| Working Paper |
File Downloads |
Abstract Views |
| Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
| A Multivariate Generalized Orthogonal Factor GARCH Model |
0 |
0 |
0 |
48 |
2 |
3 |
8 |
160 |
| A Skewed GARCH-in-Mean Model: An Application to U.S. Stock Returns |
0 |
0 |
0 |
961 |
0 |
0 |
2 |
2,277 |
| A mixture autoregressive model based on Student's $t$-distribution |
0 |
0 |
0 |
55 |
0 |
1 |
1 |
40 |
| A mixture autoregressive model based on Student’s t–distribution |
0 |
0 |
0 |
22 |
2 |
4 |
5 |
30 |
| A note on the geometric ergodicity of a nonlinear AR–ARCH model |
0 |
1 |
1 |
117 |
0 |
2 |
4 |
388 |
| A review of systemscointegration tests |
0 |
0 |
0 |
35 |
3 |
3 |
4 |
662 |
| Asymptotic Inference on Nonlinear Functions of the Coefficients of Infinite Order Cointegated VAR Processes |
0 |
0 |
0 |
25 |
0 |
0 |
4 |
188 |
| Break Date Estimation and Cointegration Testing in VAR Processes with Level Shift |
0 |
0 |
0 |
331 |
0 |
1 |
2 |
749 |
| Cointegrated vector autoregressive processes with continuous structural changes |
0 |
0 |
0 |
26 |
1 |
1 |
2 |
80 |
| Cointegrating smooth transition regressions with applications to the Asian currency crisis |
0 |
0 |
1 |
57 |
1 |
1 |
2 |
267 |
| Comparison of Tests for the Cointegrating Rank of a VAR Process with a Structural Shift |
0 |
0 |
0 |
203 |
0 |
0 |
2 |
546 |
| Comparison of Unit Root Tests for Time Series with Level Shifts |
0 |
0 |
0 |
16 |
1 |
2 |
7 |
72 |
| Comparison of tests for the cointegrating rank of a VAR process with a structural shift |
0 |
0 |
0 |
49 |
1 |
1 |
6 |
261 |
| Comparison of unit root tests for time series with level shifts |
0 |
0 |
0 |
118 |
1 |
2 |
5 |
687 |
| Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models |
0 |
1 |
1 |
160 |
1 |
4 |
6 |
415 |
| Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models |
0 |
0 |
0 |
329 |
1 |
3 |
5 |
1,109 |
| Forecasting with a noncausal VAR model |
0 |
0 |
2 |
104 |
0 |
0 |
2 |
164 |
| GMM Estimation with Noncausal Instruments |
0 |
0 |
0 |
46 |
0 |
0 |
0 |
107 |
| Identification and estimation of non-Gaussian structural vector autoregressions |
0 |
0 |
0 |
103 |
1 |
3 |
5 |
208 |
| Impulse Response Analysis in Infinite Order Cointegrated Vector Autoregressive Processes |
0 |
0 |
0 |
111 |
0 |
0 |
3 |
568 |
| Local power of likelihood ratio tests for the cointegrating rank of a VAR process |
0 |
0 |
0 |
5 |
1 |
2 |
3 |
145 |
| Maximum Likelihood Estimation of a Noninvertible ARMA Model with Autoregressive Conditional Heteroskedasticity |
0 |
0 |
0 |
65 |
1 |
1 |
3 |
273 |
| Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process |
0 |
0 |
4 |
762 |
3 |
6 |
24 |
3,707 |
| Modeling Conditional Skewness in Stock Returns |
0 |
0 |
1 |
384 |
0 |
0 |
2 |
1,127 |
| Modeling Expectations with Noncausal Autoregressions |
0 |
0 |
0 |
125 |
1 |
2 |
5 |
361 |
| Modeling Expectations with Noncausal Autoregressions |
0 |
0 |
0 |
50 |
1 |
3 |
4 |
131 |
| Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes |
0 |
0 |
0 |
0 |
2 |
3 |
8 |
658 |
| Modeling the US short-term interest rate by mixture autoregressive processes |
0 |
0 |
1 |
36 |
0 |
0 |
3 |
200 |
| Noncausal Vector Autoregression |
0 |
0 |
2 |
101 |
3 |
4 |
11 |
232 |
| Noncausal autoregressions for economic time series |
1 |
1 |
5 |
98 |
2 |
2 |
15 |
293 |
| Noncausal vector autoregression |
0 |
0 |
0 |
88 |
1 |
1 |
4 |
247 |
| Nonlinear GARCH models for highly persistent volatility |
0 |
0 |
0 |
85 |
1 |
1 |
2 |
394 |
| On the estimation of Euler equations in the presence of a potential regime shift |
0 |
0 |
0 |
16 |
1 |
4 |
4 |
79 |
| Optimal Forecasting of Noncausal Autoregressive Time Series |
0 |
0 |
0 |
92 |
2 |
2 |
4 |
193 |
| Order selection in testing for the cointegrating rank of a VAR process |
0 |
0 |
1 |
40 |
1 |
3 |
6 |
329 |
| Parameter Estimation in Nonlinear AR-GARCH Models |
0 |
0 |
0 |
179 |
1 |
2 |
4 |
440 |
| Parameter estimation in nonlinear AR-GARCH models |
0 |
0 |
0 |
47 |
0 |
0 |
1 |
189 |
| Parameter estimation in nonlinear AR-GARCH models |
0 |
0 |
0 |
237 |
0 |
1 |
2 |
670 |
| Parameter estimation in nonlinear AR–GARCH models |
0 |
0 |
0 |
143 |
2 |
2 |
5 |
575 |
| Reducing size distortions of parametric stationarity tests |
0 |
0 |
0 |
8 |
0 |
0 |
1 |
85 |
| Residual Autocorrelation Testing for Vector Error Correction Models |
0 |
0 |
0 |
570 |
0 |
3 |
5 |
1,815 |
| Stability of nonlinear AR-GARCH models |
0 |
0 |
0 |
13 |
4 |
4 |
5 |
72 |
| Stability of nonlinear AR-GARCH models |
0 |
0 |
0 |
197 |
3 |
4 |
7 |
547 |
| Stability of nonlinear AR-GARCH models |
0 |
0 |
1 |
178 |
0 |
0 |
5 |
429 |
| Stability results for nonlinear vector autoregressions with an application to a nonlinear error correction model |
0 |
0 |
0 |
57 |
3 |
3 |
4 |
471 |
| Stationarity and ergodicity of vector STAR models |
0 |
0 |
1 |
35 |
1 |
2 |
4 |
54 |
| Subgeometric ergodicity and $\beta$-mixing |
0 |
0 |
0 |
16 |
0 |
0 |
0 |
20 |
| Subgeometrically ergodic autoregressions |
0 |
0 |
0 |
18 |
0 |
4 |
4 |
45 |
| Subgeometrically ergodic autoregressions with autoregressive conditional heteroskedasticity |
0 |
0 |
0 |
29 |
0 |
0 |
1 |
14 |
| Supplementary appendix to "noncausal vector autoregression" |
0 |
0 |
0 |
29 |
2 |
3 |
4 |
68 |
| Test procedures for unit roots in time series with level shifts at unknown time |
0 |
0 |
0 |
119 |
2 |
3 |
3 |
565 |
| Testing Identification via Heteroskedasticity in Structural Vector Autoregressive Models |
0 |
0 |
0 |
90 |
3 |
7 |
8 |
139 |
| Testing for Predictability in a Noninvertible ARMA Model |
0 |
0 |
0 |
47 |
1 |
1 |
1 |
188 |
| Testing for a Unit Root in a Time Series with a Level Shift at Unknown Time |
0 |
0 |
0 |
410 |
1 |
1 |
3 |
811 |
| Testing for a unit root in a time series with a level shift at unknown time |
0 |
0 |
0 |
74 |
2 |
2 |
2 |
349 |
| Testing for a unit root in noncausal autoregressive models |
0 |
0 |
0 |
60 |
1 |
1 |
5 |
125 |
| Testing for observation-dependent regime switching in mixture autoregressive models |
0 |
0 |
0 |
25 |
1 |
2 |
2 |
30 |
| Testing for predictability in a noninvertible ARMA model |
0 |
0 |
0 |
73 |
1 |
1 |
3 |
148 |
| Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break |
0 |
0 |
0 |
139 |
0 |
0 |
2 |
410 |
| Testing for the Cointegrating Rank of a VAR Process with a Time Trend |
0 |
0 |
0 |
0 |
0 |
3 |
8 |
263 |
| Testing for the Cointegrating Rank of a Vector Autoregressive Process with Uncertain Deterministic Trend Term |
0 |
0 |
0 |
139 |
0 |
1 |
4 |
320 |
| Testing for the cointegrating rank of a VAR process with an intercept |
0 |
0 |
1 |
24 |
1 |
3 |
5 |
255 |
| Testing for the cointegrating rank of a VAR process with level shift and trend break |
0 |
0 |
1 |
136 |
1 |
1 |
2 |
296 |
| Testing for the cointegrating rank of a VAR process with level shift at unknown time |
0 |
0 |
0 |
123 |
1 |
1 |
3 |
535 |
| Testing for the cointegrating rank of a VAR process with structural shifts |
0 |
0 |
1 |
48 |
4 |
5 |
9 |
332 |
| Testing for unit roots in time series with level shifts |
0 |
0 |
0 |
12 |
0 |
3 |
5 |
387 |
| Threshold Autoregression for Strongly Autocorrelated Time Series |
0 |
0 |
0 |
0 |
1 |
3 |
3 |
565 |
| Trend adjustment prior to testing for the cointegrating rank of a VAR process |
0 |
0 |
0 |
14 |
2 |
2 |
3 |
220 |
| Unit root tests for time series with a structural break: When the break point is known |
0 |
0 |
1 |
288 |
1 |
1 |
3 |
1,039 |
| Unit root tests in the presence of innovational outliers |
0 |
0 |
1 |
59 |
1 |
2 |
7 |
307 |
| Total Working Papers |
1 |
3 |
26 |
8,499 |
75 |
136 |
306 |
30,125 |