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Details about Terence Tai Leung CHONG

E-mail:
Homepage:http://www.cuhk.edu.hk/eco/staff/tlchong/tlchong3.htm
Workplace:Department of Economics, Chinese University of Hong Kong, (more information at EDIRC)

Access statistics for papers by Terence Tai Leung CHONG.

Last updated 2017-08-18. Update your information in the RePEc Author Service.

Short-id: pch395


Jump to Journal Articles

Working Papers

2017

  1. A Principal Component Approach to Measuring Investor Sentiment in Hong Kong
    MPRA Paper, University Library of Munich, Germany Downloads
  2. Extreme Risk Value and Dependence Structure of the China Securities Index 300
    MPRA Paper, University Library of Munich, Germany Downloads
    See also Journal Article in Economics Bulletin (2017)
  3. Factor Pricing in Commodity Futures and the Role of Liquidity
    MPRA Paper, University Library of Munich, Germany Downloads
  4. Profitability of CAPM Momentum Strategies in the US Stock Market
    MPRA Paper, University Library of Munich, Germany Downloads
  5. Structural change in non-stationary AR(1) models
    MPRA Paper, University Library of Munich, Germany Downloads
  6. The Nexus between Visitor Arrivals and Residential Property Rents in Hong Kong
    MPRA Paper, University Library of Munich, Germany Downloads
  7. The Sources of Country and Industry Variations in ASEAN Stock Returns
    MPRA Paper, University Library of Munich, Germany Downloads

2016

  1. A New Approach to Modelling Sector Stock Returns in China
    MPRA Paper, University Library of Munich, Germany Downloads
  2. An Empirical Comparison of Fast and Slow Stochastics
    MPRA Paper, University Library of Munich, Germany Downloads
  3. Do Speculative Bubbles Migrate in the Chinese Stock Market?
    MPRA Paper, University Library of Munich, Germany Downloads
  4. Entrepreneurial Activities and Institutional Environment in China
    MPRA Paper, University Library of Munich, Germany Downloads
  5. Housing Prices and Business Cycle in China: A DSGE Analysis
    MPRA Paper, University Library of Munich, Germany Downloads
  6. Long Range Dependence and Structural Breaks in the Gold Markets
    MPRA Paper, University Library of Munich, Germany Downloads
  7. The Debt-Equity Choice of Japanese Firms
    MPRA Paper, University Library of Munich, Germany Downloads
  8. The Nexus Between Social Capital and Bank Risk Taking
    MPRA Paper, University Library of Munich, Germany Downloads
    See also Journal Article in Journal of Risk and Financial Management (2016)
  9. The Roadmap of Interest Rate Liberalization in China
    MPRA Paper, University Library of Munich, Germany Downloads
  10. The Stock-Bond Comovements and Cross-Market Trading
    MPRA Paper, University Library of Munich, Germany Downloads View citations (1)
    See also Journal Article in Journal of Economic Dynamics and Control (2016)
  11. What Explains Herd Behavior in the Chinese Stock Market?
    MPRA Paper, University Library of Munich, Germany Downloads

2015

  1. Can Poverty be Alleviated in China?
    MPRA Paper, University Library of Munich, Germany Downloads
  2. Does Monetary Policy Matter For Trade?
    MPRA Paper, University Library of Munich, Germany Downloads
    See also Journal Article in International Economics (2016)
  3. Estimation and Inference of Threshold Regression Models with Measurement Errors
    MPRA Paper, University Library of Munich, Germany Downloads
  4. Executive Stock Option Pricing in China under Stochastic Volatility
    MPRA Paper, University Library of Munich, Germany Downloads
    See also Journal Article in Journal of Futures Markets (2015)
  5. Political Turnover and the Stock Performance of SOEs in China
    MPRA Paper, University Library of Munich, Germany Downloads
  6. Predictive Models for Disaggregate Stock Market Volatility
    MPRA Paper, University Library of Munich, Germany Downloads
    See also Journal Article in Financial Markets and Portfolio Management (2017)
  7. What Should Central Banks Target? Evidence on the Impact of Monetary Policy Regimes on Economic Growth
    MPRA Paper, University Library of Munich, Germany Downloads View citations (1)

2014

  1. A New Recognition Algorithm for “Head-and-Shoulders” Price Patterns
    MPRA Paper, University Library of Munich, Germany Downloads
  2. A Tale of Two Regimes: Classifying and Revisiting the Monetary Policy Regimes
    MPRA Paper, University Library of Munich, Germany Downloads View citations (3)
  3. Dirichlet Process Hidden Markov Multiple Change-point Model
    MPRA Paper, University Library of Munich, Germany Downloads View citations (1)
  4. Estimating and Testing Threshold Regression Models with Multiple Threshold Variables
    MPRA Paper, University Library of Munich, Germany Downloads
  5. From Fixed to Float: A Competing Risks Analysis
    MPRA Paper, University Library of Munich, Germany Downloads
  6. Nonlinear Dependence between Stock and Real Estate Markets in China
    MPRA Paper, University Library of Munich, Germany Downloads View citations (1)
    See also Journal Article in Economics Letters (2014)
  7. PRICE LIMIT AND STOCK VOLATILITY IN CHINA DURING FINANCIAL CRISES
    LCERPA Working Papers, Laurier Centre for Economic Research and Policy Analysis
  8. Price Limits and Stock Market Volatility in China
    MPRA Paper, University Library of Munich, Germany Downloads
  9. Revisiting the Performance of MACD and RSI Oscillators
    MPRA Paper, University Library of Munich, Germany Downloads
    See also Journal Article in Journal of Risk and Financial Management (2014)
  10. The Nexus between Labour Wages and Property Rents in the Greater China Area
    MPRA Paper, University Library of Munich, Germany Downloads
    See also Journal Article in China Economic Review (2014)

2013

  1. A Principal Component Approach to Measuring Investor Sentiment in China
    MPRA Paper, University Library of Munich, Germany Downloads
    See also Journal Article in Quantitative Finance (2014)
  2. Are Prices Sticky in Large Developing Economies? An Empirical Comparison of China and India
    MPRA Paper, University Library of Munich, Germany Downloads
  3. Asymptotic Inferences for an AR(1) Model with a Change Point: Stationary and Nearly Non-stationary Cases
    MPRA Paper, University Library of Munich, Germany Downloads

2012

  1. Does Banking Competition Alleviate or Worsen Credit Constraints Faced by Small and Medium Enterprises? Evidence from China (Replaces CentER DP 2011-006)
    Discussion Paper, Tilburg University, Center for Economic Research Downloads View citations (1)
  2. Theory and Applications of TAR Model with Two Threshold Variables
    MPRA Paper, University Library of Munich, Germany Downloads View citations (10)

2011

  1. Is the Chinese Stock Market Really Efficient
    MPRA Paper, University Library of Munich, Germany Downloads View citations (3)
    See also Journal Article in China Economic Review (2012)

2009

  1. The Value of Superstitions
    MPRA Paper, University Library of Munich, Germany Downloads
    Also in Departmental Working Papers, Chinese University of Hong Kong, Department of Economics (2009)

    See also Journal Article in Journal of Economic Psychology (2010)

2007

  1. A Competing Risk Analysis of Delistings
    Departmental Working Papers, Chinese University of Hong Kong, Department of Economics View citations (1)
  2. The Political Economy of Issuing a Typhoon Signal
    Departmental Working Papers, Chinese University of Hong Kong, Department of Economics

2006

  1. Do Momentum-based Strategies Work in Emerging Currency Markets?
    Departmental Working Papers, Chinese University of Hong Kong, Department of Economics View citations (1)
    See also Journal Article in Pacific-Basin Finance Journal (2009)
  2. Market Size, Book-to-Market Equity and the Cross-Section of Stock Returns: An Application of the Multiple-Variable Threshold Model
    Departmental Working Papers, Chinese University of Hong Kong, Department of Economics
  3. Predicting Currency Crises in Emerging Asian Countries: A Dynamic Threshold Approach
    Departmental Working Papers, Chinese University of Hong Kong, Department of Economics

2005

  1. Determining the Contributions to the Price Discovery for Chinese Cross-listed Stocks
    Departmental Working Papers, Chinese University of Hong Kong, Department of Economics
  2. Do the technical indicators reward chartists? A study on the stock markets of China, Hong Kong and Taiwan
    Finance Working Papers, East Asian Bureau of Economic Research Downloads View citations (5)
    Also in SCAPE Policy Research Working Paper Series, National University of Singapore, Department of Economics, SCAPE (2005) Downloads View citations (5)

    See also Journal Article in Review of Applied Economics (2005)
  3. Threshold Autoregressive Model with Multiple Threshold Variables
    Departmental Working Papers, Chinese University of Hong Kong, Department of Economics View citations (3)
  4. What Cause(s) the Underpricing of H-Share IPO?
    Departmental Working Papers, Chinese University of Hong Kong, Department of Economics

2004

  1. An Omnibus Test for the Fractionally Intergrated Model
    Departmental Working Papers, Chinese University of Hong Kong, Department of Economics
  2. Are Asian Real Exchange Rates Stationary?
    International Finance, EconWPA Downloads View citations (65)
    See also Journal Article in Economics Letters (2004)
  3. Do the Chinese have a Preference for the Number "8": A Hedonic Pricing Model for the Vehicle Registration Marks in Hong Kong
    Departmental Working Papers, Chinese University of Hong Kong, Department of Economics
  4. Generic Consistency of the Break-Point Estimators under Specification Errors in a Multiple-Break Model
    Departmental Working Papers, Chinese University of Hong Kong, Department of Economics View citations (1)
    See also Journal Article in Econometrics Journal (2008)
  5. Value Creation and Long Term Performance of Hong Kong Spinoffs
    Departmental Working Papers, Chinese University of Hong Kong, Department of Economics

2003

  1. A Profitability Comparison of Modal Point and Closing Price
    Departmental Working Papers, Chinese University of Hong Kong, Department of Economics
  2. Effects of ARCH Errors on Autoregressive Lag Length Selection Criteria
    Departmental Working Papers, Chinese University of Hong Kong, Department of Economics View citations (1)
  3. Effects of STAR and TAR types nonlinearities on order selection criteria
    Econometrics, EconWPA Downloads
  4. Modelling Smooth Transitional Economic Behavior
    Departmental Working Papers, Chinese University of Hong Kong, Department of Economics
  5. On the Profitability of Momentum Strategies and Relative Strength Index in the International Equity Markets
    Departmental Working Papers, Chinese University of Hong Kong, Department of Economics

2002

  1. Testing for Structural Break of the U.S. Stock Market in the 911 Attacks
    Departmental Working Papers, Chinese University of Hong Kong, Department of Economics

2001

  1. Extracting From the Dow Jones Index
    Departmental Working Papers, Chinese University of Hong Kong, Department of Economics

2000

  1. Estimation, Inference, and the Long Memory Properties of Aggregated AR(1) Processes with Coefficients Drawn from a Polynomial Density Function
    Departmental Working Papers, Chinese University of Hong Kong, Department of Economics
  2. Time Series Properties of Aggregated AR(2) Processes
    Departmental Working Papers, Chinese University of Hong Kong, Department of Economics
    See also Journal Article in Economics Letters (2001)

1998

  1. A Simple Test for Fractionally Integrated Processes
    Departmental Working Papers, Chinese University of Hong Kong, Department of Economics
  2. Estimating the Differencing Parameter Via the Partial Autocorrelation Function
    Departmental Working Papers, Chinese University of Hong Kong, Department of Economics
    See also Journal Article in Journal of Econometrics (2000)
  3. Estimating the Fractionally Integrated Process in the Presence of Measurement Errors
    Departmental Working Papers, Chinese University of Hong Kong, Department of Economics
    See also Journal Article in Economics Letters (1999)

1997

  1. Structural Change in AR(1) Models
    Departmental Working Papers, Chinese University of Hong Kong, Department of Economics View citations (5)
    See also Journal Article in Econometric Theory (2001)

1996

  1. Estimating the Location of Break in Restricted Structural Change Models
    Departmental Working Papers, Chinese University of Hong Kong, Department of Economics
  2. Estimating the Unit Root Process in the Presence of Measurement Errors
    Departmental Working Papers, Chinese University of Hong Kong, Department of Economics View citations (1)
  3. Estimation of and Testing for Structural Break in the Presence of Measurement Errors
    Departmental Working Papers, Chinese University of Hong Kong, Department of Economics
  4. Seemingly Unexplosive Nonstationary Random Coefficient Autoregressive Processes, A Note
    Departmental Working Papers, Chinese University of Hong Kong, Department of Economics

Journal Articles

2017

  1. Extreme Risk Value and Dependence Structure of the China Securities Index 300
    Economics Bulletin, 2017, 37, (1), 520-529 Downloads
    See also Working Paper (2017)
  2. Predictive models for disaggregate stock market volatility
    Financial Markets and Portfolio Management, 2017, 31, (3), 261-288 Downloads
    See also Working Paper (2015)

2016

  1. Does monetary policy matter for trade?
    International Economics, 2016, 147, (C), 107-125 Downloads
    Also in International Economics, 2016, (147), 107–125 (2016) Downloads

    See also Working Paper (2015)
  2. The Nexus between Social Capital and Bank Risk Taking
    Journal of Risk and Financial Management, 2016, 9, (3), 1-19 Downloads
    See also Working Paper (2016)
  3. The stock–bond comovements and cross-market trading
    Journal of Economic Dynamics and Control, 2016, 73, (C), 417-438 Downloads View citations (1)
    See also Working Paper (2016)

2015

  1. Economies of scale in the demand for money by firms in China
    Applied Economics Letters, 2015, 22, (8), 641-645 Downloads
  2. Executive Stock Option Pricing in China Under Stochastic Volatility
    Journal of Futures Markets, 2015, 35, (10), 953-960 Downloads
    See also Working Paper (2015)

2014

  1. A principal component approach to measuring investor sentiment in China
    Quantitative Finance, 2014, 14, (4), 573-579 Downloads View citations (2)
    See also Working Paper (2013)
  2. Nonlinear dependence between stock and real estate markets in China
    Economics Letters, 2014, 124, (3), 526-529 Downloads View citations (1)
    See also Working Paper (2014)
  3. Revisiting the Performance of MACD and RSI Oscillators
    Journal of Risk and Financial Management, 2014, 7, (1), 1-12 Downloads
    See also Working Paper (2014)
  4. The nexus between labor wages and property rents in the Greater China area
    China Economic Review, 2014, 30, (C), 180-191 Downloads View citations (1)
    See also Working Paper (2014)

2013

  1. A THRESHOLD MODEL APPROACH TO ESTIMATING THE ABNORMAL STOCK RETURNS
    Annals of Financial Economics (AFE), 2013, 08, (01), 1-17 Downloads
  2. Can analyst predict stock market crashes?
    Economics Bulletin, 2013, 33, (1), 158-166 Downloads
  3. Do Technical Analysts Outperform Novice Traders: Experimental Evidence
    Economics Bulletin, 2013, 33, (4), 3080-3087 Downloads View citations (1)
  4. Does banking competition alleviate or worsen credit constraints faced by small- and medium-sized enterprises? Evidence from China
    Journal of Banking & Finance, 2013, 37, (9), 3412-3424 Downloads View citations (34)
  5. Factor-augmented VAR analysis of the monetary policy in China
    China Economic Review, 2013, 25, (C), 88-104 Downloads View citations (16)
  6. HOW TO MAKE A PROFITABLE TRADING STRATEGY MORE PROFITABLE?
    The Singapore Economic Review (SER), 2013, 58, (03), 1-17 Downloads
  7. Minimum Wage and Shareholder Wealth: Evidence from Hong Kong
    Applied Economics Quarterly (formerly: Konjunkturpolitik), 2013, 59, (1), 85-97 Downloads
  8. Shipping the Good Horses Out
    Southern Economic Journal, 2013, 80, (2), 540-561 Downloads View citations (2)
  9. What determines the price of a racing horse?
    Applied Economics, 2013, 45, (3), 369-382 Downloads View citations (1)

2012

  1. Is the Chinese stock market really inefficient?
    China Economic Review, 2012, 23, (1), 122-137 Downloads View citations (16)
    See also Working Paper (2011)
  2. LONG-TERM ADJUSTMENT OF CAPITAL STRUCTURE: EVIDENCE FROM SINGAPORE, HONG KONG AND TAIWAN
    The Singapore Economic Review (SER), 2012, 57, (04), 1-22 Downloads
  3. Long-range dependence in the international diamond market
    Economics Letters, 2012, 116, (3), 401-403 Downloads View citations (1)
  4. Testing for a unit root in the presence of stochastic volatility and leverage effect
    Economic Modelling, 2012, 29, (5), 2035-2038 Downloads View citations (1)

2011

  1. A gravity analysis of international stock market linkages
    Applied Economics Letters, 2011, 18, (14), 1315-1319 Downloads View citations (1)
  2. Are Chinese Stock Market Cycles Duration Independent?
    The Financial Review, 2011, 46, (1), 151-164 View citations (6)
  3. Structural Changes and Regional Disparity in China's Inflation
    Economics Bulletin, 2011, 31, (1), 572-583 Downloads View citations (1)
  4. THAI FIRMS' HISTORIES AND THEIR CAPITAL STRUCTURE
    Annals of Financial Economics (AFE), 2011, 06, (01), 1-14 Downloads

2010

  1. A Competing Risks Analysis of Corporate Survival
    Financial Management, 2010, 39, (4), 1697-1718 View citations (6)
  2. A principal-component approach to measuring investor sentiment
    Quantitative Finance, 2010, 10, (4), 339-347 Downloads View citations (9)
  3. An Examination of the Underpricing of H-Share IPOs in Hong Kong
    Review of Pacific Basin Financial Markets and Policies (RPBFMP), 2010, 13, (04), 559-582 Downloads
  4. An investigation of duration dependence in the American stock market cycle
    Journal of Applied Statistics, 2010, 37, (8), 1407-1416 Downloads View citations (3)
  5. Does the 'Dogs of the Dow' strategy work better in blue chips?
    Applied Economics Letters, 2010, 17, (12), 1173-1175 Downloads
  6. Predictability of nonlinear trading rules in the U.S. stock market
    Quantitative Finance, 2010, 10, (9), 1067-1076 Downloads View citations (1)
  7. The value of superstitions
    Journal of Economic Psychology, 2010, 31, (3), 293-309 Downloads View citations (8)
    See also Working Paper (2009)

2009

  1. ARE NONLINEAR TRADING RULES PROFITABLE IN THE CHINESE STOCK MARKET?
    Annals of Financial Economics (AFE), 2009, 05, (01), 1-20 Downloads
  2. Do momentum-based strategies work in emerging currency markets?
    Pacific-Basin Finance Journal, 2009, 17, (4), 479-493 Downloads View citations (8)
    See also Working Paper (2006)
  3. Hedonic pricing models for metropolitan bus services
    Economics Bulletin, 2009, 29, (2), 630-637 Downloads
  4. Is the Convergence of Accounting Standards Good for Stock Markets?
    Economics Bulletin, 2009, 29, (3), 2079-2085 Downloads
  5. Profitability of the On-Balance Volume Indicator
    Economics Bulletin, 2009, 29, (3), 2424-2431 Downloads
  6. The Nexus between Analyst Forecast Dispersion and Expected Returns Surrounding Stock Market Crashes
    Journal of Risk and Financial Management, 2009, 2, (1), 1-19 Downloads
  7. What accounts for Chinese Business Cycle?
    China Economic Review, 2009, 20, (4), 650-661 Downloads View citations (13)
  8. Who will win the Nobel Prize?
    Economics Bulletin, 2009, 29, (2), 1107-1116 Downloads

2008

  1. A threshold model for the Hong Kong warrant prices
    Applied Financial Economics Letters, 2008, 4, (5), 337-339 Downloads
  2. Generic consistency of the break-point estimators under specification errors in a multiple-break model
    Econometrics Journal, 2008, 11, (2), 287-307 Downloads View citations (16)
    See also Working Paper (2004)
  3. HEDONIC PRICING MODELS FOR VEHICLE REGISTRATION MARKS
    Pacific Economic Review, 2008, 13, (2), 259-276 Downloads View citations (4)
  4. International linkages of the Japanese stock market
    Japan and the World Economy, 2008, 20, (4), 601-621 Downloads View citations (1)
  5. Structural Change in the Efficiency of the Japanese Stock Market after the Millennium
    Economics Bulletin, 2008, 7, (7), 1-7 Downloads View citations (1)
  6. Structural Change in the Stock Market Efficiency after the Millennium: The MACD Approach
    Economics Bulletin, 2008, 7, (12), 1-6 Downloads View citations (1)
  7. Technical analysis and the London stock exchange: testing the MACD and RSI rules using the FT30
    Applied Economics Letters, 2008, 15, (14), 1111-1114 Downloads View citations (15)
  8. Testing for Structural Change in the Nontradable Share Reform of the Chinese Stock Market
    Chinese Economy, 2008, 41, (2), 24-33 Downloads View citations (4)
  9. The Nonlinear Dynamics of Foreign Reserves and Currency Crises
    Studies in Nonlinear Dynamics & Econometrics, 2008, 12, (4), 1-18 Downloads View citations (4)
  10. Time series test of nonlinear convergence and transitional dynamics
    Economics Letters, 2008, 100, (3), 337-339 Downloads View citations (23)

2007

  1. A Class Test for Fractional Integration
    Studies in Nonlinear Dynamics & Econometrics, 2007, 11, (2), 1-24 Downloads View citations (3)
  2. A comparison of MA and RSI returns with exchange rate intervention
    Applied Economics Letters, 2007, 14, (5), 371-383 Downloads View citations (5)
  3. Determining the contributions to price discovery for Chinese cross-listed stocks
    Pacific-Basin Finance Journal, 2007, 15, (2), 140-153 Downloads View citations (25)
  4. Estimating the Fractionally Integrated Model with a Break in the Differencing Parameter
    Economics Bulletin, 2007, 3, (67), 1-10 Downloads
  5. Identification and Estimation of Structural-Change Models with Misclassification
    Economics Bulletin, 2007, 3, (36), 1-19 Downloads
  6. On the convergence of the Chinese and Hong Kong stock markets: a cointegration analysis of the A and H shares
    Applied Financial Economics, 2007, 17, (16), 1349-1357 Downloads View citations (7)
  7. Profitability of intraday and interday momentum strategies
    Applied Economics Letters, 2007, 14, (15), 1103-1108 Downloads View citations (5)
  8. THE IMPACT OF THE 1997 HANDOVER ON THE EFFICIENCY OF THE HONG KONG STOCK MARKET
    The Singapore Economic Review (SER), 2007, 52, (01), 27-38 Downloads
  9. The Revaluation and Future Adjustment of the Renminbi
    Chinese Economy, 2007, 40, (5), 6-20 Downloads
  10. The risk-adjusted trading rule profits in currency spot cross-rates
    Applied Financial Economics Letters, 2007, 3, (2), 71-76 Downloads

2006

  1. Estimation of the Autoregressive Order in the Presence of Measurement Errors
    Economics Bulletin, 2006, 3, (12), 1-10 Downloads
  2. On the Comovement of A and H Shares
    Chinese Economy, 2006, 39, (5), 68-86 Downloads View citations (5)
  3. The polynomial aggregated AR(1) model
    Econometrics Journal, 2006, 9, (1), 98-122 Downloads View citations (7)
  4. Two-sided Matching, Who Marries Whom? And what Happens upon Divorce?
    Economics Bulletin, 2006, 4, (21), 1-7 Downloads

2005

  1. Autoregressive Lag Length Selection Criteria in the Presence of ARCH Errors
    Economics Bulletin, 2005, 3, (19), 1-5 Downloads View citations (4)
  2. Do the technical indicators reward chartists? A study on the stock markets of China, Hong Kong and Taiwan
    Review of Applied Economics, 2005, 1, (2) Downloads View citations (5)
    See also Working Paper (2005)

2004

  1. Are Asian real exchange rates stationary?
    Economics Letters, 2004, 83, (3), 313-316 Downloads View citations (59)
    See also Working Paper (2004)

2003

  1. An empirical comparison of moving average envelopes and Bollinger Bands
    Applied Economics Letters, 2003, 10, (6), 339-341 Downloads View citations (9)
  2. Generic consistency of the break-point estimator under specification errors
    Econometrics Journal, 2003, 6, (1), 167-192 Downloads View citations (14)
  3. The inadequacy of linear autoregressive model for real exchange rates: empirical evidence from Asian economies
    Applied Economics, 2003, 35, (12), 1387-1392 Downloads View citations (34)

2001

  1. Estimating the locations and number of change points by the sample-splitting method
    Statistical Papers, 2001, 42, (1), 53-79 Downloads View citations (4)
  2. STRUCTURAL CHANGE IN AR(1) MODELS
    Econometric Theory, 2001, 17, (01), 87-155 Downloads View citations (31)
    See also Working Paper (1997)
  3. Time series properties of aggregated AR(2) processes
    Economics Letters, 2001, 73, (3), 325-332 Downloads
    See also Working Paper (2000)

2000

  1. Estimating the differencing parameter via the partial autocorrelation function
    Journal of Econometrics, 2000, 97, (2), 365-381 Downloads View citations (11)
    See also Working Paper (1998)

1999

  1. Asymptotic distribution of the sup-Wald statistic under specification errors
    Structural Change and Economic Dynamics, 1999, 10, (3-4), 421-430 Downloads
  2. Estimating the fractionally integrated process in the presence of measurement errors
    Economics Letters, 1999, 63, (3), 285-294 Downloads View citations (6)
    See also Working Paper (1998)

1995

  1. Partial parameter consistency in a misspecified structural change model
    Economics Letters, 1995, 49, (4), 351-357 Downloads View citations (22)
 
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