Access Statistics for Peter C. B. Phillips

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"Change Detection and the Causal Impact of the Yield Curve 0 0 0 50 2 4 6 140
A Bayesian Analysis of Trend Determination in Economic Time Series 0 0 0 400 2 3 4 1,906
A CUSUM Test for Cointegration Using Regression Residuals 0 0 0 612 2 5 5 1,893
A Complete Asymptotic Series for the Autocovariance Function of a Long Memory Process 0 0 0 90 0 2 3 658
A Conversation with Eric Ghysels Co-President of the Society for Financial Econometrics 0 0 0 16 0 1 1 101
A Frequency Approach to Bayesian Asymptotics 0 0 0 89 1 4 6 142
A General Limit Theory for Nonlinear Functionals of Nonstationary Time Series 0 0 0 10 4 6 9 19
A General Limit Theory for Nonlinear Functionals of Nonstationary Time Series 0 0 0 74 2 7 8 57
A Little Magic with the Cauchy Distribution 0 0 0 122 0 0 1 390
A Model of Output, Employment, Capital Formation and Inflation 0 0 0 81 1 2 2 404
A Multivariate Stochastic Unit Root Model with an Application to Derivative Pricing 0 0 0 49 2 4 4 88
A New Approach to Robust Inference in Cointegration 0 0 0 142 1 2 4 302
A New Approach to Small Sample Theory 0 0 0 214 0 1 1 1,623
A New Hedonic Regression for Real Estate Prices Applied to the Singapore Residential Market 0 1 1 40 1 4 4 103
A New Hedonic Regression for Real Estate Prices Applied to the Singapore Residential Market 0 1 1 31 2 4 7 131
A New Proof of Knight's Theorem on the Cauchy Distribution 0 0 0 126 0 0 2 678
A Note on the Saddlepoint Approximation in the First Order Non-Circular Autoregression 0 0 1 32 2 3 5 288
A Panel Clustering Approach to Analyzing Bubble Behavior 0 0 0 62 1 1 2 77
A Panel Clustering Approach to Analyzing Bubble Behavior 0 0 2 18 2 3 8 43
A Paradox of Inconsistent Parametric and Consistent Nonparametric Regression 0 0 0 63 1 2 2 232
A Primer on Unit Root Testing 0 0 0 2,059 1 3 6 4,147
A Reexamination of the Consumption Function Using Frequency Domain Regressors 0 0 0 164 0 0 1 1,079
A Remark on Bimodality and Weak Instrumentation in Structural Equation Estimation 0 0 0 45 4 5 5 317
A Rexamination of the Consumption Function Using Frequency Domain Regressions 0 0 0 1 0 1 2 499
A SMALL MODEL OF OUTPUT, EMPLOYMENT, CAPITAL FORMATION AND INFLATION, APPLIED TO THE NEW ZEALAND ECONOMY 0 0 0 5 0 1 2 32
A Shortcut to LAD Estimator Asymptotics 0 0 0 297 2 4 6 763
A Simple Approach to the Parametric Estimation of Potentially Nonstationary Diffusions 0 0 0 158 0 4 6 935
A Two-Stage Realized Volatility Approach to Estimation of Diffusion Processes with Discrete 0 0 0 9 2 7 7 85
A Two-Stage Realized Volatility Approach to the Estimation for Diffusion Processes from Discrete Observations 0 0 0 243 1 3 4 613
Accelerated Asymptotics for Diffusion Model Estimation 1 1 1 157 3 7 7 511
Adaptive Estimation of Autoregressive Models with Time-Varying Variances 0 0 0 171 0 0 2 549
Adaptive Estimation of Autoregressive Models with Time-Varying Variances 0 0 0 213 2 4 4 768
An ADF Coefficient Test for a Unit Root in ARMA Models of Unknown Order with Empirical Applications to the U.S. Economy 0 0 0 229 0 0 2 893
An Econometrician amongst Statisticians: T. W. Anderson 0 0 1 125 1 5 41 237
An Everywhere Convergent Series Representation of the Distribution of Hotelling's Generalized T_{0}^{2} 0 0 0 16 1 2 6 262
Asymptotic Equivalence of OLS and GLS in Regressions with Integrated Regressors 0 0 0 143 2 2 3 461
Asymptotic Expansions in Nonstationary Vector Autoregressions 0 0 0 109 2 4 5 333
Asymptotic Properties of Residual Based Tests for Cointegration 0 1 3 1,439 2 4 15 3,336
Asymptotic Theory for Local Time Density Estimation and Nonparametric Cointegrating Regression 0 0 0 211 2 3 4 693
Asymptotic Theory for Near Integrated Process Driven by Tempered Linear Process 0 0 0 51 1 3 4 54
Asymptotic Theory for Zero Energy Density Estimation with Nonparametric Regression Applications 0 0 0 41 0 1 2 155
Asymptotic and Finite Sample Distribution Theory for IV Estimators and Tests in Partially Identified Structural Equations 0 0 0 156 5 7 9 846
Asymptotics for Linear Processes 0 0 0 360 5 12 13 790
Asymptotics for Nonlinear Transformations of Integrated Time Series 0 0 0 324 5 5 6 947
Asymptotics of Polynomial Time Trend Estimation and Hypothesis Testing under Rank Deficiency 0 0 0 37 4 4 4 22
Automated Discovery in Econometrics 0 0 0 308 1 3 4 642
Automated Estimation of Vector Error Correction Models 0 1 1 292 3 6 7 260
Automated Forecasts of Asia-Pacific Economic Activity 0 0 0 106 2 4 4 779
Band Spectral Regression with Trending Data 0 0 0 1 1 7 11 857
Band Spectral Regression with Trending Data 0 0 0 323 2 5 8 1,210
Bayes Methods for Trending Multiple Time Series with an Empirical Application to the US Economy 0 0 0 166 3 4 4 1,095
Bayes Models and Forecasts of Australian Macroeconomic Time Series 0 0 0 82 1 1 1 443
Bayesian Model Selection and Prediction with Empirical Applications 0 0 0 269 0 0 1 1,320
Bayesian Posterior Distributions in Limited Information Analysis of the Simultaneous Equations Model Using the Jeffreys Prior 0 0 0 114 0 1 1 919
Bayesian Routes and Unit Roots: de rebus prioribus semper est disputandum 0 0 1 67 0 3 6 642
Bayesian estimation based on summary statistics: Double asymptotics and practice 0 0 1 60 2 7 8 102
Best Median Unbiased Estimation in Linear Regression with Bounded Asymmetric Loss Functions 0 0 0 326 1 1 5 2,566
Best Uniform Approximation to Probability Densities in Econometrics 1 1 1 131 2 4 4 679
Bias in Dynamic Panel Estimation with Fixed Effects, Incidental Trends and Cross Section Dependence 0 0 1 6 2 4 6 52
Bias in Dynamic Panel Estimation with Fixed Effects, Incidental Trends and Cross Section Dependence 0 0 1 273 1 2 4 891
Bias in Dynamic Panel Estimation with Fixed Effects, Incidental Trends and Cross Section Dependence 0 0 0 382 2 3 6 1,100
Bias in Estimating Multivariate and Univariate Diffusions 0 0 0 43 0 1 3 192
Bias in the Mean Reversion Estimator in Continuous-Time Gaussian and Levy Processes 0 0 0 45 1 1 3 53
Bimodal t-Ratios 0 0 0 78 1 4 5 853
Boosting the HP Filter for Trending Time Series with Long Range Dependence 0 0 0 90 2 2 3 62
Boosting the Hodrick-Prescott Filter 0 0 0 75 1 2 5 95
Boosting: Why You Can Use the HP Filter 0 0 0 118 2 3 10 176
Boosting: Why you Can Use the HP Filter 0 0 1 61 2 5 7 101
Bootstrap Inference for Quantile Treatment Effects in Randomized Experiments with Matched Pairs 0 0 0 10 1 1 1 35
Bootstrap Inference for Quantile Treatment Effects in Randomized Experiments with Matched Pairs 0 0 0 9 0 2 3 45
Bootstrapping I(1) Data 0 0 0 94 2 3 4 236
Bootstrapping Spurious Regression 0 0 0 336 1 4 6 1,022
Boundary Limit Theory for Functional Local to Unity Regression 0 0 0 15 0 1 2 39
Bubble Mitigation Policies: Counterfactual Analysis and Treatment Effect Inference 0 0 27 27 4 9 22 22
Business Cycles, Trend Elimination, and the HP Filter 0 0 0 130 4 5 7 218
Causal Change Detection in Possibly Integrated Systems: Revisiting the Money-Income Relationship 0 0 1 81 2 4 9 106
Causal Change Detection in Possibly Integrated Systems: Revisiting the Money-Income Relationship 0 1 1 74 0 4 5 172
Challenges of Trending Time Series Econometrics 0 0 0 674 1 3 9 2,294
Change Detection and the Casual Impact of the Yield Curve 0 0 2 52 1 2 4 112
Characteristic Functions and the Tail Behavior of Probability Distributions 0 0 0 518 1 3 7 1,399
Cointegrating Rank Selection in Models with Time-Varying Variance 0 0 0 99 0 0 1 255
Comment on “Realized Variance and Market Microstructure Noise†by Peter R. Hansen and Asger Lunde 0 0 0 0 0 0 1 104
Comment on “Realized Variance and Market Microstructure Noise” by Peter R. Hansen and Asger Lunde 0 0 0 92 2 2 2 319
Comments on “A selective overview of nonparametric methods in financial econometrics†0 0 0 2 0 0 4 101
Comments on “A Selective Overview of Nonparametric Methods in Financial Econometrics” by Jianqing Fan 0 0 0 42 0 1 2 182
Common Bubble Detection in Large Dimensional Financial Systems 0 0 0 56 3 6 8 162
Conditional and Unconditional Statistical Independence 0 0 0 317 3 3 4 2,141
Consistent HAC Estimation and Robust Regression Testing Using Sharp Origin Kernels with No Truncation 0 0 0 93 1 2 2 745
Consistent HAC Estimation and Robust Regression Testing Using Sharp Origin Kernels with No Truncation 0 0 0 41 5 7 9 310
Consistent HAC Estimation and Robust Regression Testing Using Sharp Origin Kernels with No Truncation 0 0 0 222 0 2 2 1,240
Consistent HAC Estimation and Robust Regression Testing Using Sharp Origin Kernels with No Truncation 0 0 0 4 1 1 1 47
Consistent Misspecification Testing in Spatial Autoregressive Models 0 1 1 42 3 5 9 62
Continuously Updated Indirect Inference in Heteroskedastic Spatial Models 0 0 0 21 0 1 2 71
Continuously Updated Indirect Inference in Heteroskedastic Spatial Models 0 0 0 26 0 1 1 29
Corrigendum to “A Gaussian Approach for Continuous Time Models of the Short Term Interest Rate" 0 0 0 28 1 2 2 71
Cross Section Curve Autoregression: The Unit Root Case 0 1 21 21 4 7 14 14
Cross Section Curve Data Autoregression 0 0 14 14 2 5 17 17
Cyclical Time Series: An Empirical Analysis of Temperatures in Central England Over Three Centuries 1 1 5 10 7 10 17 27
Dating the Timeline of Financial Bubbles During the Subprime Crisis 0 0 0 45 3 5 7 245
Dating the Timeline of Financial Bubbles During the Subprime Crisis 0 0 1 168 1 2 4 435
Dating the Timeline of Financial Bubbles During the Subprime Crisis 0 0 0 18 1 3 4 99
Dating the Timeline of Financial Bubbles during the Subprime Crisis 0 0 0 297 4 6 10 965
Descriptive Econometrics for Nonstationary Time Series with Empirical Illustrations 0 0 0 474 1 9 9 1,442
Detecting Financial Collapse and Ballooning Sovereign Risk 0 0 0 41 0 4 6 124
Diagnosing Housing Fever with an Econometric Thermometer 0 0 1 17 0 4 6 61
Diagnosing Housing Fever with an Econometric Thermometer 0 0 1 14 3 3 6 41
Discrete Fourier Transforms of Fractional Processes 0 0 0 529 2 3 5 1,746
Discrete Fourier Transforms of Fractional Processes August 0 0 1 3 3 5 10 34
Discrete Fourier Transforms of Fractional Processes with Econometric Applications 0 0 0 58 0 1 1 25
Does Gnp Have a Unit Root? a Reevaluation 0 0 0 2 2 2 2 322
Dynamic Misspecification in Nonparametric Cointegrating Regression 0 0 0 55 1 6 14 270
Dynamic Misspecification in Nonparametric Cointegrating Regression 0 0 0 4 1 2 2 48
Dynamic Misspecification in Nonparametric Cointegrating Regression 0 0 0 47 2 4 5 137
Dynamic Panel Estimation and Homogeneity Testing Under Cross Section Dependence 0 0 0 733 1 3 3 1,900
Dynamic Panel Estimation and Homogenity Testing Under Cross Section Dependence 0 0 0 4 3 4 5 55
Dynamic Panel GMM with Near Unity 0 0 0 54 3 5 7 110
Dynamic Panel Modeling of Climate Change 0 0 0 96 5 7 8 118
Dynamics of the Federal Funds Target Rate: A Nonstationary Discrete Choice Approach 0 0 0 387 0 0 1 2,508
ERA's: A New Approach to Small Sample Theory 0 0 1 76 1 4 6 390
Econometric Analysis of Asset Price Bubbles 2 4 8 107 3 11 29 96
Econometric Analysis of Fisher's Equation 0 0 0 654 1 2 3 2,982
Econometric Inference in the Vicinity of Unity 2 5 11 79 4 12 24 205
Econometric Measurement of Earth's Transient Climate Sensitivity 0 0 0 13 2 2 2 58
Econometric Measurement of Earth's Transient Climate Sensitivity 0 0 0 49 1 3 6 125
Economic Transition and Growth 0 0 2 525 1 2 10 1,197
Edgeworth Expansions in Curved Cross Section Autoregression 1 14 14 14 3 12 12 12
Edmond Malinvaud: A Tribute to His Contributions in Econometrics 0 0 0 98 4 5 5 67
Efficiency Gains from Quasi-Differencing Under Nonstationarity 0 0 2 148 0 2 6 624
Efficient Regression in Time Series Partial Linear Models 0 0 0 444 0 1 1 1,534
Empirical Limits for Time Series Econometric Models 0 0 0 292 1 4 8 965
Error Bounds and Asymptotic Expansions for Toeplitz Product Functionals of Unbounded Spectra 0 0 1 45 2 2 4 295
Error Correction and Long Run Equilibrium in Continuous Time 0 0 0 209 1 1 2 720
Estimating Long Run Economic Equilibria 0 0 3 613 2 2 8 1,599
Estimating Smooth Structural Change in Cointegration Models 0 0 0 124 1 3 4 210
Estimating Smooth Structural Change in Cointegration Models 0 0 0 67 4 4 7 150
Estimation and Inference in Models of Cointegration: A Simulation Study 2 4 5 423 2 8 15 1,081
Estimation and Inference in a Possibly Multi-cointegrated System with a Fixed Number of Instruments 0 0 0 2 2 5 8 14
Estimation and Inference with Near Unit Roots 0 0 0 85 2 3 5 53
Estimation of Autoregressive Roots Near Unity Using Panel Data 0 0 0 182 3 7 7 699
Estimation of Autoregressive Roots near Unity using Panel Data 0 0 0 1 3 3 4 66
Exact Distribution Theory in Structural Estimation with an Identity 0 0 0 65 0 0 0 412
Exact Gaussian Estimation of Continuous Time Models of The Term Structure of Interest Rates Rankings of Economics Departments in New Zealand 0 0 0 2 4 4 5 29
Exact Local Whittle Estimation of Fractional Integration 0 0 0 140 3 9 11 626
Exact Local Whittle Estimation of Fractional Integration 0 0 0 2 2 5 7 33
Exact Small Sample Theory in the Simultaneous Equations Model 0 0 2 164 0 3 6 442
Expansions for Approximate Maximum Likelihood Estimators of the Fractional Difference Parameter 0 0 0 90 1 2 2 449
Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values? 0 0 0 11 0 0 1 81
Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values? 0 0 0 78 2 5 7 341
Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values? 0 0 0 156 1 4 8 399
Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values? 0 1 6 289 4 5 15 981
Failure of the Alternation Theorem in Rational Approximations Over C_0(-infinity,infinity) 0 0 0 23 1 1 1 251
Financial Bubble Implosion 0 0 0 70 0 0 1 192
Finite Sample Econometrics Using ERA's 0 0 0 74 2 3 3 353
First Difference MLE and Dynamic Panel Estimation 0 0 0 111 0 0 2 276
Folklore Theorems, Implicit Maps and New Unit Root Limit Theory 0 0 0 85 3 4 4 149
Forecasting Economic Activity Using the Yield Curve: Quasi-Real-Time Applications for New Zealand, Australia and the US 0 0 1 42 2 3 8 79
Forecasting New Zealand's Real GDP 0 0 0 633 1 2 4 3,144
Forecasting New Zealand's Real GDP 0 0 3 8 1 2 7 49
Forward Exchange Market Unbiasedness: The Case of the Australian Dollar Since 1984 0 0 0 169 3 4 4 753
Fractional Brownian Motion as a Differentiable Generalized Gaussian Process 0 0 1 699 0 0 1 2,137
Fractional Matrix Calculus and the Distribution of Multivariate Tests 0 0 0 162 2 2 3 895
Fully Modified IV, GIVE and GMM Estimation with Possibly Non-Stationary Regressions and Instruments 0 0 1 344 6 8 10 1,280
Fully Modified Least Squares Cointegrating Parameter Estimation in Multicointegrated Systems 0 0 0 18 3 5 7 28
Fully Modified Least Squares and Vector Autoregression 3 8 31 4,486 14 46 172 18,729
Fully Modified Least Squares for Multicointegrated Systems 0 0 0 49 0 1 3 366
Fully Nonparametric Estimation of Scalar Diffusion Models 0 0 0 357 2 4 6 1,069
Functional Coefficient Nonstationary Regression 0 0 0 114 0 2 3 194
Functional Coefficient Nonstationary Regression with Non- and Semi-Parametric Cointegration 0 0 1 139 1 3 8 290
Functional Coefficient Panel Modeling with Communal Smoothing Covariates 0 0 0 29 1 4 4 55
Functional Data Inference in a Parametric Quantile Model applied to Lifetime Income Curves 0 1 8 50 1 3 16 74
GMM Estimation for Dynamic Panels with Fixed Effects and Strong Instruments at Unity 0 0 1 543 2 3 7 1,624
GMM Estimation of Autoregressive Roots Near Unity with Panel Data 0 0 0 133 3 4 6 602
GMM Estimation of Autoregressive Roots Near Unity with Panel Data 0 0 0 230 1 1 1 761
GMM Estimation with Brownian Kernels Applied to Income Inequality Measurement 0 0 3 3 2 9 20 23
GMM Estimation with Brownian Kernels Applied to Income Inequality Measurement 0 0 0 15 2 5 11 33
GMM with Many Moment Conditions 0 0 0 435 2 6 6 1,565
GMM with Many Moment Conditions 0 0 0 179 2 5 6 621
Gaussian Estimation of Continuous Time Models of the Short Term Interest Rate 0 0 0 331 2 4 5 1,020
Gaussian Inference in AR(1) Time Series with or without a Unit Root 0 0 0 233 1 3 4 691
HAC Estimation by Automated Regression 0 0 0 268 1 3 4 1,054
HAR Testing for Spurious Regression in Trend 0 0 0 58 1 2 3 99
High-Dimensional VARs with Common Factors 0 0 3 54 0 5 11 139
Higher Order Approximations for Wald Statistics in Cointegrating Regressions 0 0 0 104 0 2 3 676
Homogeneity Pursuit in Panel Data Models: Theory and Applications 0 0 0 49 1 3 4 99
Hot Property in New Zealand: Empirical Evidence of Housing Bubbles in the Metropolitan Centres 0 0 0 45 1 2 4 135
Hot Property in New Zealand: Empirical Evidence of Housing Bubbles in the Metropolitan Centres 0 0 0 75 12 14 19 241
Housing Fever in Australia 2020-2023: Insights from an Econometric Thermometer 0 0 0 2 1 2 3 6
How to Estimate Autoregressive Roots Near Unity 0 0 1 3 1 1 2 49
How to Estimate Autoregressive Roots Near Unity 0 0 0 157 0 1 2 682
Hybrid Stochastic Local Unit Roots 0 0 0 7 1 7 9 59
Hyper-Consistent Estimation of a Unit Root in Time Series Regression 0 0 1 172 1 3 6 556
IV and GMM Estimation and Testing of Multivariate Stochastic Unit Root Models 0 0 0 50 1 1 3 49
Identifying Latent Structures in Panel Data 0 0 1 43 5 7 10 210
Identifying Latent Structures in Panel Data 0 0 2 61 2 4 6 102
Improved HAR Inference 0 0 0 90 0 2 2 393
Impulse Response and Forecast Error Variance Asymptotics in Nonstationary VAR's 0 0 0 1,125 3 4 10 4,230
Incidental Trends and the Power of Panel Unit Root Tests 0 0 0 92 2 5 5 460
Incidental Trends and the Power of Panel Unit Root Tests 0 0 0 85 1 3 6 385
Incidental Trends and the Power of Panel Unit Root Tests 0 0 0 131 1 3 4 535
Inconsistent VAR Regression with Common Explosive Roots 0 0 0 94 0 0 1 246
Indirect Inference for Dynamic Panel Models 0 0 0 324 49 52 52 884
Indirect Inference for Dynamic Panel Models 0 0 0 17 0 3 5 122
Inference and Specification Testing in Threshold Regression with Endogeneity 0 0 0 48 0 2 4 76
Inference in Near Singular Regression 0 0 0 48 1 2 3 83
Infinite Density at the Median and the Typical Shape of Stock Return Distributions 0 0 0 53 1 3 4 250
Infinite Density at the Median and the Typical Shape of Stock Return Distributions 0 0 0 5 0 2 4 37
Infinite Density at the Median and the Typical Shape of Stock Return Distributions 0 0 0 36 3 3 4 247
Information Loss in Volatility Measurement with Flat Price Trading 0 0 0 2 2 3 3 48
Information Loss in Volatility Measurement with Flat Price Trading 0 0 0 97 0 1 1 593
Information Loss in Volatility Measurement with Flat Price Trading 0 0 0 34 0 1 4 160
Information Loss in Volatility Measurement with Flat Price Trading 0 0 0 41 0 0 2 167
Jackknifing Bond Option Prices 0 0 0 52 1 1 2 283
Jackknifing Bond Option Prices 0 0 0 459 2 3 5 1,623
Jacknifing Bond Option Prices 0 0 0 1 1 1 3 45
Jeffreys Prior Analysis of the Simultaneous Equations Model in the Case with n+1 Endogenous Variables 0 0 0 250 0 2 2 1,581
John Denis Sargan at the London School of Economics 0 0 0 104 4 5 7 231
Kernel-Based Inference In Time-Varying Coefficient Cointegrating Regression 0 0 0 59 0 2 2 104
Kernel-based inference in time-varying coefficient models with multiple integrated regressors 0 0 0 85 1 1 6 113
LAD Asymptotics under Conditional Heteroskedasticity with Possibly Infinite Error Densities 0 0 0 2 1 2 2 42
LAD Asymptotics under Conditional Heteroskedasticity with Possibly Infinite Error Densities 0 0 0 28 1 3 4 186
LAD Asymptotics under Conditional Heteroskedasticity with Possibly Infinite Error Densities 0 0 0 39 2 5 9 131
Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility 0 0 0 165 3 4 9 942
Lag length selection for unit root tests in the presence of nonstationary volatility 0 0 0 76 0 2 4 218
Large-Scale Curve Time Series with Common Stochastic Trends 0 7 19 19 2 7 12 12
Large-Scale Curve Time Series with Common Stochastic Trends 0 0 0 0 3 8 8 8
Latent Variable Nonparametric Cointegrating Regression 0 0 0 19 2 4 6 59
Laws and Limits of Econometrics 0 0 1 814 3 4 6 2,456
Limit Theory and Inference in Non-cointegrated Functional Coefficient Regression 0 0 0 6 0 2 7 14
Limit Theory for Dating the Origination and Collapse of Mildly Explosive Periods in Time Series Data 0 0 0 21 1 2 3 89
Limit Theory for Explosively Cointegrated Systems 0 0 0 87 1 2 5 259
Limit Theory for Locally Flat Functional Coefficient Regression 0 0 0 13 2 2 2 12
Limit Theory for Moderate Deviations from a Unit Root 0 0 0 172 1 4 4 573
Limit Theory for Moderate Deviations from a Unit Root under Weak Dependence 0 0 0 200 4 4 4 651
Limit Theory of Local Polynomial Estimation in Functional Coefficient Regression 0 0 1 5 2 3 6 14
Linear Regression Limit Theory for Nonstationary Panel Data 0 0 2 1,110 6 14 16 2,928
Local Limit Theory and Spurious Nonparametric Regression 0 0 0 132 0 2 3 397
Local Whittle Estimation in Nonstationary and Unit Root Cases 0 0 0 142 0 3 4 608
Log Periodogram Regression: The Nonstationary Case 0 0 0 216 1 2 6 735
Long Memory and Long Run Variation 0 0 0 99 1 2 3 220
Long Run Covariance Matrices for Fractionally Integrated Processes 0 0 0 101 3 5 5 315
Long Run Variance Estimation Using Steep Origin Kernels Without Truncation 0 0 0 69 1 3 3 320
Long Run Variance Estimation Using Steep Origin Kernels without Truncation 0 0 0 202 1 1 1 718
Marginal Densities of Instrumental Variable Estimators in the General Single Equation Case 0 0 0 30 3 8 9 361
Maximum Likelihood Estimation in Panels with Incidental Trends 0 0 0 174 1 1 3 857
Maximum Likelihood Estimation in Panels with Incidental Trends 0 0 0 3 0 0 0 71
Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance 0 0 0 15 1 2 2 99
Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance 0 0 0 518 1 4 4 1,817
Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance 0 0 0 2 1 2 2 49
Mean and Autocovariance Function Estimation Near the Boundary of Stationarity 0 0 0 51 0 0 1 336
Measurement and High Finance 0 0 0 22 0 2 2 68
Meritocracy Voting: Measuring the Unmeasurable 0 0 0 33 4 9 12 180
Minimum Distance Testing and Top Income Shares in Korea 0 0 0 55 3 3 4 62
Model Determination and Macroeconomic Activity 0 0 0 75 1 1 1 575
Model Selection in Partially Nonstationary Vector Autoregressive Processes with Reduced Rank Structure 0 0 0 219 0 0 1 1,150
Model Selection in the Presence of Incidental Parameters 0 0 0 20 2 5 6 80
Model Selection in the Presence of Incidental Parameters 0 0 0 54 3 4 4 81
Modified Local Whittle Estimation of the Memory Parameter in the Nonstationary Case 0 0 0 155 0 0 0 693
Multiple Regression with Integrated Time Series 0 0 1 459 5 5 8 1,722
Multiple Time Series Regression with Integrated Processes 0 0 3 774 5 6 12 2,113
New Unit Root Asymptotics in the Presence of Deterministic Trends 0 0 0 133 1 2 7 494
New Unit Root Asymptotics in the Presence of Deterministic Trends 0 0 0 0 2 7 8 50
New asymptotics applied to functional coefficient regression and climate sensitivity analysis 0 0 0 17 1 2 4 25
Non-linearity Induced Weak Instrumentation 0 0 0 17 3 6 6 140
Non-linearity Induced Weak Instrumentation 0 0 0 34 0 2 4 130
Nonlinear Cointegrating Power Function Regression with Endogeneity 0 0 0 50 3 5 5 65
Nonlinear Cointegrating Regression under Weak Identification 0 0 0 54 1 2 3 132
Nonlinear Econometric Models with Cointegrated and Deterministically Trending Regressors 0 0 0 257 0 0 1 806
Nonlinear Instrumental Variable Estimation of an Autoregression 0 0 0 167 0 1 1 747
Nonlinear Log-Periodogram Regression for Perturbed Fractional Processes 0 0 0 117 1 3 3 650
Nonlinear Regressions with Integrated Time Series 0 1 3 442 2 3 7 1,339
Nonparametric Estimation of a Multifactor Heath-Jarrow-Morton Model: An Integrated Approach 0 0 0 211 1 2 3 692
Nonparametric Predictive Regression 0 0 0 24 4 7 9 120
Nonparametric Predictive Regression 0 0 0 65 3 3 4 161
Nonparametric Predictive Regression 0 0 0 74 1 2 3 136
Nonparametric Structural Estimation via Continuous Location Shifts in an Endogenous Regressor 0 0 0 56 0 1 1 168
Nonstationary Binary Choice 0 0 1 201 2 7 8 809
Nonstationary Density Estimation and Kernel Autoregression 0 0 0 635 2 9 14 1,742
Nonstationary Discrete Choice 0 0 0 155 0 0 3 656
Nonstationary Discrete Choice: A Corrigendum and Addendum 0 0 0 81 0 2 2 384
Nonstationary Panel Data Analysis: An Overview of Some Recent Developments 0 0 1 1,411 3 6 10 2,964
Nonstationary Panel Models with Latent Group Structures and Cross-Section Dependence 0 0 0 74 2 2 3 78
Nonstationary Time Series and Cointegration: Recent Books and Themes for the Future 0 0 0 292 0 3 5 857
Norming Rates and Limit Theory for Some Time-Varying Coefficient Autoregressions 0 0 0 15 1 3 3 72
On Confidence Intervals for Autoregressive Roots and Predictive Regression 0 0 0 64 4 5 7 114
On Multicointegration 0 0 0 59 4 4 7 64
On University Education in Econometrics: Remarks on an Article by Eric R. Sowey 0 0 0 27 1 1 3 234
On a Lemma of Amemiya 0 0 0 8 0 1 3 115
On the Behavior of Inconsistent Instrumental Variable Estimators 0 0 0 43 1 2 2 292
On the Consistency of Non-Linear FIML 0 0 1 51 1 5 9 264
On the Exact Distribution of LIML (revised and extended, see CFDP 658) 0 0 0 8 0 0 0 104
On the Formulation of Wald Tests of Nonlinear Restrictions 0 1 2 148 0 4 5 565
Online Supplement to "Pythagorean Generalization of Testing the Equality of Two Symmetric Positive Definite Matrices" 0 0 0 36 1 1 2 44
Operational Algebra and Regression t-Tests 0 0 0 65 2 3 5 808
Optimal Bandwidth Choice for Interval Estimation in GMM Regression 0 0 0 121 1 2 3 558
Optimal Bandwidth Selection in Heteroskedasticity-Autocorrelation Robust Testing 0 0 0 166 2 3 4 550
Optimal Bandwidth Selection in Heteroskedasticity-Autocorrelation Robust Testing∗ 0 0 0 6 0 0 1 43
Optimal Estimation In A Multicointegrated System 0 9 9 9 5 12 12 12
Optimal Estimation of Cointegrated Systems with Irrelevant Instruments 0 0 0 112 1 4 5 387
Optimal Estimation under Nonstandard Conditions 0 0 0 62 1 2 4 226
Optimal Inference in Cointegrated Systems 0 0 1 374 2 4 5 814
Panel Data Models with Time-Varying Latent Group Structures 0 0 3 20 4 10 19 62
Panel Data Models with Time-Varying Latent Group Structures 0 0 0 27 2 6 9 37
Panel Threshold Regression with Unobserved Individual-Specific Threshold Effects 0 0 4 33 3 6 13 65
Parametric Inference on the Mean of Functional Data Applied to Lifetime Income Curves 0 0 1 64 0 1 2 86
Partially Identified Econometric Models 0 0 0 232 1 3 6 591
Pitfalls and Possibilities in Predictive Regression 0 0 0 81 1 2 6 92
Point Optimal Testing with Roots That Are Functionally Local to Unity 0 0 0 17 1 1 1 49
Policy Evaluation with Nonlinear Trended Outcomes: COVID-19 Vaccination Rates in the US 0 0 3 5 3 3 7 14
Pooled Log Periodogram Regression 0 1 1 146 2 5 7 786
Posterior Odds Testing for a Unit Root with Data-Based Model Selection 0 0 0 148 0 1 1 864
Power Maximization and Size Control in Heteroskedasticity and Autocorrelation Robust Tests with Exponentiated Kernels 0 0 0 42 1 3 5 205
Practical Kolmogorov-Smirnov Testing by Minimum Distance Applied to Measure Top Income Shares in Korea 0 1 1 42 2 3 3 75
Prewhitening Bias in HAC Estimation 0 0 0 71 2 6 7 461
Prewhitening Bias in HAC Estimation 0 0 0 4 3 4 6 55
Prewhitening Bias in HAC Estimation 0 0 0 209 4 5 7 942
Pythagorean Generalization of Testing the Equality of Two Symmetric Positive Definite Matrices 0 0 0 38 2 3 6 61
Random Coefficient Continuous Systems: Testing for Extreme Sample Path Behaviour 0 0 0 7 0 1 1 56
Random Coefficient Continuous Systems: Testing for Extreme Sample Path Behaviour 0 0 0 23 0 4 4 74
Real Time Monitoring of Asset Markets: Bubbles and Crises 3 3 9 147 5 8 19 390
Refined Inference on Long Memory in Realized Volatility 0 0 0 147 2 7 7 458
Reflections on Econometric Methodology 0 0 0 362 1 2 3 1,102
Regression Asymptotics Using Martingale Convergence Methods 0 0 0 253 2 3 3 826
Regression Theory for Near-Integrated Time Series 0 0 0 212 4 6 9 795
Regression asymptotics using martingale convergence methods 0 0 0 6 1 1 3 78
Regression with Slowly Varying Regressors 0 0 0 114 1 1 2 540
Regression-Adjusted Estimation of Quantile Treatment Effects under Covariate-Adaptive Randomizations 0 0 0 16 2 4 9 36
Regression-Adjusted Estimation of Quantile Treatment Effects under Covariate-Adaptive Randomizations 0 0 0 4 0 0 1 23
Regressions for Partially Identified, Cointegrated Simultaneous Equations 0 0 0 120 5 6 6 476
Restricted Likelihood Ratio Tests in Predictive Regression 0 0 0 50 1 3 5 82
Rissanen's Theorem and Econometric Time Series 0 0 0 183 8 13 15 986
Robust Inference for Time Varying Predictability: A Sieve-IVX Approach 0 1 14 14 3 7 27 27
Robust Inference on Correlation under General Heterogeneity 0 0 0 58 1 1 3 45
Robust Inference with Stochastic Local Unit Root Regressors in Predictive Regressions 0 0 0 58 0 2 4 54
Robust Nonstationary Regression 0 0 0 315 3 7 9 999
Robust Testing for Explosive Behavior with Strongly Dependent Errors 0 0 0 42 0 0 1 20
Robust Testing for Explosive Behavior with Strongly Dependent Errors 0 0 0 4 0 0 3 17
Robust Tests for White Noise and Cross-Correlation 0 0 0 48 1 2 3 80
Robust Tests for White Noise and Cross-Correlation 0 0 0 6 1 1 1 42
Robust Tests for White Noise and Cross-Correlation 0 0 1 14 3 5 8 55
Robust Tests of Forward Exchange Market Efficiency with Empirical Evidence from the 1920's 0 0 0 205 0 0 3 1,030
Second Order Expansions for the Distribution of the Maximum Likelihood Estimator of the Fractional Difference Parameter 0 0 0 57 1 3 3 407
Self-weighted Estimation for Local Unit Root Regression with Applications 0 1 1 4 2 10 13 23
Semiparametric Cointegrating Rank Selection 0 0 0 109 3 3 6 305
Semiparametric Cointegrating Rank Selection for Curved Cross Section Time Series 0 0 25 25 4 5 20 20
Semiparametric Estimation in Multivariate Nonstationary Time Series Models 0 0 0 84 7 7 8 218
Semiparametric Estimation in Simultaneous Equations of Time Series Models 0 0 0 61 1 3 5 125
Semiparametric Estimation in Time Series of Simultaneous Equations 0 0 0 71 2 4 4 171
Sequentially Testing Polynomial Model Hypotheses Using Power Transforms of Regressors 0 0 0 3 1 1 3 36
Sequentially Testing Polynomial Model Hypotheses using Power Transforms of Regressors 0 0 0 36 4 4 5 66
Series Estimation of Stochastic Processes: Recent Developments and Econometric Applications 0 0 0 111 3 5 5 190
Simulation-based Estimation of Contingent Claims Prices 0 0 0 4 0 1 3 60
Simulation-based Estimation of Contingent-claims Prices 0 0 0 5 0 2 3 88
Simulation-based Estimation of Contingent-claims Prices 0 0 0 171 0 4 5 618
Sinusoidal Modeling Applied to Spatially Variant Tropospheric Ozone Air Pollution 0 0 0 54 7 7 10 497
Small Sample Distribution Theory in Econometric Models of Simultaneous Equations 0 0 0 216 4 4 5 665
Smoothing Local-to-Moderate Unit Root Theory 0 0 0 68 1 4 4 225
Some Exact Distribution Theory for Maximum Likelihood Estimators of Cointegrating Coefficients in Error Correction Models 0 0 1 227 3 7 9 1,455
Speci cation Sensitivity in Right-Tailed Unit Root Testing for Explosive Behavior 0 0 0 2 0 0 2 41
Speci fication Sensitivities in Right-Tailed Unit Root Testing for Financial Bubbles 0 0 0 35 0 2 2 104
Specification Sensitivities in Right-Tailed Unit Root Testing for Financial Bubbles 0 0 0 117 2 4 7 290
Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behavior 0 0 0 78 2 5 6 304
Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behavior 0 0 0 47 2 4 5 157
Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behavior 0 1 1 23 1 4 6 123
Specification Testing for Nonlinear Cointegrating Regression 0 0 0 71 4 6 7 153
SpeciÖcation Sensitivities in Right-Tailed Unit Root Testing for Financial Bubbles 0 0 0 4 1 2 3 27
Spectral Density Estimation and Robust Hypothesis Testing Using Steep Origin Kernels Without Truncation 0 0 0 3 1 1 1 48
Spectral Regression for Cointegrated Time Series 0 0 1 414 2 4 7 955
Speculative Bubbles in the Recent AI Boom: Nasdaq and the Magnificent Seven 1 9 20 20 8 32 56 56
Spherical Matrix Distributions and Cauchy Quotients 0 0 0 82 2 2 2 686
Spurious Regression Unmasked 0 0 0 189 0 0 0 690
Statistical Inference in Instrumental Variables 0 0 0 236 1 3 4 943
Statistical Inference in Regressions with Integrated Processes: Part 1 1 1 1 519 3 4 6 1,213
Statistical Inference in Regressions with Integrated Processes: Part 2 0 0 0 304 3 5 8 634
Structural Change in Tail Behavior and the Asian Financial Crisis 0 0 0 305 2 5 6 830
Structural Inference from Reduced Forms with Many Instruments 0 0 1 35 0 4 6 58
Structural Nonparametric Cointegrating Regression 0 0 0 175 1 3 4 428
Supplement to ¡°Practical Kolmogorov-Smirnov Testing by Minimum Distance Applied to Measure Top Income Shares in Korea¡± 0 0 0 5 0 1 2 35
THE BIOSAFETY PROTOCOL AND INTERNATIONAL TRADE IN GENETICALLY MODIFIED ORGANISMS 0 0 0 6 1 2 2 56
Teaching Financial Econometrics to Students Converting to Finance 0 0 17 34 2 4 41 69
Testing Covariance Stationarity Under Moment Condition Failure with an Application to Common Stock Returns 0 0 0 227 4 4 5 974
Testing Equality of Covariance Matrices via Pythagorean Means 0 0 0 14 1 7 8 42
Testing Linearity Using Power Transforms of Regressors 0 0 0 18 2 4 4 156
Testing Linearity Using Power Transforms of Regressors 0 0 0 88 1 2 4 210
Testing Linearity in Cointegrating Relations with an Application to Purchasing Power Parity 0 0 0 263 1 4 5 843
Testing Mean Stability of Heteroskedastic Time Series 0 0 1 40 2 2 4 76
Testing Mean Stability of Heteroskedastic Time Series 0 0 0 2 2 2 3 22
Testing for Cointegration Using Principal Component Measures 0 0 0 339 1 1 3 694
Testing for Common Trends in Semiparametric Panel Data Models with Fixed Effects 0 0 1 98 3 5 9 270
Testing for Multiple Bubbles 0 0 3 15 2 6 11 66
Testing for Multiple Bubbles 0 0 3 195 25 32 53 561
Testing for Multiple Bubbles 0 1 1 107 2 6 12 364
Testing for Multiple Bubbles 0 0 2 245 4 6 14 798
Testing for Multiple Bubbles 1: Historical Episodes of Exuberance and Collapse in the S&P 500 0 0 2 298 2 7 12 485
Testing for Multiple Bubbles 2: Limit Theory of Real Time Detectors 0 0 0 117 0 8 11 257
Testing for Multiple Bubbles 2: Limit Theory of Real Time Detectors 0 0 0 37 1 2 6 80
Testing for Multiple Bubbles: Historical Episodes of Exuberance and Collapse in the S&P 500 0 0 0 330 46 53 59 853
Testing for Multiple Bubbles: Limit Theory of Real Time Detectors 0 0 1 121 1 4 8 439
Testing for Serial Correlation and Unit Roots Using a Computer Function Routine Bases on ERA's 0 0 0 48 4 4 5 576
Testing for a Unit Root by Generalized Least Squares Methods in the Time and Frequency Domains 0 0 0 99 2 3 4 510
Testing for a Unit Root in Time Series Regression 0 0 0 7 3 11 26 1,646
Testing for a Unit Root in Time Series Regression 1 2 8 3,083 11 23 45 7,842
Testing for a Unit Root in the Presence of Deterministic Trends 0 0 0 438 4 4 7 1,159
Testing for a Unit Root in the Presence of a Maintained Trend 1 2 3 263 4 10 12 683
Testing forUnit Root in the Presence of Deterministic Trends 0 0 0 1 4 6 7 317
Testing the Covariance Stationarity of Heavy-Tailed Time Series: An Overview of the Theory with Applications to Several Financial Datasets 0 0 0 1 1 4 7 862
Testing the Martingale Hypothesis 0 0 0 86 0 0 1 213
Testing the Null Hypothesis of Stationarity Against the Alternative of Unit Root: How Sure are we that Economic Time Series have a Unit Root? 0 0 0 5 8 26 56 2,480
Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root: How Sure Are We That Economic Time Series Have a Unit Root? 2 11 30 3,366 5 25 75 11,066
The Characteristic Function of the Dirichlet and Multivariate F Distributions 0 1 1 457 1 3 4 1,649
The Characteristic Function of the F Distribution 0 0 0 289 0 1 5 1,713
The Distribution of FIML in the Leading Case 0 0 0 33 0 2 3 332
The Distribution of Matrix Quotients 0 0 0 40 0 1 2 182
The Durbin-Watson Ratio Under Infinite Variance Errors 0 0 0 188 1 1 2 1,663
The Elusive Empirical Shadow of Growth Convergence 0 0 0 527 1 3 5 1,313
The Elusive Empirical Shadow of Growth Convergence 0 0 1 4 4 6 10 60
The Elusive Empirical Shadow of Growth Convergence 0 0 0 114 3 4 5 376
The Exact Distribution of Exogenous Variable Coefficient Estimators 0 0 0 29 1 2 2 389
The Exact Distribution of LIML: I 0 0 0 115 1 1 3 500
The Exact Distribution of LIML: II 0 0 0 51 1 2 2 235
The Exact Distribution of Zellner's SUR 0 0 0 207 1 2 2 607
The Exact Distribution of the Stein-Rule Estimator 0 0 0 87 1 2 2 322
The Exact Distribution of the Wald Statistic 0 0 0 428 1 3 6 2,546
The Exact Distribution of the Wald Statistic: The Non-Central Case 0 0 0 75 0 1 1 595
The Heterogeneous Effects of the Minimum Wage on Employment Across States 0 0 0 50 0 0 0 104
The Impact of Upzoning on Housing Construction in Auckland 0 0 3 35 2 3 10 82
The KPSS Test with Seasonal Dummies 0 0 0 327 3 5 5 1,250
The Long-Run Australian Consumption Function Reexamined: An Empirical Exercise in Bayesian Influence 0 0 1 235 0 6 8 1,534
The Mysteries of Trend 0 0 1 233 1 1 3 233
The Spurious Effect of Unit Roots on Exogeneity Tests in Vector Autoregressions: An Analytical Study 0 0 0 163 1 2 3 922
The Tail Behavior of Maximum Likelihood Estimates of Cointegrating Coefficients in Error Correction Models 0 0 0 51 2 2 2 638
The boosted HP filter is more general than you might think 0 0 0 11 1 3 9 24
The boosted HP filter is more general than you might think 0 0 0 93 1 2 9 62
Threshold Regression with Endogeneity 0 0 2 78 0 1 6 147
Tilted Nonparametric Estimation of Volatility Functions 0 0 0 157 1 5 5 351
Time Series Modeling with a Bayesian Frame of Reference: Concepts, Illustrations and Asymptotics 0 0 0 131 1 4 6 704
Time Series Modelling with a Bayesian Frame of Reference: 1. Concepts and Illustrations 0 0 0 122 2 2 3 1,025
Time Series Regression with a Unit Root 0 1 4 1,192 1 8 13 2,880
Time Series Regression with a Unit Root and Infinite Variance Errors 0 0 0 170 1 2 4 588
To Criticize the Critics: An Objective Bayesian Analysis of Stochastic Trends 0 0 0 280 2 5 6 1,619
Towards a Unified Asymptotic Theory for Autoregression 0 0 1 334 3 12 22 687
Transition Modeling and Econometric Convergence Tests 0 1 4 678 8 14 27 1,842
Trending Time Series and Macroeconomic Activity: Some Present and Future Challenges 0 0 0 268 8 12 13 790
Trends Versus Random Walks in Time Series Analysis 0 1 1 483 4 12 19 1,742
Tribute to T. W. Anderson 0 0 0 80 2 3 5 60
True Limit Distributions of the Anderson-Hsiao IV Estimators in Panel Autoregression 0 0 1 83 1 3 6 88
Two New Zealand Pioneer Econometricians 0 0 0 75 3 5 9 342
Understanding Spurious Regressions in Econometrics 0 0 3 3,321 3 7 17 8,429
Understanding Temporal Aggregation Effects on Kurtosis in Financial Indices 0 0 0 39 2 3 5 77
Unidentified Components in Reduced Rank Regression Estimation of ECM's 0 0 1 77 3 7 8 624
Unified Factor Model Estimation and Inference under Short and Long Memory 0 0 0 18 1 2 7 41
Uniform Asymptotic Normality in Stationary and Unit Root Autoregression 0 0 1 99 3 3 4 304
Uniform Consistency of Nonstationary Kernel-Weighted Sample Covariances for Nonparametric Regression 0 0 0 34 0 2 2 99
Uniform Consistency of Nonstationary Kernel-Weighted Sample Covariances for Nonparametric Regression 0 0 0 18 0 1 1 90
Uniform Inference in Panel Autoregression 0 0 0 67 2 2 2 99
Uniform Limit Theory for Stationary Autoregression 0 0 0 127 0 1 1 474
Uniform limit theory for stationary autoregression 0 0 0 0 1 6 6 197
Unit Root Log Periodogram Regression 0 0 0 282 1 2 2 934
Unit Root Model Selection 0 0 0 197 0 1 4 506
Unit Root Tests 0 0 0 423 1 1 3 1,434
Unit Root and Cointegrating Limit Theory When Initialization Is in the Infinite Past 0 0 0 60 0 0 2 198
Unit Roots 0 0 0 143 0 1 4 790
Unit Roots in Life -- A Graduate Student Story 0 0 0 68 1 1 1 149
VARs with Mixed Roots Near Unity 0 0 0 59 0 3 4 173
Vector Autoregression and Causality 0 0 1 2,085 4 6 10 5,676
Vector Autoregression and Causality: A Theoretical Overview and Simulation Study 0 0 4 1,675 2 3 12 4,275
Vision and Influence in Econometrics: John Denis Sargan 0 0 0 231 2 4 5 798
We provide mathematical proofs for the results in "Testing Linearity Using Power Transforms of Regressors" 0 0 0 53 0 3 4 80
Weak Convergence of Sample Covariance Matrices to Stochastic Integrals via Martingale Approximations 0 0 0 164 0 1 1 736
Weak Convergence to Stochastic Integrals for Econometric Applications 0 0 0 51 0 0 1 54
Weak Convergence to the Matrix Stochastic Integral BdB 0 0 0 190 1 1 1 797
Weak Identification of Long Memory with Implications for Inference 0 0 1 122 0 4 22 137
Weak Identification of Long Memory with Implications for Inference 0 0 0 7 1 4 6 21
Weak s- Convergence: Theory and Applications 0 0 0 74 1 2 7 485
When Bias Contributes to Variance: True Limit Theory in Functional Coefficient Cointegrating Regression 0 0 0 20 1 2 2 43
X-Differencing and Dynamic Panel Model Estimation 0 0 1 236 2 4 6 577
Total Working Papers 22 103 443 85,985 936 1,915 3,277 296,937
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Journal Article File Downloads Abstract Views
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02.3.1. Regression with an Evaporating Logarithmic Trend— Solution 0 0 0 9 0 1 2 58
A CUSUM test for cointegration using regression residuals 0 0 1 91 1 3 7 379
A Forecasting Model for the United Kingdom Invisible Account 0 0 0 0 0 0 2 3
A Gaussian approach for continuous time models of the short-term interest rate 0 0 0 14 2 2 4 436
A General Theorem in the Theory of Asymptotic Expansions as Approximations to the Finite Sample Distributions of Econometric Estimators 0 0 0 39 2 3 4 201
A PANEL CLUSTERING APPROACH TO ANALYZING BUBBLE BEHAVIOR 0 0 1 5 2 3 10 25
A Primer on Unit Root Testing 0 0 0 29 2 4 11 133
A REMARK ON BIMODALITY AND WEAK INSTRUMENTATION IN STRUCTURAL EQUATION ESTIMATION 0 0 0 6 3 4 5 58
A Reexamination of the Consumption Function Using Frequency Domain Regressions 0 0 0 0 0 1 3 259
A Saddlepoint Approximation to the Distribution of the k-Class Estimator of a Coefficient in a Simultaneous System 0 0 0 24 2 4 4 193
A Shortcut to LAD Estimator Asymptotics 0 0 0 29 1 5 6 97
A Theorem on the Tail Behaviour of Probability Distributions with an Application to the Stable Family 0 0 0 21 0 0 2 160
A complete asymptotic series for the autocovariance function of a long memory process 0 0 0 22 1 1 5 137
A frequentist approach to Bayesian asymptotics 0 0 0 3 0 0 2 32
A large deviation limit theorem for multivariate distributions 0 1 1 13 2 4 4 61
A multivariate stochastic unit root model with an application to derivative pricing 0 0 1 5 1 2 9 68
A new approach to robust inference in cointegration 0 0 1 32 0 1 2 114
A simple approach to the parametric estimation of potentially nonstationary diffusions 0 0 0 30 0 2 2 129
A simple proof of the latent root sensitivity formula 0 0 0 25 0 0 2 168
A two-stage realized volatility approach to estimation of diffusion processes with discrete data 0 0 0 32 0 1 3 133
ASYMPTOTIC THEORY FOR LOCAL TIME DENSITY ESTIMATION AND NONPARAMETRIC COINTEGRATING REGRESSION 0 1 1 44 1 5 10 146
ASYMPTOTIC THEORY FOR ZERO ENERGY FUNCTIONALS WITH NONPARAMETRIC REGRESSION APPLICATIONS 0 0 0 4 0 2 2 53
ASYMPTOTICS FOR NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES 0 0 1 36 1 2 5 145
AUTOMATED DISCOVERY IN ECONOMETRICS 0 0 0 19 2 3 3 105
AUTOMATED ESTIMATION OF VECTOR ERROR CORRECTION MODELS 0 0 0 21 2 3 3 99
Adaptive estimation of autoregressive models with time-varying variances 0 0 0 66 3 6 9 224
Albert Rex Bergstrom 1925-2005 0 0 0 2 0 2 2 43
An ADF coefficient test for a unit root in ARMA models of unknown order with empirical applications to the US economy 0 0 0 0 1 3 5 1,225
An Asymptotic Theory of Bayesian Inference for Time Series 0 0 1 168 1 4 6 873
An Introduction to Best Empirical Models when the Parameter Space is Infinite Dimensional* 0 0 0 15 0 0 2 110
An approximation to the finite sample distribution of Zellner's seemingly unrelated regression estimator 0 0 0 30 2 3 3 105
An everywhere convergent series representation of the distribution of Hotelling's generalized T02 0 0 0 1 0 1 1 19
Approximations to Some Finite Sample Distributions Associated with a First-Order Stochastic Difference Equation 0 0 1 54 0 2 6 318
Asset pricing with financial bubble risk 0 0 0 32 2 5 10 119
Asymptotic Expansions in Nonstationary Vector Autoregressions 0 0 0 18 1 2 5 82
Asymptotic Properties of Residual Based Tests for Cointegration 1 2 13 903 3 12 38 2,973
Asymptotic and finite sample distribution theory for IV estimators and tests in partially identified structural equations 0 0 0 59 2 2 6 262
Asymptotic theory for near integrated processes driven by tempered linear processes 0 0 0 2 0 0 2 25
Auditing the cost effectiveness of radon mitigation in the workplace 0 0 0 0 0 0 1 2
Auditing the cost‐effectiveness of radon mitigation in the workplace 0 0 0 0 1 2 3 5
BOOSTING: WHY YOU CAN USE THE HP FILTER 0 0 2 25 0 4 12 76
BUSINESS CYCLES, TREND ELIMINATION, AND THE HP FILTER 0 0 3 21 0 3 10 75
Band Spectral Regression with Trending Data 0 0 0 141 3 6 12 682
Bayes Methods and Unit Roots 0 0 0 7 0 1 2 40
Bayesian Routes and Unit Roots: De Rebus Prioribus Semper Est Disputandum 0 0 0 28 2 4 4 284
Bayesian model selection and prediction with empirical applications 0 0 0 74 2 2 3 258
Bayesian prediction a response 0 0 0 40 0 1 3 159
Bias in dynamic panel estimation with fixed effects, incidental trends and cross section dependence 0 0 1 245 2 3 6 624
Bias in estimating multivariate and univariate diffusions 0 0 0 22 0 5 5 114
Bimodal t-ratios: the impact of thick tails on inference 0 0 0 18 2 2 4 167
Boosting the HP filter for trending time series with long-range dependence 0 0 0 0 2 3 7 7
Bootstrap Inference for Quantile Treatment Effects in Randomized Experiments with Matched Pairs 0 0 1 1 1 3 7 54
Bootstrapping I(1) data 0 1 1 21 2 4 6 76
Boundary Limit Theory for Functional Local to Unity Regression 0 0 0 1 0 1 1 17
CONTINUOUSLY UPDATED INDIRECT INFERENCE IN HETEROSKEDASTIC SPATIAL MODELS 0 0 0 0 0 3 3 14
Challenges of trending time series econometrics 0 1 1 13 1 4 8 72
Change Detection and the Causal Impact of the Yield Curve 1 1 2 22 2 4 10 74
Cointegrating rank selection in models with time-varying variance 0 0 0 8 0 1 6 61
Comment 0 0 0 11 0 1 1 106
Common Bubble Detection in Large Dimensional Financial Systems* 0 0 0 1 3 3 4 11
Conditional and unconditional statistical independence 0 0 0 38 1 2 9 166
Corrigendum to ‘A Gaussian approach for continuous time models of short‐term interest rates’ (Yu, J. and P. C. B. Phillips, Econometrics Journal, 4, 210–24) 0 0 0 0 1 3 3 30
DYNAMIC PANEL ANDERSON-HSIAO ESTIMATION WITH ROOTS NEAR UNITY 0 0 0 6 0 0 1 32
Dating the timeline of financial bubbles during the subprime crisis 0 0 1 97 1 7 13 320
Descriptive econometrics for non-stationary time series with empirical illustrations 0 0 0 321 0 4 7 1,377
Detecting Financial Collapse and Ballooning Sovereign Risk 0 0 0 10 2 2 7 42
Diagnosing housing fever with an econometric thermometer 0 1 2 9 0 1 6 35
Does GNP have a unit root?: A re-evaluation 0 0 1 75 1 2 4 199
Dynamic Panel Modeling of Climate Change 0 0 0 10 2 8 12 40
Dynamic misspecification in nonparametric cointegrating regression 0 0 0 12 2 4 5 110
Dynamic panel estimation and homogeneity testing under cross section dependence &ast 0 0 0 254 2 4 14 844
EFFICIENT DETRENDING IN COINTEGRATING REGRESSION 0 0 0 17 4 4 6 71
ERAs: A New Approach to Small Sample Theory 0 0 1 69 10 12 16 444
ESTIMATION AND INFERENCE WITH NEAR UNIT ROOTS 0 0 0 4 1 2 4 15
ESTIMATION OF AUTOREGRESSIVE ROOTS NEAR UNITY USING PANEL DATA 0 0 1 19 1 5 14 133
EXACT DISTRIBUTION THEORY IN STRUCTURAL ESTIMATION WITH AN IDENTITY 0 0 0 6 0 0 1 53
EXPANSIONS FOR THE DISTRIBUTION OF THE MAXIMUM LIKELIHOOD ESTIMATOR OF THE FRACTIONAL DIFFERENCE PARAMETER 0 0 0 2 0 2 4 41
EXPLOSIVE BEHAVIOR IN THE 1990s NASDAQ: WHEN DID EXUBERANCE ESCALATE ASSET VALUES? 0 0 0 0 4 6 12 704
Econometric Analysis of Fisher's Equation 0 0 0 43 2 4 4 248
Econometric Model Determination 1 1 2 329 4 7 9 1,362
Econometric Reviews honors Esfandiar Maasoumi 0 0 0 4 2 2 4 20
Econometric estimates of Earth’s transient climate sensitivity 1 1 1 17 3 8 10 70
Economic transition and growth 0 1 9 360 2 11 31 911
Economic transition and growth 0 0 6 31 4 9 27 141
Edmond Malinvaud - an Economist's Econometrician 0 0 0 15 1 1 2 77
Edmond Malinvaud: a tribute to his contributions in econometrics 0 0 0 9 2 2 4 44
Efficient IV Estimation in Nonstationary Regression 0 0 0 12 1 2 3 56
Empirical Limits for Time Series Econometric Models 0 0 0 138 0 3 5 860
Error Correction and Long-Run Equilibrium in Continuous Time 0 0 0 101 2 8 10 426
Error bounds and asymptotic expansions for toeplitz product functionals of unbounded spectra 0 0 0 10 1 6 7 83
Estimating Long-run Economic Equilibria 0 0 0 223 2 7 17 633
Estimating smooth structural change in cointegration models 0 0 0 23 1 4 10 96
Estimation and inference in a possibly multicointegrated system with a fixed number of instruments 0 0 0 0 2 3 3 3
Expansions for approximate maximum likelihood estimators of the fractional difference parameter 0 0 0 25 1 1 1 181
Expert and Lay Public Risk Preferences Regarding Plants with Novel Traits 0 0 0 2 0 1 4 16
FINANCIAL BUBBLE IMPLOSION AND REVERSE REGRESSION 0 0 0 25 2 4 8 71
Finite Sample Theory and the Distributions of Alternative Estimators of the Marginal Propensity to Consume 0 0 0 39 2 5 9 187
First difference maximum likelihood and dynamic panel estimation 0 0 0 26 2 5 8 145
Folklore Theorems, Implicit Maps, and Indirect Inference 0 0 0 33 2 3 7 188
Forecasting New Zealand's real GDP 0 0 0 13 0 1 5 59
Forward exchange market unbiasedness: the case of the Australian dollar since 1984 0 0 0 19 2 4 5 150
Fully Modified Least Squares and Vector Autoregression 0 1 7 519 3 8 24 1,994
Fully Nonparametric Estimation of Scalar Diffusion Models 0 0 0 114 1 3 5 476
Fully modified IV, GIVE and GMM estimation with possibly non-stationary regressors and instruments 0 0 0 76 2 7 10 270
Fully modified least squares cointegrating parameter estimation in multicointegrated systems 0 0 2 3 1 2 4 12
Functional coefficient panel modeling with communal smoothing covariates 0 0 1 3 4 6 9 20
GAUSSIAN INFERENCE IN AR(1) TIME SERIES WITH OR WITHOUT A UNIT ROOT 0 0 1 36 0 1 2 97
GMM ESTIMATION FOR DYNAMIC PANELS WITH FIXED EFFECTS AND STRONG INSTRUMENTS AT UNITY 0 0 0 111 0 1 5 311
GMM Estimation of Autoregressive Roots Near Unity with Panel Data 0 0 0 171 1 1 1 667
GMM with Many Moment Conditions 0 0 0 196 2 4 6 820
HAC ESTIMATION BY AUTOMATED REGRESSION 0 0 0 21 3 3 3 85
HAR Testing for Spurious Regression in Trend 0 0 0 6 1 2 3 39
HOW TO ESTIMATE AUTOREGRESSIVE ROOTS NEAR UNITY 0 0 0 21 2 5 5 88
Halbert White Jr. Memorial JFEC Lecture: Pitfalls and Possibilities in Predictive Regression† 0 0 1 12 0 1 5 60
High-dimensional IV cointegration estimation and inference 0 1 1 2 2 5 7 14
High-dimensional VARs with common factors 0 2 2 13 0 2 12 46
Higher order approximations for Wald statistics in time series regressions with integrated processes 0 0 1 32 0 0 1 259
Higher-order approximations for frequency domain time series regression 0 1 1 67 2 3 6 247
Homage to Halbert White 0 0 0 6 0 1 1 44
Homogeneity pursuit in panel data models: Theory and application 0 0 0 10 1 1 4 60
Hot property in New Zealand: Empirical evidence of housing bubbles in the metropolitan centres 0 0 1 46 0 2 6 137
House prices and affordability 0 0 0 9 3 5 6 31
Housing Fever in Australia 2020–23: Insights from an Econometric Thermometer 0 0 0 4 1 2 10 18
Hybrid stochastic local unit roots 0 0 0 5 0 1 3 25
IN MEMORY OF JOHN DENIS SARGAN 0 0 0 3 0 0 0 33
INCONSISTENT VAR REGRESSION WITH COMMON EXPLOSIVE ROOTS 0 0 0 7 3 4 7 59
IV AND GMM INFERENCE IN ENDOGENOUS STOCHASTIC UNIT ROOT MODELS 0 0 0 3 0 1 1 23
Identifying Latent Structures in Panel Data 0 1 2 21 1 4 10 115
Impulse response and forecast error variance asymptotics in nonstationary VARs 0 0 0 198 7 9 25 620
Incidental trends and the power of panel unit root tests 0 0 1 54 0 3 7 225
Indirect inference for dynamic panel models 0 0 0 213 1 3 7 538
Indirect inference in spatial autoregression 0 0 0 2 1 1 2 26
Inference in Arch and Garch Models with Heavy--Tailed Errors 0 0 0 258 1 5 8 819
Inference in Autoregression under Heteroskedasticity 0 0 0 55 1 1 1 151
Inference in continuous systems with mildly explosive regressors 0 0 0 8 1 2 3 66
Infinite Density at the Median and the Typical Shape of Stock Return Distributions 0 0 0 14 1 2 3 103
Infinite Density at the Median and the Typical Shape of Stock Return Distributions 0 0 0 2 1 2 3 46
Information loss in volatility measurement with flat price trading 0 0 0 1 3 12 18 27
Jackknifing Bond Option Prices 0 0 0 81 1 2 3 298
Jeffreys prior analysis of the simultaneous equations model in the case with n+1 endogenous variables 0 0 0 31 0 2 3 242
Kernel-based Inference in Time-Varying Coefficient Cointegrating Regression 0 0 0 11 3 7 9 50
LAD ASYMPTOTICS UNDER CONDITIONAL HETEROSKEDASTICITY WITH POSSIBLY INFINITE ERROR DENSITIES 0 0 0 13 1 3 4 66
LATENT VARIABLE NONPARAMETRIC COINTEGRATING REGRESSION 0 0 0 1 0 3 5 13
LIMIT THEORY FOR COINTEGRATED SYSTEMS WITH MODERATELY INTEGRATED AND MODERATELY EXPLOSIVE REGRESSORS 0 0 1 35 0 2 4 135
LIMIT THEORY FOR EXPLOSIVELY COINTEGRATED SYSTEMS 0 0 0 10 0 0 0 54
LIMIT THEORY FOR LOCALLY FLAT FUNCTIONAL COEFFICIENT REGRESSION 0 0 1 5 3 5 7 12
LM Tests for a Unit Root in the Presence of Deterministic Trends 0 0 0 6 2 6 22 1,192
LOCAL LIMIT THEORY AND SPURIOUS NONPARAMETRIC REGRESSION 0 0 0 14 1 2 4 73
LONG-RUN COVARIANCE MATRICES FOR FRACTIONALLY INTEGRATED PROCESSES 0 0 0 12 2 2 3 140
Labeling Demands, Coexistence and the Challenges for Trade 0 0 1 13 1 1 2 73
Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility 0 0 0 14 1 1 4 74
Lag length selection in panel autoregression 0 2 3 13 1 3 9 65
Laws and Limits of Econometrics 0 0 0 112 0 6 9 408
Limit Theory for VARs with Mixed Roots Near Unity 0 1 1 3 0 1 2 36
Limit theory and inference in non-cointegrated functional coefficient regression 0 0 0 0 1 3 4 4
Limit theory for local polynomial estimation of functional coefficient models with possibly integrated regressors 1 1 2 2 7 10 11 11
Limit theory for moderate deviations from a unit root 0 0 0 59 2 5 8 228
Linear Regression Limit Theory for Nonstationary Panel Data 0 0 0 3 0 8 13 1,516
Local Whittle estimation of fractional integration and some of its variants 0 0 1 109 1 3 5 248
Long memory and long run variation 0 0 0 17 0 1 3 82
Mean and autocovariance function estimation near the boundary of stationarity 0 0 0 11 1 1 2 53
Meritocracy Voting: Measuring the Unmeasurable 0 0 0 7 2 2 3 52
Model selection in partially nonstationary vector autoregressive processes with reduced rank structure 0 0 0 45 3 4 5 201
Model selection in the presence of incidental parameters 0 0 0 18 0 1 4 77
Modeling speculative bubbles with diverse investor expectations 0 0 1 19 1 2 6 83
Multiple Time Series Regression with Integrated Processes 0 0 6 372 1 4 21 1,127
NONLINEAR COINTEGRATING POWER FUNCTION REGRESSION WITH ENDOGENEITY 0 0 0 2 0 1 1 8
NONLINEAR COINTEGRATING REGRESSION UNDER WEAK IDENTIFICATION 0 0 0 17 2 4 6 71
NONPARAMETRIC COINTEGRATING REGRESSION WITH ENDOGENEITY AND LONG MEMORY 0 0 0 10 0 2 4 47
NORMING RATES AND LIMIT THEORY FOR SOME TIME-VARYING COEFFICIENT AUTOREGRESSIONS 0 0 0 4 0 0 0 25
New Tools for Understanding Spurious Regressions 0 0 0 0 0 2 5 683
New methodology for constructing real estate price indices applied to the Singapore residential market 1 2 5 27 1 2 11 131
New unit root asymptotics in the presence of deterministic trends 0 0 0 21 0 1 3 118
Nonlinear Regressions with Integrated Time Series 0 0 0 0 3 6 8 708
Nonlinear econometric models with cointegrated and deterministically trending regressors 0 0 0 19 1 2 3 801
Nonlinear instrumental variable estimation of an autoregression 0 0 1 50 2 3 6 194
Nonlinear log-periodogram regression for perturbed fractional processes 0 0 0 49 2 3 3 199
Nonlinearity Induced Weak Instrumentation 0 0 0 3 2 2 4 38
Nonparametric predictive regression 0 0 0 22 1 1 2 124
Nonstationary Binary Choice 0 0 0 0 2 4 7 370
Nonstationary discrete choice 0 1 1 52 1 4 7 199
Nonstationary discrete choice: A corrigendum and addendum 0 0 0 19 0 1 3 103
Nonstationary panel data analysis: an overview of some recent developments 1 2 6 503 3 9 25 1,244
Nonstationary panel models with latent group structures and cross-section dependence 0 0 1 22 0 2 3 59
Non‐parametric regression under location shifts 0 0 0 20 0 0 1 129
ON THE BREITUNG TEST FOR PANEL UNIT ROOTS AND LOCAL ASYMPTOTIC POWER 0 0 1 62 4 8 13 343
OPTIMAL BANDWIDTH SELECTION IN NONLINEAR COINTEGRATING REGRESSION 0 0 1 1 1 2 3 5
On Confidence Intervals for Autoregressive Roots and Predictive Regression 0 0 0 15 1 2 3 88
On the Consistency of Nonlinear FIML 0 0 0 27 0 2 3 148
On the Formulation of Wald Tests of Nonlinear Restrictions 0 0 1 156 0 3 6 931
On the behavior of inconsistent instrumental variable estimators 0 0 1 18 0 5 6 126
Optimal Bandwidth Selection in Heteroskedasticity-Autocorrelation Robust Testing 0 0 0 89 3 6 7 381
Optimal Inference in Cointegrated Systems 0 0 2 303 4 5 11 1,085
Optimal estimation of cointegrated systems with irrelevant instruments 0 0 0 23 1 3 5 102
Optimal estimation under nonstandard conditions 0 0 0 8 0 1 2 54
PARAMETRIC CONDITIONAL MEAN INFERENCE WITH FUNCTIONAL DATA APPLIED TO LIFETIME INCOME CURVES 0 0 0 2 1 2 4 19
POWER MAXIMIZATION AND SIZE CONTROL IN HETEROSKEDASTICITY AND AUTOCORRELATION ROBUST TESTS WITH EXPONENTIATED KERNELS 0 0 0 8 2 2 2 53
Panel data models with time-varying latent group structures 0 0 2 8 5 9 17 28
Parameter Constancy in Cointegrating Regressions 0 0 0 0 4 4 4 386
Partially Identified Econometric Models 0 0 2 17 1 2 9 102
Pitfalls in Bootstrapping Spurious Regression 0 0 1 5 0 2 4 21
Point optimal testing with roots that are functionally local to unity 0 0 0 2 1 3 4 18
Point‐optimal panel unit root tests with serially correlated errors 0 0 0 4 2 2 6 38
Policy Evaluation with Nonlinear Trended Outcomes: Covid‐19 Vaccination Rates in the United States 1 3 3 3 6 10 10 10
Pooled Log Periodogram Regression 0 0 0 0 1 4 6 23
Posterior Odds Testing for a Unit Root with Data-Based Model Selection 0 0 0 20 1 2 2 90
Posterior distributions in limited information analysis of the simultaneous equations model using the Jeffreys prior 0 0 0 24 1 2 2 126
Practical Kolmogorov–Smirnov Testing by Minimum Distance Applied to Measure Top Income Shares in Korea 0 0 1 3 2 3 5 34
Predictive regression under various degrees of persistence and robust long-horizon regression 0 0 0 28 1 4 8 142
Prewhitening Bias in HAC Estimation 0 1 1 76 2 4 10 368
Pythagorean generalization of testing the equality of two symmetric positive definite matrices 0 0 0 7 0 1 1 57
REGRESSION ASYMPTOTICS USING MARTINGALE CONVERGENCE METHODS 0 1 1 30 0 2 5 120
REGRESSION WITH SLOWLY VARYING REGRESSORS AND NONLINEAR TRENDS 0 0 0 13 2 2 3 104
ROBUST TESTS FOR WHITE NOISE AND CROSS-CORRELATION 0 0 2 4 2 2 6 19
Random coefficient continuous systems: Testing for extreme sample path behavior 0 0 0 5 0 2 5 58
Reduced forms and weak instrumentation 0 0 0 2 0 2 4 30
Refined Inference on Long Memory in Realized Volatility 0 0 0 29 1 3 6 151
Reflections on Econometric Methodology 0 1 1 5 0 1 3 15
Reflections on the Day 0 0 0 0 0 1 1 72
Regression Theory for Near-Integrated Time Series 0 0 0 173 0 6 9 957
Regression-adjusted estimation of quantile treatment effects under covariate-adaptive randomizations 0 0 0 1 1 3 8 12
Reprint of: Robust inference on correlation under general heterogeneity 0 0 0 0 1 1 2 3
Rethinking an old empirical puzzle: econometric evidence on the forward discount anomaly 0 0 1 402 1 5 9 1,083
Robust Nonstationary Regression 0 0 0 17 3 5 7 84
Robust Tests of Forward Exchange Market Efficiency with Empirical Evidence from the 1920s 0 0 0 63 0 1 2 273
Robust econometric inference with mixed integrated and mildly explosive regressors 0 0 1 21 3 4 9 114
Robust inference of panel data models with interactive fixed effects under long memory: A frequency domain approach 0 0 4 8 2 6 18 26
Robust inference on correlation under general heterogeneity 0 0 0 0 0 5 9 15
Robust inference with stochastic local unit root regressors in predictive regressions 0 0 0 3 1 2 4 15
Robust testing for explosive behavior with strongly dependent errors 0 1 2 3 2 7 10 19
SPECIAL ISSUE OF ECONOMETRIC THEORY ON SETA 2010: EDITORS’ INTRODUCTION 0 0 0 9 1 1 2 61
SPECTRAL DENSITY ESTIMATION AND ROBUST HYPOTHESIS TESTING USING STEEP ORIGIN KERNELS WITHOUT TRUNCATION 0 0 0 41 2 3 4 255
Semiparametric cointegrating rank selection 0 0 0 29 0 5 7 242
Semiparametric estimation in triangular system equations with nonstationarity 0 0 0 25 5 7 9 127
Sequentially testing polynomial model hypotheses using power transforms of regressors 0 0 0 3 0 1 2 32
Simulation-Based Estimation of Contingent-Claims Prices 0 0 1 29 1 3 6 107
Smoothing local-to-moderate unit root theory 0 0 0 11 3 4 7 91
Some Exact Distribution Theory for Maximum Likelihood Estimators of Cointegrating Coefficients in Error Correction Models 0 0 0 122 2 3 5 630
Some empirics on economic growth under heterogeneous technology 0 1 1 73 4 7 9 180
Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behaviour 0 0 0 34 1 3 5 137
Speculative Bubbles in the Recent AI Boom: Nasdaq and the Magnificent Seven 1 4 5 5 8 19 22 22
Spherical matrix distributions and cauchy quotients 0 0 0 8 2 2 2 52
Statistical Inference in Instrumental Variables Regression with I(1) Processes 2 4 20 1,304 11 23 90 3,442
Statistical Inference in Regressions with Integrated Processes: Part 1 0 1 2 58 1 5 8 195
Statistical Inference in Regressions with Integrated Processes: Part 2 0 0 0 38 3 4 8 214
Structural Change Tests in Tail Behaviour and the Asian Crisis 0 0 0 17 1 4 7 267
Structural Nonparametric Cointegrating Regression 0 0 0 35 1 4 7 160
Structural inference from reduced forms with many instruments 0 0 0 4 0 4 8 46
TESTING FOR MULTIPLE BUBBLES: HISTORICAL EPISODES OF EXUBERANCE AND COLLAPSE IN THE S&P 500 4 9 20 49 10 27 72 192
TESTING FOR MULTIPLE BUBBLES: LIMIT THEORY OF REAL‐TIME DETECTORS 0 1 5 11 1 9 23 53
THE 2000–2002 TJALLING C. KOOPMANS ECONOMETRIC THEORY PRIZE 0 0 0 4 3 6 9 53
Testing Linearity in Cointegrating Relations With an Application to Purchasing Power Parity 0 0 1 41 1 2 5 198
Testing for a unit root by frequency domain regression 0 0 1 49 2 3 6 146
Testing for cointegration using principal components methods 0 0 0 232 0 2 5 476
Testing for common trends in semi‐parametric panel data models with fixed effects 0 0 0 25 1 4 5 129
Testing linearity using power transforms of regressors 0 0 0 11 4 7 10 99
Testing the Martingale Hypothesis 0 0 1 10 0 3 6 77
Testing the covariance stationarity of heavy-tailed time series: An overview of the theory with applications to several financial datasets 0 2 7 440 1 7 16 902
Testing the null hypothesis of stationarity against the alternative of a unit root: How sure are we that economic time series have a unit root? 6 22 83 3,166 20 81 256 10,023
The Distribution of FIML in the Leading Case 0 0 0 8 1 2 4 88
The Durbin-Watson ratio under infinite-variance errors 0 0 0 35 2 2 4 169
The Estimation of Some Continuous Time Models 0 0 0 39 1 5 6 170
The Exact Distribution of Instrumental Variable Estimators in an Equation Containing n + 1 Endogenous Variables 0 0 0 28 1 5 6 234
The Exact Distribution of LIML: I 0 0 0 26 0 2 4 150
The Exact Distribution of LIML: II 0 0 0 22 0 1 2 133
The Exact Distribution of the SUR Estimator 0 0 0 50 1 3 7 244
The Exact Distribution of the Wald Statistic 0 0 0 398 1 1 3 2,575
The Iterated Minimum Distance Estimator and the Quasi-Maximum Likelihood Estimator 0 0 0 133 1 2 2 405
The KPSS test with seasonal dummies 0 0 0 20 3 4 6 110
The Structural Estimation of a Stochastic Differential Equation System 0 0 0 198 2 2 3 636
The boosted Hodrick‐Prescott filter is more general than you might think 0 0 4 4 1 3 13 17
The concentration ellipsoid of a random vector 0 0 0 116 0 1 1 360
The distribution of matrix quotients 0 0 0 6 0 0 0 40
The exact distribution of exogenous variable coefficient estimators 0 0 0 11 2 3 4 80
The exact distribution of the Stein-rule estimator 0 0 0 19 0 1 3 75
The heterogeneous effects of the minimum wage on employment across states 1 2 3 57 2 5 12 237
The impact of upzoning on housing construction in Auckland 0 1 3 20 4 7 19 73
The problem of identification in finite parameter continuous time models 1 2 2 156 1 4 6 321
The sampling distribution of forecasts from a first-order autoregression 0 0 0 31 0 1 2 96
The spurious effect of unit roots on vector autoregressions: An analytical study 0 0 0 57 0 0 1 250
The true limit distributions of the Anderson–Hsiao IV estimators in panel autoregression 0 0 1 15 0 4 8 76
Threshold regression asymptotics: From the compound Poisson process to two-sided Brownian motion 0 0 2 5 1 5 17 36
Threshold regression with endogeneity 0 1 2 28 4 9 15 186
Tilted Nonparametric Estimation of Volatility Functions With Empirical Applications 0 0 0 23 1 2 2 102
Tilted Nonparametric Estimation of Volatility Functions With Empirical Applications 0 0 0 1 3 5 5 32
Time Series Regression With a Unit Root and Infinite-Variance Errors 0 0 0 9 1 3 3 64
Time Series Regression with Mixtures of Integrated Processes 0 0 1 28 1 2 6 95
Time Series Regression with a Unit Root 0 0 7 1,318 7 18 37 4,970
To Criticize the Critics: An Objective Bayesian Analysis of Stochastic Trends 0 1 1 92 1 4 5 348
Transition Modeling and Econometric Convergence Tests 1 3 12 294 3 10 41 931
Trending Multiple Time Series: Editor's Introduction 0 0 0 2 1 1 3 39
Trending time series and macroeconomic activity: Some present and future challenges 0 0 0 38 3 6 7 172
Trends versus Random Walks in Time Series Analysis 0 1 2 233 3 7 11 836
Two New Zealand pioneer econometricians 0 0 0 2 3 3 3 41
UNIFORM ASYMPTOTIC NORMALITY IN STATIONARY AND UNIT ROOT AUTOREGRESSION 0 0 0 19 3 5 6 115
UNIFORM CONSISTENCY OF NONSTATIONARY KERNEL-WEIGHTED SAMPLE COVARIANCES FOR NONPARAMETRIC REGRESSION 0 0 0 10 0 1 1 40
UNIT ROOT AND COINTEGRATING LIMIT THEORY WHEN INITIALIZATION IS IN THE INFINITE PAST 0 0 0 11 0 1 2 76
UNIT ROOTS IN LIFE—A GRADUATE STUDENT STORY 0 0 0 15 3 5 6 59
Understanding spurious regressions in econometrics 1 6 17 1,146 11 29 79 3,191
Understanding temporal aggregation effects on kurtosis in financial indices 0 0 0 0 0 1 2 15
Uniform Inference in Panel Autoregression 0 0 0 8 2 3 3 30
Uniform Limit Theory for Stationary Autoregression 0 0 0 41 0 1 2 146
Unit root log periodogram regression 0 0 1 89 1 3 6 289
VISION AND INFLUENCE IN ECONOMETRICS: JOHN DENIS SARGAN 0 0 0 8 2 2 2 102
Vector Autoregressions and Causality 0 1 3 968 7 10 15 2,298
WEAK CONVERGENCE TO STOCHASTIC INTEGRALS FOR ECONOMETRIC APPLICATIONS 0 0 0 6 2 4 7 36
Weak Convergence of Sample Covariance Matrices to Stochastic Integrals Via Martingale Approximations 0 0 0 12 3 4 7 58
Weak convergence to the matrix stochastic integral [integral operator]01 B dB' 1 1 1 10 3 4 5 55
Weak σ-convergence: Theory and applications 0 0 2 23 1 5 13 130
When bias contributes to variance: True limit theory in functional coefficient cointegrating regression 0 0 0 1 0 3 5 12
Worldwide Institutional and Individual Rankings in Statistical Theory by Journal Publications over the period 1980–1986 0 0 0 4 0 2 5 42
X-DIFFERENCING AND DYNAMIC PANEL MODEL ESTIMATION 0 0 1 32 2 3 6 111
Total Journal Articles 26 96 349 22,742 487 1,206 2,503 91,718
3 registered items for which data could not be found

Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Discrete Fourier Transforms of Fractional Processes with Econometric Applications* 0 0 1 4 4 5 7 21
Exact small sample theory in the simultaneous equations model 0 0 0 291 1 3 10 897
Inference in Near-Singular Regression 0 0 0 5 2 6 7 49
Information loss in volatility measurement with flat price trading 0 0 0 0 2 4 6 6
John Denis Sargan (1924–1996) 0 0 0 0 0 1 2 9
Testing Convergence Using HAR Inference 0 0 2 19 2 6 12 68
Total Chapters 0 0 3 319 11 25 44 1,050

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