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12 months |
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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 |