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Details about Halbert White

This author is deceased (2012-03-31).

Access statistics for papers by Halbert White.

Last updated 2016-12-26. Update your information in the RePEc Author Service.

Short-id: pwh17


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Working Papers

2016

  1. Constrained Information Processing and Individual Income Expectations
    Boston College Working Papers in Economics, Boston College Department of Economics Downloads
  2. Testing Monotonicity in Unobservables with Panel Data
    Boston College Working Papers in Economics, Boston College Department of Economics Downloads

2015

  1. Testing for Monotonicity in Unobservables under Unconfoundedness
    Boston College Working Papers in Economics, Boston College Department of Economics Downloads
    See also Journal Article in Journal of Econometrics (2016)
  2. VAR for VaR: measuring tail dependence using multivariate regression quantiles
    Working Paper Series, European Central Bank Downloads View citations (13)
    See also Journal Article in Journal of Econometrics (2015)

2014

  1. Notations in "Testing the Equality of Two Positive-Definite Matrices with Application to Information Matrix Testing" by Cho and White (2014)
    Working papers, Yonsei University, Yonsei Economics Research Institute Downloads View citations (2)
  2. Testing the Equality of Two Positive-Definite Matrices with Application to Information Matrix Testing
    Working papers, Yonsei University, Yonsei Economics Research Institute Downloads View citations (2)

2013

  1. A Flexible Nonparametric Test for Conditional Independence
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego Downloads View citations (3)
    See also Journal Article in Econometric Theory (2016)
  2. Mathematical Proofs for "Testing for Neglected Nonlinearity Using Twofold Unidentified Models under the Null and Hexic Expansions"
    Working papers, Yonsei University, Yonsei Economics Research Institute Downloads
  3. Testing for Neglected Nonlinearity Using Twofold Unidentified Models under the Null and Hexic Expansions (published in: Essays in Nonlinear Time Series Econometrics, Festschrift in Honor of Timo Terasvirta. Eds. Niels Haldrup, Mika Meitz, and Pentti Saikkonen (2014). Oxford: Oxford University Press.)
    Working papers, Yonsei University, Yonsei Economics Research Institute Downloads View citations (5)

2012

  1. A warp-speed method for conducting Monte Carlo experiments involving bootstrap estimators
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies Downloads View citations (1)
    See also Journal Article in Econometric Theory (2013)

2011

  1. Causal Discourse in a Game of Incomplete Information
    Department of Economics Working Papers, The University of Texas at Austin, Department of Economics Downloads View citations (1)
    See also Journal Article in Journal of Econometrics (2014)

2010

  1. Causality, Conditional Independence, and Graphical Separation in Settable Systems
    Boston College Working Papers in Economics, Boston College Department of Economics Downloads View citations (14)
  2. Granger Causality, Exogeneity, Cointegration, and Economic Policy Analysis
    Working Papers, Brandeis University, Department of Economics and International Businesss School Downloads View citations (3)
    See also Journal Article in Journal of Econometrics (2014)
  3. Linking Granger Causality and the Pearl Causal Model with Settable Systems
    Boston College Working Papers in Economics, Boston College Department of Economics Downloads View citations (8)
  4. Testing a Conditional Form of Exogeneity
    Boston College Working Papers in Economics, Boston College Department of Economics Downloads View citations (4)
    See also Journal Article in Economics Letters (2010)
  5. VAR for VaR: measuring systemic risk using multivariate regression quantiles
    MPRA Paper, University Library of Munich, Germany Downloads View citations (8)

2009

  1. An Extended Class of Instrumental Variables for the Estimation of Causal Effects
    Boston College Working Papers in Economics, Boston College Department of Economics Downloads View citations (15)
  2. Generalized Runs Test for the IID Hypothesis
    Discussion Paper Series, Institute of Economic Research, Korea University Downloads
    See also Journal Article in Journal of Econometrics (2011)
  3. Local Indirect Least Squares and Average Marginal Effects in Nonseparable Structural Systems
    Boston College Working Papers in Economics, Boston College Department of Economics Downloads View citations (8)
    Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2007) Downloads View citations (6)

    See also Journal Article in Journal of Econometrics (2012)
  4. Nonparametric Identification in Nonseparable Panel Data Models with Generalized Fixed Effects
    Boston College Working Papers in Economics, Boston College Department of Economics Downloads View citations (6)
    Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2009) Downloads View citations (5)

    See also Journal Article in Journal of Econometrics (2012)
  5. Testing for Unobserved Heterogeneity in Exponential and Weibull Duration Models
    Discussion Paper Series, Institute of Economic Research, Korea University Downloads
    See also Journal Article in Journal of Econometrics (2010)
  6. Testing for a Constant Mean Function using Functional Regression
    Discussion Paper Series, Institute of Economic Research, Korea University Downloads

2008

  1. Identifying Structural Effects in Nonseparable Systems Using Covariates
    Boston College Working Papers in Economics, Boston College Department of Economics Downloads View citations (6)

2007

  1. Mixtures of t-distributions for Finance and Forecasting
    Economics Series, Institute for Advanced Studies Downloads
    See also Journal Article in Journal of Econometrics (2008)

2005

  1. Can mutual fund stars really pick stocks? New evidence from a bootstrap analysis
    CFR Working Papers, University of Cologne, Centre for Financial Research (CFR) Downloads View citations (9)
    See also Journal Article in Journal of Finance (2006)

2004

  1. A Comparison of Complementary Automatic Modeling Methods: RETINA and PcGets
    Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" Downloads View citations (1)
    See also Journal Article in Econometric Theory (2005)

2003

  1. A Consistent Characteristic-Function-Based Test for Conditional Independence
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego Downloads View citations (2)
    See also Journal Article in Journal of Econometrics (2007)
  2. A Flexible Tool for Model Building: the Relevant Transformation of the Inputs Network Approach (RETINA)
    Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" Downloads View citations (12)
    Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2003) Downloads View citations (6)
    Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2002) Downloads

    See also Journal Article in Oxford Bulletin of Economics and Statistics (2003)
  3. On More Robust Estimation of Skewness and Kurtosis: Simulation and Application to the S&P500 Index
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego Downloads View citations (1)
  4. Testing Conditional Independence Via Empirical Likelihood
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego Downloads View citations (8)
    See also Journal Article in Journal of Econometrics (2014)
  5. Tests of Conditional Predictive Ability
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego Downloads View citations (27)
    Also in Econometrics, EconWPA (2003) Downloads View citations (51)
    Boston College Working Papers in Economics, Boston College Department of Economics (2003) Downloads View citations (31)

    See also Journal Article in Econometrica (2006)

2002

  1. A Subsampling Approach to Estimating the Distribution of Diverging Statistics with Applications to Assessing Financial Markets Risks
    Working Papers, Centre de Recherche en Economie et Statistique Downloads
    Also in University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego (2000) Downloads
  2. Asymptotic Properties of Some Projection-based Robbins-Monro Procedures in a Hilbert Space
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego Downloads
    See also Journal Article in Studies in Nonlinear Dynamics & Econometrics (2002)
  3. Estimation, Inference, and Specification Testing for Possibly Misspecified Quantile Regression
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego Downloads View citations (3)
  4. Hypernormal Densities
    Boston College Working Papers in Economics, Boston College Department of Economics Downloads
    Also in Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra (2002) Downloads
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego (2002) Downloads
  5. Maximum Likelihood and the Bootstrap for Nonlinear Dynamic Models
    CIRANO Working Papers, CIRANO Downloads View citations (6)
    Also in University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego (2000) Downloads View citations (3)
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego (2002) Downloads View citations (4)

    See also Journal Article in Journal of Econometrics (2004)

2001

  1. A subsampling approach to estimating the distribution of diversing statistics with application to assessing financial market risks
    Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra Downloads View citations (1)
  2. Forecast Evaluation with Shared Data Sets
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads
    See also Journal Article in International Journal of Forecasting (2003)
  3. The Bootstrap of Mean for Dependent Heterogeneous Arrays
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques Downloads View citations (4)
    Also in Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (2001) View citations (4)
  4. The Bootstrap of the Mean for Dependent Heterogeneous Arrays
    CIRANO Working Papers, CIRANO Downloads View citations (9)
    See also Journal Article in Econometric Theory (2002)

2000

  1. Asymptotic and Bayesian Confidence Intervals for Sharpe Style Weights
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego Downloads View citations (4)
  2. Bootstrapping the Information Matrix Test
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego Downloads View citations (1)
  3. CLOSED FORM INTEGRATION OF ARTIFICIAL NEURAL NETWORKS WITH SOME APPLICATIONS TO FINANCE
    Computing in Economics and Finance 2000, Society for Computational Economics Downloads View citations (2)
    Also in Econometric Society World Congress 2000 Contributed Papers, Econometric Society (2000) Downloads View citations (5)
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego (1999) Downloads
  4. James-Stein Type Estimator in Large Samples with Application to the Least Absolute Deviations Estimator
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego Downloads
    Also in University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego (1999) Downloads
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego (2000) Downloads

    See also Journal Article in Journal of the American Statistical Association (2001)

1999

  1. Closed form integration of artificial neural networks with some applications
    Research Notes, Deutsche Bank Research Downloads View citations (1)
  2. M-Testing Using Finite and Infinite Dimensional Parameter Estimators
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego Downloads View citations (1)

1998

  1. Dangers of Data-Driven Inference: The Case of Calendar Effects in Stock Returns
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego Downloads View citations (7)
  2. Data-Snooping, Technical Trading Rule Performance and the Bootstrap
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (17)
    Also in FMG Discussion Papers, Financial Markets Group (1998) Downloads View citations (29)

    See also Journal Article in Journal of Finance (1999)
  3. The Dangers of Data-Driven Inference: The Case of Calendar Effects in Stock Returns
    FMG Discussion Papers, Financial Markets Group Downloads View citations (6)

1996

  1. Testing for Stationarity-Ergodicity and for Comovements Between Nonlinear Discrete Time Markov Processes
    Working Papers, Pennsylvania State - Department of Economics View citations (20)
    See also Journal Article in Journal of Econometrics (2000)

1995

  1. A Model Selection Approach to Real-Time Macroeconomic Forecasting Using Linear Models and Artificial Neural Networks
    Macroeconomics, EconWPA Downloads View citations (25)
    Also in Working Papers, Pennsylvania State - Department of Economics (1995) View citations (3)

    See also Journal Article in The Review of Economics and Statistics (1997)

1991

  1. Strong Convergence of Recursive M-Estimators for Models with Dynamic Latent Variables
    Working Papers, Stanford - Institute for Thoretical Economics View citations (1)

1984

  1. A Unified Theory of Consistent Estimation for Parametric Models
    Working papers, Massachusetts Institute of Technology (MIT), Department of Economics View citations (2)
    See also Journal Article in Econometric Theory (1985)

1983

  1. Some Heteroskedasticity Consistent Covariance Matrix Estimators with Improved Finite Sample Properties
    Working Papers, Queen's University, Department of Economics Downloads View citations (10)
    See also Journal Article in Journal of Econometrics (1985)

1982

  1. Some Further Results on Tests for Model Specification in the Presence of Alternative Hypotheses
    Working Papers, Queen's University, Department of Economics

Journal Articles

2016

  1. A FLEXIBLE NONPARAMETRIC TEST FOR CONDITIONAL INDEPENDENCE
    Econometric Theory, 2016, 32, (06), 1434-1482 Downloads View citations (1)
    See also Working Paper (2013)
  2. Generalized Information Matrix Tests for Detecting Model Misspecification
    Econometrics, 2016, 4, (4), 1-24 Downloads
  3. Testing for monotonicity in unobservables under unconfoundedness
    Journal of Econometrics, 2016, 193, (1), 183-202 Downloads
    See also Working Paper (2015)

2015

  1. Estimating nonseparable models with mismeasured endogenous variables
    Quantitative Economics, 2015, 6, (3), 749-794 Downloads View citations (3)
  2. VAR for VaR: Measuring tail dependence using multivariate regression quantiles
    Journal of Econometrics, 2015, 187, (1), 169-188 Downloads View citations (13)
    See also Working Paper (2015)

2014

  1. A two-stage procedure for partially identified models
    Journal of Econometrics, 2014, 182, (1), 5-13 Downloads View citations (1)
  2. Causal discourse in a game of incomplete information
    Journal of Econometrics, 2014, 182, (1), 45-58 Downloads
    See also Working Paper (2011)
  3. Granger causality, exogeneity, cointegration, and economic policy analysis
    Journal of Econometrics, 2014, 178, (P2), 316-330 Downloads View citations (4)
    See also Working Paper (2010)
  4. Robustness checks and robustness tests in applied economics
    Journal of Econometrics, 2014, 178, (P1), 194-206 Downloads View citations (6)
  5. Testing conditional independence via empirical likelihood
    Journal of Econometrics, 2014, 182, (1), 27-44 Downloads View citations (2)
    See also Working Paper (2003)
  6. Testing for separability in structural equations
    Journal of Econometrics, 2014, 182, (1), 14-26 Downloads View citations (6)

2013

  1. A WARP-SPEED METHOD FOR CONDUCTING MONTE CARLO EXPERIMENTS INVOLVING BOOTSTRAP ESTIMATORS
    Econometric Theory, 2013, 29, (03), 567-589 Downloads View citations (20)
    See also Working Paper (2012)
  2. Identification and Identification Failure for Treatment Effects Using Structural Systems
    Econometric Reviews, 2013, 32, (3), 273-317 Downloads View citations (8)

2012

  1. An Alternative Proof That OLS is BLUE
    Journal of Econometric Methods, 2012, 1, (1), 107-107 Downloads
  2. Local indirect least squares and average marginal effects in nonseparable structural systems
    Journal of Econometrics, 2012, 166, (2), 282-302 Downloads View citations (8)
    See also Working Paper (2009)
  3. Nonparametric identification in nonseparable panel data models with generalized fixed effects
    Journal of Econometrics, 2012, 168, (2), 300-314 Downloads View citations (17)
    See also Working Paper (2009)
  4. SOME EXTENSIONS OF A LEMMA OF KOTLARSKI
    Econometric Theory, 2012, 28, (04), 925-932 Downloads View citations (1)

2011

  1. Causal Diagrams for Treatment Effect Estimation with Application to Efficient Covariate Selection
    The Review of Economics and Statistics, 2011, 93, (4), 1453-1459 Downloads View citations (10)
  2. Consideration of Trends in Time Series
    Journal of Time Series Econometrics, 2011, 3, (1), 1-40 Downloads View citations (8)
  3. Generalized runs tests for the IID hypothesis
    Journal of Econometrics, 2011, 162, (2), 326-344 Downloads View citations (1)
    See also Working Paper (2009)
  4. Viewpoint: An extended class of instrumental variables for the estimation of causal effects
    Canadian Journal of Economics, 2011, 44, (1), 1-51 Downloads View citations (13)

2010

  1. Granger Causality and Dynamic Structural Systems
    Journal of Financial Econometrics, 2010, 8, (2), 193-243 Downloads View citations (17)
  2. Remarks for the Clive Granger Memorial, July 31, 2009
    Journal of Financial Econometrics, 2010, 8, (2), 160-161 Downloads
  3. TESTING STRUCTURAL CHANGE IN PARTIALLY LINEAR MODELS
    Econometric Theory, 2010, 26, (06), 1761-1806 Downloads View citations (7)
  4. Testing a conditional form of exogeneity
    Economics Letters, 2010, 109, (2), 88-90 Downloads View citations (4)
    See also Working Paper (2010)
  5. Testing for unobserved heterogeneity in exponential and Weibull duration models
    Journal of Econometrics, 2010, 157, (2), 458-480 Downloads View citations (6)
    See also Working Paper (2009)
  6. The construction of empirical credit scoring rules based on maximization principles
    Journal of Econometrics, 2010, 157, (1), 110-119 Downloads View citations (2)

2009

  1. Correction to “Automatic Block-Length Selection for the Dependent Bootstrap” by D. Politis and H. White
    Econometric Reviews, 2009, 28, (4), 372-375 Downloads View citations (21)
  2. Inference on Risk-Neutral Measures for Incomplete Markets
    Journal of Financial Econometrics, 2009, 7, (3), 199-246 Downloads View citations (5)

2008

  1. A NONPARAMETRIC HELLINGER METRIC TEST FOR CONDITIONAL INDEPENDENCE
    Econometric Theory, 2008, 24, (04), 829-864 Downloads View citations (21)
  2. Mixtures of t-distributions for finance and forecasting
    Journal of Econometrics, 2008, 144, (1), 175-192 Downloads View citations (5)
    See also Working Paper (2007)

2007

  1. A consistent characteristic function-based test for conditional independence
    Journal of Econometrics, 2007, 141, (2), 807-834 Downloads View citations (20)
    See also Working Paper (2003)
  2. Testing for Regime Switching
    Econometrica, 2007, 75, (6), 1671-1720 Downloads View citations (51)

2006

  1. Can Mutual Fund "Stars" Really Pick Stocks? New Evidence from a Bootstrap Analysis
    Journal of Finance, 2006, 61, (6), 2551-2595 Downloads View citations (127)
    See also Working Paper (2005)
  2. Tests of Conditional Predictive Ability
    Econometrica, 2006, 74, (6), 1545-1578 Downloads View citations (446)
    See also Working Paper (2003)
  3. Time-series estimation of the effects of natural experiments
    Journal of Econometrics, 2006, 135, (1-2), 527-566 Downloads View citations (13)

2005

  1. A COMPARISON OF COMPLEMENTARY AUTOMATIC MODELING METHODS: RETINA AND PcGets
    Econometric Theory, 2005, 21, (01), 262-277 Downloads View citations (10)
    See also Working Paper (2004)
  2. Asymptotic Distribution Theory for Nonparametric Entropy Measures of Serial Dependence
    Econometrica, 2005, 73, (3), 837-901 Downloads View citations (38)
  3. Bootstrap Standard Error Estimates for Linear Regression
    Journal of the American Statistical Association, 2005, 100, 970-979 Downloads View citations (25)

2004

  1. Automatic Block-Length Selection for the Dependent Bootstrap
    Econometric Reviews, 2004, 23, (1), 53-70 Downloads View citations (99)
  2. Maximum likelihood and the bootstrap for nonlinear dynamic models
    Journal of Econometrics, 2004, 119, (1), 199-219 Downloads View citations (51)
    See also Working Paper (2002)
  3. On more robust estimation of skewness and kurtosis
    Finance Research Letters, 2004, 1, (1), 56-73 Downloads View citations (65)
  4. Subsampling the distribution of diverging statistics with applications to finance
    Journal of Econometrics, 2004, 120, (2), 295-326 Downloads View citations (7)

2003

  1. A Flexible Tool for Model Building: the Relevant Transformation of the Inputs Network Approach (RETINA)
    Oxford Bulletin of Economics and Statistics, 2003, 65, (s1), 821-838 Downloads View citations (16)
    See also Working Paper (2003)
  2. Forecast evaluation with shared data sets
    International Journal of Forecasting, 2003, 19, (2), 217-227 Downloads View citations (16)
    See also Working Paper (2001)

2002

  1. Asymptotic Properties of Some Projection-based Robbins-Monro Procedures in a Hilbert Space
    Studies in Nonlinear Dynamics & Econometrics, 2002, 6, (1), 1-55 Downloads View citations (1)
    See also Working Paper (2002)
  2. THE BOOTSTRAP OF THE MEAN FOR DEPENDENT HETEROGENEOUS ARRAYS
    Econometric Theory, 2002, 18, (06), 1367-1384 Downloads View citations (23)
    See also Working Paper (2001)

2001

  1. Dangers of data mining: The case of calendar effects in stock returns
    Journal of Econometrics, 2001, 105, (1), 249-286 Downloads View citations (52)
  2. James-Stein-Type Estimators in Large Samples With Application to the Least Absolute Deviations Estimator
    Journal of the American Statistical Association, 2001, 96, 697-705 Downloads View citations (5)
    See also Working Paper (2000)
  3. S-estimation of nonlinear regression models with dependent and heterogeneous observations
    Journal of Econometrics, 2001, 103, (1-2), 5-72 Downloads View citations (13)

2000

  1. A Reality Check for Data Snooping
    Econometrica, 2000, 68, (5), 1097-1126 View citations (482)
  2. Testing for stationarity-ergodicity and for comovements between nonlinear discrete time Markov processes
    Journal of Econometrics, 2000, 96, (1), 39-73 Downloads View citations (19)
    See also Working Paper (1996)

1999

  1. An efficient algorithm to compute maximum entropy densities
    Econometric Reviews, 1999, 18, (2), 127-140 Downloads View citations (15)
  2. Data-Snooping, Technical Trading Rule Performance, and the Bootstrap
    Journal of Finance, 1999, 54, (5), 1647-1691 Downloads View citations (162)
    See also Working Paper (1998)

1998

  1. CENTRAL LIMIT AND FUNCTIONAL CENTRAL LIMIT THEOREMS FOR HILBERT-VALUED DEPENDENT HETEROGENEOUS ARRAYS WITH APPLICATIONS
    Econometric Theory, 1998, 14, (02), 260-284 Downloads View citations (28)
  2. CONSISTENT SPECIFICATION TESTING WITH NUISANCE PARAMETERS PRESENT ONLY UNDER THE ALTERNATIVE
    Econometric Theory, 1998, 14, (03), 295-325 Downloads View citations (132)
  3. High Breakdown Point Conditional Dispersion Estimation with Application to S&P 500 Daily Returns Volatility
    Econometrica, 1998, 66, (3), 529-568 View citations (74)
  4. Nonparametric Adaptive Learning with Feedback
    Journal of Economic Theory, 1998, 82, (1), 190-222 Downloads View citations (17)

1997

  1. A Model Selection Approach To Real-Time Macroeconomic Forecasting Using Linear Models And Artificial Neural Networks
    The Review of Economics and Statistics, 1997, 79, (4), 540-550 Downloads View citations (76)
    See also Working Paper (1995)
  2. Forecasting economic time series using flexible versus fixed specification and linear versus nonlinear econometric models
    International Journal of Forecasting, 1997, 13, (4), 439-461 Downloads View citations (76)

1996

  1. Information criteria for selecting possibly misspecified parametric models
    Journal of Econometrics, 1996, 71, (1-2), 207-225 Downloads View citations (109)
  2. Laws of Large Numbers for Hilbert Space-Valued Mixingales with Applications
    Econometric Theory, 1996, 12, (02), 284-304 Downloads View citations (13)
  3. Monitoring Structural Change
    Econometrica, 1996, 64, (5), 1045-65 Downloads View citations (81)

1995

  1. A Model-Selection Approach to Assessing the Information in the Term Structure Using Linear Models and Artificial Neural Networks
    Journal of Business & Economic Statistics, 1995, 13, (3), 265-75 View citations (82)
  2. Comments on testing economic theories and the use of model selection criteria
    Journal of Econometrics, 1995, 67, (1), 173-187 Downloads View citations (67)
  3. Consistent Specification Testing via Nonparametric Series Regression
    Econometrica, 1995, 63, (5), 1133-59 Downloads View citations (81)

1994

  1. Adaptive Learning with Nonlinear Dynamics Driven by Dependent Processes
    Econometrica, 1994, 62, (5), 1087-1114 Downloads View citations (18)

1993

  1. Determination of Estimators with Minimum Asymptotic Covariance Matrices
    Econometric Theory, 1993, 9, (04), 633-648 Downloads View citations (10)
  2. Testing for neglected nonlinearity in time series models: A comparison of neural network methods and alternative tests
    Journal of Econometrics, 1993, 56, (3), 269-290 Downloads View citations (157)

1992

  1. A Direct Test for Changing Trend
    Journal of Business & Economic Statistics, 1992, 10, (3), 289-99 View citations (24)
  2. Some Measurability Results for Extrema of Random Functions Over Random Sets
    Review of Economic Studies, 1992, 59, (3), 495-514 Downloads View citations (18)

1991

  1. Learning in recurrent neural networks
    Mathematical Social Sciences, 1991, 22, (1), 102-103 Downloads View citations (1)

1989

  1. Interval forecasting: An analysis based upon ARCH-quantile estimators
    Journal of Econometrics, 1989, 40, (1), 87-96 Downloads View citations (55)
  2. Trends in unit energy consumption: The performance of end-use models
    Energy, 1989, 14, (12), 943-960 Downloads

1988

  1. Some Invariance Principles and Central Limit Theorems for Dependent Heterogeneous Processes
    Econometric Theory, 1988, 4, (02), 210-230 Downloads View citations (57)

1987

  1. A Misspecified Model
    Econometric Theory, 1987, 3, (02), 306-306 Downloads View citations (1)
  2. Consistency of OLS
    Econometric Theory, 1987, 3, (01), 159-160 Downloads

1985

  1. A Unified Theory of Consistent Estimation for Parametric Models
    Econometric Theory, 1985, 1, (02), 151-178 Downloads View citations (5)
    See also Working Paper (1984)
  2. Abstracts of Working Papers in Economics: A Computer Searchable On-line Data Base
    Econometric Theory, 1985, 1, (01), 147-149 Downloads
  3. Some heteroskedasticity-consistent covariance matrix estimators with improved finite sample properties
    Journal of Econometrics, 1985, 29, (3), 305-325 Downloads View citations (270)
    See also Working Paper (1983)

1984

  1. A Note on Computing the Heteroskedasticity Consistent Covariance Matrix Using Instrumental Variable Techniques
    Oxford Bulletin of Economics and Statistics, 1984, 46, (2), 181-84 View citations (3)
  2. Nonlinear Regression with Dependent Observations
    Econometrica, 1984, 52, (1), 143-61 Downloads View citations (102)

1983

  1. Corrigendum [Maximum Likelihood Estimation of Misspecified Models]
    Econometrica, 1983, 51, (2), 513
  2. Editor's introduction
    Journal of Econometrics, 1983, 21, (1), 1-3 Downloads
  3. Tests for model specification in the presence of alternative hypotheses: Some further results
    Journal of Econometrics, 1983, 21, (1), 53-70 Downloads View citations (114)

1982

  1. Differencing as a Test of Specification
    International Economic Review, 1982, 23, (3), 535-52 Downloads View citations (13)
  2. Editor's introduction
    Journal of Econometrics, 1982, 20, (1), 1-2 Downloads
  3. Instrumental Variables Regression with Independent Observations
    Econometrica, 1982, 50, (2), 483-99 Downloads View citations (73)
  4. Maximum Likelihood Estimation of Misspecified Models
    Econometrica, 1982, 50, (1), 1-25 Downloads View citations (814)
  5. Misspecified models with dependent observations
    Journal of Econometrics, 1982, 20, (1), 35-58 Downloads View citations (27)
  6. Regularity conditions for cox's test of non-nested hypotheses
    Journal of Econometrics, 1982, 19, (2-3), 301-318 Downloads View citations (13)

1981

  1. Conditional distributions of earnings, wages and hours for blacks and whites
    Journal of Econometrics, 1981, 17, (3), 263-285 Downloads View citations (1)

1980

  1. A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
    Econometrica, 1980, 48, (4), 817-38 Downloads View citations (4293)
  2. Nonlinear Regression on Cross-Section Data
    Econometrica, 1980, 48, (3), 721-46 Downloads View citations (38)
  3. Using Least Squares to Approximate Unknown Regression Functions
    International Economic Review, 1980, 21, (1), 149-70 Downloads View citations (83)

1979

  1. Optimal Investment in Schooling when Incomes are Risky
    Journal of Political Economy, 1979, 87, (3), 522-39 Downloads View citations (24)

1978

  1. Unanticipated money, output, and prices in the small economy
    Economics Letters, 1978, 1, (1), 23-27 Downloads

1976

  1. Optimum Trade Restrictions and Their Consequences
    Econometrica, 1976, 44, (4), 777-86 Downloads

1952

  1. A MAJOR COLLECTION OF EARLY WORKS ON POLITICAL ECONOMY
    The Economic Record, 1952, 28, (1-2), 281-282 Downloads

Books

2004

  1. New Perspectives in Econometric Theory
    Books, Edward Elgar Publishing Downloads View citations (1)

1998

  1. Advances in Econometric Theory
    Books, Edward Elgar Publishing Downloads

1996

  1. Estimation, Inference and Specification Analysis
    Cambridge Books, Cambridge University Press View citations (19)
    Also in Cambridge Books, Cambridge University Press (1994) View citations (158)

Edited books

2005

  1. Dynamic Econometric Modeling
    Cambridge Books, Cambridge University Press

1999

  1. Cointegration, Causality, and Forecasting: Festschrift in Honour of Clive W. J. Granger
    OUP Catalogue, Oxford University Press View citations (15)

1989

  1. Dynamic Econometric Modeling
    Cambridge Books, Cambridge University Press

Chapters

2006

  1. Approximate Nonlinear Forecasting Methods
    Elsevier Downloads View citations (22)

Software Items

 
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