Details about Robert de jong
Access statistics for papers by Robert de jong.
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Short-id: pde708
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Working Papers
2007
- Dynamic time series binary choice
Economics Working Paper Archive, The Johns Hopkins University,Department of Economics View citations (30)
Also in Econometric Society 2004 North American Summer Meetings, Econometric Society (2004) View citations (4)
See also Journal Article DYNAMIC TIME SERIES BINARY CHOICE, Econometric Theory, Cambridge University Press (2011) View citations (54) (2011)
2004
- Nonlinear estimators with integrated regressors but without exogeneity
Econometric Society 2004 North American Winter Meetings, Econometric Society View citations (5)
1996
- Consistency of Kernel Estimators of Heteroscedastic and Autocorrelated Covariance Matrices
Other publications TiSEM, Tilburg University, School of Economics and Management View citations (1)
Also in Discussion Paper, Tilburg University, Center for Economic Research (1996) View citations (3)
See also Journal Article Consistency of Kernel Estimators of Heteroscedastic and Autocorrelated Covariance Matrices, Econometrica, Econometric Society (2000) View citations (84) (2000)
Journal Articles
2020
- A PROPERTY OF THE HODRICK–PRESCOTT FILTER AND ITS APPLICATION
Econometric Theory, 2020, 36, (5), 840-870 View citations (13)
- A location model with an endogenous dummy variable
Economics Letters, 2020, 195, (C)
- THE SUM OF THE RECIPROCAL OF THE RANDOM WALK
Econometric Theory, 2020, 36, (1), 170-183
2019
- A model for level induced conditional heteroskedasticity
Statistics & Probability Letters, 2019, 145, (C), 293-300
2018
- Mixing properties of the dynamic Tobit model with mixing errors
Economics Letters, 2018, 162, (C), 112-115 View citations (3)
2016
- Are US real house prices stationary? New evidence from univariate and panel data
Studies in Nonlinear Dynamics & Econometrics, 2016, 20, (1), 1-18 View citations (3)
- The Econometrics of the Hodrick-Prescott Filter
The Review of Economics and Statistics, 2016, 98, (2), 310-317 View citations (53)
2012
- Estimation for spatial dynamic panel data with fixed effects: The case of spatial cointegration
Journal of Econometrics, 2012, 167, (1), 16-37 View citations (69)
2011
- A note on nonlinear models with integrated regressors and convergence order results
Economics Letters, 2011, 111, (1), 23-25 View citations (2)
- DYNAMIC TIME SERIES BINARY CHOICE
Econometric Theory, 2011, 27, (4), 673-702 View citations (54)
See also Working Paper Dynamic time series binary choice, Economics Working Paper Archive (2007) View citations (30) (2007)
2009
- A note on binary choice duration models
Economics Letters, 2009, 102, (1), 17-18 View citations (1)
2008
- Exponential functionals of integrated processes
Economics Letters, 2008, 100, (2), 181-184
- Quasi-maximum likelihood estimators for spatial dynamic panel data with fixed effects when both n and T are large
Journal of Econometrics, 2008, 146, (1), 118-134 View citations (316)
2007
- A robust version of the KPSS test based on indicators
Journal of Econometrics, 2007, 137, (2), 311-333 View citations (27)
- Dynamic Multinomial Ordered Choice with an Application to the Estimation of Monetary Policy Rules
Studies in Nonlinear Dynamics & Econometrics, 2007, 11, (4), 35 View citations (6)
- Money demand function estimation by nonlinear cointegration
Journal of Applied Econometrics, 2007, 22, (4), 767-793 View citations (40)
2005
- FURTHER RESULTS ON THE ASYMPTOTICS FOR NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES
Econometric Theory, 2005, 21, (2), 413-430 View citations (14)
2004
- ADDENDUM TO “ASYMPTOTICS FOR NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES”
Econometric Theory, 2004, 20, (3), 627-635 View citations (5)
- Closest Moment Estimationunder General Conditions
Annals of Economics and Statistics, 2004, (74), 1-13
2003
- 02.5.1. A Mixingale Inequality Using an Exponential Moment
Econometric Theory, 2003, 19, (5), 880-881
- Consistency of the stationary bootstrap under weak moment conditions
Economics Letters, 2003, 81, (2), 273-278 View citations (14)
- Logarithmic spurious regressions
Economics Letters, 2003, 81, (1), 13-21 View citations (6)
2002
- A note on "Convergence rates and asymptotic normality for series estimators": uniform convergence rates
Journal of Econometrics, 2002, 111, (1), 1-9 View citations (21)
- Consistency of kernel variance estimators for sums of semiparametric linear processes
Econometrics Journal, 2002, 5, (1), 160-175 View citations (4)
- Nonlinear minimization estimators in the presence of cointegrating relations
Journal of Econometrics, 2002, 110, (2), 241-259 View citations (10)
- Spurious logarithms and the KPSS statistic
Economics Letters, 2002, 76, (3), 383-391 View citations (1)
- THE PROPERTIES OF Lp-GMM ESTIMATORS
Econometric Theory, 2002, 18, (2), 491-504 View citations (2)
2001
- Convergence of averages of scaled functions of I(1) linear processes
Economics Letters, 2001, 71, (1), 27-33 View citations (1)
- Nonlinear estimation using estimated cointegrating relations
Journal of Econometrics, 2001, 101, (1), 109-122 View citations (18)
2000
- A STRONG CONSISTENCY PROOF FOR HETEROSKEDASTICITY AND AUTOCORRELATION CONSISTENT COVARIANCE MATRIX ESTIMATORS
Econometric Theory, 2000, 16, (2), 262-268 View citations (23)
- Consistency of Kernel Estimators of Heteroscedastic and Autocorrelated Covariance Matrices
Econometrica, 2000, 68, (2), 407-424 View citations (84)
See also Working Paper Consistency of Kernel Estimators of Heteroscedastic and Autocorrelated Covariance Matrices, Other publications TiSEM (1996) View citations (1) (1996)
- DYNAMIC NONLINEAR ECONOMETRIC MODELS—ASYMPTOTIC THEORY
Econometric Theory, 2000, 16, (1), 127-130
- THE FUNCTIONAL CENTRAL LIMIT THEOREM AND WEAK CONVERGENCE TO STOCHASTIC INTEGRALS I
Econometric Theory, 2000, 16, (5), 621-642 View citations (91)
Also in Econometric Theory, 2000, 16, (5), 643-666 (2000) View citations (90)
1998
- Uniform laws of large numbers and stochastic Lipschitz-continuity
Journal of Econometrics, 1998, 86, (2), 243-268 View citations (1)
- Weak Laws of Large Numbers for Dependent Random Variables
Annals of Economics and Statistics, 1998, (51), 209-225 View citations (8)
1997
- Central Limit Theorems for Dependent Heterogeneous Random Variables
Econometric Theory, 1997, 13, (3), 353-367 View citations (47)
- Strong laws of large numbers for dependent heterogeneous processes: a synthesis of recent and new results
Econometric Reviews, 1997, 16, (3), 251-279 View citations (11)
1996
- A strong law of large numbers for triangular mixingale arrays
Statistics & Probability Letters, 1996, 27, (1), 1-9 View citations (3)
- The Bierens test under data dependence
Journal of Econometrics, 1996, 72, (1-2), 1-32 View citations (50)
1995
- Laws of Large Numbers for Dependent Heterogeneous Processes
Econometric Theory, 1995, 11, (2), 347-358 View citations (15)
1994
- On the Limit Behavior of a Chi-Square Type Test if the Number of Conditional Moments Tested Approaches Infinity
Econometric Theory, 1994, 10, (1), 70-90 View citations (38)
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