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12 months |
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A Multivariate Generalized Orthogonal Factor GARCH Model |
0 |
0 |
2 |
46 |
0 |
0 |
8 |
140 |

A Skewed GARCH-in-Mean Model: An Application to U.S. Stock Returns |
1 |
1 |
2 |
957 |
2 |
2 |
7 |
2,263 |

A mixture autoregressive model based on Student's $t$-distribution |
1 |
1 |
1 |
51 |
1 |
1 |
8 |
28 |

A mixture autoregressive model based on Student’s t–distribution |
1 |
2 |
3 |
18 |
1 |
3 |
11 |
12 |

A note on the geometric ergodicity of a nonlinear AR–ARCH model |
0 |
0 |
1 |
111 |
0 |
0 |
5 |
357 |

A review of systemscointegration tests |
0 |
1 |
2 |
33 |
1 |
2 |
6 |
648 |

Asymptotic Inference on Nonlinear Functions of the Coefficients of Infinite Order Cointegated VAR Processes |
0 |
0 |
0 |
25 |
0 |
0 |
1 |
182 |

Break Date Estimation and Cointegration Testing in VAR Processes with Level Shift |
0 |
0 |
0 |
331 |
1 |
1 |
3 |
742 |

Cointegrated vector autoregressive processes with continuous structural changes |
0 |
0 |
0 |
22 |
1 |
4 |
7 |
70 |

Cointegrating smooth transition regressions with applications to the Asian currency crisis |
0 |
0 |
1 |
55 |
4 |
4 |
9 |
261 |

Comparison of Tests for the Cointegrating Rank of a VAR Process with a Structural Shift |
0 |
0 |
0 |
203 |
0 |
0 |
2 |
537 |

Comparison of Unit Root Tests for Time Series with Level Shifts |
1 |
1 |
7 |
11 |
3 |
5 |
21 |
38 |

Comparison of tests for the cointegrating rank of a VAR process with a structural shift |
0 |
0 |
0 |
49 |
0 |
0 |
2 |
250 |

Comparison of unit root tests for time series with level shifts |
0 |
0 |
1 |
117 |
0 |
0 |
5 |
671 |

Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models |
0 |
0 |
0 |
156 |
2 |
4 |
6 |
399 |

Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models |
0 |
0 |
1 |
326 |
3 |
4 |
7 |
1,088 |

Forecasting with a noncausal VAR model |
0 |
0 |
1 |
101 |
0 |
0 |
7 |
152 |

GMM Estimation with Noncausal Instruments |
0 |
0 |
0 |
45 |
2 |
2 |
4 |
92 |

Identification and estimation of non-Gaussian structural vector autoregressions |
0 |
0 |
2 |
98 |
0 |
1 |
8 |
182 |

Impulse Response Analysis in Infinite Order Cointegrated Vector Autoregressive Processes |
0 |
0 |
0 |
111 |
1 |
1 |
6 |
559 |

Local power of likelihood ratio tests for the cointegrating rank of a VAR process |
0 |
0 |
0 |
5 |
0 |
1 |
3 |
139 |

Maximum Likelihood Estimation of a Noninvertible ARMA Model with Autoregressive Conditional Heteroskedasticity |
0 |
1 |
1 |
62 |
0 |
2 |
8 |
258 |

Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process |
0 |
1 |
9 |
744 |
2 |
10 |
89 |
3,543 |

Modeling Conditional Skewness in Stock Returns |
0 |
0 |
0 |
380 |
0 |
1 |
4 |
1,117 |

Modeling Expectations with Noncausal Autoregressions |
0 |
1 |
3 |
124 |
1 |
3 |
14 |
352 |

Modeling Expectations with Noncausal Autoregressions |
0 |
0 |
1 |
49 |
0 |
1 |
6 |
120 |

Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes |
0 |
0 |
0 |
0 |
0 |
1 |
10 |
645 |

Modeling the US short-term interest rate by mixture autoregressive processes |
0 |
0 |
0 |
33 |
0 |
1 |
5 |
190 |

Noncausal Vector Autoregression |
0 |
0 |
1 |
96 |
0 |
1 |
8 |
196 |

Noncausal autoregressions for economic time series |
1 |
1 |
7 |
81 |
3 |
5 |
21 |
245 |

Noncausal vector autoregression |
0 |
0 |
1 |
86 |
0 |
0 |
9 |
228 |

Nonlinear GARCH models for highly persistent volatility |
0 |
0 |
1 |
85 |
0 |
0 |
3 |
382 |

On the estimation of Euler equations in the presence of a potential regime shift |
0 |
0 |
0 |
16 |
0 |
0 |
2 |
69 |

Optimal Forecasting of Noncausal Autoregressive Time Series |
0 |
1 |
2 |
87 |
2 |
3 |
10 |
177 |

Order selection in testing for the cointegrating rank of a VAR process |
1 |
2 |
3 |
35 |
2 |
5 |
12 |
312 |

Parameter Estimation in Nonlinear AR-GARCH Models |
0 |
0 |
0 |
179 |
1 |
1 |
6 |
432 |

Parameter estimation in nonlinear AR-GARCH models |
0 |
0 |
0 |
236 |
2 |
2 |
10 |
651 |

Parameter estimation in nonlinear AR-GARCH models |
0 |
0 |
0 |
47 |
1 |
2 |
8 |
176 |

Parameter estimation in nonlinear AR–GARCH models |
0 |
0 |
0 |
142 |
2 |
2 |
15 |
558 |

Reducing size distortions of parametric stationarity tests |
0 |
1 |
1 |
8 |
0 |
1 |
4 |
79 |

Residual Autocorrelation Testing for Vector Error Correction Models |
0 |
0 |
1 |
566 |
1 |
2 |
8 |
1,796 |

Stability of nonlinear AR-GARCH models |
0 |
0 |
0 |
193 |
0 |
0 |
7 |
528 |

Stability of nonlinear AR-GARCH models |
0 |
0 |
0 |
13 |
0 |
0 |
5 |
66 |

Stability of nonlinear AR-GARCH models |
0 |
0 |
0 |
173 |
1 |
1 |
3 |
410 |

Stability results for nonlinear vector autoregressions with an application to a nonlinear error correction model |
0 |
0 |
0 |
52 |
1 |
1 |
3 |
455 |

Stationarity and ergodicity of vector STAR models |
0 |
0 |
1 |
31 |
1 |
1 |
10 |
32 |

Subgeometric ergodicity and $\beta$-mixing |
0 |
0 |
0 |
12 |
0 |
0 |
7 |
10 |

Subgeometrically ergodic autoregressions |
0 |
0 |
4 |
11 |
2 |
3 |
16 |
24 |

Supplementary appendix to "noncausal vector autoregression" |
0 |
0 |
2 |
28 |
2 |
2 |
5 |
58 |

Test procedures for unit roots in time series with level shifts at unknown time |
1 |
1 |
5 |
116 |
3 |
6 |
24 |
542 |

Testing Identification via Heteroskedasticity in Structural Vector Autoregressive Models |
0 |
2 |
15 |
78 |
6 |
11 |
39 |
87 |

Testing for Predictability in a Noninvertible ARMA Model |
0 |
0 |
1 |
46 |
1 |
2 |
10 |
176 |

Testing for a Unit Root in a Time Series with a Level Shift at Unknown Time |
0 |
0 |
0 |
409 |
0 |
0 |
6 |
793 |

Testing for a unit root in a time series with a level shift at unknown time |
0 |
0 |
0 |
74 |
0 |
0 |
8 |
339 |

Testing for a unit root in noncausal autoregressive models |
0 |
0 |
0 |
57 |
0 |
0 |
5 |
113 |

Testing for observation-dependent regime switching in mixture autoregressive models |
0 |
0 |
0 |
23 |
1 |
1 |
5 |
20 |

Testing for predictability in a noninvertible ARMA model |
0 |
0 |
1 |
72 |
0 |
0 |
6 |
137 |

Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break |
0 |
0 |
1 |
133 |
0 |
0 |
5 |
286 |

Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break |
0 |
0 |
1 |
139 |
1 |
1 |
4 |
405 |

Testing for the Cointegrating Rank of a VAR Process with a Time Trend |
0 |
0 |
0 |
0 |
0 |
0 |
9 |
250 |

Testing for the Cointegrating Rank of a Vector Autoregressive Process with Uncertain Deterministic Trend Term |
0 |
0 |
1 |
138 |
2 |
2 |
7 |
305 |

Testing for the cointegrating rank of a VAR process with an intercept |
0 |
0 |
1 |
22 |
0 |
0 |
11 |
243 |

Testing for the cointegrating rank of a VAR process with level shift at unknown time |
1 |
1 |
2 |
120 |
1 |
2 |
8 |
519 |

Testing for the cointegrating rank of a VAR process with structural shifts |
0 |
1 |
2 |
39 |
1 |
2 |
12 |
309 |

Testing for unit roots in time series with level shifts |
1 |
1 |
2 |
10 |
1 |
1 |
6 |
375 |

Threshold Autoregression for Strongly Autocorrelated Time Series |
0 |
0 |
0 |
0 |
0 |
0 |
5 |
550 |

Trend adjustment prior to testing for the cointegrating rank of a VAR process |
0 |
0 |
1 |
13 |
3 |
3 |
9 |
212 |

Unit root tests for time series with a structural break: When the break point is known |
1 |
1 |
5 |
283 |
1 |
3 |
18 |
1,019 |

Unit root tests in the presence of innovational outliers |
1 |
1 |
5 |
57 |
1 |
1 |
7 |
296 |

Total Working Papers |
11 |
22 |
105 |
8,269 |
68 |
121 |
648 |
28,895 |