Details about Robert de jong

Access statistics for papers by Robert de jong.

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Short-id: pde708

Working Papers

2007

1. 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

2. Nonlinear estimators with integrated regressors but without exogeneity
   Econometric Society 2004 North American Winter Meetings, Econometric Society View citations (5)

1996

3. 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

1. A PROPERTY OF THE HODRICK–PRESCOTT FILTER AND ITS APPLICATION
   Econometric Theory, 2020, 36, (5), 840-870 View citations (13)
2. A location model with an endogenous dummy variable
   Economics Letters, 2020, 195, (C)
3. THE SUM OF THE RECIPROCAL OF THE RANDOM WALK
   Econometric Theory, 2020, 36, (1), 170-183

2019

4. A model for level induced conditional heteroskedasticity
   Statistics & Probability Letters, 2019, 145, (C), 293-300

2018

5. Mixing properties of the dynamic Tobit model with mixing errors
   Economics Letters, 2018, 162, (C), 112-115 View citations (3)

2016

6. 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)
7. The Econometrics of the Hodrick-Prescott Filter
   The Review of Economics and Statistics, 2016, 98, (2), 310-317 View citations (54)

2012

8. 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

9. A note on nonlinear models with integrated regressors and convergence order results
   Economics Letters, 2011, 111, (1), 23-25 View citations (2)
10. 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

11. A note on binary choice duration models
    Economics Letters, 2009, 102, (1), 17-18 View citations (1)

2008

12. Exponential functionals of integrated processes
    Economics Letters, 2008, 100, (2), 181-184
13. 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 (323)

2007

14. A robust version of the KPSS test based on indicators
    Journal of Econometrics, 2007, 137, (2), 311-333 View citations (27)
15. 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)
16. Money demand function estimation by nonlinear cointegration
    Journal of Applied Econometrics, 2007, 22, (4), 767-793 View citations (40)

2005

17. FURTHER RESULTS ON THE ASYMPTOTICS FOR NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES
    Econometric Theory, 2005, 21, (2), 413-430 View citations (14)

2004

18. ADDENDUM TO “ASYMPTOTICS FOR NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES”
    Econometric Theory, 2004, 20, (3), 627-635 View citations (5)
19. Closest Moment Estimationunder General Conditions
    Annals of Economics and Statistics, 2004, (74), 1-13

2003

20. 02.5.1. A Mixingale Inequality Using an Exponential Moment
    Econometric Theory, 2003, 19, (5), 880-881
21. Consistency of the stationary bootstrap under weak moment conditions
    Economics Letters, 2003, 81, (2), 273-278 View citations (14)
22. Logarithmic spurious regressions
    Economics Letters, 2003, 81, (1), 13-21 View citations (6)

2002

23. 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)
24. Consistency of kernel variance estimators for sums of semiparametric linear processes
    Econometrics Journal, 2002, 5, (1), 160-175 View citations (4)
25. Nonlinear minimization estimators in the presence of cointegrating relations
    Journal of Econometrics, 2002, 110, (2), 241-259 View citations (10)
26. Spurious logarithms and the KPSS statistic
    Economics Letters, 2002, 76, (3), 383-391 View citations (1)
27. THE PROPERTIES OF Lp-GMM ESTIMATORS
    Econometric Theory, 2002, 18, (2), 491-504 View citations (2)

2001

28. Convergence of averages of scaled functions of I(1) linear processes
    Economics Letters, 2001, 71, (1), 27-33 View citations (1)
29. Nonlinear estimation using estimated cointegrating relations
    Journal of Econometrics, 2001, 101, (1), 109-122 View citations (18)

2000

30. A STRONG CONSISTENCY PROOF FOR HETEROSKEDASTICITY AND AUTOCORRELATION CONSISTENT COVARIANCE MATRIX ESTIMATORS
    Econometric Theory, 2000, 16, (2), 262-268 View citations (23)
31. 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)
32. DYNAMIC NONLINEAR ECONOMETRIC MODELS—ASYMPTOTIC THEORY
    Econometric Theory, 2000, 16, (1), 127-130
33. THE FUNCTIONAL CENTRAL LIMIT THEOREM AND WEAK CONVERGENCE TO STOCHASTIC INTEGRALS I
    Econometric Theory, 2000, 16, (5), 621-642 View citations (93)
    Also in Econometric Theory, 2000, 16, (5), 643-666 (2000) View citations (92)

1998

34. Uniform laws of large numbers and stochastic Lipschitz-continuity
    Journal of Econometrics, 1998, 86, (2), 243-268 View citations (1)
35. Weak Laws of Large Numbers for Dependent Random Variables
    Annals of Economics and Statistics, 1998, (51), 209-225 View citations (8)

1997

36. Central Limit Theorems for Dependent Heterogeneous Random Variables
    Econometric Theory, 1997, 13, (3), 353-367 View citations (47)
37. 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

38. A strong law of large numbers for triangular mixingale arrays
    Statistics & Probability Letters, 1996, 27, (1), 1-9 View citations (3)
39. The Bierens test under data dependence
    Journal of Econometrics, 1996, 72, (1-2), 1-32 View citations (50)

1995

40. Laws of Large Numbers for Dependent Heterogeneous Processes
    Econometric Theory, 1995, 11, (2), 347-358 View citations (15)

1994

41. 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 (39)