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Abstract Views |
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3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
| A CONTINUOUS TIME APPROXIMATION TO THE UNSTABLE FIRST- ORDER AUTOREGRESSIVE PROCESS: THE CASE WITHOUT AN INTERCEPT |
0 |
0 |
0 |
0 |
1 |
1 |
1 |
387 |
| A Comparison of Alternative Asymptotic Frameworks to Analyze a Structural Change in a Linear Time Trend |
0 |
0 |
0 |
129 |
0 |
1 |
4 |
428 |
| A Comparison of Alternative Methods to Construct Confidence Intervals for the Estimate of a Break Date in Linear Regression Models |
0 |
0 |
0 |
3 |
3 |
3 |
5 |
66 |
| A Comparison of Alternative Methods to Construct to Confidence Intervals for the Estimate of a Break Date in Linear Regression Models |
0 |
0 |
0 |
3 |
0 |
3 |
5 |
55 |
| A Modified Information Criterion for Cointegration Tests based on a VAR Approximation |
0 |
0 |
0 |
205 |
1 |
2 |
2 |
570 |
| A Non-local Perspective on the Power Properties of the CUSUM and CUSUM of Squares Tests for Structural Change |
0 |
0 |
0 |
72 |
3 |
3 |
5 |
252 |
| A Non-local Perspective on the Power Properties of the CUSUM and CUSUM of Squares Tests for Structural Change* |
0 |
0 |
0 |
36 |
1 |
2 |
3 |
173 |
| A Note on Estimating and Testing for Multiple Structural Changes in Models with Endogenous Regressors via 2SLS |
0 |
0 |
0 |
12 |
1 |
1 |
3 |
106 |
| A Note on the Selection of Time Series Models |
0 |
0 |
0 |
1,103 |
2 |
3 |
4 |
2,339 |
| A Sequential Procedure to Determine the Number of Breaks in Trend with an Integrated or Stationary Noise Component |
0 |
0 |
0 |
267 |
0 |
2 |
4 |
742 |
| A Sequential Procedure to Determine the Number of Breaks in Trend with an Integrated or Stationary Noise Component |
0 |
0 |
0 |
75 |
0 |
1 |
1 |
196 |
| A Simple Modification to Improve the Finite Sample Properties of Ng and Perron’s Unit Root Tests |
0 |
0 |
0 |
168 |
0 |
1 |
2 |
451 |
| A Stochastic Volatility Model with Random Level Shifts: Theory and Applications to S&P 500 and NASDAQ Return Indices |
0 |
0 |
0 |
102 |
1 |
1 |
2 |
189 |
| A Test for Changes in a Polynomial Trend Functions for a Dynamioc Time Series |
0 |
0 |
0 |
0 |
0 |
0 |
4 |
779 |
| A Two Step Procedure for Testing Partial Parameter Stability in Cointegrated Regression Models |
0 |
0 |
1 |
34 |
0 |
1 |
3 |
69 |
| A time-series analysis of the 20th century climate simulations produced for the IPCC’s AR4 |
0 |
0 |
0 |
12 |
0 |
1 |
3 |
194 |
| AN ANLYSIS OF THE REAL INTEREST RATE UNDER REGIME SHIFTS |
0 |
0 |
0 |
1 |
0 |
0 |
1 |
826 |
| Additional Tests for a Unit Root Allowing for a Break in the Trend Function at an Unknown Time |
0 |
0 |
0 |
198 |
1 |
2 |
4 |
489 |
| Additional Tests for a Unit Root Allowing for a Break in the Trend Function at an Unknown Time |
0 |
0 |
0 |
1 |
2 |
2 |
6 |
636 |
| An Alternative Trend-Cycle Decomposition using a State Space Model with Mixtures of Normals: Specifications and Applications to International Data |
0 |
0 |
0 |
247 |
0 |
0 |
2 |
812 |
| An Alternative Trend-Cycle Decomposition using a State Space Model with Mixtures of Normals: Specifications and Applications to International Data |
0 |
0 |
0 |
29 |
0 |
2 |
2 |
168 |
| An Analysis of the Real Interest Rate Under Regime Shifts |
0 |
0 |
1 |
859 |
4 |
6 |
15 |
3,454 |
| An Analysis of the Real Interest rate Under Regime Shifts |
0 |
0 |
0 |
1 |
1 |
1 |
2 |
940 |
| An Analysis of the Real Interest rate Under Regime Shifts |
0 |
0 |
0 |
103 |
6 |
6 |
8 |
515 |
| An Analytical Evaluation of the Log-periodogram Estimate in the Presence of Level Shifts |
0 |
0 |
0 |
27 |
1 |
2 |
2 |
130 |
| An Analytical Evaluation of the Log-periodogram Estimate in the Presence of Level Shifts and its Implications for Stock Returns Volatility* |
0 |
0 |
0 |
94 |
2 |
2 |
5 |
227 |
| An Autoregressive Spectral Density Estimator at Frequency Zero for Nonstationarity Tests |
0 |
0 |
0 |
0 |
3 |
3 |
4 |
1,248 |
| An Autoregressive Spectral Density Estimator at Frequency Zero for Nonstationarity Tests |
0 |
0 |
0 |
76 |
1 |
1 |
4 |
374 |
| An analysis of Real Interest Rate Under Regime Shifts |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
223 |
| An analysis of Real Interest Rate Under Regime Shifts |
0 |
0 |
0 |
0 |
1 |
1 |
1 |
99 |
| Approximations to Some Exact Distributions in the First Order Autogressive Model with Dependent Errors |
0 |
0 |
0 |
15 |
0 |
0 |
0 |
77 |
| Approximations to Some Exact Distributions in the First Order Autogressive Model with Dependent Errors |
0 |
0 |
0 |
0 |
1 |
1 |
2 |
159 |
| Assessing the Relative Power of Structural Break Tests Using a Framework Based on the Approximate Bahadur Slope |
0 |
0 |
0 |
28 |
3 |
4 |
6 |
135 |
| Asymptotic Approximations in the Near-Integrated Model with a Non-Zero Initial Condition |
0 |
0 |
0 |
28 |
0 |
0 |
2 |
216 |
| Bootstrap Procedures for Detecting Multiple Persistence Shifts in Heteroskedastic Time Series |
0 |
0 |
1 |
24 |
1 |
3 |
5 |
39 |
| Breaks, trends and the attribution of climate change: a time-series analysis |
0 |
0 |
1 |
140 |
2 |
2 |
6 |
391 |
| Change-Point Analysis of Time Series with Evolutionary Spectra |
0 |
0 |
1 |
27 |
2 |
3 |
9 |
45 |
| Characterizing and attributing the warming trend in sea and land surface temperatures |
0 |
0 |
2 |
28 |
1 |
3 |
7 |
71 |
| Combining Long Memory and Level Shifts in Modeling and Forecasting the Volatility of Asset Returns |
0 |
0 |
0 |
87 |
2 |
3 |
4 |
222 |
| Combining Long Memory and Level Shifts in Modeling and Forecasting the Volatility of Asset Returns |
0 |
0 |
0 |
0 |
2 |
3 |
4 |
54 |
| Combining Long Memory and Level Shifts in Modeling and Forecasting the Volatility of Asset Returns |
0 |
0 |
0 |
68 |
1 |
1 |
2 |
65 |
| Combining Long Memory and Level Shifts in Modeling and Forecasting the Volatility of Asset Returns |
0 |
0 |
0 |
10 |
0 |
2 |
2 |
110 |
| Comparisons of Robust Tests for Shifts in Trend with an Application to Trend Deviations of Real Exchange Rates in the Long Run |
0 |
0 |
0 |
14 |
1 |
1 |
2 |
157 |
| Computation and Analysis of Multiple Structural-Change Models |
0 |
1 |
5 |
2,525 |
4 |
21 |
44 |
5,397 |
| Continuous Record Asymptotics for Change-Point Models |
1 |
1 |
2 |
22 |
2 |
2 |
4 |
30 |
| Continuous Record Asymptotics for Change-Points Models |
0 |
0 |
0 |
26 |
0 |
0 |
1 |
56 |
| Continuous Record Laplace-based Inference about the Break Date in Structural Change Models |
0 |
0 |
0 |
12 |
6 |
7 |
9 |
50 |
| Continuous Record Laplace-based Inference about the Break Date in Structural Change Models |
0 |
0 |
1 |
4 |
1 |
2 |
5 |
26 |
| Data Dependent Rules for the Selection of the Number of Leads and Lags in the Dynamic OLS Cointegrating Regression |
0 |
0 |
0 |
77 |
2 |
3 |
4 |
288 |
| Data Dependent Rules for the Selection of the Number of Leads and Lags in the Dynamic OLS Cointegrating Regression* |
0 |
0 |
0 |
103 |
0 |
2 |
3 |
297 |
| Dealing with Structural Breaks |
0 |
0 |
0 |
723 |
3 |
10 |
32 |
2,026 |
| Detection and attribution of climate change through econometric methods |
0 |
0 |
1 |
25 |
2 |
2 |
5 |
51 |
| Does Gnp Have a Unit Root? a Reevaluation |
0 |
0 |
0 |
2 |
0 |
0 |
0 |
320 |
| Estimating & Testing Linear Models with Multiple Structural Changes |
0 |
0 |
0 |
0 |
1 |
2 |
4 |
1,072 |
| Estimating Deterministic Trend with an Integrated or Stationary Noise Component |
0 |
0 |
0 |
77 |
2 |
3 |
5 |
229 |
| Estimating Deterministic Trends with an Integrated or Stationary Noise Component |
0 |
0 |
0 |
12 |
4 |
4 |
6 |
120 |
| Estimating Deterministric Trends with an Integrated or Stationary Noise Component |
0 |
0 |
0 |
68 |
3 |
3 |
4 |
303 |
| Estimating and Testing Linear Models with Multiple Structural Changes |
0 |
6 |
12 |
777 |
5 |
15 |
33 |
2,022 |
| Estimating and Testing Linear Models with Multiple Structural Changes |
0 |
0 |
0 |
10 |
7 |
10 |
23 |
2,006 |
| Estimating and Testing Multiple Structural Changes in Linear Models Using Band Spectral Regressions |
0 |
0 |
0 |
44 |
3 |
4 |
7 |
174 |
| Estimating and Testing Multiple Structural Changes in Linear Models Using Band Spectral Regressions |
0 |
0 |
0 |
19 |
1 |
5 |
9 |
186 |
| Estimating and Testing Multiple Structural Changes in Models with Endogenous Regressors |
0 |
0 |
0 |
115 |
1 |
4 |
5 |
343 |
| Estimating and testing structural changes in multivariate regressions |
0 |
0 |
0 |
231 |
0 |
0 |
3 |
610 |
| Estimation and Inference in Nearly Unbalanced, Nearly Cointegrated Systems |
0 |
0 |
0 |
40 |
0 |
1 |
1 |
159 |
| Estimation and Inference in Nearly Unbalanced, Nearly Cointegrated Systems |
0 |
0 |
0 |
1 |
0 |
0 |
2 |
229 |
| Extracting and analyzing the warming trend in global and hemispheric temperatures |
0 |
0 |
0 |
19 |
1 |
3 |
3 |
94 |
| FURTHER EVIDENCE ON BREAKING TREND FUNCTIONS IN MACROECONOMICS VARIABLES |
0 |
0 |
0 |
4 |
4 |
5 |
9 |
1,094 |
| Forecasting Return Volatility: Level Shifts with Varying Jump Probability and Mean Reversion |
0 |
1 |
1 |
7 |
1 |
3 |
4 |
42 |
| Forecasting in the presence of in and out of sample breaks |
0 |
0 |
1 |
4 |
1 |
1 |
2 |
50 |
| Forecasting in the presence of in and out of sample breaks |
0 |
0 |
1 |
62 |
2 |
2 |
6 |
65 |
| Further Evidence on Breaking Trend Functions in Macroeconomic Variables |
0 |
0 |
0 |
255 |
2 |
3 |
5 |
746 |
| Further Evidence on Breaking Trend Functions in Macroeconomic Variables |
0 |
0 |
0 |
7 |
0 |
1 |
6 |
1,198 |
| GLS Detrending, Efficient Unit Root Tests and Structural Change |
1 |
1 |
1 |
612 |
3 |
3 |
7 |
1,361 |
| GLS-based unit root tests with multiple structural breaks both under the null and the alternative hypotheses |
0 |
0 |
0 |
141 |
4 |
7 |
9 |
554 |
| Generalized Laplace Inference in Multiple Change-Points Models |
0 |
0 |
2 |
5 |
2 |
5 |
10 |
52 |
| Generalized Laplace Inference in Multiple Change-Points Models |
0 |
0 |
0 |
30 |
0 |
0 |
4 |
94 |
| Improved Tests for Forecast Comparisons in the Presence of Instabilities |
0 |
0 |
0 |
3 |
0 |
2 |
5 |
45 |
| Improved Tests for Forecast Comparisons in the Presence of Instabilities |
0 |
0 |
0 |
42 |
1 |
1 |
2 |
47 |
| Inference Related to Common Breaks in a Multivariate System with Joined Segmented Trends with Applications to Global and Hemispheric Temperatures |
0 |
0 |
0 |
2 |
1 |
1 |
3 |
113 |
| Inference Related to Common Breaks in a Multivariate System with Joined Segmented Trends with Applications to Global and Hemispheric Temperatures |
0 |
0 |
0 |
15 |
1 |
1 |
3 |
47 |
| Inference Related to Locally Ordered and Common Breaks in a Multivariate System with Joined Segmented Trends |
0 |
0 |
1 |
3 |
2 |
4 |
6 |
26 |
| Inference on Locally Ordered Breaks in Multiple Regressions |
0 |
0 |
1 |
5 |
1 |
1 |
3 |
71 |
| Inference on a Structural Break in Trend with Fractionally Integrated Errors |
0 |
0 |
0 |
5 |
2 |
3 |
4 |
76 |
| Inference on a Structural Break in Trend with Fractionally Integrated Errors |
0 |
0 |
0 |
6 |
0 |
1 |
3 |
39 |
| Lag Length Selection and the Construction of Unit Root Tests with Good Size and Power |
2 |
3 |
6 |
1,969 |
5 |
11 |
24 |
6,082 |
| Let’s Take a Break: Trends and Cycles in US Real GDP |
0 |
0 |
0 |
87 |
0 |
3 |
6 |
502 |
| Let’s Take a Break: Trends and Cycles in US Real GDP? |
0 |
0 |
0 |
222 |
3 |
4 |
5 |
922 |
| Level Shifts and Purchasing Power Parity |
0 |
0 |
0 |
323 |
2 |
4 |
9 |
916 |
| Local Asymtotic Distributions Related to the AR(1) MOdel with Dependent Errors |
0 |
0 |
0 |
1 |
1 |
1 |
1 |
487 |
| Long-Memory and Level Shifts in the Volatility of Stock Market Return Indices |
0 |
0 |
0 |
115 |
1 |
4 |
4 |
293 |
| Measuring Business Cycles with Structural Breaks and Outliers: Applications to International Data |
0 |
0 |
0 |
13 |
8 |
8 |
10 |
110 |
| Measuring Business Cycles with Structural Breaks and Outliers: Applications to International Data |
0 |
0 |
0 |
64 |
0 |
1 |
2 |
54 |
| Memory Parameter Estimation in the Presence of Level Shifts and Deterministic Trends |
0 |
0 |
0 |
59 |
0 |
3 |
4 |
97 |
| Memory Parameter Estimation in the Presence of Level Shifts and Deterministic Trends |
0 |
0 |
0 |
7 |
0 |
1 |
3 |
86 |
| Methodology in Economics: the Logic of Appraisal |
0 |
0 |
0 |
68 |
0 |
0 |
0 |
251 |
| Modeling and Forecasting Stock Return Volatility Using a Random Level Shift Model |
0 |
0 |
0 |
78 |
2 |
3 |
3 |
214 |
| Nonstationary and Level Shifts With An Application To Purchasing Power Parity |
0 |
0 |
0 |
6 |
1 |
1 |
4 |
1,063 |
| On the Irrelevance of Impossibility Theorems: The Case of the Long-run Variance |
0 |
0 |
0 |
3 |
3 |
4 |
7 |
71 |
| On the Usefulness or Lack Thereof of Optimality Criteria for Structural Change Tests |
0 |
0 |
0 |
42 |
1 |
1 |
4 |
156 |
| On the Usefulness or Lack Thereof of Optimality Criteria for Structural Change Tests |
0 |
0 |
0 |
4 |
0 |
2 |
2 |
32 |
| On the Usefulness or Lack Thereof of Optimality Criteria for Structural Change Tests |
0 |
0 |
0 |
14 |
0 |
1 |
3 |
98 |
| PPP May not Hold After all: A Further Investigation |
0 |
0 |
0 |
278 |
1 |
1 |
1 |
936 |
| PPP May not Hold Afterall: A Further Investigation |
0 |
0 |
0 |
18 |
1 |
1 |
3 |
332 |
| Pitfalls and Opportunities: What Macroeconomics should know about unit roots |
0 |
0 |
0 |
3 |
3 |
4 |
9 |
1,659 |
| Pitfalls and Opportunities: What Macroeconomists Should Know About Unit Roots |
0 |
0 |
1 |
2,908 |
4 |
7 |
11 |
6,189 |
| Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots |
0 |
0 |
0 |
36 |
1 |
2 |
6 |
321 |
| Pitfalls of Two Step Testing for Changes in the Error Variance and Coefficients of a Linear Regression Model |
0 |
0 |
1 |
29 |
1 |
1 |
4 |
54 |
| Prewhitened Long-Run Variance Estimation Robust to Nonstationarity |
0 |
0 |
0 |
21 |
0 |
0 |
3 |
24 |
| Residual Based Tests for Cointegration with GLS Detrended Data |
0 |
0 |
0 |
2 |
1 |
3 |
6 |
778 |
| Residual test for cointegration with GLS detrended data |
0 |
0 |
1 |
182 |
1 |
2 |
6 |
451 |
| Residuals-based Tests for Cointegration with GLS Detrended Data |
0 |
0 |
1 |
39 |
1 |
2 |
4 |
90 |
| Robust testing of time trend and mean with unknown integration order errors Frequency (and Other) Contaminations |
0 |
0 |
0 |
11 |
0 |
0 |
0 |
86 |
| Sampling Interval and Estimated Betas: Implications for the Presence of Transitory Components in Stock Prices |
0 |
0 |
0 |
7 |
0 |
0 |
2 |
89 |
| Sampling Interval and estimated Betas: Implications for the Presence of Transitory Components in Stock Prices |
0 |
0 |
0 |
55 |
1 |
1 |
2 |
400 |
| Seraching for Additive Outliers in Nonstationary Time Series |
0 |
0 |
0 |
1 |
3 |
3 |
5 |
941 |
| Simultaneous Bandwidths Determination for DK-HAC Estimators and Long-Run Variance Estimation in Nonparametric Settings |
0 |
0 |
1 |
20 |
2 |
3 |
6 |
39 |
| Single-equation tests for Cointegration with GLS Detrended Data |
0 |
0 |
0 |
10 |
2 |
2 |
3 |
129 |
| State Space Model with Mixtures of Normals: Specifications and Applications to International Data |
0 |
0 |
0 |
31 |
0 |
0 |
2 |
244 |
| Statistical evidence about human influence on the climate system |
0 |
0 |
0 |
108 |
0 |
0 |
1 |
373 |
| Statistically-derived contributions of diverse human influences to 20th century temperature changes |
0 |
0 |
1 |
11 |
1 |
4 |
6 |
145 |
| Structural Breaks in Time Series |
1 |
3 |
4 |
150 |
4 |
10 |
15 |
448 |
| Structural Breaks in Time Series |
0 |
1 |
6 |
184 |
1 |
5 |
20 |
212 |
| TEST CONSISTENCY WITH VARYING SAMPLING FREQUENCY |
0 |
0 |
0 |
0 |
0 |
0 |
7 |
519 |
| TESTING FOR A RANDOM WALK: A SIMULATION EXPERIMENT OF POWER WHEN THE SIMPLING INTERVAL IS VARIED |
0 |
0 |
0 |
0 |
1 |
1 |
4 |
713 |
| TESTING FOR A UNIT ROOT IN A TIME SERIES WITH A CHANGING MEAN |
0 |
0 |
0 |
12 |
5 |
9 |
11 |
1,342 |
| THE ADEQUACY OF LIMITING DISTRIBUTIONS IN THE AR(1) MODEL WITH DEPENDENT ERRORS |
0 |
0 |
0 |
0 |
2 |
2 |
4 |
167 |
| THE EFFECT OF SEASONAL ADJUSTMENT FILTERS ON TEST FOR UNIT ROOT |
0 |
0 |
0 |
0 |
2 |
2 |
4 |
256 |
| THE EFFECT OF SEASONAL ADJUSTMENT FILTERS ON TESTS FOR A UNIT ROOT |
0 |
0 |
0 |
1 |
1 |
2 |
3 |
453 |
| THE GREAT CRASH, THE OIL PRICE SHOCK AND THE UNIT ROOT HYPOTHESIS |
0 |
0 |
0 |
6 |
1 |
5 |
14 |
2,783 |
| THE LIMITING DISTRIBUTION OF THE LEAST SQUARES ESTIMATOR IN NEARLY INTEGRATED SEASONAL MODELS |
0 |
0 |
0 |
0 |
1 |
1 |
2 |
219 |
| Temporal Aggregation, Bandwidth Selection and Long Memory for Volatility Models |
0 |
0 |
0 |
6 |
1 |
1 |
2 |
54 |
| Test Consistency with Varying Sampling Frequency |
0 |
0 |
0 |
2 |
1 |
1 |
3 |
331 |
| Testing Jointly for Structural Changes in the Error Variance and Coefficients of a Linear Regression Model |
0 |
0 |
0 |
43 |
3 |
3 |
4 |
92 |
| Testing Jointly for Structural Changes in the Error Variance and Coefficients of a Linear Regression Model |
0 |
0 |
0 |
67 |
0 |
0 |
0 |
241 |
| Testing for Breaks in Coefficients and Error Variance: Simulations and Applications |
0 |
0 |
0 |
64 |
0 |
0 |
2 |
189 |
| Testing for Changes in Forecasting Performance |
0 |
0 |
0 |
69 |
0 |
0 |
2 |
84 |
| Testing for Changes in Forecasting Performance |
0 |
0 |
0 |
1 |
2 |
2 |
4 |
41 |
| Testing for Changes in Forecasting Performance |
0 |
0 |
1 |
38 |
2 |
5 |
7 |
69 |
| Testing for Common Breaks in a Multiple Equations System |
0 |
0 |
0 |
17 |
0 |
3 |
4 |
180 |
| Testing for Common Breaks in a Multiple Equations System |
0 |
0 |
0 |
20 |
3 |
4 |
5 |
57 |
| Testing for Flexible Nonlinear Trends with an Integrated or Stationary Noise Component |
0 |
0 |
0 |
18 |
0 |
1 |
2 |
65 |
| Testing for Flexible Nonlinear Trends with an Integrated or Stationary Noise Component |
0 |
0 |
0 |
72 |
0 |
1 |
3 |
172 |
| Testing for Multiple Structural Changes in Cointegrated Regression Models |
0 |
0 |
0 |
54 |
0 |
1 |
3 |
191 |
| Testing for Multiple Structural Changes in Cointegrated Regression Models |
0 |
0 |
0 |
31 |
3 |
6 |
7 |
149 |
| Testing for Multiple Structural Changes in Cointegrated Regression Models |
0 |
0 |
0 |
503 |
0 |
0 |
0 |
1,152 |
| Testing for Shifts in Trend with an Integrated or Stationary Noise Component |
0 |
0 |
0 |
188 |
0 |
1 |
2 |
526 |
| Testing for Shifts in Trend with an Integrated or Stationary Noise Component |
0 |
0 |
0 |
114 |
1 |
1 |
3 |
385 |
| Testing for Trend in the Presence of Autoregressive Error: A Comment |
0 |
0 |
0 |
5 |
1 |
2 |
2 |
62 |
| Testing for Trend in the Presence of Autoregressive Error: A Comment |
0 |
0 |
0 |
61 |
0 |
0 |
1 |
153 |
| Testing for a Unit Root in Time Series Regression |
0 |
3 |
9 |
3,082 |
3 |
17 |
40 |
7,831 |
| Testing for common breaks in a multiple equations system |
0 |
1 |
1 |
17 |
3 |
4 |
7 |
83 |
| Testing jointly for structural changes in the error variance and coe¢ cients of a linear regression model |
0 |
0 |
0 |
2 |
2 |
2 |
2 |
33 |
| Testing the Random Walk Hypothesis: Power Versus Frequency of Observation |
0 |
0 |
0 |
999 |
3 |
3 |
5 |
3,422 |
| Testing the Random Walk Hypothesis: Power versus Frequency of Observation |
0 |
0 |
1 |
645 |
3 |
3 |
8 |
2,719 |
| Tests of Joint Hypotheses for Time Series Regression with a Unit Root |
0 |
0 |
0 |
70 |
0 |
1 |
3 |
317 |
| The Adequacy of Asymptotic Approximations in the Near- Integrated Autoregressive Model with Dependent Errors |
0 |
0 |
0 |
0 |
0 |
2 |
2 |
124 |
| The Adequacy of Asymptotic Approximations in the Near-Integrated Autoregressive Model with Dependent Errors |
0 |
0 |
0 |
14 |
0 |
0 |
0 |
53 |
| The Calculation of the Limiting Distribution of the Least Squares Estimator in Near-Integrated Model |
0 |
0 |
0 |
0 |
1 |
2 |
3 |
155 |
| The Effect of Linear Filters on Dynamic Time series with Structural Change |
0 |
0 |
0 |
38 |
2 |
2 |
3 |
214 |
| The Effect of Linear Filters on Dynamic Time series with Structural Change |
0 |
0 |
0 |
0 |
1 |
1 |
3 |
333 |
| The Effect of Seasonal Adjustment Filters on Test for Unit Root |
0 |
0 |
0 |
0 |
0 |
0 |
2 |
105 |
| The Exact Error in Estimating the Special Density at the Origin |
0 |
0 |
0 |
0 |
0 |
1 |
3 |
340 |
| The Exact Error in Estimating the Special Density at the Origin |
0 |
0 |
0 |
22 |
0 |
0 |
0 |
83 |
| The FCLT with Dependent Errors: an Helicopter Tour of the Quality of the Approximation |
0 |
0 |
0 |
32 |
2 |
2 |
2 |
218 |
| The Great Crash, the Oil Prices and the Unit Root Hypothesis |
0 |
0 |
0 |
1 |
4 |
7 |
10 |
461 |
| The Great Moderation: Updated Evidence with Joint Tests for Multiple Structural Changes in Variance and Persistence |
0 |
0 |
1 |
33 |
1 |
2 |
5 |
65 |
| The Great Moderation: Updated Evidence with Joint Tests for Multiple Structural Changes in Variance and Persistence |
0 |
0 |
1 |
6 |
3 |
4 |
9 |
86 |
| The Limit Distribution of the CUSUM of Square Test Under Genreal MIxing Conditions* |
0 |
0 |
0 |
163 |
1 |
1 |
1 |
626 |
| The Limit Distribution of the CUSUM of Squares Test Under General Mixing Conditions |
0 |
0 |
0 |
16 |
0 |
2 |
2 |
101 |
| The Limit Distribution of the Estimates in Cointegrated Regression Models with Multiple Structural Changes |
0 |
0 |
0 |
35 |
1 |
1 |
1 |
119 |
| Theory of Low Frequency Contamination from Nonstationarity and Misspecification: Consequences for HAR Inference |
0 |
0 |
0 |
17 |
0 |
2 |
5 |
18 |
| Trend and Cycles: A New Approach and Explanations of Some Old Puzzles |
0 |
1 |
2 |
322 |
0 |
3 |
6 |
1,091 |
| Trends and Random Walks in Macroeconomic Time Series: Further Evidence From a New Approach |
0 |
0 |
0 |
3 |
5 |
8 |
11 |
2,266 |
| Trigonometric Trend Regressions of Unknown Frequencies with Stationary or Integrated Noise |
0 |
0 |
3 |
45 |
0 |
4 |
11 |
76 |
| Unit Root Tests ARMA Models with Data Dependent Methods for the Selection of the Truncation Lag |
0 |
0 |
0 |
1 |
2 |
5 |
7 |
1,026 |
| Unit Root Tests ARMA Models with Data Dependent Methods for the Selection of the Truncation Lag |
0 |
0 |
0 |
259 |
4 |
6 |
7 |
690 |
| Unit Root Tests Allowing for a Break in the Trend Function at an Unknown Time Under Both the Null and Alternative Hypotheses |
0 |
0 |
0 |
76 |
2 |
4 |
6 |
346 |
| Unit roots in the presence of abrupt governmental interventions with an application to Brazilian to Brazilian data |
0 |
0 |
0 |
50 |
1 |
1 |
4 |
152 |
| Useful Modifications to Some Unit Root Tests with Dependent Errors and Their Local Asymptotic Properties |
0 |
0 |
0 |
68 |
1 |
1 |
5 |
289 |
| Useful Modifications to Some Unit Root Tests with Dependent Errors and Their Local Asymptotic Properties |
0 |
0 |
0 |
1 |
1 |
1 |
4 |
354 |
| Using OLS to Estimate and Test for Structural Changes in Models with Endogenous Regressors |
0 |
0 |
0 |
26 |
0 |
0 |
2 |
159 |
| Wald Tests for Detecting Multiple Structural Changes in Persistence |
0 |
0 |
1 |
210 |
2 |
3 |
5 |
439 |
| Total Working Papers |
5 |
22 |
78 |
25,290 |
259 |
479 |
957 |
101,099 |
| Journal Article |
File Downloads |
Abstract Views |
| Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
| A Continuous Time Approximation to the Stationary First-Order Autoregressive Model |
0 |
0 |
0 |
14 |
0 |
0 |
0 |
41 |
| A Continuous Time Approximation to the Unstable First-Order Autoregressive Process: The Case without an Intercept |
0 |
0 |
0 |
125 |
1 |
4 |
4 |
593 |
| A MODIFIED INFORMATION CRITERION FOR COINTEGRATION TESTS BASED ON A VAR APPROXIMATION |
0 |
0 |
0 |
51 |
1 |
1 |
3 |
218 |
| A NOTE ON ESTIMATING AND TESTING FOR MULTIPLE STRUCTURAL CHANGES IN MODELS WITH ENDOGENOUS REGRESSORS VIA 2SLS |
0 |
1 |
1 |
29 |
0 |
1 |
2 |
119 |
| A Note on Johansen's Cointegration Procedure When Trends Are Present |
0 |
0 |
0 |
0 |
0 |
1 |
2 |
2,580 |
| A Note on the Asymptotic Distributions of Unit Root Tests in the Additive Outlier Model With Breaks |
0 |
0 |
4 |
39 |
6 |
10 |
20 |
117 |
| A Note on the Selection of Time Series Models |
0 |
0 |
3 |
260 |
2 |
2 |
7 |
646 |
| A Time-Series Analysis of the 20th Century Climate Simulations Produced for the IPCC’s Fourth Assessment Report |
0 |
0 |
0 |
0 |
1 |
1 |
1 |
6 |
| A comparison of alternative asymptotic frameworks to analyse a structural change in a linear time trend |
0 |
0 |
0 |
32 |
0 |
1 |
4 |
468 |
| A comparison of alternative methods to construct confidence intervals for the estimate of a break date in linear regression models |
1 |
1 |
1 |
9 |
1 |
2 |
4 |
56 |
| A look at the quality of the approximation of the functional central limit theorem |
0 |
0 |
0 |
8 |
2 |
4 |
7 |
70 |
| A non-local perspective on the power properties of the CUSUM and CUSUM of squares tests for structural change |
0 |
0 |
0 |
64 |
1 |
2 |
3 |
268 |
| A note on estimating a structural change in persistence |
0 |
0 |
0 |
16 |
1 |
2 |
4 |
95 |
| A sequential procedure to determine the number of breaks in trend with an integrated or stationary noise component |
0 |
1 |
2 |
66 |
1 |
4 |
10 |
205 |
| A simple modification to improve the finite sample properties of Ng and Perron's unit root tests |
0 |
0 |
0 |
138 |
0 |
2 |
7 |
382 |
| A stochastic volatility model with random level shifts and its applications to S&P 500 and NASDAQ return indices |
1 |
1 |
1 |
19 |
1 |
1 |
2 |
64 |
| A two‐step procedure for testing partial parameter stability in cointegrated regression models |
0 |
0 |
0 |
3 |
0 |
1 |
2 |
17 |
| AN AUTOREGRESSIVE SPECTRAL DENSITY ESTIMATOR AT FREQUENCY ZERO FOR NONSTATIONARITY TESTS |
0 |
0 |
1 |
82 |
1 |
2 |
4 |
205 |
| Additional Tests for a Unit Root Allowing for a Break in the Trend Function at an Unknown Time |
0 |
0 |
0 |
1 |
2 |
3 |
11 |
1,126 |
| An Analysis of the Real Interest Rate under Regime Shifts |
0 |
0 |
5 |
806 |
1 |
3 |
27 |
2,006 |
| An Improved Procedure for Retrospectively Dating the Emergence and Collapse of Bubbles |
2 |
3 |
4 |
4 |
2 |
6 |
10 |
10 |
| Assessing the relative power of structural break tests using a framework based on the approximate Bahadur slope |
0 |
0 |
0 |
133 |
5 |
7 |
11 |
491 |
| Asymptotic approximations in the near-integrated model with a non-zero initial condition |
0 |
0 |
0 |
7 |
0 |
0 |
0 |
253 |
| Bootstrap procedures for detecting multiple persistence shifts in heteroskedastic time series |
0 |
0 |
0 |
6 |
0 |
1 |
2 |
19 |
| Breaks, Trends and the Attribution of Climate Change: A Time-Series Analysis |
0 |
0 |
3 |
16 |
0 |
2 |
10 |
53 |
| Change-point analysis of time series with evolutionary spectra |
0 |
0 |
1 |
2 |
2 |
4 |
10 |
14 |
| Combining long memory and level shifts in modelling and forecasting the volatility of asset returns |
1 |
1 |
1 |
12 |
3 |
4 |
6 |
49 |
| Comment on "Statistical Adequacy and the Testing of Trend Versus Difference Stationarity" by Andreou and Spanos (Number 1) |
0 |
0 |
0 |
26 |
1 |
2 |
2 |
120 |
| Comparisons of robust tests for shifts in trend with an application to trend deviations of real exchange rates in the long run |
0 |
0 |
0 |
20 |
2 |
3 |
6 |
166 |
| Computation and analysis of multiple structural change models |
5 |
18 |
44 |
3,118 |
31 |
113 |
237 |
7,526 |
| Continuous record Laplace-based inference about the break date in structural change models |
0 |
0 |
0 |
6 |
2 |
3 |
5 |
36 |
| Critical values for multiple structural change tests |
0 |
0 |
0 |
450 |
1 |
3 |
12 |
1,079 |
| DATA DEPENDENT RULES FOR SELECTION OF THE NUMBER OF LEADS AND LAGS IN THE DYNAMIC OLS COINTEGRATING REGRESSION |
0 |
0 |
0 |
71 |
0 |
0 |
0 |
265 |
| Does GNP have a unit root?: A re-evaluation |
0 |
0 |
2 |
75 |
1 |
1 |
4 |
198 |
| Erratum [The Great Crash, the Oil Price Shock and the Unit Root Hypothesis] |
0 |
0 |
6 |
356 |
4 |
6 |
14 |
739 |
| Estimating and Testing Linear Models with Multiple Structural Changes |
0 |
0 |
0 |
9 |
26 |
46 |
107 |
5,111 |
| Estimating and Testing Structural Changes in Multivariate Regressions |
0 |
3 |
6 |
432 |
0 |
3 |
15 |
987 |
| Estimating and testing multiple structural changes in linear models using band spectral regressions |
0 |
0 |
0 |
29 |
1 |
3 |
4 |
96 |
| Estimating deterministic trends with an integrated or stationary noise component |
0 |
0 |
3 |
165 |
2 |
2 |
18 |
531 |
| Estimating restricted structural change models |
1 |
2 |
4 |
305 |
1 |
5 |
9 |
621 |
| Estimation and inference in nearly unbalanced nearly cointegrated systems |
0 |
0 |
1 |
91 |
0 |
1 |
4 |
287 |
| Estimation in the Presence of Heteroskedasticity of Unknown Form: A Lasso-based Approach |
1 |
1 |
1 |
1 |
3 |
3 |
7 |
12 |
| Extracting and Analyzing the Warming Trend in Global and Hemispheric Temperatures |
0 |
0 |
0 |
5 |
1 |
1 |
3 |
56 |
| Forecasting in the presence of in-sample and out-of-sample breaks |
0 |
0 |
0 |
3 |
0 |
0 |
0 |
13 |
| Forecasting return volatility: Level shifts with varying jump probability and mean reversion |
0 |
0 |
1 |
22 |
1 |
1 |
6 |
111 |
| Fractional Unit Root Tests Allowing for a Structural Change in Trend under Both the Null and Alternative Hypotheses |
0 |
0 |
0 |
4 |
2 |
4 |
5 |
72 |
| Further evidence on breaking trend functions in macroeconomic variables |
0 |
0 |
7 |
1,237 |
7 |
10 |
32 |
2,579 |
| GENERALIZED LAPLACE INFERENCE IN MULTIPLE CHANGE-POINTS MODELS |
0 |
0 |
0 |
4 |
2 |
2 |
4 |
10 |
| GLS detrending, efficient unit root tests and structural change |
0 |
0 |
3 |
416 |
5 |
8 |
17 |
1,118 |
| GLS para eliminar los componentes determinísticos, estadísticos de raíz unitaria eficientes y cambio estructural |
2 |
2 |
3 |
32 |
2 |
3 |
5 |
108 |
| GLS-BASED UNIT ROOT TESTS WITH MULTIPLE STRUCTURAL BREAKS UNDER BOTH THE NULL AND THE ALTERNATIVE HYPOTHESES |
0 |
1 |
2 |
420 |
3 |
6 |
14 |
900 |
| Improved Tests for Forecast Comparisons in the Presence of Instabilities |
0 |
0 |
0 |
5 |
1 |
2 |
2 |
40 |
| Inference on Conditional Quantile Processes in Partially Linear Models with Applications to the Impact of Unemployment Benefits |
1 |
2 |
2 |
5 |
3 |
6 |
10 |
61 |
| Inference on a Structural Break in Trend with Fractionally Integrated Errors |
0 |
0 |
0 |
3 |
1 |
4 |
5 |
50 |
| Inference on locally ordered breaks in multiple regressions |
0 |
0 |
0 |
2 |
0 |
2 |
6 |
55 |
| Inference related to common breaks in a multivariate system with joined segmented trends with applications to global and hemispheric temperatures |
0 |
0 |
0 |
5 |
1 |
2 |
6 |
46 |
| L'estimation de modèles avec changements structurels multiples |
0 |
1 |
1 |
4 |
0 |
1 |
3 |
18 |
| LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power |
0 |
0 |
0 |
1,132 |
3 |
10 |
18 |
3,193 |
| Let's take a break: Trends and cycles in US real GDP |
0 |
1 |
3 |
628 |
0 |
5 |
23 |
1,565 |
| Local asymptotic distribution related to the AR(1) model with dependent errors |
0 |
0 |
0 |
105 |
0 |
1 |
1 |
318 |
| Long-Memory and Level Shifts in the Volatility of Stock Market Return Indices |
0 |
0 |
0 |
157 |
0 |
2 |
4 |
368 |
| L’estimation de modèles avec changements structurels multiples |
0 |
0 |
0 |
33 |
0 |
0 |
0 |
136 |
| MEMORY PARAMETER ESTIMATION IN THE PRESENCE OF LEVEL SHIFTS AND DETERMINISTIC TRENDS |
0 |
0 |
0 |
15 |
0 |
1 |
3 |
70 |
| Measuring business cycles with structural breaks and outliers: Applications to international data |
0 |
0 |
0 |
35 |
0 |
2 |
3 |
204 |
| Modeling and forecasting stock return volatility using a random level shift model |
0 |
0 |
0 |
234 |
0 |
1 |
5 |
652 |
| Modelling exchange rate volatility with random level shifts |
0 |
0 |
1 |
5 |
1 |
1 |
4 |
25 |
| Modified local Whittle estimator for long memory processes in the presence of low frequency (and other) contaminations |
0 |
0 |
0 |
56 |
0 |
2 |
3 |
194 |
| Nonstationarity and Level Shifts with an Application to Purchasing Power Parity |
0 |
0 |
0 |
0 |
1 |
2 |
5 |
1,258 |
| On the Irrelevance of Impossibility Theorems: The Case of the Long-run Variance |
0 |
1 |
2 |
41 |
0 |
2 |
7 |
145 |
| On the Usefulness or Lack Thereof of Optimality Criteria for Structural Change Tests |
0 |
0 |
1 |
1 |
0 |
1 |
4 |
44 |
| PPP May not Hold Afterall: A Further Investigation |
0 |
0 |
0 |
41 |
1 |
1 |
3 |
299 |
| Pitfalls of Two-Step Testing for Changes in the Error Variance and Coefficients of a Linear Regression Model |
0 |
0 |
0 |
4 |
0 |
0 |
1 |
52 |
| Prewhitened long-run variance estimation robust to nonstationarity |
0 |
0 |
2 |
3 |
1 |
3 |
6 |
10 |
| Racines unitaires en macroéconomie: le cas d’une variable |
0 |
0 |
0 |
12 |
0 |
2 |
4 |
121 |
| Racines unitaires en macroéconomie: le cas multidimensionnel |
0 |
1 |
1 |
5 |
1 |
4 |
5 |
34 |
| Residuals‐based tests for cointegration with generalized least‐squares detrended data |
0 |
2 |
3 |
38 |
2 |
4 |
7 |
168 |
| Royal Economic Society Annual Conference 2009 Special Issue on Factor Models: Theoretical and Applied Perspectives |
0 |
0 |
0 |
3 |
0 |
2 |
2 |
24 |
| SEARCHING FOR ADDITIVE OUTLIERS IN NONSTATIONARY TIME SERIES |
2 |
2 |
2 |
216 |
2 |
2 |
5 |
515 |
| Sampling interval and estimated betas: Implications for the presence of transitory components in stock prices |
0 |
0 |
0 |
18 |
0 |
0 |
1 |
102 |
| Simultaneous bandwidths determination for DK-HAC estimators and long-run variance estimation in nonparametric settings |
0 |
0 |
0 |
0 |
1 |
2 |
3 |
11 |
| Structural breaks with deterministic and stochastic trends |
0 |
4 |
6 |
262 |
0 |
5 |
17 |
571 |
| Structural change tests under heteroskedasticity: Joint estimation versus two‐steps methods |
0 |
1 |
2 |
3 |
1 |
5 |
7 |
13 |
| THE EXACT ERROR IN ESTIMATING THE SPECTRAL DENSITY AT THE ORIGIN |
0 |
0 |
0 |
2 |
0 |
0 |
2 |
15 |
| THE LIMIT DISTRIBUTION OF THE CUSUM OF SQUARES TEST UNDER GENERAL MIXING CONDITIONS |
0 |
0 |
1 |
43 |
0 |
1 |
4 |
163 |
| THE VARIANCE RATIO TEST: AN ANALYSIS OF SIZE AND POWER BASED ON A CONTINUOUS-TIME ASYMPTOTIC FRAMEWORK |
0 |
0 |
0 |
47 |
0 |
0 |
4 |
363 |
| Temporal Aggregation and Long Memory for Asset Price Volatility |
0 |
0 |
0 |
1 |
1 |
1 |
2 |
22 |
| Test Consistency with Varying Sampling Frequency |
0 |
0 |
0 |
34 |
3 |
3 |
3 |
118 |
| Testing for Changes in Forecasting Performance |
1 |
1 |
1 |
13 |
5 |
5 |
9 |
48 |
| Testing for Flexible Nonlinear Trends with an Integrated or Stationary Noise Component |
0 |
0 |
0 |
7 |
0 |
0 |
6 |
77 |
| Testing for Multiple Structural Changes in Cointegrated Regression Models |
0 |
1 |
3 |
177 |
2 |
4 |
11 |
440 |
| Testing for Shifts in Trend With an Integrated or Stationary Noise Component |
0 |
0 |
2 |
211 |
1 |
1 |
6 |
479 |
| Testing for Trend in the Presence of Autoregressive Error: A Comment |
0 |
0 |
0 |
10 |
1 |
1 |
1 |
59 |
| Testing for a Unit Root in a Time Series with a Changing Mean |
0 |
0 |
0 |
0 |
3 |
3 |
9 |
1,228 |
| Testing for a Unit Root in a Time Series with a Changing Mean: Corrections and Extensions |
0 |
0 |
0 |
0 |
0 |
5 |
7 |
774 |
| Testing for common breaks in a multiple equations system |
0 |
1 |
1 |
8 |
0 |
2 |
3 |
90 |
| Testing jointly for structural changes in the error variance and coefficients of a linear regression model |
0 |
0 |
0 |
4 |
1 |
1 |
4 |
63 |
| Testing the random walk hypothesis: Power versus frequency of observation |
0 |
1 |
4 |
252 |
2 |
4 |
13 |
715 |
| Tests of return predictability: an analysis of their properties based on a continuous time asymptotic framework |
0 |
0 |
0 |
39 |
0 |
1 |
2 |
146 |
| The Calculation of the Limiting Distribution of the Least-Squares Estimator in a Near-Integrated Model |
0 |
0 |
0 |
30 |
1 |
1 |
3 |
129 |
| The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis |
3 |
7 |
11 |
3,631 |
10 |
25 |
54 |
9,686 |
| The HUMP-Shaped Behavior of Macroeconomic Fluctuations |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
190 |
| The adequacy of asymptotic approximations in the near-integrated autoregressive model with dependent errors |
0 |
0 |
0 |
30 |
0 |
0 |
3 |
104 |
| The effect of linear filters on dynamic time series with structural change |
0 |
0 |
0 |
61 |
0 |
2 |
7 |
280 |
| The effect of seasonal adjustment filters on tests for a unit root |
0 |
0 |
1 |
176 |
5 |
6 |
9 |
425 |
| The great moderation: updated evidence with joint tests for multiple structural changes in variance and persistence |
0 |
0 |
3 |
6 |
1 |
4 |
9 |
29 |
| The limit distribution of the estimates in cointegrated regression models with multiple structural changes |
0 |
1 |
1 |
92 |
1 |
2 |
5 |
310 |
| Time Series Methods Applied to Climate Change |
0 |
0 |
0 |
21 |
0 |
0 |
1 |
62 |
| Trends and random walks in macroeconomic time series: Further evidence from a new approach |
0 |
1 |
6 |
766 |
3 |
7 |
20 |
1,435 |
| Unit Roots and Structural Breaks |
0 |
0 |
0 |
5 |
1 |
1 |
2 |
60 |
| Unit Roots in the Presence of Abrupt Governmental Interventions with an Application to Brazilian Data |
1 |
1 |
1 |
179 |
5 |
7 |
10 |
689 |
| Unit root tests allowing for a break in the trend function at an unknown time under both the null and alternative hypotheses |
0 |
2 |
9 |
480 |
2 |
6 |
28 |
1,197 |
| Useful Modifications to some Unit Root Tests with Dependent Errors and their Local Asymptotic Properties |
0 |
0 |
4 |
355 |
4 |
6 |
19 |
1,029 |
| Using OLS to Estimate and Test for Structural Changes in Models with Endogenous Regressors |
0 |
0 |
2 |
36 |
1 |
2 |
6 |
134 |
| WALD TESTS FOR DETECTING MULTIPLE STRUCTURAL CHANGES IN PERSISTENCE |
0 |
0 |
0 |
41 |
1 |
5 |
7 |
125 |
| Total Journal Articles |
22 |
66 |
186 |
19,067 |
206 |
483 |
1,146 |
63,958 |
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