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 |
0 |
2 |
597 |
A New Look at Panel Testing of Stationarity and the PPP Hypothesis |
0 |
1 |
1 |
491 |
1 |
2 |
3 |
1,350 |
A Note on Spurious Break and Regime Shift in Cointegrating Relationship |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
529 |
A PANIC Attack on Unit Roots and Cointegration |
0 |
0 |
1 |
894 |
0 |
0 |
9 |
2,519 |
A Panic Attack on Unit Roots and Cointegration |
0 |
0 |
0 |
158 |
0 |
1 |
8 |
1,094 |
A Quantile-based Asset Pricing Model |
0 |
0 |
0 |
65 |
0 |
1 |
4 |
98 |
A Test for Conditional Symmetry in Time Series Models |
0 |
0 |
0 |
470 |
0 |
1 |
1 |
2,021 |
A simple new test for slope homogeneity in panel data models with interactive effects |
0 |
0 |
0 |
70 |
0 |
0 |
2 |
125 |
An Inequality for Vector-Valued Martingales and Its Applications |
0 |
0 |
0 |
0 |
1 |
1 |
1 |
489 |
Approximate Factor Models with Weaker Loadings |
0 |
1 |
2 |
62 |
0 |
3 |
8 |
64 |
Bayesian inference for dynamic spatial quantile models with interactive effects |
1 |
1 |
8 |
8 |
1 |
3 |
9 |
9 |
Bayesian inference for dynamic spatial quantile models with interactive effects |
1 |
1 |
1 |
1 |
1 |
1 |
2 |
2 |
Causal inference using factor models |
0 |
1 |
7 |
49 |
1 |
4 |
30 |
65 |
Computation and Analysis of Multiple Structural-Change Models |
0 |
0 |
4 |
2,524 |
5 |
8 |
32 |
5,376 |
Conditional Markov chain and its application in economic time series analysis |
0 |
0 |
1 |
451 |
0 |
0 |
4 |
1,642 |
Confidence Intervals for Diffusion Index Forecasts with a Large Number of Predictor |
0 |
0 |
1 |
220 |
0 |
1 |
4 |
506 |
Determining the Number of Factors in Approximate Factor Models |
2 |
5 |
22 |
1,467 |
3 |
19 |
69 |
4,737 |
Determining the Number of Factors in Approximate Factor Models |
0 |
1 |
5 |
404 |
0 |
1 |
12 |
1,162 |
Efficiency of QMLE for dynamic panel data models with interactive effects |
0 |
2 |
2 |
12 |
0 |
4 |
11 |
23 |
Efficient Estimation of Approximate Factor Models |
0 |
0 |
0 |
103 |
1 |
1 |
4 |
217 |
Estimating & Testing Linear Models with Multiple Structural Changes |
0 |
0 |
0 |
0 |
1 |
1 |
2 |
1,070 |
Estimating Multiple Breaks One at a Time |
0 |
0 |
0 |
0 |
0 |
0 |
2 |
1,191 |
Estimating and Testing Linear Models with Multiple Structural Changes |
0 |
1 |
9 |
771 |
4 |
7 |
28 |
2,007 |
Estimating and Testing Linear Models with Multiple Structural Changes |
0 |
0 |
0 |
10 |
0 |
4 |
14 |
1,996 |
Estimation and inference of FAVAR models |
1 |
2 |
3 |
466 |
2 |
10 |
19 |
1,575 |
Estimation of Structural Change Based on Wald-Type Statistics |
0 |
0 |
0 |
0 |
3 |
4 |
7 |
704 |
Estimation of multiple-regime regressions with least absolutes deviation |
0 |
0 |
0 |
17 |
1 |
1 |
2 |
83 |
Evaluating Latent and Observed Factors in Macroeconomics and Financ |
0 |
0 |
0 |
540 |
0 |
0 |
2 |
1,371 |
Factor-Based Imputation of Missing Values and Covariances in Panel Data of Large Dimensions |
0 |
1 |
2 |
43 |
1 |
3 |
7 |
84 |
Feasible Generalized Least Squares for Panel Data with Cross-sectional and Serial Correlations |
1 |
8 |
31 |
206 |
7 |
26 |
112 |
800 |
Identification and estimation of dynamic factor models |
0 |
1 |
2 |
308 |
4 |
6 |
11 |
686 |
Large-scale generalized linear longitudinal data models with grouped patterns of unobserved heterogeneity |
0 |
0 |
2 |
19 |
0 |
0 |
8 |
28 |
Least squares estimation of a shift in linear processes |
1 |
2 |
5 |
126 |
1 |
2 |
8 |
317 |
Likelihood approach to dynamic panel models with interactive effects |
0 |
0 |
2 |
142 |
0 |
3 |
7 |
266 |
Likelihood ratio test for structural changes in factor models |
0 |
0 |
0 |
25 |
1 |
3 |
8 |
45 |
Matrix Completion, Counterfactuals, and Factor Analysis of Missing Data |
0 |
0 |
0 |
64 |
1 |
3 |
6 |
162 |
Maximum likelihood estimation and inference for approximate factor models of high dimension |
0 |
0 |
0 |
175 |
1 |
1 |
4 |
331 |
Multifactor asset pricing with a large number of observable risk factors and unobservable common and group-specific factors |
0 |
0 |
1 |
88 |
0 |
0 |
6 |
235 |
Olive: a simple method for estimating betas when factors are measured with error |
0 |
0 |
0 |
55 |
0 |
0 |
5 |
171 |
On the Estimation and Inference of a Panel Cointegration Model with Cross-Sectional Dependence |
0 |
0 |
3 |
725 |
1 |
3 |
10 |
1,504 |
Panel Cointegration with Global Stochastic Trends |
0 |
0 |
0 |
471 |
2 |
3 |
6 |
1,050 |
Panel data models with grouped factor structure under unknown group membership |
0 |
0 |
1 |
160 |
1 |
1 |
10 |
293 |
Practical notes on panel data models with interactive effects |
0 |
0 |
1 |
105 |
0 |
0 |
2 |
92 |
Principal Components and Regularized Estimation of Factor Models |
0 |
0 |
2 |
84 |
0 |
2 |
6 |
175 |
Quantile co-movement in financial markets: A panel quantile model with unobserved heterogeneity |
0 |
0 |
3 |
85 |
1 |
3 |
12 |
172 |
Quasi-maximum likelihood estimation of break point in high-dimensional factor models |
0 |
0 |
0 |
48 |
1 |
1 |
7 |
89 |
Robust Principal Component Analysis with Non-Sparse Errors |
0 |
0 |
0 |
42 |
0 |
1 |
1 |
65 |
Scenario-based Quantile Connectedness of the U.S. Interbank Liquidity Risk Network |
1 |
1 |
3 |
5 |
2 |
3 |
10 |
17 |
Simpler Proofs for Approximate Factor Models of Large Dimensions |
0 |
0 |
2 |
52 |
0 |
1 |
6 |
65 |
Spatial panel data models with common shocks |
0 |
0 |
0 |
111 |
0 |
3 |
7 |
223 |
Standard Errors for Panel Data Models with Unknown Clusters |
0 |
0 |
1 |
47 |
1 |
2 |
3 |
101 |
Stochastic Equicontinuity and Weak Convergence of Unbounded Sequential Empirical Proceses |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
309 |
Structural changes, common stochastic trends and unit roots in panel data |
0 |
1 |
1 |
537 |
0 |
3 |
7 |
1,078 |
Taxonomy and Estimation of Multiple Breakpoints in High-Dimensional Factor Models |
1 |
1 |
3 |
3 |
1 |
3 |
9 |
9 |
Testing Panel Cointegration with Unobservable Dynamic Common Factors |
0 |
0 |
1 |
102 |
0 |
1 |
5 |
246 |
Testing for Parameter Constancy in Linear Regressions: Empirical Distribution Function Approach |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
404 |
Tests for Skewness, Kurtosis, and Normality for Time Series Data |
0 |
1 |
4 |
4,594 |
3 |
6 |
15 |
19,883 |
The Impact of 1989 California Major Anti-Smoking Legislation on Cigarette Consumption: Three Years Later |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
826 |
The Impact of a Large Tax Increase on Cigarette Consumption: The Case of California |
0 |
0 |
0 |
1 |
0 |
0 |
2 |
289 |
Theory and Applications of TAR Model with Two Threshold Variables |
1 |
2 |
4 |
45 |
4 |
5 |
8 |
188 |
Theory and methods of panel data models with interactive effects |
0 |
0 |
0 |
129 |
0 |
0 |
4 |
273 |
Vector Autoregressive Models with Structural Changes in Regression Coefficients and in Variance-Covariance Matrices |
1 |
4 |
9 |
463 |
3 |
10 |
38 |
1,464 |
Weak convergence of the sequential empirical processes of residuals in ARMA models |
0 |
0 |
1 |
23 |
0 |
0 |
2 |
89 |
the Impact of 1989 California Major Anti-Smoking Legislation Cigarette Consumption: Three Years Later |
1 |
1 |
1 |
2 |
1 |
1 |
2 |
18 |
the Impact of a Large Tax Increase on Cigarette Consumption: The Case of California |
0 |
0 |
0 |
5 |
0 |
0 |
2 |
33 |
Total Working Papers |
12 |
39 |
152 |
18,430 |
62 |
177 |
647 |
64,702 |
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 |
1 |
2 |
100 |
A PANIC Attack on Unit Roots and Cointegration |
1 |
1 |
6 |
1,043 |
1 |
1 |
20 |
3,102 |
A consistent test for conditional symmetry in time series models |
0 |
0 |
1 |
58 |
0 |
0 |
5 |
216 |
A simple new test for slope homogeneity in panel data models with interactive effects |
0 |
0 |
3 |
38 |
0 |
0 |
6 |
135 |
Approximate factor models with weaker loadings |
0 |
0 |
2 |
3 |
0 |
2 |
10 |
17 |
Asset Pricing with a General Multifactor Structure |
0 |
1 |
8 |
132 |
0 |
1 |
13 |
243 |
Bayesian and maximum likelihood analysis of large-scale panel choice models with unobserved heterogeneity |
0 |
1 |
7 |
18 |
0 |
1 |
14 |
44 |
Boosting diffusion indices |
0 |
0 |
2 |
114 |
0 |
1 |
6 |
412 |
Clustering Huge Number of Financial Time Series: A Panel Data Approach With High-Dimensional Predictors and Factor Structures |
1 |
1 |
4 |
37 |
1 |
3 |
14 |
103 |
Common breaks in means and variances for panel data |
0 |
0 |
2 |
199 |
0 |
2 |
7 |
454 |
Computation and analysis of multiple structural change models |
5 |
11 |
33 |
3,100 |
28 |
52 |
162 |
7,413 |
Conditional Markov chain and its application in economic time series analysis |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
165 |
Confidence Intervals for Diffusion Index Forecasts and Inference for Factor-Augmented Regressions |
0 |
0 |
2 |
199 |
1 |
1 |
3 |
726 |
Critical values for multiple structural change tests |
0 |
0 |
0 |
450 |
1 |
1 |
12 |
1,076 |
Cross‐Sectional Dependence in Panel Data Models: A Special Issue |
0 |
0 |
3 |
83 |
0 |
3 |
9 |
173 |
Determining the Number of Factors in Approximate Factor Models |
0 |
0 |
0 |
1,297 |
5 |
11 |
37 |
5,039 |
Determining the Number of Primitive Shocks in Factor Models |
0 |
0 |
1 |
383 |
1 |
1 |
7 |
861 |
Dynamic spatial panel data models with common shocks |
0 |
0 |
3 |
25 |
3 |
3 |
11 |
72 |
Econometric Analysis of Large Factor Models |
0 |
1 |
10 |
49 |
0 |
1 |
22 |
166 |
Efficient estimation of approximate factor models via penalized maximum likelihood |
0 |
0 |
1 |
88 |
0 |
0 |
7 |
256 |
Estimating High Dimensional Covariance Matrices and its Applications |
1 |
2 |
5 |
276 |
3 |
7 |
17 |
1,024 |
Estimating Multiple Breaks One at a Time |
0 |
0 |
4 |
352 |
0 |
1 |
18 |
756 |
Estimating and Testing Linear Models with Multiple Structural Changes |
0 |
0 |
0 |
9 |
11 |
21 |
80 |
5,065 |
Estimating cross-section common stochastic trends in nonstationary panel data |
0 |
0 |
1 |
326 |
2 |
2 |
7 |
729 |
Estimation Of A Change Point In Multiple Regression Models |
0 |
1 |
10 |
970 |
1 |
5 |
25 |
2,578 |
Estimation and Inference of FAVAR Models |
2 |
3 |
5 |
30 |
2 |
3 |
7 |
119 |
Estimation and inference of change points in high-dimensional factor models |
0 |
0 |
1 |
16 |
0 |
4 |
14 |
61 |
Evaluating latent and observed factors in macroeconomics and finance |
2 |
2 |
7 |
370 |
2 |
3 |
28 |
885 |
Extremum Estimation when the Predictors are Estimated from Large Panels |
0 |
0 |
0 |
41 |
0 |
1 |
3 |
256 |
Factor-based imputation of missing values and covariances in panel data of large dimensions |
0 |
0 |
2 |
6 |
1 |
4 |
9 |
39 |
Fama–MacBeth two-pass regressions: Improving risk premia estimates |
0 |
1 |
2 |
95 |
0 |
1 |
8 |
378 |
Feasible generalized least squares for panel data with cross-sectional and serial correlations |
2 |
7 |
23 |
59 |
4 |
18 |
88 |
249 |
Fixed‐Effects Dynamic Panel Models, a Factor Analytical Method |
0 |
0 |
1 |
74 |
3 |
4 |
7 |
260 |
Forecasting economic time series using targeted predictors |
2 |
10 |
38 |
856 |
14 |
44 |
128 |
2,155 |
Generic consistency of the break-point estimators under specification errors in a multiple-break model |
0 |
0 |
0 |
44 |
0 |
0 |
2 |
303 |
INSTRUMENTAL VARIABLE ESTIMATION IN A DATA RICH ENVIRONMENT |
0 |
0 |
4 |
112 |
1 |
1 |
8 |
276 |
Identification and Bayesian Estimation of Dynamic Factor Models |
0 |
3 |
21 |
136 |
0 |
5 |
41 |
314 |
Identification theory for high dimensional static and dynamic factor models |
1 |
1 |
13 |
125 |
5 |
6 |
27 |
336 |
Inferences in panel data with interactive effects using large covariance matrices |
0 |
0 |
0 |
65 |
2 |
4 |
6 |
163 |
Inferential Theory for Factor Models of Large Dimensions |
0 |
0 |
0 |
332 |
3 |
5 |
21 |
1,283 |
LEAST SQUARES ESTIMATION OF A SHIFT IN LINEAR PROCESSES |
1 |
1 |
1 |
20 |
2 |
2 |
3 |
77 |
Large Dimensional Factor Analysis |
0 |
2 |
22 |
155 |
5 |
15 |
58 |
435 |
Large-Scale Generalized Linear Models for Longitudinal Data with Grouped Patterns of Unobserved Heterogeneity |
0 |
0 |
0 |
1 |
0 |
0 |
4 |
8 |
Least Absolute Deviation Estimation of a Shift |
0 |
0 |
1 |
56 |
0 |
0 |
7 |
280 |
Likelihood approach to dynamic panel models with interactive effects |
0 |
2 |
7 |
10 |
1 |
5 |
18 |
25 |
Likelihood ratio tests for multiple structural changes |
0 |
0 |
0 |
269 |
0 |
1 |
6 |
575 |
Matrix Completion, Counterfactuals, and Factor Analysis of Missing Data |
0 |
1 |
4 |
13 |
2 |
7 |
19 |
49 |
Maximum Likelihood Estimation and Inference for Approximate Factor Models of High Dimension |
0 |
0 |
4 |
110 |
0 |
3 |
14 |
308 |
OLIVE: A SIMPLE METHOD FOR ESTIMATING BETAS WHEN FACTORS ARE MEASURED WITH ERROR |
0 |
0 |
0 |
0 |
0 |
0 |
2 |
185 |
ON THE PARTIAL SUMS OF RESIDUALS IN AUTOREGRESSIVE AND MOVING AVERAGE MODELS |
0 |
0 |
0 |
0 |
1 |
1 |
1 |
10 |
PANEL UNIT ROOT TESTS WITH CROSS-SECTION DEPENDENCE: A FURTHER INVESTIGATION |
0 |
0 |
2 |
102 |
1 |
1 |
6 |
257 |
Panel Data Models With Interactive Fixed Effects |
1 |
9 |
42 |
587 |
6 |
21 |
100 |
1,659 |
Panel Data Models with Grouped Factor Structure Under Unknown Group Membership |
0 |
0 |
6 |
63 |
0 |
2 |
19 |
197 |
Panel cointegration with global stochastic trends |
0 |
0 |
0 |
304 |
2 |
3 |
5 |
799 |
Principal components estimation and identification of static factors |
0 |
1 |
5 |
177 |
1 |
5 |
15 |
595 |
Quantile Co-Movement in Financial Markets: A Panel Quantile Model With Unobserved Heterogeneity |
0 |
0 |
6 |
27 |
0 |
1 |
25 |
100 |
Quasi-maximum likelihood estimation of break point in high-dimensional factor models |
1 |
1 |
2 |
7 |
1 |
2 |
11 |
27 |
Rank regularized estimation of approximate factor models |
0 |
2 |
4 |
42 |
1 |
4 |
9 |
122 |
Reprint of: The likelihood ratio test for structural changes in factor models |
0 |
0 |
0 |
0 |
1 |
1 |
6 |
6 |
Scenario-based quantile connectedness of the U.S. interbank liquidity risk network |
3 |
3 |
5 |
5 |
3 |
4 |
11 |
11 |
Selecting Instrumental Variables in a Data Rich Environment |
0 |
0 |
0 |
173 |
0 |
0 |
2 |
483 |
Selecting the regularization parameters in high-dimensional panel data models: Consistency and efficiency |
0 |
0 |
1 |
17 |
0 |
1 |
4 |
38 |
Special Issue on Big Data |
0 |
0 |
0 |
7 |
2 |
3 |
4 |
45 |
Standard errors for panel data models with unknown clusters |
1 |
1 |
1 |
3 |
4 |
4 |
14 |
18 |
Structural Changes in High Dimensional Factor Models |
0 |
0 |
2 |
55 |
0 |
1 |
6 |
127 |
Structural Changes, Common Stochastic Trends, and Unit Roots in Panel Data |
1 |
2 |
16 |
328 |
1 |
10 |
36 |
875 |
Testing For and Dating Common Breaks in Multivariate Time Series |
0 |
0 |
0 |
588 |
0 |
3 |
7 |
1,342 |
Testing Parametric Conditional Distributions of Dynamic Models |
0 |
0 |
1 |
171 |
0 |
0 |
7 |
501 |
Testing for Parameter Constancy in Linear Regressions: An Empirical Distribution Function Approach |
0 |
0 |
1 |
140 |
1 |
1 |
4 |
656 |
Testing multivariate distributions in GARCH models |
0 |
0 |
1 |
131 |
1 |
2 |
5 |
320 |
Testing panel cointegration with unobservable dynamic common factors that are correlated with the regressors |
0 |
0 |
2 |
46 |
1 |
3 |
8 |
122 |
Tests for Skewness, Kurtosis, and Normality for Time Series Data |
0 |
1 |
2 |
312 |
0 |
1 |
9 |
888 |
The likelihood ratio test for structural changes in factor models |
0 |
1 |
1 |
4 |
1 |
4 |
8 |
17 |
Theory and Applications of TAR Model with Two Threshold Variables |
0 |
0 |
0 |
2 |
0 |
1 |
4 |
37 |
Vector Autoregressive Models with Structural Changes in Regression Coefficients and in Variance-Covariance Matrices |
0 |
3 |
7 |
284 |
0 |
4 |
15 |
660 |
Total Journal Articles |
25 |
76 |
371 |
15,862 |
134 |
340 |
1,384 |
49,856 |