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Last month |
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12 months |
Total |

A Multivariate Generalized Orthogonal Factor GARCH Model |
1 |
1 |
1 |
47 |
1 |
1 |
2 |
148 |

A Skewed GARCH-in-Mean Model: An Application to U.S. Stock Returns |
0 |
1 |
2 |
959 |
0 |
3 |
6 |
2,271 |

A mixture autoregressive model based on Student's $t$-distribution |
0 |
0 |
0 |
53 |
0 |
0 |
0 |
34 |

A mixture autoregressive model based on Student’s t–distribution |
0 |
1 |
1 |
20 |
1 |
3 |
5 |
22 |

A note on the geometric ergodicity of a nonlinear AR–ARCH model |
0 |
0 |
0 |
113 |
1 |
2 |
4 |
375 |

A review of systemscointegration tests |
0 |
0 |
1 |
35 |
0 |
1 |
2 |
656 |

Asymptotic Inference on Nonlinear Functions of the Coefficients of Infinite Order Cointegated VAR Processes |
0 |
0 |
0 |
25 |
0 |
0 |
0 |
182 |

Break Date Estimation and Cointegration Testing in VAR Processes with Level Shift |
0 |
0 |
0 |
331 |
0 |
0 |
1 |
746 |

Cointegrated vector autoregressive processes with continuous structural changes |
0 |
0 |
1 |
25 |
0 |
0 |
1 |
76 |

Cointegrating smooth transition regressions with applications to the Asian currency crisis |
0 |
0 |
0 |
55 |
0 |
0 |
0 |
264 |

Comparison of Tests for the Cointegrating Rank of a VAR Process with a Structural Shift |
0 |
0 |
0 |
203 |
0 |
0 |
2 |
542 |

Comparison of Unit Root Tests for Time Series with Level Shifts |
0 |
0 |
2 |
14 |
0 |
0 |
5 |
53 |

Comparison of tests for the cointegrating rank of a VAR process with a structural shift |
0 |
0 |
0 |
49 |
0 |
0 |
1 |
255 |

Comparison of unit root tests for time series with level shifts |
0 |
0 |
0 |
118 |
0 |
0 |
0 |
682 |

Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models |
0 |
0 |
1 |
159 |
0 |
0 |
1 |
404 |

Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models |
0 |
2 |
2 |
328 |
0 |
2 |
3 |
1,099 |

Forecasting with a noncausal VAR model |
0 |
0 |
1 |
102 |
0 |
1 |
2 |
162 |

GMM Estimation with Noncausal Instruments |
0 |
0 |
1 |
46 |
3 |
3 |
5 |
104 |

Identification and estimation of non-Gaussian structural vector autoregressions |
0 |
0 |
1 |
100 |
0 |
0 |
3 |
196 |

Impulse Response Analysis in Infinite Order Cointegrated Vector Autoregressive Processes |
0 |
0 |
0 |
111 |
0 |
0 |
1 |
563 |

Local power of likelihood ratio tests for the cointegrating rank of a VAR process |
0 |
0 |
0 |
5 |
0 |
0 |
1 |
142 |

Maximum Likelihood Estimation of a Noninvertible ARMA Model with Autoregressive Conditional Heteroskedasticity |
0 |
1 |
2 |
64 |
0 |
1 |
4 |
264 |

Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process |
0 |
0 |
5 |
756 |
1 |
4 |
43 |
3,639 |

Modeling Conditional Skewness in Stock Returns |
0 |
0 |
1 |
382 |
0 |
0 |
1 |
1,121 |

Modeling Expectations with Noncausal Autoregressions |
0 |
0 |
0 |
125 |
0 |
0 |
0 |
355 |

Modeling Expectations with Noncausal Autoregressions |
0 |
0 |
0 |
49 |
0 |
0 |
0 |
123 |

Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
649 |

Modeling the US short-term interest rate by mixture autoregressive processes |
0 |
0 |
0 |
34 |
0 |
0 |
0 |
196 |

Noncausal Vector Autoregression |
0 |
0 |
0 |
97 |
1 |
2 |
6 |
214 |

Noncausal autoregressions for economic time series |
0 |
0 |
3 |
88 |
0 |
1 |
6 |
268 |

Noncausal vector autoregression |
0 |
0 |
0 |
87 |
0 |
1 |
3 |
238 |

Nonlinear GARCH models for highly persistent volatility |
0 |
0 |
0 |
85 |
1 |
2 |
2 |
390 |

On the estimation of Euler equations in the presence of a potential regime shift |
0 |
0 |
0 |
16 |
0 |
0 |
0 |
75 |

Optimal Forecasting of Noncausal Autoregressive Time Series |
0 |
1 |
1 |
89 |
0 |
1 |
2 |
184 |

Order selection in testing for the cointegrating rank of a VAR process |
0 |
1 |
2 |
39 |
0 |
1 |
7 |
323 |

Parameter Estimation in Nonlinear AR-GARCH Models |
0 |
0 |
0 |
179 |
0 |
0 |
0 |
435 |

Parameter estimation in nonlinear AR-GARCH models |
0 |
0 |
0 |
47 |
1 |
1 |
1 |
185 |

Parameter estimation in nonlinear AR-GARCH models |
0 |
0 |
1 |
237 |
0 |
1 |
3 |
667 |

Parameter estimation in nonlinear AR–GARCH models |
0 |
0 |
1 |
143 |
0 |
0 |
1 |
564 |

Reducing size distortions of parametric stationarity tests |
0 |
0 |
0 |
8 |
0 |
0 |
2 |
84 |

Residual Autocorrelation Testing for Vector Error Correction Models |
0 |
0 |
2 |
569 |
0 |
0 |
4 |
1,805 |

Stability of nonlinear AR-GARCH models |
0 |
0 |
0 |
193 |
0 |
1 |
2 |
532 |

Stability of nonlinear AR-GARCH models |
0 |
0 |
0 |
13 |
0 |
0 |
1 |
67 |

Stability of nonlinear AR-GARCH models |
0 |
0 |
0 |
175 |
0 |
0 |
2 |
420 |

Stability results for nonlinear vector autoregressions with an application to a nonlinear error correction model |
0 |
0 |
0 |
56 |
0 |
0 |
0 |
464 |

Stationarity and ergodicity of vector STAR models |
0 |
0 |
0 |
34 |
0 |
0 |
2 |
49 |

Subgeometric ergodicity and $\beta$-mixing |
0 |
2 |
3 |
15 |
0 |
2 |
3 |
15 |

Subgeometrically ergodic autoregressions |
0 |
1 |
1 |
16 |
0 |
1 |
2 |
37 |

Subgeometrically ergodic autoregressions with autoregressive conditional heteroskedasticity |
0 |
1 |
28 |
28 |
0 |
2 |
8 |
8 |

Supplementary appendix to "noncausal vector autoregression" |
0 |
0 |
0 |
29 |
0 |
0 |
0 |
62 |

Test procedures for unit roots in time series with level shifts at unknown time |
0 |
0 |
1 |
119 |
0 |
0 |
5 |
559 |

Testing Identification via Heteroskedasticity in Structural Vector Autoregressive Models |
0 |
0 |
1 |
86 |
0 |
0 |
8 |
119 |

Testing for Predictability in a Noninvertible ARMA Model |
0 |
0 |
0 |
47 |
0 |
0 |
3 |
185 |

Testing for a Unit Root in a Time Series with a Level Shift at Unknown Time |
0 |
0 |
0 |
409 |
0 |
1 |
2 |
804 |

Testing for a unit root in a time series with a level shift at unknown time |
0 |
0 |
0 |
74 |
0 |
2 |
3 |
346 |

Testing for a unit root in noncausal autoregressive models |
0 |
0 |
0 |
59 |
0 |
0 |
1 |
119 |

Testing for observation-dependent regime switching in mixture autoregressive models |
0 |
0 |
0 |
24 |
0 |
0 |
1 |
26 |

Testing for predictability in a noninvertible ARMA model |
0 |
0 |
1 |
73 |
0 |
0 |
2 |
144 |

Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break |
0 |
0 |
0 |
134 |
0 |
0 |
0 |
292 |

Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break |
0 |
0 |
0 |
139 |
0 |
0 |
0 |
408 |

Testing for the Cointegrating Rank of a VAR Process with a Time Trend |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
251 |

Testing for the Cointegrating Rank of a Vector Autoregressive Process with Uncertain Deterministic Trend Term |
0 |
0 |
0 |
138 |
0 |
1 |
2 |
314 |

Testing for the cointegrating rank of a VAR process with an intercept |
0 |
0 |
0 |
22 |
0 |
0 |
1 |
249 |

Testing for the cointegrating rank of a VAR process with level shift at unknown time |
0 |
0 |
0 |
122 |
0 |
1 |
2 |
529 |

Testing for the cointegrating rank of a VAR process with structural shifts |
0 |
0 |
1 |
46 |
1 |
1 |
2 |
321 |

Testing for unit roots in time series with level shifts |
0 |
0 |
1 |
12 |
0 |
0 |
1 |
381 |

Threshold Autoregression for Strongly Autocorrelated Time Series |
0 |
0 |
0 |
0 |
1 |
1 |
2 |
558 |

Trend adjustment prior to testing for the cointegrating rank of a VAR process |
0 |
0 |
1 |
14 |
0 |
0 |
1 |
216 |

Unit root tests for time series with a structural break: When the break point is known |
0 |
0 |
2 |
286 |
0 |
0 |
3 |
1,032 |

Unit root tests in the presence of innovational outliers |
0 |
0 |
1 |
58 |
0 |
0 |
1 |
300 |

Total Working Papers |
1 |
12 |
73 |
8,413 |
12 |
44 |
190 |
29,562 |