Details about Antoine Alex Djogbenou

Access statistics for papers by Antoine Alex Djogbenou.

Last updated 2024-06-08. Update your information in the RePEc Author Service.

Short-id: pdj35

Working Papers

2023

1. Composite Likelihood for Stochastic Migration Model with Unobserved Factor
   Papers, arXiv.org

2022

2. An econometric panel data model of the COVID-19 pandemic
   Post-Print, HAL
   See also Journal Article An Econometric Panel Data Model of the COVID-19 Pandemic, Journal of Statistical and Econometric Methods, SCIENPRESS Ltd (2022) (2022)
3. Tests for Group-Specific Heterogeneity in High-Dimensional Factor Models
   Papers, arXiv.org
   See also Journal Article Tests for group-specific heterogeneity in high-dimensional factor models, Journal of Multivariate Analysis, Elsevier (2024) (2024)

2019

4. Asymptotic Theory and Wild Bootstrap Inference with Clustered Errors
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (76)
   Also in Working Paper, Economics Department, Queen's University (2018) View citations (9)
   See also Journal Article Asymptotic theory and wild bootstrap inference with clustered errors, Journal of Econometrics, Elsevier (2019) View citations (64) (2019)

2018

5. Comovements In The Real Activity Of Developed And Emerging Economies: A Test Of Global Versus Specific International Factors
   Working Paper, Economics Department, Queen's University
   See also Journal Article Comovements in the real activity of developed and emerging economies: A test of global versus specific international factors, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2020) View citations (10) (2020)

2017

6. Model Selection In Factor-augmented Regressions With Estimated Factors
   Working Paper, Economics Department, Queen's University View citations (4)
   See also Journal Article Model selection in factor-augmented regressions with estimated factors, Econometric Reviews, Taylor & Francis Journals (2021) View citations (4) (2021)
7. Validity Of Wild Bootstrap Inference With Clustered Errors
   Working Paper, Economics Department, Queen's University View citations (5)

2016

8. Bootstrap prediction intervals for factor models
   CIRANO Working Papers, CIRANO View citations (12)
   See also Journal Article Bootstrap Prediction Intervals for Factor Models, Journal of Business & Economic Statistics, Taylor & Francis Journals (2017) View citations (16) (2017)

2015

9. Bootstrap inference in regressions with estimated factors and serial correlation
   CIRANO Working Papers, CIRANO View citations (19)

Journal Articles

2024

1. Identifying oil price shocks with global, developed, and emerging latent real economy activity factors
   Journal of Applied Econometrics, 2024, 39, (1), 128-149 View citations (2)
2. Tests for group-specific heterogeneity in high-dimensional factor models
   Journal of Multivariate Analysis, 2024, 199, (C)
   See also Working Paper Tests for Group-Specific Heterogeneity in High-Dimensional Factor Models, Papers (2022) (2022)

2023

3. Time-varying coefficient DAR model and stability measures for stablecoin prices: An application to Tether
   Journal of International Money and Finance, 2023, 139, (C) View citations (2)

2022

4. An Econometric Panel Data Model of the COVID-19 Pandemic
   Journal of Statistical and Econometric Methods, 2022, 11, (1), 3
   See also Working Paper An econometric panel data model of the COVID-19 pandemic, Post-Print (2022) (2022)
5. Testing for Endogeneity of Covid-19 Patient Assignments*
   (The Value of Life and Health for Public Policy)
   Journal of Financial Econometrics, 2022, 20, (5), 875-901
6. Transition model for coronavirus management
   Canadian Journal of Economics/Revue canadienne d'économique, 2022, 55, (S1), 665-704

2021

7. Model selection in factor-augmented regressions with estimated factors
   Econometric Reviews, 2021, 40, (5), 470-503 View citations (4)
   See also Working Paper Model Selection In Factor-augmented Regressions With Estimated Factors, Working Paper (2017) View citations (4) (2017)

2020

8. Comovements in the real activity of developed and emerging economies: A test of global versus specific international factors
   Journal of Applied Econometrics, 2020, 35, (3), 344-370 View citations (10)
   See also Working Paper Comovements In The Real Activity Of Developed And Emerging Economies: A Test Of Global Versus Specific International Factors, Working Paper (2018) (2018)

2019

9. Asymptotic theory and wild bootstrap inference with clustered errors
   Journal of Econometrics, 2019, 212, (2), 393-412 View citations (64)
   See also Working Paper Asymptotic Theory and Wild Bootstrap Inference with Clustered Errors, CREATES Research Papers (2019) View citations (76) (2019)

2017

10. Bootstrap Prediction Intervals for Factor Models
    Journal of Business & Economic Statistics, 2017, 35, (1), 53-69 View citations (16)
    See also Working Paper Bootstrap prediction intervals for factor models, CIRANO Working Papers (2016) View citations (12) (2016)

2015

11. Recent developments in bootstrap methods for dependent data
    Journal of Time Series Analysis, 2015, 36, (3), 481-502