| 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 |
2 |
490 |
0 |
0 |
13 |
1,344 |
| A New Look at Panel Testing of Stationarity and the PPP Hypothesis |
0 |
0 |
0 |
87 |
0 |
0 |
4 |
591 |
| 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 |
892 |
3 |
8 |
58 |
2,463 |
| A Panic Attack on Unit Roots and Cointegration |
0 |
0 |
0 |
158 |
1 |
3 |
11 |
1,071 |
| A Quantile-based Asset Pricing Model |
0 |
0 |
4 |
62 |
0 |
0 |
19 |
79 |
| A Test for Conditional Symmetry in Time Series Models |
0 |
0 |
1 |
467 |
0 |
0 |
5 |
2,014 |
| A simple new test for slope homogeneity in panel data models with interactive effects |
0 |
1 |
3 |
69 |
0 |
1 |
6 |
118 |
| An Inequality for Vector-Valued Martingales and Its Applications |
0 |
0 |
0 |
0 |
0 |
1 |
1 |
488 |
| Computation and Analysis of Multiple Structural-Change Models |
4 |
6 |
7 |
2,508 |
8 |
19 |
41 |
5,262 |
| Conditional Markov chain and its application in economic time series analysis |
0 |
1 |
4 |
445 |
2 |
5 |
33 |
1,621 |
| Confidence Intervals for Diffusion Index Forecasts with a Large Number of Predictor |
0 |
0 |
0 |
218 |
0 |
0 |
2 |
496 |
| Determining the Number of Factors in Approximate Factor Models |
0 |
2 |
10 |
1,432 |
4 |
13 |
72 |
4,555 |
| Determining the Number of Factors in Approximate Factor Models |
0 |
0 |
2 |
392 |
0 |
1 |
16 |
1,115 |
| Efficient Estimation of Approximate Factor Models |
0 |
1 |
1 |
102 |
0 |
1 |
3 |
210 |
| Estimating & Testing Linear Models with Multiple Structural Changes |
0 |
0 |
0 |
0 |
0 |
0 |
4 |
1,051 |
| Estimating Multiple Breaks One at a Time |
0 |
0 |
0 |
0 |
0 |
1 |
7 |
1,179 |
| Estimating and Testing Linear Models with Multiple Structural Changes |
1 |
4 |
11 |
737 |
5 |
9 |
38 |
1,894 |
| Estimating and Testing Linear Models with Multiple Structural Changes |
0 |
0 |
0 |
10 |
1 |
7 |
30 |
1,944 |
| Estimation and inference of FAVAR models |
1 |
2 |
9 |
457 |
3 |
9 |
40 |
1,536 |
| Estimation of Structural Change Based on Wald-Type Statistics |
0 |
0 |
0 |
0 |
1 |
1 |
6 |
680 |
| Estimation of multiple-regime regressions with least absolutes deviation |
0 |
0 |
0 |
17 |
0 |
1 |
1 |
80 |
| Evaluating Latent and Observed Factors in Macroeconomics and Financ |
0 |
1 |
1 |
533 |
0 |
1 |
4 |
1,347 |
| Factor-Based Imputation of Missing Values and Covariances in Panel Data of Large Dimensions |
0 |
1 |
11 |
30 |
0 |
1 |
31 |
52 |
| Feasible Generalized Least Squares for Panel Data with Cross-sectional and Serial Correlations |
5 |
15 |
32 |
83 |
20 |
56 |
160 |
309 |
| Identification and estimation of dynamic factor models |
1 |
1 |
3 |
303 |
2 |
3 |
16 |
667 |
| Least squares estimation of a shift in linear processes |
1 |
2 |
2 |
111 |
2 |
6 |
22 |
277 |
| Likelihood approach to dynamic panel models with interactive effects |
0 |
1 |
1 |
135 |
1 |
2 |
8 |
246 |
| Matrix Completion, Counterfactuals, and Factor Analysis of Missing Data |
1 |
4 |
16 |
51 |
1 |
6 |
45 |
114 |
| Maximum likelihood estimation and inference for approximate factor models of high dimension |
0 |
1 |
2 |
169 |
1 |
5 |
14 |
318 |
| Multifactor asset pricing with a large number of observable risk factors and unobservable common and group-specific factors |
1 |
1 |
3 |
84 |
1 |
1 |
10 |
218 |
| Olive: a simple method for estimating betas when factors are measured with error |
0 |
1 |
1 |
54 |
0 |
1 |
2 |
164 |
| On the Estimation and Inference of a Panel Cointegration Model with Cross-Sectional Dependence |
0 |
0 |
0 |
719 |
0 |
1 |
8 |
1,482 |
| Panel Cointegration with Global Stochastic Trends |
0 |
0 |
0 |
468 |
0 |
1 |
7 |
1,028 |
| Panel data models with grouped factor structure under unknown group membership |
0 |
3 |
3 |
156 |
1 |
4 |
5 |
267 |
| Practical notes on panel data models with interactive effects |
0 |
0 |
1 |
102 |
0 |
1 |
6 |
86 |
| Principal Components and Regularized Estimation of Factor Models |
1 |
1 |
4 |
79 |
1 |
2 |
9 |
154 |
| Quantile co-movement in financial markets: A panel quantile model with unobserved heterogeneity |
0 |
1 |
5 |
75 |
1 |
2 |
12 |
128 |
| Quasi-maximum likelihood estimation of break point in high-dimensional factor models |
0 |
2 |
11 |
42 |
1 |
7 |
31 |
56 |
| Robust Principal Component Analysis with Non-Sparse Errors |
0 |
0 |
2 |
39 |
0 |
2 |
8 |
58 |
| Simpler Proofs for Approximate Factor Models of Large Dimensions |
0 |
0 |
5 |
47 |
0 |
0 |
10 |
42 |
| Spatial panel data models with common shocks |
0 |
0 |
1 |
109 |
0 |
1 |
6 |
207 |
| Standard Errors for Panel Data Models with Unknown Clusters |
0 |
1 |
4 |
37 |
1 |
4 |
20 |
78 |
| Stochastic Equicontinuity and Weak Convergence of Unbounded Sequential Empirical Proceses |
0 |
0 |
0 |
0 |
0 |
1 |
6 |
307 |
| Structural changes, common stochastic trends and unit roots in panel data |
0 |
0 |
1 |
534 |
0 |
0 |
5 |
1,063 |
| Testing Panel Cointegration with Unobservable Dynamic Common Factors |
0 |
0 |
0 |
101 |
1 |
2 |
8 |
239 |
| Testing for Parameter Constancy in Linear Regressions: Empirical Distribution Function Approach |
0 |
0 |
0 |
0 |
0 |
1 |
3 |
400 |
| Tests for Skewness, Kurtosis, and Normality for Time Series Data |
0 |
1 |
4 |
4,580 |
0 |
2 |
24 |
19,818 |
| The Impact of 1989 California Major Anti-Smoking Legislation on Cigarette Consumption: Three Years Later |
0 |
0 |
0 |
0 |
0 |
0 |
2 |
826 |
| The Impact of a Large Tax Increase on Cigarette Consumption: The Case of California |
0 |
0 |
0 |
1 |
0 |
0 |
1 |
287 |
| Theory and Applications of TAR Model with Two Threshold Variables |
1 |
2 |
3 |
36 |
1 |
4 |
15 |
155 |
| Theory and methods of panel data models with interactive effects |
0 |
1 |
1 |
127 |
0 |
4 |
9 |
263 |
| Vector Autoregressive Models with Structural Changes in Regression Coefficients and in Variance-Covariance Matrices |
4 |
9 |
42 |
400 |
11 |
33 |
117 |
1,259 |
| Weak convergence of the sequential empirical processes of residuals in ARMA models |
0 |
0 |
1 |
21 |
0 |
0 |
2 |
81 |
| the Impact of 1989 California Major Anti-Smoking Legislation Cigarette Consumption: Three Years Later |
0 |
0 |
0 |
1 |
1 |
1 |
4 |
16 |
| the Impact of a Large Tax Increase on Cigarette Consumption: The Case of California |
0 |
0 |
0 |
5 |
0 |
0 |
0 |
30 |
| Total Working Papers |
21 |
66 |
215 |
17,775 |
75 |
235 |
1,040 |
62,362 |
| 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 |
0 |
0 |
3 |
97 |
| A PANIC Attack on Unit Roots and Cointegration |
0 |
0 |
0 |
1,033 |
1 |
3 |
24 |
3,046 |
| A consistent test for conditional symmetry in time series models |
0 |
0 |
1 |
56 |
0 |
1 |
6 |
202 |
| A simple new test for slope homogeneity in panel data models with interactive effects |
0 |
0 |
0 |
32 |
3 |
3 |
14 |
112 |
| Asset Pricing with a General Multifactor Structure |
2 |
7 |
15 |
90 |
2 |
8 |
24 |
185 |
| Boosting diffusion indices |
0 |
0 |
2 |
106 |
0 |
1 |
7 |
392 |
| Clustering Huge Number of Financial Time Series: A Panel Data Approach With High-Dimensional Predictors and Factor Structures |
0 |
0 |
2 |
22 |
1 |
2 |
10 |
71 |
| Common breaks in means and variances for panel data |
0 |
4 |
6 |
185 |
1 |
5 |
18 |
418 |
| Computation and analysis of multiple structural change models |
2 |
9 |
32 |
2,967 |
12 |
44 |
185 |
6,861 |
| Conditional Markov chain and its application in economic time series analysis |
0 |
0 |
0 |
0 |
0 |
0 |
2 |
157 |
| Confidence Intervals for Diffusion Index Forecasts and Inference for Factor-Augmented Regressions |
1 |
2 |
6 |
190 |
3 |
5 |
28 |
700 |
| Critical values for multiple structural change tests |
0 |
0 |
0 |
450 |
2 |
9 |
34 |
1,036 |
| Cross‐Sectional Dependence in Panel Data Models: A Special Issue |
0 |
0 |
0 |
68 |
0 |
0 |
4 |
147 |
| Determining the Number of Factors in Approximate Factor Models |
0 |
0 |
0 |
1,297 |
3 |
16 |
48 |
4,839 |
| Determining the Number of Primitive Shocks in Factor Models |
0 |
1 |
9 |
369 |
0 |
4 |
31 |
827 |
| Econometric Analysis of Large Factor Models |
0 |
1 |
8 |
34 |
1 |
4 |
25 |
121 |
| Efficient estimation of approximate factor models via penalized maximum likelihood |
0 |
1 |
12 |
81 |
3 |
5 |
29 |
230 |
| Estimating High Dimensional Covariance Matrices and its Applications |
1 |
1 |
6 |
262 |
5 |
11 |
46 |
950 |
| Estimating Multiple Breaks One at a Time |
0 |
1 |
6 |
332 |
0 |
8 |
35 |
682 |
| Estimating and Testing Linear Models with Multiple Structural Changes |
0 |
0 |
0 |
9 |
5 |
23 |
105 |
4,797 |
| Estimating cross-section common stochastic trends in nonstationary panel data |
0 |
0 |
5 |
321 |
0 |
0 |
9 |
701 |
| Estimation Of A Change Point In Multiple Regression Models |
0 |
4 |
34 |
916 |
3 |
19 |
97 |
2,448 |
| Estimation and Inference of FAVAR Models |
1 |
1 |
3 |
8 |
1 |
1 |
11 |
64 |
| Estimation and inference of change points in high-dimensional factor models |
0 |
1 |
2 |
7 |
0 |
1 |
11 |
28 |
| Evaluating latent and observed factors in macroeconomics and finance |
0 |
3 |
8 |
342 |
2 |
8 |
21 |
813 |
| Extremum Estimation when the Predictors are Estimated from Large Panels |
0 |
0 |
1 |
38 |
0 |
0 |
8 |
247 |
| Fama–MacBeth two-pass regressions: Improving risk premia estimates |
2 |
4 |
20 |
84 |
6 |
16 |
61 |
337 |
| Feasible generalized least squares for panel data with cross-sectional and serial correlations |
0 |
0 |
3 |
7 |
3 |
8 |
28 |
41 |
| Fixed‐Effects Dynamic Panel Models, a Factor Analytical Method |
0 |
0 |
0 |
72 |
0 |
2 |
4 |
250 |
| Forecasting economic time series using targeted predictors |
5 |
18 |
59 |
689 |
15 |
39 |
166 |
1,714 |
| Generic consistency of the break-point estimators under specification errors in a multiple-break model |
0 |
0 |
0 |
44 |
0 |
0 |
1 |
301 |
| INSTRUMENTAL VARIABLE ESTIMATION IN A DATA RICH ENVIRONMENT |
0 |
0 |
4 |
102 |
0 |
3 |
15 |
252 |
| Identification and Bayesian Estimation of Dynamic Factor Models |
6 |
8 |
17 |
89 |
7 |
10 |
39 |
208 |
| Identification theory for high dimensional static and dynamic factor models |
0 |
1 |
4 |
105 |
1 |
3 |
9 |
292 |
| Inferences in panel data with interactive effects using large covariance matrices |
0 |
3 |
11 |
49 |
0 |
6 |
19 |
132 |
| Inferential Theory for Factor Models of Large Dimensions |
0 |
0 |
0 |
332 |
2 |
7 |
42 |
1,196 |
| LEAST SQUARES ESTIMATION OF A SHIFT IN LINEAR PROCESSES |
2 |
2 |
3 |
11 |
5 |
9 |
21 |
48 |
| Large Dimensional Factor Analysis |
0 |
0 |
10 |
109 |
1 |
4 |
25 |
312 |
| Least Absolute Deviation Estimation of a Shift |
0 |
0 |
3 |
54 |
1 |
5 |
13 |
264 |
| Likelihood ratio tests for multiple structural changes |
0 |
0 |
1 |
266 |
1 |
2 |
10 |
562 |
| Maximum Likelihood Estimation and Inference for Approximate Factor Models of High Dimension |
3 |
7 |
22 |
80 |
6 |
15 |
54 |
230 |
| OLIVE: A SIMPLE METHOD FOR ESTIMATING BETAS WHEN FACTORS ARE MEASURED WITH ERROR |
0 |
0 |
0 |
0 |
0 |
1 |
2 |
182 |
| ON THE PARTIAL SUMS OF RESIDUALS IN AUTOREGRESSIVE AND MOVING AVERAGE MODELS |
0 |
0 |
0 |
0 |
0 |
0 |
3 |
7 |
| PANEL UNIT ROOT TESTS WITH CROSS-SECTION DEPENDENCE: A FURTHER INVESTIGATION |
0 |
0 |
0 |
98 |
1 |
2 |
7 |
247 |
| Panel Data Models With Interactive Fixed Effects |
2 |
7 |
34 |
483 |
5 |
26 |
99 |
1,358 |
| Panel Data Models with Grouped Factor Structure Under Unknown Group Membership |
0 |
1 |
4 |
48 |
0 |
2 |
9 |
151 |
| Panel cointegration with global stochastic trends |
1 |
1 |
4 |
291 |
1 |
5 |
23 |
748 |
| Principal components estimation and identification of static factors |
3 |
6 |
21 |
146 |
3 |
10 |
110 |
510 |
| Quantile Co-Movement in Financial Markets: A Panel Quantile Model With Unobserved Heterogeneity |
0 |
2 |
3 |
9 |
1 |
3 |
19 |
38 |
| Rank regularized estimation of approximate factor models |
0 |
1 |
4 |
27 |
0 |
1 |
16 |
89 |
| Selecting Instrumental Variables in a Data Rich Environment |
0 |
1 |
3 |
170 |
0 |
4 |
15 |
477 |
| Selecting the regularization parameters in high-dimensional panel data models: Consistency and efficiency |
0 |
0 |
0 |
13 |
0 |
0 |
0 |
28 |
| Special Issue on Big Data |
0 |
0 |
1 |
7 |
0 |
1 |
5 |
35 |
| Structural Changes in High Dimensional Factor Models |
0 |
0 |
4 |
47 |
0 |
0 |
8 |
112 |
| Structural Changes, Common Stochastic Trends, and Unit Roots in Panel Data |
1 |
2 |
14 |
293 |
3 |
10 |
43 |
777 |
| Testing For and Dating Common Breaks in Multivariate Time Series |
3 |
3 |
7 |
576 |
3 |
3 |
9 |
1,308 |
| Testing Parametric Conditional Distributions of Dynamic Models |
0 |
0 |
2 |
163 |
0 |
0 |
4 |
485 |
| Testing for Parameter Constancy in Linear Regressions: An Empirical Distribution Function Approach |
0 |
0 |
2 |
138 |
0 |
0 |
4 |
645 |
| Testing multivariate distributions in GARCH models |
0 |
0 |
1 |
126 |
1 |
1 |
4 |
307 |
| Testing panel cointegration with unobservable dynamic common factors that are correlated with the regressors |
0 |
0 |
0 |
43 |
0 |
1 |
3 |
112 |
| Tests for Skewness, Kurtosis, and Normality for Time Series Data |
0 |
3 |
10 |
295 |
1 |
5 |
30 |
831 |
| Theory and Applications of TAR Model with Two Threshold Variables |
0 |
0 |
0 |
2 |
0 |
0 |
5 |
31 |
| Vector Autoregressive Models with Structural Changes in Regression Coefficients and in Variance-Covariance Matrices |
2 |
4 |
19 |
239 |
3 |
12 |
37 |
585 |
| Total Journal Articles |
37 |
110 |
448 |
14,565 |
118 |
397 |
1,797 |
45,373 |
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