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 4 8 19 153
A Bayesian Analysis of Trend Determination in Economic Time Series 0 0 0 400 4 5 14 1,917
A CUSUM Test for Cointegration Using Regression Residuals 0 0 0 612 2 5 12 1,900
A Complete Asymptotic Series for the Autocovariance Function of a Long Memory Process 0 0 0 90 2 3 7 663
A Conversation with Eric Ghysels Co-President of the Society for Financial Econometrics 0 0 0 16 1 1 7 107
A Frequency Approach to Bayesian Asymptotics 0 0 0 89 1 1 8 145
A General Limit Theory for Nonlinear Functionals of Nonstationary Time Series 0 0 0 74 1 2 12 62
A General Limit Theory for Nonlinear Functionals of Nonstationary Time Series 0 0 0 10 1 2 13 25
A Little Magic with the Cauchy Distribution 0 0 0 122 1 2 6 395
A Model of Output, Employment, Capital Formation and Inflation 0 0 0 81 4 4 8 410
A Multivariate Stochastic Unit Root Model with an Application to Derivative Pricing 0 0 0 49 2 3 15 99
A New Approach to Robust Inference in Cointegration 0 0 0 142 0 1 11 309
A New Approach to Small Sample Theory 0 0 0 214 2 4 6 1,628
A New Hedonic Regression for Real Estate Prices Applied to the Singapore Residential Market 1 1 2 32 4 6 20 145
A New Hedonic Regression for Real Estate Prices Applied to the Singapore Residential Market 0 0 1 40 3 6 17 116
A New Proof of Knight's Theorem on the Cauchy Distribution 0 0 0 126 1 1 3 681
A Note on the Saddlepoint Approximation in the First Order Non-Circular Autoregression 0 0 0 32 1 2 7 292
A Panel Clustering Approach to Analyzing Bubble Behavior 0 0 0 62 7 7 13 88
A Panel Clustering Approach to Analyzing Bubble Behavior 0 0 0 18 0 2 25 65
A Paradox of Inconsistent Parametric and Consistent Nonparametric Regression 0 0 0 63 0 0 3 233
A Primer on Unit Root Testing 0 1 1 2,060 1 4 17 4,159
A Reexamination of the Consumption Function Using Frequency Domain Regressors 0 0 0 164 3 6 13 1,092
A Remark on Bimodality and Weak Instrumentation in Structural Equation Estimation 0 0 0 45 4 8 16 328
A Rexamination of the Consumption Function Using Frequency Domain Regressions 0 0 0 1 2 6 8 505
A SMALL MODEL OF OUTPUT, EMPLOYMENT, CAPITAL FORMATION AND INFLATION, APPLIED TO THE NEW ZEALAND ECONOMY 0 0 0 5 1 2 3 34
A Shortcut to LAD Estimator Asymptotics 0 0 0 297 5 7 15 772
A Simple Approach to the Parametric Estimation of Potentially Nonstationary Diffusions 0 0 0 158 0 0 7 938
A Two-Stage Realized Volatility Approach to Estimation of Diffusion Processes with Discrete 0 0 0 9 2 3 13 91
A Two-Stage Realized Volatility Approach to the Estimation for Diffusion Processes from Discrete Observations 0 0 0 243 1 3 9 618
Accelerated Asymptotics for Diffusion Model Estimation 0 0 1 157 1 2 11 515
Adaptive Estimation of Autoregressive Models with Time-Varying Variances 0 0 0 171 1 4 10 557
Adaptive Estimation of Autoregressive Models with Time-Varying Variances 0 0 0 213 5 9 17 781
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 6 6 8 901
An Econometrician amongst Statisticians: T. W. Anderson 0 0 0 125 5 9 41 256
An Everywhere Convergent Series Representation of the Distribution of Hotelling's Generalized T_{0}^{2} 0 0 0 16 1 1 6 263
Asymptotic Equivalence of OLS and GLS in Regressions with Integrated Regressors 0 0 0 143 0 1 5 463
Asymptotic Expansions in Nonstationary Vector Autoregressions 0 0 0 109 5 9 15 344
Asymptotic Properties of Residual Based Tests for Cointegration 0 0 2 1,439 10 17 27 3,356
Asymptotic Theory for Local Time Density Estimation and Nonparametric Cointegrating Regression 0 0 0 211 5 6 11 701
Asymptotic Theory for Near Integrated Process Driven by Tempered Linear Process 0 0 0 51 2 4 7 58
Asymptotic Theory for Zero Energy Density Estimation with Nonparametric Regression Applications 0 0 0 41 5 5 9 162
Asymptotic and Finite Sample Distribution Theory for IV Estimators and Tests in Partially Identified Structural Equations 0 0 0 156 1 1 17 854
Asymptotics for Linear Processes 0 0 0 360 1 4 19 796
Asymptotics for Nonlinear Transformations of Integrated Time Series 0 0 0 324 2 2 12 953
Asymptotics of Polynomial Time Trend Estimation and Hypothesis Testing under Rank Deficiency 0 0 0 37 1 3 13 31
Automated Discovery in Econometrics 0 0 0 308 0 2 7 645
Automated Estimation of Vector Error Correction Models 0 0 1 292 1 1 12 266
Automated Forecasts of Asia-Pacific Economic Activity 0 0 0 106 5 6 17 792
Band Spectral Regression with Trending Data 0 0 0 323 6 9 18 1,221
Band Spectral Regression with Trending Data 0 0 0 1 2 3 12 860
Bayes Methods for Trending Multiple Time Series with an Empirical Application to the US Economy 0 0 0 166 2 2 9 1,100
Bayes Models and Forecasts of Australian Macroeconomic Time Series 0 0 0 82 4 6 12 454
Bayesian Model Selection and Prediction with Empirical Applications 0 0 0 269 5 5 7 1,327
Bayesian Posterior Distributions in Limited Information Analysis of the Simultaneous Equations Model Using the Jeffreys Prior 0 0 0 114 6 7 11 929
Bayesian Routes and Unit Roots: de rebus prioribus semper est disputandum 0 0 0 67 2 4 13 651
Bayesian estimation based on summary statistics: Double asymptotics and practice 0 0 0 60 0 2 12 107
Best Median Unbiased Estimation in Linear Regression with Bounded Asymmetric Loss Functions 0 0 0 326 3 5 11 2,575
Best Uniform Approximation to Probability Densities in Econometrics 0 0 1 131 2 3 10 685
Bias in Dynamic Panel Estimation with Fixed Effects, Incidental Trends and Cross Section Dependence 0 0 0 382 0 2 13 1,109
Bias in Dynamic Panel Estimation with Fixed Effects, Incidental Trends and Cross Section Dependence 0 0 1 6 2 5 13 60
Bias in Dynamic Panel Estimation with Fixed Effects, Incidental Trends and Cross Section Dependence 0 0 1 273 3 4 10 897
Bias in Estimating Multivariate and Univariate Diffusions 0 0 0 43 3 5 10 199
Bias in the Mean Reversion Estimator in Continuous-Time Gaussian and Levy Processes 0 0 0 45 0 1 10 61
Bimodal t-Ratios 0 0 0 78 4 7 21 869
Boosting the HP Filter for Trending Time Series with Long Range Dependence 0 0 0 90 2 6 10 69
Boosting the Hodrick-Prescott Filter 0 0 0 75 1 2 7 100
Boosting: Why You Can Use the HP Filter 0 0 1 119 3 5 21 188
Boosting: Why you Can Use the HP Filter 0 0 1 61 4 10 25 119
Bootstrap Inference for Quantile Treatment Effects in Randomized Experiments with Matched Pairs 0 0 0 9 5 5 11 53
Bootstrap Inference for Quantile Treatment Effects in Randomized Experiments with Matched Pairs 0 0 0 10 2 5 6 40
Bootstrapping I(1) Data 0 0 0 94 1 1 6 239
Bootstrapping Spurious Regression 0 0 0 336 1 3 12 1,028
Boundary Limit Theory for Functional Local to Unity Regression 0 0 0 15 3 7 10 48
Bubble Mitigation Policies: Counterfactual Analysis and Treatment Effect Inference 0 0 3 27 0 2 19 26
Business Cycles, Trend Elimination, and the HP Filter 0 0 0 130 4 10 21 233
Causal Change Detection in Possibly Integrated Systems: Revisiting the Money-Income Relationship 0 0 0 81 2 6 16 116
Causal Change Detection in Possibly Integrated Systems: Revisiting the Money-Income Relationship 0 0 1 74 1 5 11 179
Challenges of Trending Time Series Econometrics 0 0 0 674 5 6 15 2,302
Change Detection and the Casual Impact of the Yield Curve 0 0 1 52 5 9 16 125
Characteristic Functions and the Tail Behavior of Probability Distributions 0 0 1 519 2 3 16 1,409
Cointegrating Rank Selection in Models with Time-Varying Variance 0 0 0 99 4 5 8 262
Comment on “Realized Variance and Market Microstructure Noise†by Peter R. Hansen and Asger Lunde 0 0 0 0 2 2 2 106
Comment on “Realized Variance and Market Microstructure Noise” by Peter R. Hansen and Asger Lunde 0 0 0 92 3 4 9 326
Comments on “A selective overview of nonparametric methods in financial econometrics†0 0 0 2 7 7 10 109
Comments on “A Selective Overview of Nonparametric Methods in Financial Econometrics” by Jianqing Fan 0 0 0 42 3 3 7 187
Common Bubble Detection in Large Dimensional Financial Systems 0 1 1 57 1 6 21 176
Conditional and Unconditional Statistical Independence 0 0 0 317 2 2 15 2,152
Consistent HAC Estimation and Robust Regression Testing Using Sharp Origin Kernels with No Truncation 0 0 0 4 2 4 9 55
Consistent HAC Estimation and Robust Regression Testing Using Sharp Origin Kernels with No Truncation 0 0 0 222 2 3 7 1,245
Consistent HAC Estimation and Robust Regression Testing Using Sharp Origin Kernels with No Truncation 0 0 0 41 5 6 26 328
Consistent HAC Estimation and Robust Regression Testing Using Sharp Origin Kernels with No Truncation 0 0 0 93 1 2 6 749
Consistent Misspecification Testing in Spatial Autoregressive Models 0 0 1 42 2 5 14 68
Continuously Updated Indirect Inference in Heteroskedastic Spatial Models 0 0 0 26 2 4 11 39
Continuously Updated Indirect Inference in Heteroskedastic Spatial Models 0 0 0 21 5 7 11 80
Corrigendum to “A Gaussian Approach for Continuous Time Models of the Short Term Interest Rate" 0 0 0 28 3 3 9 78
Cross Section Curve Autoregression: The Unit Root Case 0 0 21 21 0 1 21 21
Cross Section Curve Data Autoregression 0 0 14 14 2 4 25 25
Cyclical Time Series: An Empirical Analysis of Temperatures in Central England Over Three Centuries 0 0 1 10 3 3 19 33
Dating the Timeline of Financial Bubbles During the Subprime Crisis 0 0 0 18 2 3 10 105
Dating the Timeline of Financial Bubbles During the Subprime Crisis 0 0 1 168 2 3 7 439
Dating the Timeline of Financial Bubbles During the Subprime Crisis 0 0 0 45 1 2 14 253
Dating the Timeline of Financial Bubbles during the Subprime Crisis 0 0 0 297 4 8 48 1,006
Descriptive Econometrics for Nonstationary Time Series with Empirical Illustrations 0 0 0 474 1 2 12 1,445
Detecting Financial Collapse and Ballooning Sovereign Risk 0 1 1 42 3 5 15 134
Diagnosing Housing Fever with an Econometric Thermometer 0 0 0 17 1 6 13 70
Diagnosing Housing Fever with an Econometric Thermometer 0 0 0 14 1 6 11 48
Discrete Fourier Transforms of Fractional Processes 0 0 0 529 0 0 6 1,748
Discrete Fourier Transforms of Fractional Processes August 0 0 1 3 1 2 13 38
Discrete Fourier Transforms of Fractional Processes with Econometric Applications 0 0 0 58 1 1 7 31
Does Gnp Have a Unit Root? a Reevaluation 0 0 0 2 1 1 3 323
Dynamic Misspecification in Nonparametric Cointegrating Regression 0 0 0 47 3 3 12 144
Dynamic Misspecification in Nonparametric Cointegrating Regression 0 0 0 55 2 3 16 276
Dynamic Misspecification in Nonparametric Cointegrating Regression 0 0 0 4 1 1 4 50
Dynamic Panel Estimation and Homogeneity Testing Under Cross Section Dependence 0 1 1 734 3 8 15 1,912
Dynamic Panel Estimation and Homogenity Testing Under Cross Section Dependence 0 0 0 4 1 3 11 62
Dynamic Panel GMM with Near Unity 0 0 0 54 2 3 10 115
Dynamic Panel Modeling of Climate Change 0 0 0 96 3 5 17 127
Dynamics of the Federal Funds Target Rate: A Nonstationary Discrete Choice Approach 0 0 0 387 1 4 11 2,518
ERA's: A New Approach to Small Sample Theory 0 0 1 76 1 2 7 392
Econometric Analysis of Asset Price Bubbles 1 3 8 110 2 8 29 109
Econometric Analysis of Fisher's Equation 0 0 0 654 3 4 10 2,989
Econometric Inference in the Vicinity of Unity 1 3 13 85 4 10 33 222
Econometric Measurement of Earth's Transient Climate Sensitivity 0 0 0 13 0 0 2 58
Econometric Measurement of Earth's Transient Climate Sensitivity 0 0 0 49 4 8 14 135
Economic Transition and Growth 0 0 1 525 2 3 13 1,205
Edgeworth Expansions in Curved Cross Section Autoregression 0 1 16 16 1 4 21 21
Edmond Malinvaud: A Tribute to His Contributions in Econometrics 0 0 0 98 2 3 15 77
Efficiency Gains from Quasi-Differencing Under Nonstationarity 0 0 1 148 1 3 12 632
Efficient Regression in Time Series Partial Linear Models 0 0 0 444 3 3 7 1,540
Empirical Limits for Time Series Econometric Models 0 0 0 292 2 6 18 978
Error Bounds and Asymptotic Expansions for Toeplitz Product Functionals of Unbounded Spectra 0 0 1 45 2 2 7 298
Error Correction and Long Run Equilibrium in Continuous Time 0 0 0 209 2 3 10 728
Estimating Long Run Economic Equilibria 0 0 2 613 0 0 9 1,602
Estimating Smooth Structural Change in Cointegration Models 0 0 0 67 2 5 12 157
Estimating Smooth Structural Change in Cointegration Models 0 0 0 124 0 1 8 214
Estimation and Inference in Models of Cointegration: A Simulation Study 1 1 7 425 3 4 17 1,088
Estimation and Inference in a Possibly Multi-cointegrated System with a Fixed Number of Instruments 0 0 0 2 2 5 14 22
Estimation and Inference with Near Unit Roots 0 0 0 85 2 4 9 59
Estimation of Autoregressive Roots Near Unity Using Panel Data 0 0 0 182 2 5 14 706
Estimation of Autoregressive Roots near Unity using Panel Data 0 0 0 1 2 4 11 74
Exact Distribution Theory in Structural Estimation with an Identity 0 0 0 65 3 4 5 417
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 0 1 9 34
Exact Local Whittle Estimation of Fractional Integration 0 0 0 140 0 4 17 633
Exact Local Whittle Estimation of Fractional Integration 0 0 0 2 2 3 9 36
Exact Small Sample Theory in the Simultaneous Equations Model 1 1 3 165 3 3 14 450
Expansions for Approximate Maximum Likelihood Estimators of the Fractional Difference Parameter 0 0 0 90 3 4 11 458
Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values? 0 0 2 289 5 6 20 991
Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values? 0 2 2 80 6 11 22 357
Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values? 0 1 1 157 4 9 18 410
Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values? 0 0 0 11 2 3 7 87
Failure of the Alternation Theorem in Rational Approximations Over C_0(-infinity,infinity) 0 0 0 23 1 1 4 254
Financial Bubble Implosion 0 0 0 70 2 5 7 199
Finite Sample Econometrics Using ERA's 0 0 0 74 0 1 8 358
First Difference MLE and Dynamic Panel Estimation 0 0 0 111 5 7 8 283
Folklore Theorems, Implicit Maps and New Unit Root Limit Theory 0 0 0 85 4 5 13 158
Forecasting Economic Activity Using the Yield Curve: Quasi-Real-Time Applications for New Zealand, Australia and the US 1 1 1 43 4 4 11 85
Forecasting New Zealand's Real GDP 0 0 0 8 3 4 7 54
Forecasting New Zealand's Real GDP 0 0 0 633 1 1 5 3,146
Forward Exchange Market Unbiasedness: The Case of the Australian Dollar Since 1984 0 0 0 169 1 4 12 761
Fractional Brownian Motion as a Differentiable Generalized Gaussian Process 0 0 0 699 2 3 8 2,145
Fractional Matrix Calculus and the Distribution of Multivariate Tests 0 0 0 162 3 3 6 898
Fully Modified IV, GIVE and GMM Estimation with Possibly Non-Stationary Regressions and Instruments 0 0 1 344 0 1 13 1,284
Fully Modified Least Squares Cointegrating Parameter Estimation in Multicointegrated Systems 0 0 0 18 2 4 14 36
Fully Modified Least Squares and Vector Autoregression 0 2 21 4,490 7 24 139 18,768
Fully Modified Least Squares for Multicointegrated Systems 0 0 0 49 1 3 13 376
Fully Nonparametric Estimation of Scalar Diffusion Models 0 0 0 357 2 2 11 1,075
Functional Coefficient Nonstationary Regression 0 0 0 114 0 1 6 198
Functional Coefficient Nonstationary Regression with Non- and Semi-Parametric Cointegration 0 1 1 140 0 5 12 296
Functional Coefficient Panel Modeling with Communal Smoothing Covariates 0 0 0 29 0 3 9 60
Functional Data Inference in a Parametric Quantile Model applied to Lifetime Income Curves 0 0 5 51 3 4 18 82
GMM Estimation for Dynamic Panels with Fixed Effects and Strong Instruments at Unity 0 0 0 543 3 6 16 1,636
GMM Estimation of Autoregressive Roots Near Unity with Panel Data 0 0 0 230 3 4 8 768
GMM Estimation of Autoregressive Roots Near Unity with Panel Data 0 0 0 133 1 1 11 607
GMM Estimation with Brownian Kernels Applied to Income Inequality Measurement 0 0 1 3 1 2 23 28
GMM Estimation with Brownian Kernels Applied to Income Inequality Measurement 0 0 0 15 2 2 12 37
GMM with Many Moment Conditions 0 0 0 435 2 7 17 1,576
GMM with Many Moment Conditions 0 0 0 179 2 4 14 630
Gaussian Estimation of Continuous Time Models of the Short Term Interest Rate 0 0 0 331 4 5 16 1,032
Gaussian Inference in AR(1) Time Series with or without a Unit Root 0 0 0 233 2 5 14 701
HAC Estimation by Automated Regression 0 0 0 268 3 5 10 1,061
HAR Testing for Spurious Regression in Trend 0 0 0 58 2 4 10 106
High-Dimensional VARs with Common Factors 0 0 0 54 2 3 11 144
Higher Order Approximations for Wald Statistics in Cointegrating Regressions 0 0 0 104 2 2 5 679
Homogeneity Pursuit in Panel Data Models: Theory and Applications 0 0 0 49 0 4 7 103
Hot Property in New Zealand: Empirical Evidence of Housing Bubbles in the Metropolitan Centres 0 0 0 75 1 3 25 250
Hot Property in New Zealand: Empirical Evidence of Housing Bubbles in the Metropolitan Centres 0 1 1 46 1 3 7 139
Housing Fever in Australia 2020-2023: Insights from an Econometric Thermometer 0 0 0 2 0 1 5 8
How to Estimate Autoregressive Roots Near Unity 0 0 1 3 5 7 12 59
How to Estimate Autoregressive Roots Near Unity 0 0 0 157 2 3 10 690
Hybrid Stochastic Local Unit Roots 0 0 0 7 2 2 12 63
Hyper-Consistent Estimation of a Unit Root in Time Series Regression 0 0 0 172 1 2 12 564
IV and GMM Estimation and Testing of Multivariate Stochastic Unit Root Models 0 0 0 50 2 4 6 53
Identifying Latent Structures in Panel Data 0 0 0 61 3 5 11 109
Identifying Latent Structures in Panel Data 0 0 1 43 3 7 19 221
Improved HAR Inference 0 0 0 90 2 5 9 400
Impulse Response and Forecast Error Variance Asymptotics in Nonstationary VAR's 0 0 0 1,125 1 2 14 4,235
Incidental Trends and the Power of Panel Unit Root Tests 0 0 0 85 1 1 9 388
Incidental Trends and the Power of Panel Unit Root Tests 0 0 0 92 0 0 7 462
Incidental Trends and the Power of Panel Unit Root Tests 0 0 0 131 3 4 10 541
Inconsistent VAR Regression with Common Explosive Roots 0 0 0 94 2 3 6 252
Indirect Inference for Dynamic Panel Models 0 0 0 324 2 7 69 901
Indirect Inference for Dynamic Panel Models 0 0 0 17 0 1 7 125
Inference and Specification Testing in Threshold Regression with Endogeneity 0 0 0 48 3 4 9 82
Inference in Near Singular Regression 0 0 0 48 5 6 11 91
Infinite Density at the Median and the Typical Shape of Stock Return Distributions 0 0 0 53 2 3 15 261
Infinite Density at the Median and the Typical Shape of Stock Return Distributions 0 0 0 5 1 1 5 38
Infinite Density at the Median and the Typical Shape of Stock Return Distributions 0 0 0 36 1 2 10 253
Information Loss in Volatility Measurement with Flat Price Trading 0 0 0 97 2 4 7 599
Information Loss in Volatility Measurement with Flat Price Trading 0 0 0 34 1 2 9 167
Information Loss in Volatility Measurement with Flat Price Trading 0 0 0 2 0 0 8 53
Information Loss in Volatility Measurement with Flat Price Trading 0 0 0 41 2 2 4 170
Jackknifing Bond Option Prices 0 0 0 52 1 3 6 288
Jackknifing Bond Option Prices 0 0 0 459 3 4 10 1,630
Jacknifing Bond Option Prices 0 0 0 1 1 2 4 48
Jeffreys Prior Analysis of the Simultaneous Equations Model in the Case with n+1 Endogenous Variables 0 0 0 250 1 1 7 1,586
John Denis Sargan at the London School of Economics 0 0 0 104 5 6 17 242
Kernel-Based Inference In Time-Varying Coefficient Cointegrating Regression 0 0 0 59 1 5 12 114
Kernel-based inference in time-varying coefficient models with multiple integrated regressors 0 0 0 85 6 6 13 121
LAD Asymptotics under Conditional Heteroskedasticity with Possibly Infinite Error Densities 0 0 0 39 2 4 11 136
LAD Asymptotics under Conditional Heteroskedasticity with Possibly Infinite Error Densities 0 0 0 28 2 4 9 192
LAD Asymptotics under Conditional Heteroskedasticity with Possibly Infinite Error Densities 0 0 0 2 2 2 5 45
Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility 0 0 0 165 5 9 19 957
Lag length selection for unit root tests in the presence of nonstationary volatility 0 0 0 76 3 7 17 232
Large-Scale Curve Time Series with Common Stochastic Trends 0 0 19 19 0 0 14 14
Large-Scale Curve Time Series with Common Stochastic Trends 1 1 1 1 3 5 14 14
Latent Variable Nonparametric Cointegrating Regression 0 0 0 19 2 4 14 68
Laws and Limits of Econometrics 0 0 1 814 1 2 16 2,466
Limit Theory and Inference in Non-cointegrated Functional Coefficient Regression 0 0 0 6 0 1 9 18
Limit Theory for Dating the Origination and Collapse of Mildly Explosive Periods in Time Series Data 0 0 0 21 1 1 4 91
Limit Theory for Explosively Cointegrated Systems 0 0 0 87 3 3 7 262
Limit Theory for Locally Flat Functional Coefficient Regression 0 0 0 13 1 2 7 17
Limit Theory for Moderate Deviations from a Unit Root 0 0 0 172 2 2 8 577
Limit Theory for Moderate Deviations from a Unit Root under Weak Dependence 0 0 0 200 2 3 10 657
Limit Theory of Local Polynomial Estimation in Functional Coefficient Regression 0 0 0 5 1 3 10 20
Linear Regression Limit Theory for Nonstationary Panel Data 0 0 0 1,110 9 10 26 2,940
Local Limit Theory and Spurious Nonparametric Regression 0 0 0 132 2 2 8 402
Local Whittle Estimation in Nonstationary and Unit Root Cases 0 0 0 142 3 4 10 614
Log Periodogram Regression: The Nonstationary Case 0 0 0 216 1 2 10 741
Long Memory and Long Run Variation 0 0 0 99 2 2 6 224
Long Run Covariance Matrices for Fractionally Integrated Processes 0 0 0 101 2 2 9 319
Long Run Variance Estimation Using Steep Origin Kernels Without Truncation 0 0 0 69 2 4 13 330
Long Run Variance Estimation Using Steep Origin Kernels without Truncation 0 0 0 202 2 2 3 720
Marginal Densities of Instrumental Variable Estimators in the General Single Equation Case 0 0 0 30 2 2 11 363
Maximum Likelihood Estimation in Panels with Incidental Trends 0 0 0 174 3 4 7 862
Maximum Likelihood Estimation in Panels with Incidental Trends 0 0 0 3 3 3 4 75
Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance 0 0 0 15 2 5 10 107
Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance 0 0 0 2 0 2 6 53
Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance 0 0 0 518 1 4 8 1,821
Mean and Autocovariance Function Estimation Near the Boundary of Stationarity 0 0 0 51 3 3 6 341
Measurement and High Finance 0 0 0 22 0 1 5 71
Meritocracy Voting: Measuring the Unmeasurable 0 0 0 33 2 2 17 185
Minimum Distance Testing and Top Income Shares in Korea 0 0 0 55 1 4 10 69
Model Determination and Macroeconomic Activity 0 0 0 75 2 2 3 577
Model Selection in Partially Nonstationary Vector Autoregressive Processes with Reduced Rank Structure 0 0 0 219 3 4 5 1,155
Model Selection in the Presence of Incidental Parameters 0 0 0 20 3 4 12 86
Model Selection in the Presence of Incidental Parameters 0 0 0 54 0 3 9 86
Modified Local Whittle Estimation of the Memory Parameter in the Nonstationary Case 0 0 0 155 5 6 7 700
Multiple Regression with Integrated Time Series 0 0 1 459 1 2 14 1,729
Multiple Time Series Regression with Integrated Processes 0 0 1 774 8 9 22 2,126
New Unit Root Asymptotics in the Presence of Deterministic Trends 0 0 0 0 1 2 13 56
New Unit Root Asymptotics in the Presence of Deterministic Trends 0 0 0 133 0 0 8 499
New asymptotics applied to functional coefficient regression and climate sensitivity analysis 0 0 0 17 2 3 10 32
Non-linearity Induced Weak Instrumentation 0 0 0 17 1 2 9 143
Non-linearity Induced Weak Instrumentation 0 0 0 34 1 1 6 134
Nonlinear Cointegrating Power Function Regression with Endogeneity 0 0 0 50 2 4 12 72
Nonlinear Cointegrating Regression under Weak Identification 0 0 0 54 4 7 15 144
Nonlinear Econometric Models with Cointegrated and Deterministically Trending Regressors 0 0 0 257 5 6 9 815
Nonlinear Instrumental Variable Estimation of an Autoregression 0 0 0 167 3 3 6 752
Nonlinear Log-Periodogram Regression for Perturbed Fractional Processes 0 0 0 117 1 3 7 654
Nonlinear Regressions with Integrated Time Series 0 0 1 442 2 4 11 1,346
Nonparametric Estimation of a Multifactor Heath-Jarrow-Morton Model: An Integrated Approach 0 0 0 211 1 2 9 698
Nonparametric Predictive Regression 0 0 0 24 2 2 13 126
Nonparametric Predictive Regression 0 0 0 65 5 7 14 172
Nonparametric Predictive Regression 0 0 0 74 2 3 10 143
Nonparametric Structural Estimation via Continuous Location Shifts in an Endogenous Regressor 0 0 0 56 2 3 9 176
Nonstationary Binary Choice 0 0 0 201 3 4 13 815
Nonstationary Density Estimation and Kernel Autoregression 0 0 0 635 2 5 21 1,750
Nonstationary Discrete Choice 0 0 0 155 2 3 9 663
Nonstationary Discrete Choice: A Corrigendum and Addendum 0 0 0 81 2 6 14 396
Nonstationary Panel Data Analysis: An Overview of Some Recent Developments 0 0 0 1,411 5 5 19 2,975
Nonstationary Panel Models with Latent Group Structures and Cross-Section Dependence 0 0 0 74 4 7 12 87
Nonstationary Time Series and Cointegration: Recent Books and Themes for the Future 0 0 0 292 0 1 7 859
Norming Rates and Limit Theory for Some Time-Varying Coefficient Autoregressions 0 0 0 15 1 1 6 75
On Confidence Intervals for Autoregressive Roots and Predictive Regression 0 0 0 64 2 3 10 118
On Multicointegration 0 0 0 59 2 4 12 69
On University Education in Econometrics: Remarks on an Article by Eric R. Sowey 0 0 0 27 1 2 7 239
On a Lemma of Amemiya 0 0 0 8 1 1 4 117
On the Behavior of Inconsistent Instrumental Variable Estimators 0 0 0 43 2 4 10 300
On the Consistency of Non-Linear FIML 0 0 0 51 3 3 11 268
On the Exact Distribution of LIML (revised and extended, see CFDP 658) 0 0 0 8 2 2 3 107
On the Formulation of Wald Tests of Nonlinear Restrictions 0 0 2 148 2 5 16 576
Online Supplement to "Pythagorean Generalization of Testing the Equality of Two Symmetric Positive Definite Matrices" 0 0 0 36 3 4 5 48
Operational Algebra and Regression t-Tests 0 0 0 65 2 2 6 811
Optimal Bandwidth Choice for Interval Estimation in GMM Regression 0 0 0 121 0 1 9 565
Optimal Bandwidth Selection in Heteroskedasticity-Autocorrelation Robust Testing 0 0 0 166 0 31 41 588
Optimal Bandwidth Selection in Heteroskedasticity-Autocorrelation Robust Testing∗ 0 0 0 6 3 6 7 50
Optimal Estimation In A Multicointegrated System 0 0 9 9 3 7 21 21
Optimal Estimation of Cointegrated Systems with Irrelevant Instruments 0 0 0 112 1 1 11 393
Optimal Estimation under Nonstandard Conditions 0 0 0 62 2 3 8 232
Optimal Inference in Cointegrated Systems 0 0 1 374 15 16 24 833
Panel Data Models with Time-Varying Latent Group Structures 0 0 2 20 1 6 31 76
Panel Data Models with Time-Varying Latent Group Structures 0 0 0 27 4 6 17 46
Panel Threshold Regression with Unobserved Individual-Specific Threshold Effects 0 0 0 33 4 5 14 71
Parametric Inference on the Mean of Functional Data Applied to Lifetime Income Curves 0 0 1 64 6 6 12 96
Partially Identified Econometric Models 0 0 0 232 2 3 16 602
Pitfalls and Possibilities in Predictive Regression 0 0 0 81 3 5 8 97
Point Optimal Testing with Roots That Are Functionally Local to Unity 0 0 0 17 3 6 11 59
Policy Evaluation with Nonlinear Trended Outcomes: COVID-19 Vaccination Rates in the US 0 0 3 5 2 5 13 20
Pooled Log Periodogram Regression 0 0 1 146 3 8 15 795
Posterior Odds Testing for a Unit Root with Data-Based Model Selection 0 0 0 148 1 3 7 870
Power Maximization and Size Control in Heteroskedasticity and Autocorrelation Robust Tests with Exponentiated Kernels 0 0 0 42 3 4 9 211
Practical Kolmogorov-Smirnov Testing by Minimum Distance Applied to Measure Top Income Shares in Korea 0 0 1 42 1 4 9 81
Prewhitening Bias in HAC Estimation 0 0 0 209 1 6 19 955
Prewhitening Bias in HAC Estimation 0 0 0 71 4 5 11 466
Prewhitening Bias in HAC Estimation 0 0 0 4 0 2 8 59
Pythagorean Generalization of Testing the Equality of Two Symmetric Positive Definite Matrices 0 0 0 38 1 1 7 64
Random Coefficient Continuous Systems: Testing for Extreme Sample Path Behaviour 0 0 0 23 1 3 8 78
Random Coefficient Continuous Systems: Testing for Extreme Sample Path Behaviour 0 0 0 7 3 4 15 70
Real Time Monitoring of Asset Markets: Bubbles and Crises 1 5 10 152 3 11 27 404
Refined Inference on Long Memory in Realized Volatility 0 0 0 147 2 5 14 465
Reflections on Econometric Methodology 0 0 0 362 3 4 11 1,111
Regression Asymptotics Using Martingale Convergence Methods 0 0 0 253 2 3 16 839
Regression Theory for Near-Integrated Time Series 0 0 0 212 4 4 15 802
Regression asymptotics using martingale convergence methods 0 0 0 6 5 5 9 85
Regression with Slowly Varying Regressors 0 0 0 114 1 1 9 547
Regression-Adjusted Estimation of Quantile Treatment Effects under Covariate-Adaptive Randomizations 0 0 0 16 4 4 17 44
Regression-Adjusted Estimation of Quantile Treatment Effects under Covariate-Adaptive Randomizations 0 0 0 4 1 3 4 26
Regressions for Partially Identified, Cointegrated Simultaneous Equations 0 0 0 120 4 7 18 488
Restricted Likelihood Ratio Tests in Predictive Regression 0 0 0 50 2 3 9 88
Rissanen's Theorem and Econometric Time Series 0 0 0 183 1 3 22 995
Robust Inference for Time Varying Predictability: A Sieve-IVX Approach 0 0 6 14 0 1 20 30
Robust Inference on Correlation under General Heterogeneity 0 0 0 58 1 1 7 50
Robust Inference with Stochastic Local Unit Root Regressors in Predictive Regressions 0 0 0 58 2 4 9 61
Robust Nonstationary Regression 0 0 0 315 2 6 16 1,007
Robust Testing for Explosive Behavior with Strongly Dependent Errors 0 0 0 42 2 4 21 41
Robust Testing for Explosive Behavior with Strongly Dependent Errors 0 0 0 4 1 1 7 22
Robust Tests for White Noise and Cross-Correlation 0 0 0 6 0 1 4 45
Robust Tests for White Noise and Cross-Correlation 0 0 0 14 9 10 32 81
Robust Tests for White Noise and Cross-Correlation 0 0 0 48 1 2 7 85
Robust Tests of Forward Exchange Market Efficiency with Empirical Evidence from the 1920's 0 0 0 205 3 7 11 1,040
Second Order Expansions for the Distribution of the Maximum Likelihood Estimator of the Fractional Difference Parameter 0 0 0 57 0 0 7 411
Self-weighted Estimation for Local Unit Root Regression with Applications 0 0 1 4 0 0 15 27
Semiparametric Cointegrating Rank Selection 0 0 0 109 0 1 13 312
Semiparametric Cointegrating Rank Selection for Curved Cross Section Time Series 0 0 2 25 0 1 13 24
Semiparametric Estimation in Multivariate Nonstationary Time Series Models 0 0 0 84 4 5 21 231
Semiparametric Estimation in Simultaneous Equations of Time Series Models 0 0 0 61 0 0 5 126
Semiparametric Estimation in Time Series of Simultaneous Equations 0 0 0 71 3 3 7 174
Sequentially Testing Polynomial Model Hypotheses Using Power Transforms of Regressors 0 0 0 3 4 6 14 48
Sequentially Testing Polynomial Model Hypotheses using Power Transforms of Regressors 0 0 0 36 4 6 14 75
Series Estimation of Stochastic Processes: Recent Developments and Econometric Applications 0 1 1 112 3 9 17 202
Simulation-based Estimation of Contingent Claims Prices 0 0 0 4 2 2 6 65
Simulation-based Estimation of Contingent-claims Prices 0 0 0 171 2 2 8 621
Simulation-based Estimation of Contingent-claims Prices 0 0 0 5 2 3 9 94
Sinusoidal Modeling Applied to Spatially Variant Tropospheric Ozone Air Pollution 0 0 0 54 2 6 17 507
Small Sample Distribution Theory in Econometric Models of Simultaneous Equations 0 0 0 216 1 3 7 668
Smoothing Local-to-Moderate Unit Root Theory 0 0 0 68 4 4 8 229
Some Exact Distribution Theory for Maximum Likelihood Estimators of Cointegrating Coefficients in Error Correction Models 0 0 0 227 4 7 17 1,465
Speci cation Sensitivity in Right-Tailed Unit Root Testing for Explosive Behavior 0 0 0 2 1 2 3 43
Speci fication Sensitivities in Right-Tailed Unit Root Testing for Financial Bubbles 0 0 0 35 0 0 7 109
Specification Sensitivities in Right-Tailed Unit Root Testing for Financial Bubbles 0 0 0 117 0 1 7 291
Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behavior 0 0 0 47 0 0 6 158
Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behavior 0 0 1 23 1 2 8 126
Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behavior 0 0 0 78 3 4 14 312
Specification Testing for Nonlinear Cointegrating Regression 0 0 0 71 2 5 16 163
SpeciÖcation Sensitivities in Right-Tailed Unit Root Testing for Financial Bubbles 0 0 0 4 1 2 5 29
Spectral Density Estimation and Robust Hypothesis Testing Using Steep Origin Kernels Without Truncation 0 0 0 3 2 5 19 66
Spectral Regression for Cointegrated Time Series 2 2 2 416 6 8 14 964
Speculative Bubbles in the Recent AI Boom: Nasdaq and the Magnificent Seven 4 5 22 26 17 26 88 91
Spherical Matrix Distributions and Cauchy Quotients 0 0 0 82 3 4 8 692
Spurious Regression Unmasked 0 0 0 189 1 1 4 694
Statistical Inference in Instrumental Variables 0 0 0 236 2 2 9 948
Statistical Inference in Regressions with Integrated Processes: Part 1 0 0 2 520 4 5 15 1,223
Statistical Inference in Regressions with Integrated Processes: Part 2 0 0 0 304 2 4 13 640
Structural Change in Tail Behavior and the Asian Financial Crisis 0 0 0 305 1 5 11 835
Structural Inference from Reduced Forms with Many Instruments 0 0 1 35 2 4 12 64
Structural Nonparametric Cointegrating Regression 0 0 0 175 4 5 13 437
Supplement to ¡°Practical Kolmogorov-Smirnov Testing by Minimum Distance Applied to Measure Top Income Shares in Korea¡± 0 0 0 5 1 2 6 39
THE BIOSAFETY PROTOCOL AND INTERNATIONAL TRADE IN GENETICALLY MODIFIED ORGANISMS 0 0 0 6 2 2 11 65
Teaching Financial Econometrics to Students Converting to Finance 0 1 7 36 1 4 31 81
Testing Covariance Stationarity Under Moment Condition Failure with an Application to Common Stock Returns 0 0 0 227 3 4 13 983
Testing Equality of Covariance Matrices via Pythagorean Means 0 1 1 15 1 11 20 55
Testing Linearity Using Power Transforms of Regressors 0 0 0 18 3 6 12 164
Testing Linearity Using Power Transforms of Regressors 0 0 0 88 7 8 14 222
Testing Linearity in Cointegrating Relations with an Application to Purchasing Power Parity 0 0 0 263 2 3 10 848
Testing Mean Stability of Heteroskedastic Time Series 0 0 1 40 1 1 4 77
Testing Mean Stability of Heteroskedastic Time Series 0 0 0 2 0 0 7 26
Testing for Cointegration Using Principal Component Measures 0 0 0 339 6 7 11 703
Testing for Common Trends in Semiparametric Panel Data Models with Fixed Effects 0 0 0 98 4 6 15 277
Testing for Multiple Bubbles 0 1 2 246 6 11 25 814
Testing for Multiple Bubbles 0 1 3 17 3 5 15 74
Testing for Multiple Bubbles 0 1 2 108 3 5 23 377
Testing for Multiple Bubbles 0 0 2 196 4 9 54 578
Testing for Multiple Bubbles 1: Historical Episodes of Exuberance and Collapse in the S&P 500 0 1 1 299 4 10 19 496
Testing for Multiple Bubbles 2: Limit Theory of Real Time Detectors 0 0 0 37 7 8 15 92
Testing for Multiple Bubbles 2: Limit Theory of Real Time Detectors 0 0 0 117 3 8 22 270
Testing for Multiple Bubbles: Historical Episodes of Exuberance and Collapse in the S&P 500 1 4 4 334 8 21 95 891
Testing for Multiple Bubbles: Limit Theory of Real Time Detectors 0 0 1 121 6 8 22 453
Testing for Serial Correlation and Unit Roots Using a Computer Function Routine Bases on ERA's 0 0 0 48 0 0 9 580
Testing for a Unit Root by Generalized Least Squares Methods in the Time and Frequency Domains 0 0 0 99 0 2 6 513
Testing for a Unit Root in Time Series Regression 0 0 0 7 15 19 48 1,672
Testing for a Unit Root in Time Series Regression 2 3 8 3,086 18 31 80 7,886
Testing for a Unit Root in the Presence of Deterministic Trends 0 0 0 438 2 2 12 1,166
Testing for a Unit Root in the Presence of a Maintained Trend 0 0 2 263 1 5 19 691
Testing forUnit Root in the Presence of Deterministic Trends 0 0 0 1 0 2 14 325
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 12 36 892
Testing the Martingale Hypothesis 0 0 0 86 3 11 15 228
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 15 20 107 2,546
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? 1 4 26 3,373 19 25 84 11,105
The Characteristic Function of the Dirichlet and Multivariate F Distributions 0 0 1 457 4 5 11 1,656
The Characteristic Function of the F Distribution 0 0 0 289 4 8 15 1,724
The Distribution of FIML in the Leading Case 0 0 0 33 1 1 8 337
The Distribution of Matrix Quotients 0 0 0 40 1 1 4 184
The Durbin-Watson Ratio Under Infinite Variance Errors 0 0 0 188 5 8 12 1,674
The Elusive Empirical Shadow of Growth Convergence 0 0 0 527 6 8 12 1,322
The Elusive Empirical Shadow of Growth Convergence 0 0 0 114 2 3 11 382
The Elusive Empirical Shadow of Growth Convergence 0 0 0 4 1 5 16 68
The Exact Distribution of Exogenous Variable Coefficient Estimators 0 0 0 29 2 2 5 392
The Exact Distribution of LIML: I 0 0 0 115 3 4 12 509
The Exact Distribution of LIML: II 0 0 0 51 1 6 15 248
The Exact Distribution of Zellner's SUR 0 0 0 207 1 5 7 612
The Exact Distribution of the Stein-Rule Estimator 0 0 0 87 1 1 4 324
The Exact Distribution of the Wald Statistic 0 0 0 428 2 6 15 2,556
The Exact Distribution of the Wald Statistic: The Non-Central Case 0 0 0 75 2 3 8 602
The Heterogeneous Effects of the Minimum Wage on Employment Across States 0 0 0 50 3 4 6 110
The Impact of Upzoning on Housing Construction in Auckland 0 0 1 35 2 5 17 91
The KPSS Test with Seasonal Dummies 0 0 0 327 0 0 5 1,250
The Long-Run Australian Consumption Function Reexamined: An Empirical Exercise in Bayesian Influence 0 0 0 235 0 1 12 1,539
The Mysteries of Trend 0 0 0 233 1 1 4 236
The Spurious Effect of Unit Roots on Exogeneity Tests in Vector Autoregressions: An Analytical Study 0 0 0 163 0 0 4 924
The Tail Behavior of Maximum Likelihood Estimates of Cointegrating Coefficients in Error Correction Models 0 0 0 51 0 3 9 645
The boosted HP filter is more general than you might think 1 1 1 12 2 4 11 29
The boosted HP filter is more general than you might think 0 0 0 93 1 6 16 71
Threshold Regression with Endogeneity 0 1 1 79 4 8 15 158
Tilted Nonparametric Estimation of Volatility Functions 0 0 0 157 2 4 11 357
Time Series Modeling with a Bayesian Frame of Reference: Concepts, Illustrations and Asymptotics 0 0 0 131 7 8 20 719
Time Series Modelling with a Bayesian Frame of Reference: 1. Concepts and Illustrations 0 0 0 122 0 4 9 1,031
Time Series Regression with a Unit Root 0 0 1 1,192 10 14 26 2,896
Time Series Regression with a Unit Root and Infinite Variance Errors 0 0 0 170 5 5 12 597
To Criticize the Critics: An Objective Bayesian Analysis of Stochastic Trends 0 0 0 280 4 5 13 1,627
Towards a Unified Asymptotic Theory for Autoregression 0 0 1 334 4 5 27 694
Transition Modeling and Econometric Convergence Tests 0 0 4 678 1 9 35 1,855
Trending Time Series and Macroeconomic Activity: Some Present and Future Challenges 0 0 0 268 0 3 18 795
Trends Versus Random Walks in Time Series Analysis 0 0 1 483 3 7 25 1,750
Tribute to T. W. Anderson 0 0 1 81 1 2 12 68
True Limit Distributions of the Anderson-Hsiao IV Estimators in Panel Autoregression 0 0 1 83 1 1 8 92
Two New Zealand Pioneer Econometricians 0 0 0 75 3 4 14 348
Understanding Spurious Regressions in Econometrics 3 4 6 3,325 18 28 44 8,460
Understanding Temporal Aggregation Effects on Kurtosis in Financial Indices 0 0 0 39 2 4 12 84
Unidentified Components in Reduced Rank Regression Estimation of ECM's 0 0 1 77 7 8 17 633
Unified Factor Model Estimation and Inference under Short and Long Memory 0 0 0 18 0 1 7 43
Uniform Asymptotic Normality in Stationary and Unit Root Autoregression 0 0 1 99 7 7 13 313
Uniform Consistency of Nonstationary Kernel-Weighted Sample Covariances for Nonparametric Regression 0 0 0 18 2 3 10 99
Uniform Consistency of Nonstationary Kernel-Weighted Sample Covariances for Nonparametric Regression 0 0 0 34 2 5 10 107
Uniform Inference in Panel Autoregression 0 0 0 67 2 5 9 106
Uniform Limit Theory for Stationary Autoregression 0 0 0 127 1 3 10 483
Uniform limit theory for stationary autoregression 0 0 0 0 0 1 13 204
Unit Root Log Periodogram Regression 0 0 0 282 2 4 10 942
Unit Root Model Selection 0 0 0 197 7 7 11 515
Unit Root Tests 0 0 0 423 2 5 10 1,441
Unit Root and Cointegrating Limit Theory When Initialization Is in the Infinite Past 0 0 0 60 1 3 7 205
Unit Roots 0 0 0 143 4 5 13 801
Unit Roots in Life -- A Graduate Student Story 0 0 1 69 3 8 13 161
VARs with Mixed Roots Near Unity 0 0 0 59 2 5 10 179
Vector Autoregression and Causality 0 1 1 2,086 0 3 13 5,682
Vector Autoregression and Causality: A Theoretical Overview and Simulation Study 0 0 2 1,675 3 9 24 4,290
Vision and Influence in Econometrics: John Denis Sargan 0 0 0 231 1 2 9 803
We provide mathematical proofs for the results in "Testing Linearity Using Power Transforms of Regressors" 0 0 0 53 1 2 8 84
Weak Convergence of Sample Covariance Matrices to Stochastic Integrals via Martingale Approximations 0 1 1 165 6 8 13 748
Weak Convergence to Stochastic Integrals for Econometric Applications 0 0 0 51 1 1 1 55
Weak Convergence to the Matrix Stochastic Integral BdB 0 0 0 190 3 4 8 804
Weak Identification of Long Memory with Implications for Inference 0 0 0 7 6 7 15 30
Weak Identification of Long Memory with Implications for Inference 0 0 0 122 5 12 24 153
Weak s- Convergence: Theory and Applications 1 1 1 75 6 7 14 494
When Bias Contributes to Variance: True Limit Theory in Functional Coefficient Cointegrating Regression 0 0 0 20 5 5 7 48
X-Differencing and Dynamic Panel Model Estimation 0 0 1 236 0 1 10 581
Total Working Papers 23 62 332 86,067 1,201 2,110 6,419 300,755
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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 1 2 6 62
A CUSUM test for cointegration using regression residuals 0 0 1 91 3 5 14 387
A Forecasting Model for the United Kingdom Invisible Account 0 0 0 0 2 2 9 10
A Gaussian approach for continuous time models of the short-term interest rate 0 0 0 14 5 7 13 446
A General Theorem in the Theory of Asymptotic Expansions as Approximations to the Finite Sample Distributions of Econometric Estimators 0 0 0 39 1 2 8 205
A PANEL CLUSTERING APPROACH TO ANALYZING BUBBLE BEHAVIOR 0 1 1 6 7 10 17 38
A Primer on Unit Root Testing 0 1 1 30 2 7 17 144
A REMARK ON BIMODALITY AND WEAK INSTRUMENTATION IN STRUCTURAL EQUATION ESTIMATION 0 0 0 6 2 2 9 62
A Reexamination of the Consumption Function Using Frequency Domain Regressions 0 0 0 0 3 5 15 271
A Saddlepoint Approximation to the Distribution of the k-Class Estimator of a Coefficient in a Simultaneous System 0 0 1 25 5 5 14 203
A Shortcut to LAD Estimator Asymptotics 0 0 0 29 4 8 20 111
A Theorem on the Tail Behaviour of Probability Distributions with an Application to the Stable Family 0 0 0 21 0 0 3 161
A complete asymptotic series for the autocovariance function of a long memory process 0 0 0 22 4 5 9 142
A frequentist approach to Bayesian asymptotics 0 0 0 3 3 4 7 38
A large deviation limit theorem for multivariate distributions 0 0 1 13 3 3 11 68
A multivariate stochastic unit root model with an application to derivative pricing 0 0 0 5 2 2 11 72
A new approach to robust inference in cointegration 0 0 1 32 2 4 10 122
A simple approach to the parametric estimation of potentially nonstationary diffusions 0 0 0 30 2 5 10 137
A simple proof of the latent root sensitivity formula 0 0 0 25 1 1 2 169
A two-stage realized volatility approach to estimation of diffusion processes with discrete data 0 0 0 32 0 2 9 139
ASYMPTOTIC THEORY FOR LOCAL TIME DENSITY ESTIMATION AND NONPARAMETRIC COINTEGRATING REGRESSION 0 0 1 44 3 7 19 157
ASYMPTOTIC THEORY FOR ZERO ENERGY FUNCTIONALS WITH NONPARAMETRIC REGRESSION APPLICATIONS 0 0 0 4 2 4 11 62
ASYMPTOTICS FOR NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES 0 0 1 36 3 9 16 157
AUTOMATED DISCOVERY IN ECONOMETRICS 0 0 0 19 2 3 7 109
AUTOMATED ESTIMATION OF VECTOR ERROR CORRECTION MODELS 0 0 0 21 2 3 9 105
Adaptive estimation of autoregressive models with time-varying variances 0 0 0 66 4 6 19 235
Albert Rex Bergstrom 1925-2005 0 0 0 2 0 0 4 45
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 2 4 13 1,234
An Asymptotic Theory of Bayesian Inference for Time Series 0 1 2 169 1 3 12 880
An Introduction to Best Empirical Models when the Parameter Space is Infinite Dimensional* 0 0 0 15 1 2 8 117
An approximation to the finite sample distribution of Zellner's seemingly unrelated regression estimator 0 0 0 30 1 1 8 110
An everywhere convergent series representation of the distribution of Hotelling's generalized T02 0 0 0 1 1 1 6 24
Approximations to Some Finite Sample Distributions Associated with a First-Order Stochastic Difference Equation 0 0 1 54 0 1 9 322
Asset pricing with financial bubble risk 0 0 1 33 2 3 16 126
Asymptotic Expansions in Nonstationary Vector Autoregressions 0 0 0 18 0 2 8 86
Asymptotic Properties of Residual Based Tests for Cointegration 0 0 8 904 23 32 63 3,011
Asymptotic and finite sample distribution theory for IV estimators and tests in partially identified structural equations 0 1 1 60 3 6 14 270
Asymptotic theory for near integrated processes driven by tempered linear processes 0 0 0 2 1 1 6 29
Auditing the cost effectiveness of radon mitigation in the workplace 0 0 0 0 1 1 3 5
Auditing the cost‐effectiveness of radon mitigation in the workplace 0 0 0 0 1 1 5 7
BOOSTING: WHY YOU CAN USE THE HP FILTER 1 1 1 26 1 3 14 81
BUSINESS CYCLES, TREND ELIMINATION, AND THE HP FILTER 0 1 3 22 1 3 19 89
Band Spectral Regression with Trending Data 0 0 0 141 8 8 22 694
Bayes Methods and Unit Roots 0 0 0 7 0 0 5 43
Bayesian Routes and Unit Roots: De Rebus Prioribus Semper Est Disputandum 0 0 0 28 2 2 9 289
Bayesian model selection and prediction with empirical applications 0 0 0 74 2 5 11 266
Bayesian prediction a response 0 0 0 40 2 3 7 163
Bias in dynamic panel estimation with fixed effects, incidental trends and cross section dependence 0 0 1 245 5 8 17 635
Bias in estimating multivariate and univariate diffusions 0 0 0 22 0 1 11 120
Bimodal t-ratios: the impact of thick tails on inference 0 0 0 18 4 7 10 174
Boosting the HP filter for trending time series with long-range dependence 0 0 0 0 1 7 18 19
Bootstrap Inference for Quantile Treatment Effects in Randomized Experiments with Matched Pairs 0 0 2 2 4 9 22 71
Bootstrapping I(1) data 0 0 1 21 1 4 11 82
Boundary Limit Theory for Functional Local to Unity Regression 0 0 0 1 1 1 5 21
CONTINUOUSLY UPDATED INDIRECT INFERENCE IN HETEROSKEDASTIC SPATIAL MODELS 0 0 0 0 1 3 10 21
Challenges of trending time series econometrics 0 0 1 13 1 2 11 76
Change Detection and the Causal Impact of the Yield Curve 0 2 3 24 6 12 32 97
Cointegrating rank selection in models with time-varying variance 0 0 0 8 1 3 8 66
Comment 0 0 0 11 0 1 5 110
Common Bubble Detection in Large Dimensional Financial Systems* 0 2 2 3 1 4 9 17
Conditional and unconditional statistical independence 0 0 0 38 2 5 15 173
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 2 2 9 36
DYNAMIC PANEL ANDERSON-HSIAO ESTIMATION WITH ROOTS NEAR UNITY 0 0 0 6 2 3 6 38
Dating the timeline of financial bubbles during the subprime crisis 1 2 3 99 5 8 24 332
Descriptive econometrics for non-stationary time series with empirical illustrations 0 1 1 322 4 8 16 1,388
Detecting Financial Collapse and Ballooning Sovereign Risk 0 0 0 10 1 3 10 48
Diagnosing housing fever with an econometric thermometer 0 0 1 9 1 5 15 46
Does GNP have a unit root?: A re-evaluation 0 0 1 75 1 2 7 203
Dynamic Panel Modeling of Climate Change 0 0 0 10 2 4 19 47
Dynamic misspecification in nonparametric cointegrating regression 0 0 0 12 4 4 12 117
Dynamic panel estimation and homogeneity testing under cross section dependence &ast 0 0 0 254 4 7 21 856
EFFICIENT DETRENDING IN COINTEGRATING REGRESSION 0 0 0 17 5 7 18 84
ERAs: A New Approach to Small Sample Theory 0 0 1 69 1 2 21 449
ESTIMATION AND INFERENCE WITH NEAR UNIT ROOTS 0 0 0 4 1 2 9 21
ESTIMATION OF AUTOREGRESSIVE ROOTS NEAR UNITY USING PANEL DATA 0 0 0 19 0 0 9 135
EXACT DISTRIBUTION THEORY IN STRUCTURAL ESTIMATION WITH AN IDENTITY 0 0 0 6 1 1 7 59
EXPANSIONS FOR THE DISTRIBUTION OF THE MAXIMUM LIKELIHOOD ESTIMATOR OF THE FRACTIONAL DIFFERENCE PARAMETER 0 0 0 2 1 1 10 48
EXPLOSIVE BEHAVIOR IN THE 1990s NASDAQ: WHEN DID EXUBERANCE ESCALATE ASSET VALUES? 0 0 0 0 8 19 36 732
Econometric Analysis of Fisher's Equation 0 0 0 43 1 1 7 251
Econometric Model Determination 0 1 3 331 1 3 16 1,370
Econometric Reviews honors Esfandiar Maasoumi 0 0 0 4 1 2 6 23
Econometric estimates of Earth’s transient climate sensitivity 0 0 1 17 0 0 10 71
Economic transition and growth 1 3 8 34 4 12 35 154
Economic transition and growth 0 2 7 362 2 8 35 925
Edmond Malinvaud - an Economist's Econometrician 0 0 0 15 1 1 7 82
Edmond Malinvaud: a tribute to his contributions in econometrics 0 0 0 9 2 2 8 50
Efficient IV Estimation in Nonstationary Regression 0 0 0 12 3 3 6 59
Empirical Limits for Time Series Econometric Models 0 0 0 138 2 4 12 867
Error Correction and Long-Run Equilibrium in Continuous Time 0 1 1 102 1 5 14 431
Error bounds and asymptotic expansions for toeplitz product functionals of unbounded spectra 0 0 0 10 0 2 11 88
Estimating Long-run Economic Equilibria 0 1 1 224 1 6 30 652
Estimating smooth structural change in cointegration models 0 0 0 23 4 6 21 107
Estimation and inference in a possibly multicointegrated system with a fixed number of instruments 0 0 0 0 2 3 13 13
Expansions for approximate maximum likelihood estimators of the fractional difference parameter 0 0 0 25 7 7 10 190
Expert and Lay Public Risk Preferences Regarding Plants with Novel Traits 0 0 0 2 0 0 4 16
FINANCIAL BUBBLE IMPLOSION AND REVERSE REGRESSION 1 1 1 26 1 5 15 80
Finite Sample Theory and the Distributions of Alternative Estimators of the Marginal Propensity to Consume 0 0 0 39 2 4 14 193
First difference maximum likelihood and dynamic panel estimation 0 0 0 26 1 2 18 156
Folklore Theorems, Implicit Maps, and Indirect Inference 0 0 0 33 0 0 6 189
Forecasting New Zealand's real GDP 0 0 0 13 4 4 6 64
Forward exchange market unbiasedness: the case of the Australian dollar since 1984 0 0 0 19 3 5 12 158
Fully Modified Least Squares and Vector Autoregression 0 1 4 520 4 5 23 2,004
Fully Nonparametric Estimation of Scalar Diffusion Models 0 0 0 114 3 6 16 487
Fully modified IV, GIVE and GMM estimation with possibly non-stationary regressors and instruments 0 0 0 76 3 3 14 275
Fully modified least squares cointegrating parameter estimation in multicointegrated systems 0 0 1 3 4 5 10 19
Functional coefficient panel modeling with communal smoothing covariates 0 0 0 3 0 0 12 25
GAUSSIAN INFERENCE IN AR(1) TIME SERIES WITH OR WITHOUT A UNIT ROOT 0 0 1 36 1 3 13 108
GMM ESTIMATION FOR DYNAMIC PANELS WITH FIXED EFFECTS AND STRONG INSTRUMENTS AT UNITY 0 0 0 111 5 7 14 322
GMM Estimation of Autoregressive Roots Near Unity with Panel Data 0 0 0 171 3 4 7 673
GMM estimation with Brownian kernels applied to income inequality measurement 0 0 0 0 3 5 9 9
GMM with Many Moment Conditions 0 0 2 198 3 5 15 829
HAC ESTIMATION BY AUTOMATED REGRESSION 0 0 0 21 0 3 8 90
HAR Testing for Spurious Regression in Trend 0 0 0 6 3 5 12 49
HOW TO ESTIMATE AUTOREGRESSIVE ROOTS NEAR UNITY 0 0 0 21 2 2 11 94
Halbert White Jr. Memorial JFEC Lecture: Pitfalls and Possibilities in Predictive Regression† 0 0 0 12 3 3 8 67
High-dimensional IV cointegration estimation and inference 0 0 1 2 1 3 11 19
High-dimensional VARs with common factors 0 0 2 13 4 8 18 55
Higher order approximations for Wald statistics in time series regressions with integrated processes 0 0 0 32 2 7 8 267
Higher-order approximations for frequency domain time series regression 0 0 1 67 2 2 9 250
Homage to Halbert White 0 0 0 6 2 4 7 50
Homogeneity pursuit in panel data models: Theory and application 0 0 0 10 1 2 7 63
Hot property in New Zealand: Empirical evidence of housing bubbles in the metropolitan centres 0 1 1 47 2 10 16 150
House prices and affordability 1 1 1 10 1 3 10 36
Housing Fever in Australia 2020–23: Insights from an Econometric Thermometer 0 0 0 4 2 3 17 27
Hybrid stochastic local unit roots 0 0 0 5 5 6 15 37
IN MEMORY OF JOHN DENIS SARGAN 0 0 0 3 3 3 6 39
INCONSISTENT VAR REGRESSION WITH COMMON EXPLOSIVE ROOTS 0 0 0 7 3 4 13 66
IV AND GMM INFERENCE IN ENDOGENOUS STOCHASTIC UNIT ROOT MODELS 0 0 0 3 3 4 7 29
Identifying Latent Structures in Panel Data 0 1 3 22 0 4 22 129
Impulse response and forecast error variance asymptotics in nonstationary VARs 0 0 0 198 3 4 30 629
Incidental trends and the power of panel unit root tests 0 0 0 54 2 5 10 232
Indirect inference for dynamic panel models 0 0 0 213 2 3 13 545
Indirect inference in spatial autoregression 0 0 0 2 1 1 4 29
Inference in Arch and Garch Models with Heavy--Tailed Errors 0 0 0 258 1 2 11 824
Inference in Autoregression under Heteroskedasticity 0 0 0 55 1 2 5 155
Inference in continuous systems with mildly explosive regressors 0 0 0 8 0 0 3 66
Infinite Density at the Median and the Typical Shape of Stock Return Distributions 0 0 0 14 4 5 11 111
Infinite Density at the Median and the Typical Shape of Stock Return Distributions 0 0 0 2 4 4 10 53
Information loss in volatility measurement with flat price trading 0 0 0 1 1 4 24 38
Jackknifing Bond Option Prices 0 0 0 81 2 3 10 306
Jeffreys prior analysis of the simultaneous equations model in the case with n+1 endogenous variables 0 0 0 31 2 3 11 250
Kernel-based Inference in Time-Varying Coefficient Cointegrating Regression 0 0 0 11 2 3 16 58
LAD ASYMPTOTICS UNDER CONDITIONAL HETEROSKEDASTICITY WITH POSSIBLY INFINITE ERROR DENSITIES 0 0 0 13 1 1 8 70
LATENT VARIABLE NONPARAMETRIC COINTEGRATING REGRESSION 0 0 0 1 3 3 12 22
LIMIT THEORY FOR COINTEGRATED SYSTEMS WITH MODERATELY INTEGRATED AND MODERATELY EXPLOSIVE REGRESSORS 0 0 2 36 2 2 10 142
LIMIT THEORY FOR EXPLOSIVELY COINTEGRATED SYSTEMS 0 0 0 10 1 1 5 59
LIMIT THEORY FOR LOCALLY FLAT FUNCTIONAL COEFFICIENT REGRESSION 0 0 1 5 2 2 16 21
LM Tests for a Unit Root in the Presence of Deterministic Trends 0 0 0 6 2 7 25 1,200
LOCAL LIMIT THEORY AND SPURIOUS NONPARAMETRIC REGRESSION 0 0 0 14 1 1 7 76
LONG-RUN COVARIANCE MATRICES FOR FRACTIONALLY INTEGRATED PROCESSES 0 0 0 12 2 2 5 143
Labeling Demands, Coexistence and the Challenges for Trade 0 0 0 13 1 2 6 78
Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility 0 0 0 14 3 3 8 79
Lag length selection in panel autoregression 0 0 3 13 3 3 14 71
Laws and Limits of Econometrics 0 0 0 112 3 3 11 412
Limit Theory for VARs with Mixed Roots Near Unity 0 0 1 3 1 2 5 39
Limit theory and inference in non-cointegrated functional coefficient regression 0 0 0 0 4 9 15 15
Limit theory for local polynomial estimation of functional coefficient models with possibly integrated regressors 0 0 2 2 1 4 16 16
Limit theory for moderate deviations from a unit root 0 0 0 59 2 4 14 234
Linear Regression Limit Theory for Nonstationary Panel Data 0 0 0 3 10 12 26 1,532
Local Whittle estimation of fractional integration and some of its variants 0 0 0 109 1 1 8 252
Long memory and long run variation 0 0 0 17 0 0 6 85
Mean and autocovariance function estimation near the boundary of stationarity 0 0 0 11 2 3 4 56
Meritocracy Voting: Measuring the Unmeasurable 0 0 0 7 1 1 9 58
Model selection in partially nonstationary vector autoregressive processes with reduced rank structure 0 0 0 45 1 1 8 204
Model selection in the presence of incidental parameters 0 0 0 18 4 9 16 89
Modeling speculative bubbles with diverse investor expectations 1 1 1 20 4 6 13 91
Multiple Time Series Regression with Integrated Processes 2 2 4 374 6 13 31 1,144
NONLINEAR COINTEGRATING POWER FUNCTION REGRESSION WITH ENDOGENEITY 0 0 0 2 3 5 9 16
NONLINEAR COINTEGRATING REGRESSION UNDER WEAK IDENTIFICATION 0 0 0 17 4 5 10 77
NONPARAMETRIC COINTEGRATING REGRESSION WITH ENDOGENEITY AND LONG MEMORY 0 0 0 10 1 3 9 52
NORMING RATES AND LIMIT THEORY FOR SOME TIME-VARYING COEFFICIENT AUTOREGRESSIONS 0 0 0 4 3 3 3 28
New Tools for Understanding Spurious Regressions 0 0 0 0 1 3 14 692
New methodology for constructing real estate price indices applied to the Singapore residential market 2 2 6 29 7 9 21 144
New unit root asymptotics in the presence of deterministic trends 0 0 0 21 1 1 7 124
Nonlinear Regressions with Integrated Time Series 0 0 0 0 2 5 18 718
Nonlinear econometric models with cointegrated and deterministically trending regressors 0 0 0 19 2 3 14 813
Nonlinear instrumental variable estimation of an autoregression 0 0 0 50 4 7 15 205
Nonlinear log-periodogram regression for perturbed fractional processes 0 0 0 49 2 3 10 206
Nonlinearity Induced Weak Instrumentation 0 0 0 3 5 6 11 45
Nonparametric predictive regression 0 0 0 22 5 6 8 131
Nonstationary Binary Choice 0 0 0 0 1 4 12 377
Nonstationary discrete choice 0 0 1 52 1 1 11 204
Nonstationary discrete choice: A corrigendum and addendum 0 0 0 19 6 6 14 115
Nonstationary panel data analysis: an overview of some recent developments 0 1 6 505 4 5 29 1,255
Nonstationary panel models with latent group structures and cross-section dependence 0 0 0 22 1 3 11 68
Non‐parametric regression under location shifts 0 0 0 20 0 1 3 131
ON THE BREITUNG TEST FOR PANEL UNIT ROOTS AND LOCAL ASYMPTOTIC POWER 0 0 1 62 0 2 17 348
OPTIMAL BANDWIDTH SELECTION IN NONLINEAR COINTEGRATING REGRESSION 0 0 1 1 1 1 5 7
On Confidence Intervals for Autoregressive Roots and Predictive Regression 0 0 0 15 1 3 9 95
On the Consistency of Nonlinear FIML 0 0 0 27 1 3 6 151
On the Formulation of Wald Tests of Nonlinear Restrictions 0 0 0 156 1 4 11 938
On the behavior of inconsistent instrumental variable estimators 0 0 1 18 1 4 17 137
Optimal Bandwidth Selection in Heteroskedasticity-Autocorrelation Robust Testing 1 1 1 90 1 1 13 387
Optimal Inference in Cointegrated Systems 0 0 2 303 8 9 21 1,096
Optimal estimation of cointegrated systems with irrelevant instruments 0 0 0 23 3 4 15 113
Optimal estimation under nonstandard conditions 0 0 0 8 2 7 12 64
PARAMETRIC CONDITIONAL MEAN INFERENCE WITH FUNCTIONAL DATA APPLIED TO LIFETIME INCOME CURVES 0 0 0 2 3 4 12 27
POWER MAXIMIZATION AND SIZE CONTROL IN HETEROSKEDASTICITY AND AUTOCORRELATION ROBUST TESTS WITH EXPONENTIATED KERNELS 0 0 0 8 1 1 7 58
Panel data models with time-varying latent group structures 0 0 2 8 4 7 23 36
Parameter Constancy in Cointegrating Regressions 0 0 0 0 2 4 10 392
Partially Identified Econometric Models 0 0 0 17 2 3 11 107
Pitfalls in Bootstrapping Spurious Regression 0 0 0 5 1 1 4 23
Point optimal testing with roots that are functionally local to unity 0 0 0 2 2 3 7 21
Point‐optimal panel unit root tests with serially correlated errors 0 0 0 4 3 3 8 43
Policy Evaluation with Nonlinear Trended Outcomes: Covid‐19 Vaccination Rates in the United States 0 0 3 3 3 6 19 19
Pooled Log Periodogram Regression 0 0 0 0 2 4 9 27
Posterior Odds Testing for a Unit Root with Data-Based Model Selection 0 0 0 20 0 1 6 94
Posterior distributions in limited information analysis of the simultaneous equations model using the Jeffreys prior 0 0 0 24 0 0 5 129
Practical Kolmogorov–Smirnov Testing by Minimum Distance Applied to Measure Top Income Shares in Korea 0 0 1 3 2 4 14 43
Predictive regression under various degrees of persistence and robust long-horizon regression 0 0 0 28 2 6 16 150
Prewhitening Bias in HAC Estimation 0 0 1 76 1 4 13 374
Pythagorean generalization of testing the equality of two symmetric positive definite matrices 0 0 0 7 0 0 5 61
REGRESSION ASYMPTOTICS USING MARTINGALE CONVERGENCE METHODS 0 0 1 30 4 4 17 134
REGRESSION WITH SLOWLY VARYING REGRESSORS AND NONLINEAR TRENDS 0 0 0 13 3 5 11 113
ROBUST TESTS FOR WHITE NOISE AND CROSS-CORRELATION 0 1 3 5 3 7 21 34
Random coefficient continuous systems: Testing for extreme sample path behavior 0 0 0 5 3 5 16 69
Reduced forms and weak instrumentation 0 0 0 2 2 4 10 36
Refined Inference on Long Memory in Realized Volatility 0 0 0 29 4 5 13 159
Reflections on Econometric Methodology 0 0 1 5 1 3 7 20
Reflections on the Day 0 0 0 0 2 2 6 77
Regression Theory for Near-Integrated Time Series 0 0 0 173 6 9 22 971
Regression-adjusted estimation of quantile treatment effects under covariate-adaptive randomizations 0 0 0 1 2 3 11 17
Reprint of: Robust inference on correlation under general heterogeneity 0 0 0 0 1 1 8 10
Rethinking an old empirical puzzle: econometric evidence on the forward discount anomaly 0 0 1 402 1 1 11 1,086
Robust Nonstationary Regression 0 0 0 17 4 6 16 93
Robust Tests of Forward Exchange Market Efficiency with Empirical Evidence from the 1920s 0 0 0 63 1 2 4 275
Robust econometric inference with mixed integrated and mildly explosive regressors 0 0 1 21 0 3 10 118
Robust inference of panel data models with interactive fixed effects under long memory: A frequency domain approach 0 0 2 8 6 11 26 40
Robust inference on correlation under general heterogeneity 0 0 0 0 4 7 18 26
Robust inference with stochastic local unit root regressors in predictive regressions 0 0 0 3 1 2 9 20
Robust testing for explosive behavior with strongly dependent errors 0 0 2 3 8 11 24 34
SPECIAL ISSUE OF ECONOMETRIC THEORY ON SETA 2010: EDITORS’ INTRODUCTION 0 0 0 9 0 0 5 64
SPECTRAL DENSITY ESTIMATION AND ROBUST HYPOTHESIS TESTING USING STEEP ORIGIN KERNELS WITHOUT TRUNCATION 0 0 0 41 2 2 9 261
Semiparametric cointegrating rank selection 0 0 0 29 1 1 12 248
Semiparametric estimation in triangular system equations with nonstationarity 0 0 0 25 0 2 14 132
Sequentially testing polynomial model hypotheses using power transforms of regressors 0 0 0 3 2 3 15 46
Simulation-Based Estimation of Contingent-Claims Prices 0 0 0 29 2 2 15 118
Smoothing local-to-moderate unit root theory 0 0 0 11 2 2 11 96
Some Exact Distribution Theory for Maximum Likelihood Estimators of Cointegrating Coefficients in Error Correction Models 0 0 0 122 3 4 11 638
Some empirics on economic growth under heterogeneous technology 0 0 1 73 0 2 11 184
Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behaviour 0 0 0 34 3 5 15 147
Speculative Bubbles in the Recent AI Boom: Nasdaq and the Magnificent Seven 3 7 14 14 10 30 63 63
Spherical matrix distributions and cauchy quotients 0 0 0 8 1 1 4 54
Statistical Inference in Instrumental Variables Regression with I(1) Processes 3 7 17 1,311 10 23 86 3,475
Statistical Inference in Regressions with Integrated Processes: Part 1 0 0 1 58 4 5 13 201
Statistical Inference in Regressions with Integrated Processes: Part 2 0 0 0 38 2 4 15 222
Structural Change Tests in Tail Behaviour and the Asian Crisis 1 1 2 19 3 4 18 279
Structural Nonparametric Cointegrating Regression 0 0 0 35 1 1 11 165
Structural inference from reduced forms with many instruments 0 0 0 4 5 6 16 55
TESTING FOR MULTIPLE BUBBLES: HISTORICAL EPISODES OF EXUBERANCE AND COLLAPSE IN THE S&P 500 0 7 24 58 13 53 129 266
TESTING FOR MULTIPLE BUBBLES: LIMIT THEORY OF REAL‐TIME DETECTORS 0 1 5 13 11 18 43 78
THE 2000–2002 TJALLING C. KOOPMANS ECONOMETRIC THEORY PRIZE 0 0 0 4 3 4 12 58
Testing Linearity in Cointegrating Relations With an Application to Purchasing Power Parity 0 0 1 41 3 3 9 202
Testing Mean Stability of Heteroskedastic Time Series 0 0 3 3 2 7 14 14
Testing for a unit root by frequency domain regression 0 0 0 49 1 1 5 147
Testing for cointegration using principal components methods 0 0 0 232 0 2 7 479
Testing for common trends in semi‐parametric panel data models with fixed effects 0 0 0 25 3 3 11 135
Testing linearity using power transforms of regressors 0 0 0 11 3 3 16 106
Testing the Martingale Hypothesis 0 0 1 10 1 4 15 86
Testing the covariance stationarity of heavy-tailed time series: An overview of the theory with applications to several financial datasets 0 0 2 440 5 6 19 912
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? 11 25 89 3,201 46 93 293 10,143
The Distribution of FIML in the Leading Case 0 0 0 8 1 1 6 90
The Durbin-Watson ratio under infinite-variance errors 0 0 0 35 6 7 12 177
The Estimation of Some Continuous Time Models 0 0 0 39 1 2 11 175
The Exact Distribution of Instrumental Variable Estimators in an Equation Containing n + 1 Endogenous Variables 0 0 0 28 1 1 8 236
The Exact Distribution of LIML: I 0 0 0 26 2 3 13 159
The Exact Distribution of LIML: II 0 0 0 22 1 2 6 137
The Exact Distribution of the SUR Estimator 0 0 0 50 0 0 9 246
The Exact Distribution of the Wald Statistic 0 0 0 398 0 2 7 2,579
The Iterated Minimum Distance Estimator and the Quasi-Maximum Likelihood Estimator 0 0 0 133 1 2 8 411
The KPSS test with seasonal dummies 0 0 0 20 0 0 6 111
The Structural Estimation of a Stochastic Differential Equation System 0 0 0 198 0 2 8 641
The boosted Hodrick‐Prescott filter is more general than you might think 0 1 3 5 4 10 22 31
The concentration ellipsoid of a random vector 0 0 0 116 3 3 5 364
The distribution of matrix quotients 0 0 0 6 2 3 7 47
The exact distribution of exogenous variable coefficient estimators 0 0 0 11 3 3 9 85
The exact distribution of the Stein-rule estimator 0 0 0 19 2 4 10 82
The heterogeneous effects of the minimum wage on employment across states 0 0 2 57 1 6 17 245
The impact of upzoning on housing construction in Auckland 0 0 2 21 6 14 36 95
The problem of identification in finite parameter continuous time models 1 1 3 157 1 4 11 326
The sampling distribution of forecasts from a first-order autoregression 0 0 0 31 0 0 6 101
The spurious effect of unit roots on vector autoregressions: An analytical study 0 0 0 57 0 0 3 252
The true limit distributions of the Anderson–Hsiao IV estimators in panel autoregression 0 0 1 15 2 3 13 81
Threshold regression asymptotics: From the compound Poisson process to two-sided Brownian motion 0 0 2 5 2 6 21 43
Threshold regression with endogeneity 0 0 1 28 4 9 28 200
Tilted Nonparametric Estimation of Volatility Functions With Empirical Applications 0 0 0 23 2 7 13 113
Tilted Nonparametric Estimation of Volatility Functions With Empirical Applications 0 0 0 1 1 1 9 36
Time Series Regression With a Unit Root and Infinite-Variance Errors 0 0 0 9 2 3 8 69
Time Series Regression with Mixtures of Integrated Processes 0 0 1 29 1 3 10 101
Time Series Regression with a Unit Root 0 2 5 1,320 16 25 56 5,000
To Criticize the Critics: An Objective Bayesian Analysis of Stochastic Trends 0 1 2 93 3 5 10 354
Transition Modeling and Econometric Convergence Tests 1 3 14 297 3 13 52 952
Trending Multiple Time Series: Editor's Introduction 0 0 0 2 3 3 8 44
Trending time series and macroeconomic activity: Some present and future challenges 0 0 0 38 1 5 16 182
Trends versus Random Walks in Time Series Analysis 0 1 3 234 1 4 18 843
Two New Zealand pioneer econometricians 0 0 0 2 2 4 10 48
UNIFORM ASYMPTOTIC NORMALITY IN STATIONARY AND UNIT ROOT AUTOREGRESSION 0 0 0 19 1 2 9 118
UNIFORM CONSISTENCY OF NONSTATIONARY KERNEL-WEIGHTED SAMPLE COVARIANCES FOR NONPARAMETRIC REGRESSION 0 0 0 10 0 2 6 45
UNIT ROOT AND COINTEGRATING LIMIT THEORY WHEN INITIALIZATION IS IN THE INFINITE PAST 0 0 0 11 1 2 5 79
UNIT ROOTS IN LIFE—A GRADUATE STUDENT STORY 0 0 0 15 2 2 9 62
Uncovering mild drift in asset prices with intraday high-frequency data 0 0 0 0 3 5 5 5
Understanding spurious regressions in econometrics 1 2 14 1,149 15 21 93 3,225
Understanding temporal aggregation effects on kurtosis in financial indices 0 0 0 0 1 3 7 20
Uniform Inference in Panel Autoregression 0 0 0 8 1 1 6 33
Uniform Limit Theory for Stationary Autoregression 0 0 0 41 0 1 4 148
Unit root log periodogram regression 0 0 1 89 3 5 14 298
VISION AND INFLUENCE IN ECONOMETRICS: JOHN DENIS SARGAN 0 0 0 8 3 5 7 107
Vector Autoregressions and Causality 1 1 2 969 4 9 26 2,312
WEAK CONVERGENCE TO STOCHASTIC INTEGRALS FOR ECONOMETRIC APPLICATIONS 0 0 0 6 1 1 7 39
Weak Convergence of Sample Covariance Matrices to Stochastic Integrals Via Martingale Approximations 0 0 0 12 1 3 10 61
Weak convergence to the matrix stochastic integral [integral operator]01 B dB' 0 0 1 10 5 5 13 63
Weak σ-convergence: Theory and applications 0 1 1 24 7 10 21 142
When bias contributes to variance: True limit theory in functional coefficient cointegrating regression 0 0 0 1 3 6 13 20
Worldwide Institutional and Individual Rankings in Statistical Theory by Journal Publications over the period 1980–1986 0 0 0 4 2 5 10 47
X-DIFFERENCING AND DYNAMIC PANEL MODEL ESTIMATION 0 0 0 32 0 0 7 113
Total Journal Articles 33 95 350 22,868 818 1,479 4,565 94,305
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
An Empirical Bayesian Approach to Cointegrating Rank Selection and Test of the Present Value Model for Stock Prices 0 0 0 0 6 6 8 8
Discrete Fourier Transforms of Fractional Processes with Econometric Applications* 0 0 0 4 4 8 17 33
Exact small sample theory in the simultaneous equations model 0 0 0 291 0 2 16 904
Inference in Near-Singular Regression 0 0 0 5 3 5 17 59
Information loss in volatility measurement with flat price trading 0 0 0 0 2 2 13 14
John Denis Sargan (1924–1996) 0 0 0 0 2 3 6 13
Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance 0 0 0 0 0 0 4 4
Teaching Financial Econometrics to Students Converting to Finance 0 0 0 0 2 4 4 4
Testing Convergence Using HAR Inference 0 0 0 19 0 3 11 72
Total Chapters 0 0 0 319 19 33 96 1,111

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