models with interactive effects |
0 |
0 |
1 |
1 |
2 |
7 |
13 |
13 |
| Bayesian inference for dynamic spatial quantile models with interactive effects |
0 |
0 |
8 |
8 |
1 |
5 |
21 |
21 |
| Causal inference using factor models |
0 |
2 |
6 |
52 |
3 |
20 |
34 |
90 |
| Computation and Analysis of Multiple Structural-Change Models |
0 |
2 |
6 |
2,527 |
5 |
22 |
59 |
5,419 |
| Conditional Markov chain and its application in economic time series analysis |
0 |
0 |
1 |
451 |
1 |
11 |
15 |
1,655 |
| Confidence Intervals for Diffusion Index Forecasts with a Large Number of Predictor |
0 |
0 |
1 |
221 |
3 |
6 |
9 |
513 |
| Determining the Number of Factors in Approximate Factor Models |
1 |
6 |
20 |
1,476 |
8 |
35 |
99 |
4,801 |
| Determining the Number of Factors in Approximate Factor Models |
0 |
0 |
4 |
404 |
3 |
41 |
58 |
1,216 |
| Efficiency of QMLE for dynamic panel data models with interactive effects |
0 |
0 |
3 |
13 |
6 |
13 |
23 |
41 |
| Efficient Estimation of Approximate Factor Models |
1 |
1 |
1 |
104 |
1 |
8 |
14 |
229 |
| Estimating & Testing Linear Models with Multiple Structural Changes |
0 |
0 |
0 |
0 |
1 |
4 |
7 |
1,076 |
| Estimating Multiple Breaks One at a Time |
0 |
0 |
0 |
0 |
3 |
11 |
13 |
1,203 |
| Estimating and Testing Linear Models with Multiple Structural Changes |
0 |
0 |
0 |
10 |
1 |
4 |
22 |
2,010 |
| Estimating and Testing Linear Models with Multiple Structural Changes |
0 |
0 |
9 |
777 |
6 |
17 |
44 |
2,039 |
| Estimation and inference of FAVAR models |
1 |
2 |
4 |
468 |
5 |
16 |
32 |
1,593 |
| Estimation of Structural Change Based on Wald-Type Statistics |
0 |
0 |
0 |
0 |
0 |
7 |
13 |
712 |
| Estimation of multiple-regime regressions with least absolutes deviation |
0 |
0 |
0 |
17 |
9 |
15 |
19 |
100 |
| Evaluating Latent and Observed Factors in Macroeconomics and Financ |
0 |
0 |
1 |
541 |
1 |
14 |
16 |
1,387 |
| Factor-Based Imputation of Missing Values and Covariances in Panel Data of Large Dimensions |
0 |
0 |
3 |
44 |
0 |
9 |
17 |
97 |
| Feasible Generalized Least Squares for Panel Data with Cross-sectional and Serial Correlations |
2 |
7 |
30 |
219 |
6 |
38 |
113 |
857 |
| Global identification of dynamic panel models with interactive effects |
0 |
0 |
13 |
13 |
0 |
11 |
18 |
18 |
| Identification and estimation of dynamic factor models |
0 |
0 |
2 |
308 |
0 |
7 |
24 |
700 |
| Large-scale generalized linear longitudinal data models with grouped patterns of unobserved heterogeneity |
0 |
0 |
0 |
19 |
0 |
3 |
6 |
33 |
| Least squares estimation of a shift in linear processes |
0 |
0 |
2 |
126 |
2 |
18 |
22 |
337 |
| Likelihood approach to dynamic panel models with interactive effects |
0 |
0 |
2 |
142 |
0 |
3 |
14 |
274 |
| Likelihood ratio test for structural changes in factor models |
0 |
0 |
0 |
25 |
2 |
5 |
13 |
53 |
| Matrix Completion, Counterfactuals, and Factor Analysis of Missing Data |
0 |
0 |
0 |
64 |
3 |
3 |
10 |
169 |
| Maximum likelihood estimation and inference for approximate factor models of high dimension |
0 |
0 |
1 |
176 |
0 |
6 |
12 |
341 |
| Multifactor asset pricing with a large number of observable risk factors and unobservable common and group-specific factors |
0 |
0 |
1 |
89 |
2 |
7 |
12 |
245 |
| Olive: a simple method for estimating betas when factors are measured with error |
0 |
0 |
0 |
55 |
5 |
9 |
12 |
181 |
| On the Estimation and Inference of a Panel Cointegration Model with Cross-Sectional Dependence |
2 |
2 |
4 |
728 |
7 |
18 |
26 |
1,526 |
| Panel Cointegration with Global Stochastic Trends |
0 |
0 |
0 |
471 |
1 |
11 |
18 |
1,063 |
| Panel data models with grouped factor structure under unknown group membership |
0 |
1 |
2 |
162 |
2 |
14 |
17 |
309 |
| Practical notes on panel data models with interactive effects |
0 |
0 |
1 |
106 |
1 |
6 |
8 |
99 |
| Principal Components and Regularized Estimation of Factor Models |
1 |
1 |
4 |
87 |
4 |
14 |
24 |
195 |
| Quantile co-movement in financial markets: A panel quantile model with unobserved heterogeneity |
0 |
0 |
0 |
85 |
2 |
4 |
13 |
180 |
| Quasi-maximum likelihood estimation of break point in high-dimensional factor models |
0 |
0 |
0 |
48 |
1 |
11 |
14 |
102 |
| Robust Principal Component Analysis with Non-Sparse Errors |
0 |
0 |
0 |
42 |
0 |
4 |
6 |
70 |
| Scenario-based Quantile Connectedness of the U.S. Interbank Liquidity Risk Network |
0 |
0 |
1 |
5 |
3 |
10 |
18 |
31 |
| Simpler Proofs for Approximate Factor Models of Large Dimensions |
0 |
1 |
3 |
54 |
2 |
7 |
14 |
76 |
| Spatial panel data models with common shocks |
0 |
1 |
1 |
112 |
0 |
8 |
19 |
238 |
| Standard Errors for Panel Data Models with Unknown Clusters |
0 |
0 |
0 |
47 |
0 |
6 |
9 |
108 |
| Stochastic Equicontinuity and Weak Convergence of Unbounded Sequential Empirical Proceses |
0 |
0 |
0 |
0 |
2 |
8 |
9 |
318 |
| Structural changes, common stochastic trends and unit roots in panel data |
0 |
0 |
1 |
537 |
1 |
9 |
17 |
1,090 |
| Taxonomy and Estimation of Multiple Breakpoints in High-Dimensional Factor Models |
0 |
0 |
6 |
6 |
3 |
7 |
30 |
30 |
| Testing Panel Cointegration with Unobservable Dynamic Common Factors |
0 |
0 |
0 |
102 |
2 |
5 |
12 |
256 |
| Testing for Parameter Constancy in Linear Regressions: Empirical Distribution Function Approach |
0 |
0 |
0 |
0 |
1 |
38 |
39 |
443 |
| Tests for Skewness, Kurtosis, and Normality for Time Series Data |
1 |
1 |
5 |
4,597 |
4 |
14 |
33 |
19,906 |
| The Impact of 1989 California Major Anti-Smoking Legislation on Cigarette Consumption: Three Years Later |
0 |
0 |
0 |
0 |
0 |
8 |
8 |
834 |
| The Impact of a Large Tax Increase on Cigarette Consumption: The Case of California |
0 |
0 |
0 |
1 |
0 |
2 |
2 |
291 |
| Theory and Applications of TAR Model with Two Threshold Variables |
0 |
0 |
2 |
45 |
6 |
13 |
21 |
204 |
| Theory and methods of panel data models with interactive effects |
0 |
0 |
0 |
129 |
1 |
6 |
15 |
286 |
| Vector Autoregressive Models with Structural Changes in Regression Coefficients and in Variance-Covariance Matrices |
0 |
0 |
8 |
465 |
3 |
15 |
47 |
1,488 |
| Weak convergence of the sequential empirical processes of residuals in ARMA models |
0 |
2 |
3 |
26 |
1 |
10 |
12 |
100 |
| the Impact of 1989 California Major Anti-Smoking Legislation Cigarette Consumption: Three Years Later |
0 |
0 |
1 |
2 |
0 |
3 |
6 |
22 |
| the Impact of a Large Tax Increase on Cigarette Consumption: The Case of California |
0 |
0 |
0 |
5 |
2 |
3 |
4 |
36 |
| Total Working Papers |
10 |
31 |
167 |
18,513 |
138 |
707 |
1,340 |
65,708 |
| Journal Article |
File Downloads |
Abstract Views |
| Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
| A NOTE ON SPURIOUS BREAK |
0 |
0 |
0 |
43 |
1 |
6 |
11 |
110 |
| A PANIC Attack on Unit Roots and Cointegration |
1 |
1 |
2 |
1,044 |
5 |
17 |
30 |
3,127 |
| A consistent test for conditional symmetry in time series models |
0 |
0 |
1 |
58 |
0 |
8 |
12 |
225 |
| A simple new test for slope homogeneity in panel data models with interactive effects |
0 |
0 |
2 |
38 |
3 |
11 |
18 |
151 |
| Approximate factor models with weaker loadings |
0 |
0 |
0 |
3 |
6 |
19 |
32 |
46 |
| Asset Pricing with a General Multifactor Structure |
1 |
4 |
8 |
139 |
2 |
12 |
20 |
260 |
| Bayesian and maximum likelihood analysis of large-scale panel choice models with unobserved heterogeneity |
0 |
0 |
3 |
19 |
1 |
5 |
15 |
56 |
| Boosting diffusion indices |
0 |
0 |
1 |
114 |
0 |
5 |
13 |
422 |
| Clustering Huge Number of Financial Time Series: A Panel Data Approach With High-Dimensional Predictors and Factor Structures |
0 |
0 |
2 |
37 |
5 |
22 |
34 |
131 |
| Common breaks in means and variances for panel data |
0 |
0 |
1 |
199 |
1 |
5 |
16 |
466 |
| Computation and analysis of multiple structural change models |
8 |
13 |
51 |
3,131 |
38 |
98 |
298 |
7,624 |
| Conditional Markov chain and its application in economic time series analysis |
0 |
0 |
0 |
0 |
0 |
6 |
9 |
174 |
| Confidence Intervals for Diffusion Index Forecasts and Inference for Factor-Augmented Regressions |
0 |
0 |
1 |
200 |
7 |
16 |
28 |
753 |
| Critical values for multiple structural change tests |
0 |
0 |
0 |
450 |
7 |
19 |
27 |
1,098 |
| Cross‐Sectional Dependence in Panel Data Models: A Special Issue |
0 |
0 |
1 |
83 |
4 |
10 |
15 |
184 |
| Determining the Number of Factors in Approximate Factor Models |
0 |
0 |
0 |
1,297 |
4 |
21 |
78 |
5,101 |
| Determining the Number of Primitive Shocks in Factor Models |
0 |
0 |
0 |
383 |
3 |
11 |
17 |
875 |
| Dynamic spatial panel data models with common shocks |
0 |
1 |
4 |
29 |
4 |
11 |
29 |
96 |
| Econometric Analysis of Large Factor Models |
0 |
1 |
3 |
50 |
3 |
9 |
14 |
176 |
| Efficient estimation of approximate factor models via penalized maximum likelihood |
0 |
0 |
0 |
88 |
1 |
11 |
18 |
272 |
| Estimating High Dimensional Covariance Matrices and its Applications |
0 |
0 |
5 |
278 |
0 |
12 |
29 |
1,044 |
| Estimating Multiple Breaks One at a Time |
1 |
3 |
4 |
355 |
3 |
12 |
23 |
773 |
| Estimating and Testing Linear Models with Multiple Structural Changes |
0 |
0 |
0 |
9 |
9 |
65 |
148 |
5,176 |
| Estimating cross-section common stochastic trends in nonstationary panel data |
0 |
0 |
1 |
326 |
2 |
9 |
18 |
744 |
| Estimation Of A Change Point In Multiple Regression Models |
0 |
0 |
4 |
971 |
5 |
13 |
29 |
2,595 |
| Estimation and Inference of FAVAR Models |
0 |
0 |
3 |
30 |
0 |
5 |
9 |
125 |
| Estimation and inference of change points in high-dimensional factor models |
0 |
0 |
1 |
17 |
0 |
16 |
33 |
89 |
| Evaluating latent and observed factors in macroeconomics and finance |
0 |
2 |
6 |
373 |
1 |
17 |
34 |
908 |
| Extremum Estimation when the Predictors are Estimated from Large Panels |
0 |
0 |
0 |
41 |
5 |
13 |
16 |
270 |
| Factor-based imputation of missing values and covariances in panel data of large dimensions |
0 |
0 |
1 |
6 |
0 |
4 |
13 |
46 |
| Fama–MacBeth two-pass regressions: Improving risk premia estimates |
0 |
1 |
4 |
98 |
1 |
12 |
27 |
402 |
| Feasible generalized least squares for panel data with cross-sectional and serial correlations |
2 |
10 |
39 |
83 |
14 |
61 |
141 |
344 |
| Fixed‐Effects Dynamic Panel Models, a Factor Analytical Method |
0 |
1 |
2 |
75 |
0 |
4 |
13 |
267 |
| Forecasting economic time series using targeted predictors |
3 |
9 |
37 |
870 |
6 |
34 |
135 |
2,213 |
| Generic consistency of the break-point estimators under specification errors in a multiple-break model |
0 |
0 |
0 |
44 |
1 |
9 |
12 |
315 |
| INSTRUMENTAL VARIABLE ESTIMATION IN A DATA RICH ENVIRONMENT |
0 |
0 |
2 |
113 |
0 |
9 |
14 |
287 |
| Identification and Bayesian Estimation of Dynamic Factor Models |
1 |
4 |
13 |
141 |
1 |
14 |
40 |
337 |
| Identification theory for high dimensional static and dynamic factor models |
2 |
3 |
8 |
129 |
2 |
8 |
23 |
347 |
| Inferences in panel data with interactive effects using large covariance matrices |
0 |
0 |
0 |
65 |
1 |
6 |
13 |
172 |
| Inferential Theory for Factor Models of Large Dimensions |
0 |
0 |
0 |
332 |
7 |
21 |
51 |
1,325 |
| LEAST SQUARES ESTIMATION OF A SHIFT IN LINEAR PROCESSES |
0 |
0 |
1 |
20 |
1 |
8 |
13 |
88 |
| Large Dimensional Factor Analysis |
1 |
6 |
13 |
165 |
4 |
21 |
89 |
499 |
| Large-Scale Generalized Linear Models for Longitudinal Data with Grouped Patterns of Unobserved Heterogeneity |
0 |
0 |
0 |
1 |
0 |
5 |
6 |
14 |
| Least Absolute Deviation Estimation of a Shift |
0 |
0 |
0 |
56 |
1 |
7 |
12 |
290 |
| Likelihood approach to dynamic panel models with interactive effects |
0 |
0 |
5 |
10 |
6 |
19 |
30 |
46 |
| Likelihood ratio tests for multiple structural changes |
0 |
0 |
0 |
269 |
3 |
11 |
17 |
588 |
| Matrix Completion, Counterfactuals, and Factor Analysis of Missing Data |
0 |
1 |
2 |
14 |
3 |
16 |
29 |
67 |
| Maximum Likelihood Estimation and Inference for Approximate Factor Models of High Dimension |
0 |
0 |
4 |
112 |
3 |
9 |
22 |
322 |
| OLIVE: A SIMPLE METHOD FOR ESTIMATING BETAS WHEN FACTORS ARE MEASURED WITH ERROR |
0 |
0 |
0 |
0 |
5 |
13 |
14 |
198 |
| ON THE PARTIAL SUMS OF RESIDUALS IN AUTOREGRESSIVE AND MOVING AVERAGE MODELS |
0 |
0 |
0 |
0 |
1 |
5 |
8 |
17 |
| PANEL UNIT ROOT TESTS WITH CROSS-SECTION DEPENDENCE: A FURTHER INVESTIGATION |
0 |
0 |
3 |
103 |
2 |
10 |
18 |
271 |
| Panel Data Models With Interactive Fixed Effects |
4 |
13 |
38 |
610 |
16 |
49 |
122 |
1,743 |
| Panel Data Models with Grouped Factor Structure Under Unknown Group Membership |
0 |
1 |
5 |
65 |
2 |
13 |
27 |
215 |
| Panel cointegration with global stochastic trends |
0 |
0 |
2 |
306 |
1 |
12 |
23 |
818 |
| Principal components estimation and identification of static factors |
0 |
0 |
2 |
177 |
1 |
16 |
26 |
613 |
| Quantile Co-Movement in Financial Markets: A Panel Quantile Model With Unobserved Heterogeneity |
0 |
1 |
3 |
28 |
1 |
11 |
20 |
114 |
| Quasi-maximum likelihood estimation of break point in high-dimensional factor models |
0 |
0 |
1 |
7 |
1 |
11 |
15 |
39 |
| Rank regularized estimation of approximate factor models |
0 |
0 |
3 |
42 |
1 |
6 |
15 |
131 |
| Reprint of: The likelihood ratio test for structural changes in factor models |
0 |
0 |
0 |
0 |
0 |
7 |
14 |
18 |
| Scenario-based quantile connectedness of the U.S. interbank liquidity risk network |
1 |
2 |
6 |
8 |
2 |
8 |
18 |
21 |
| Selecting Instrumental Variables in a Data Rich Environment |
0 |
0 |
1 |
174 |
2 |
6 |
11 |
492 |
| Selecting the regularization parameters in high-dimensional panel data models: Consistency and efficiency |
0 |
0 |
1 |
17 |
0 |
5 |
9 |
45 |
| Special Issue on Big Data |
0 |
0 |
0 |
7 |
1 |
4 |
7 |
49 |
| Standard errors for panel data models with unknown clusters |
2 |
3 |
4 |
6 |
5 |
13 |
27 |
38 |
| Structural Changes in High Dimensional Factor Models |
0 |
1 |
3 |
57 |
0 |
9 |
18 |
141 |
| Structural Changes, Common Stochastic Trends, and Unit Roots in Panel Data |
0 |
4 |
10 |
332 |
0 |
11 |
32 |
888 |
| Testing For and Dating Common Breaks in Multivariate Time Series |
0 |
0 |
0 |
588 |
1 |
9 |
17 |
1,355 |
| Testing Parametric Conditional Distributions of Dynamic Models |
0 |
0 |
1 |
171 |
1 |
11 |
15 |
515 |
| Testing for Parameter Constancy in Linear Regressions: An Empirical Distribution Function Approach |
0 |
0 |
0 |
140 |
1 |
9 |
13 |
667 |
| Testing multivariate distributions in GARCH models |
0 |
0 |
1 |
131 |
0 |
2 |
5 |
322 |
| Testing panel cointegration with unobservable dynamic common factors that are correlated with the regressors |
0 |
0 |
1 |
46 |
0 |
5 |
12 |
130 |
| Tests for Skewness, Kurtosis, and Normality for Time Series Data |
0 |
0 |
1 |
312 |
5 |
13 |
20 |
904 |
| The likelihood ratio test for structural changes in factor models |
0 |
0 |
2 |
5 |
1 |
14 |
26 |
37 |
| Theory and Applications of TAR Model with Two Threshold Variables |
0 |
0 |
0 |
2 |
0 |
5 |
9 |
44 |
| Vector Autoregressive Models with Structural Changes in Regression Coefficients and in Variance-Covariance Matrices |
0 |
0 |
6 |
284 |
4 |
7 |
23 |
674 |
| Total Journal Articles |
27 |
85 |
329 |
16,026 |
228 |
1,046 |
2,337 |
51,539 |
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