Details about Dante Amengual

Access statistics for papers by Dante Amengual.

Last updated 2021-11-01. Update your information in the RePEc Author Service.

Short-id: pam97

Working Papers

2022

1. GDP Solera: The Ideal Vintage Mix
   Staff Reports, Federal Reserve Bank of New York View citations (4)

2021

2. Moment tests of independent components
   Working Papers, CEMFI View citations (2)
3. Multivariate Hermite polynomials and information matrix tests
   Working Paper series, Rimini Centre for Economic Analysis
   Also in Working Papers, CEMFI (2021) View citations (3)
   Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" (2021)
4. Normal but Skewed?
   Working Papers, CEMFI
5. Tests for random coefficient variation in vector autoregressive models
   Working Paper series, Rimini Centre for Economic Analysis
   Also in Working Papers, CEMFI (2021)
   Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" (2021)

2020

6. Gaussian Rank Correlation and Regression
   Working Papers, CEMFI View citations (4)
   Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2020) View citations (2)
7. Hypothesis Tests with a Repeatedly Singular Information Matrix
   Working Papers, CEMFI View citations (4)
   Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2020) View citations (3)

2019

8. Endogenous Health Groups and Heterogeneous Dynamics of the Elderly
   2019 Meeting Papers, Society for Economic Dynamics View citations (2)
   Also in Health, Econometrics and Data Group (HEDG) Working Papers, HEDG, c/o Department of Economics, University of York (2017) View citations (2)

2017

9. Normality Tests for Latent Variables
   Working Papers, CEMFI
   See also Journal Article Normality tests for latent variables, Quantitative Economics, Econometric Society (2019) View citations (14) (2019)
10. Testing Distributional Assumptions Using a Continuum of Moments
    Working Papers, CEMFI
    See also Journal Article Testing distributional assumptions using a continuum of moments, Journal of Econometrics, Elsevier (2020) View citations (7) (2020)

2015

11. Is a Normal Copula the Right Copula?
    Working Papers, CEMFI
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2015)
    See also Journal Article Is a Normal Copula the Right Copula?, Journal of Business & Economic Statistics, Taylor & Francis Journals (2020) View citations (5) (2020)

2014

12. Testing a Large Number of Hypotheses in Approximate Factor Models
    Working Papers, CEMFI View citations (1)

2012

13. Sequential Estimation of Shape Parameters in Multivariate Dynamic Models
    Working Papers, CEMFI View citations (3)
    See also Journal Article Sequential estimation of shape parameters in multivariate dynamic models, Journal of Econometrics, Elsevier (2013) View citations (16) (2013)

2008

14. A Comparison of Mean-Variance Efficiency Tests
    Working Papers, CEMFI View citations (2)
    See also Journal Article A comparison of mean-variance efficiency tests, Journal of Econometrics, Elsevier (2010) View citations (28) (2010)

Journal Articles

2020

1. Is a Normal Copula the Right Copula?
   Journal of Business & Economic Statistics, 2020, 38, (2), 350-366 View citations (5)
   See also Working Paper Is a Normal Copula the Right Copula?, Working Papers (2015) (2015)
2. Testing distributional assumptions using a continuum of moments
   Journal of Econometrics, 2020, 218, (2), 655-689 View citations (7)
   See also Working Paper Testing Distributional Assumptions Using a Continuum of Moments, Working Papers (2017) (2017)

2019

3. Normality tests for latent variables
   Quantitative Economics, 2019, 10, (3), 981-1017 View citations (14)
   See also Working Paper Normality Tests for Latent Variables, Working Papers (2017) (2017)

2018

4. Resolution of policy uncertainty and sudden declines in volatility
   Journal of Econometrics, 2018, 203, (2), 297-315 View citations (62)

2016

5. Comments on: Reflections on the Probability Space Induced by Moment Conditions with Implications for Bayesian Inference
   Journal of Financial Econometrics, 2016, 14, (2), 248-252

2015

6. Market-based estimation of stochastic volatility models
   Journal of Econometrics, 2015, 187, (2), 418-435 View citations (13)

2013

7. Sequential estimation of shape parameters in multivariate dynamic models
   Journal of Econometrics, 2013, 177, (2), 233-249 View citations (16)
   See also Working Paper Sequential Estimation of Shape Parameters in Multivariate Dynamic Models, Working Papers (2012) View citations (3) (2012)

2010

8. A comparison of mean-variance efficiency tests
   Journal of Econometrics, 2010, 154, (1), 16-34 View citations (28)
   See also Working Paper A Comparison of Mean-Variance Efficiency Tests, Working Papers (2008) View citations (2) (2008)

2007

9. Consistent Estimation of the Number of Dynamic Factors in a Large N and T Panel
   Journal of Business & Economic Statistics, 2007, 25, 91-96 View citations (167)