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Details about Timothy Vogelsang

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Homepage:http://www.econ.msu.edu/faculty/Vogelsang/Vogelsang.html
Workplace:Economics Department, Michigan State University, (more information at EDIRC)

Access statistics for papers by Timothy Vogelsang.

Last updated 2013-12-03. Update your information in the RePEc Author Service.

Short-id: pvo70


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Working Papers

2011

  1. A Fixed-b Perspective on the Phillips-Perron Unit Root Tests
    Economics Series, Institute for Advanced Studies Downloads
    See also Journal Article in Econometric Theory (2013)
  2. Integrated Modified OLS Estimation and Fixed-b Inference for Cointegrating Regressions
    Economics Series, Institute for Advanced Studies Downloads
  3. Multivariate trend comparisons between autocorrelated climate series with general trend regressors
    Working Papers, University of Guelph, Department of Economics and Finance Downloads
  4. Nonparametric Rank Tests for Non-stationary Panels
    Economics Series, Institute for Advanced Studies Downloads

2006

  1. Fixed-b Asymptotic Approximation of the Sampling Behavior of Nonparametric Spectral Density Estimators
    Working Papers, Cornell University, Center for Analytic Economics Downloads View citations (6)
    See also Journal Article in Journal of Time Series Analysis (2008)

2005

  1. A New Asymptotic Theory for Heteroskedasticity-Autocorrelation Robust Tests
    Working Papers, Cornell University, Center for Analytic Economics Downloads View citations (34)
    See also Journal Article in Econometric Theory (2005)
  2. Robust Unit Root and Cointegration Rank Tests for Panels and Large Systems
    Department of Economics Working Papers, Department of Economics, Williams College Downloads View citations (8)

2004

  1. Powerful Tests of Structural Change That are Robust to Strong Serial Correlation
    Discussion Papers, University at Albany, SUNY, Department of Economics Downloads View citations (3)

2003

  1. Powerful Trend Function Tests That Are Robust to Strong Serial Correlation with an Application to the Prebisch-Singer Hypothesis
    Staff General Research Papers, Iowa State University, Department of Economics Downloads View citations (4)
    Also in Econometrics, EconWPA (2003) Downloads View citations (6)

    See also Journal Article in Journal of Business & Economic Statistics (2005)

2001

  1. Simple Robust Testing of Hypothesis in Non-Linear Models
    Staff General Research Papers, Iowa State University, Department of Economics
    See also Journal Article in Journal of the American Statistical Association (2001)
  2. Spectral Density Bandwidth Choice: Source of Nonmonotonic Power for Tests of a Mean Shift in a Time Series
    Working Papers, Cornell University, Center for Analytic Economics Downloads View citations (6)
  3. Testing for Common Deterministic Trend Slopes
    Working Papers, Cornell University, Center for Analytic Economics Downloads View citations (4)
    See also Journal Article in Journal of Econometrics (2005)
  4. Testing in GMM Models without Truncation
    Working Papers, Cornell University, Center for Analytic Economics Downloads View citations (2)

2000

  1. A New Approach to the Asymptotics of HAC Robust Testing in Econometrics
    Working Papers, Cornell University, Center for Analytic Economics Downloads
  2. Forecasting Autoregressive Time Series in the Presence of Deterministic Components
    Working Papers, Cornell University, Center for Analytic Economics Downloads
    See also Journal Article in Econometrics Journal (2002)
  3. Simple Robust Testing of Regression Hypotheses
    Staff General Research Papers, Iowa State University, Department of Economics View citations (44)
    See also Journal Article in Econometrica (2000)
  4. The Application of Size Robust Trend Analysis to Global Warming Temperature Series
    Working Papers, Cornell University, Center for Analytic Economics Downloads View citations (7)

1999

  1. Forecasting Dynamic Time Series in the Presence of Deterministic Components
    Boston College Working Papers in Economics, Boston College Department of Economics Downloads

1997

  1. Analysis of Vector Autoregressions in the Presence of Shifts in Mean
    Boston College Working Papers in Economics, Boston College Department of Economics Downloads View citations (2)
    See also Journal Article in Econometric Reviews (2002)

1994

  1. Additional Tests for a Unit Root Allowing for a Break in the Trend Function at an Unknown Time
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques Downloads View citations (9)
    Also in Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1994) View citations (6)

    See also Journal Article in International Economic Review (1998)
  2. On Testing for a Unit Root in the Presence of Additive Outliers
    Working Papers, Cornell - Department of Economics View citations (4)

1991

  1. Nonstationary and Level Shifts With An Application To Purchasing Power Parity
    Working Papers, Princeton, Department of Economics - Econometric Research Program View citations (21)
    See also Journal Article in Journal of Business & Economic Statistics (1992)

Undated

  1. Level Shifts and Purchasing Power Parity
    Instructional Stata datasets for econometrics, Boston College Department of Economics Downloads

Journal Articles

2013

  1. A FIXED-b PERSPECTIVE ON THE PHILLIPS–PERRON UNIT ROOT TESTS
    Econometric Theory, 2013, 29, (03), 609-628 Downloads View citations (1)
    See also Working Paper (2011)

2012

  1. Heteroskedasticity, autocorrelation, and spatial correlation robust inference in linear panel models with fixed-effects
    Journal of Econometrics, 2012, 166, (2), 303-319 Downloads View citations (6)

2011

  1. BLOCK BOOTSTRAP HAC ROBUST TESTS: THE SOPHISTICATION OF THE NAIVE BOOTSTRAP
    Econometric Theory, 2011, 27, (04), 745-791 Downloads View citations (6)
  2. Fixed‐b analysis of LM‐type tests for a shift in mean
    Econometrics Journal, 2011, 14, (3), 438-456 Downloads View citations (1)
  3. SPECIAL ISSUE OF ECONOMETRIC THEORY ON BOOTSTRAP AND NUMERICAL METHODS IN TIME SERIES: GUEST EDITORS’ INTRODUCTION
    Econometric Theory, 2011, 27, (05), 929-932 Downloads
  4. TESTING FOR A SHIFT IN TREND AT AN UNKNOWN DATE: A FIXED-B ANALYSIS OF HETEROSKEDASTICITY AUTOCORRELATION ROBUST OLS-BASED TESTS
    Econometric Theory, 2011, 27, (05), 992-1025 Downloads View citations (2)

2009

  1. The KPSS Test Using Fixed-b Critical Values: Size and Power in Highly Autocorrelated Time Series
    Journal of Time Series Econometrics, 2009, 1, (1), 1-44 Downloads View citations (1)

2008

  1. Fixed-b asymptotic approximation of the sampling behaviour of nonparametric spectral density estimators
    Journal of Time Series Analysis, 2008, 29, (1), 142-162 Downloads View citations (8)
    See also Working Paper (2006)

2007

  1. Projection Bias in Catalog Orders
    American Economic Review, 2007, 97, (4), 1217-1249 Downloads View citations (11)

2005

  1. A NEW ASYMPTOTIC THEORY FOR HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTS
    Econometric Theory, 2005, 21, (06), 1130-1164 Downloads View citations (68)
    See also Working Paper (2005)
  2. Powerful Trend Function Tests That Are Robust to Strong Serial Correlation, With an Application to the Prebisch-Singer Hypothesis
    Journal of Business & Economic Statistics, 2005, 23, 381-394 Downloads View citations (23)
    See also Working Paper (2003)
  3. Testing for common deterministic trend slopes
    Journal of Econometrics, 2005, 126, (1), 1-24 Downloads View citations (8)
    See also Working Paper (2001)

2002

  1. ANALYSIS OF VECTOR AUTOREGRESSIONS IN THE PRESENCE OF SHIFTS IN MEAN
    Econometric Reviews, 2002, 21, (3), 353-381 Downloads View citations (4)
    See also Working Paper (1997)
  2. Are U.S. regions converging? Using new econometric methods to examine old issues
    Empirical Economics, 2002, 27, (1), 49-62 Downloads View citations (12)
  3. Asymptotic Theory for Econometricians (rev. ed.)
    Journal of the American Statistical Association, 2002, 97, 921-921 Downloads
  4. Forecasting autoregressive time series in the presence of deterministic components
    Econometrics Journal, 2002, 5, (1), 196-224 Downloads View citations (2)
    See also Working Paper (2000)
  5. HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTING USING BANDWIDTH EQUAL TO SAMPLE SIZE
    Econometric Theory, 2002, 18, (06), 1350-1366 Downloads View citations (36)
  6. Heteroskedasticity-Autocorrelation Robust Standard Errors Using The Bartlett Kernel Without Truncation
    Econometrica, 2002, 70, (5), 2093-2095 Downloads View citations (31)

2001

  1. Simple Robust Testing of Hypotheses in Nonlinear Models
    Journal of the American Statistical Association, 2001, 96, 1088-1096 Downloads View citations (4)
    See also Working Paper (2001)

2000

  1. A Simple Test of the Law of Demand for the United States
    Econometrica, 2000, 68, (4), 1013-1022 View citations (3)
  2. Simple Robust Testing of Regression Hypotheses
    Econometrica, 2000, 68, (3), 695-714 View citations (53)
    See also Working Paper (2000)

1999

  1. Change and Involution in Sugar Production in Cultivation-System Java, 1840–1870
    The Journal of Economic History, 1999, 59, (04), 885-911 Downloads

1998

  1. Additional Tests for a Unit Root Allowing for a Break in the Trend Function at an Unknown Time
    International Economic Review, 1998, 39, (4), 1073-1100 View citations (101)
    See also Working Paper (1994)
  2. On Seasonal Cycles, Unit Roots, And Mean Shifts
    The Review of Economics and Statistics, 1998, 80, (2), 231-240 Downloads View citations (21)
  3. Sources of nonmonotonic power when testing for a shift in mean of a dynamic time series
    Journal of Econometrics, 1998, 88, (2), 283-299 Downloads View citations (18)
  4. Testing for a Shift in Mean without Having to Estimate Serial-Correlation Parameters
    Journal of Business & Economic Statistics, 1998, 16, (1), 73-80 View citations (14)
  5. Trend Function Hypothesis Testing in the Presence of Serial Correlation
    Econometrica, 1998, 66, (1), 123-148 View citations (92)

1997

  1. Wald-Type Tests for Detecting Breaks in the Trend Function of a Dynamic Time Series
    Econometric Theory, 1997, 13, (06), 818-848 Downloads View citations (65)

1992

  1. Nonstationarity and Level Shifts with an Application to Purchasing Power Parity
    Journal of Business & Economic Statistics, 1992, 10, (3), 301-20 View citations (286)
    See also Working Paper (1991)
  2. Testing for a Unit Root in a Time Series with a Changing Mean: Corrections and Extensions
    Journal of Business & Economic Statistics, 1992, 10, (4), 467-70 View citations (70)
 
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