Details about Jesus Gonzalo

Homepage:	http://www.eco.uc3m.es/jgonzalo
Workplace:	Departamento de Economía (Department of Economics), Universidad Carlos III de Madrid (Carlos III University of Madrid), (more information at EDIRC)

Access statistics for papers by Jesus Gonzalo.

Last updated 2025-03-20. Update your information in the RePEc Author Service.

Short-id: pgo192

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Working Papers

2025

1. Detecting Sparse Cointegration
   Papers, arXiv.org
   Also in UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía (2025)
2. Dynamic effects of persistent shocks
   UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía
   Also in Working Papers, Banco de España (2019) View citations (8)
   UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía (2019) View citations (7)
   Papers, arXiv.org (2020) View citations (8)
3. Global and regional long-term climate forecasts: a heterogeneous future
   UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía

2024

4. Regional heterogeneity and warming dominance in the United States
   UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía
5. Testing extreme warming and geographical heterogeneity
   UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía

2023

6. Climate change heterogeneity: A new quantitative approach
   Papers, arXiv.org View citations (2)
   Also in UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía (2022)
7. Estimation of Characteristics-based Quantile Factor Models
   CEPR Discussion Papers, C.E.P.R. Discussion Papers
   Also in UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía (2023)
   Papers, arXiv.org (2023)
8. Heterogeneous Predictive Association of CO2 with Global Warming
   UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía View citations (1)
   Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2023)
   See also Journal Article Heterogeneous predictive association of CO2 with global warming, Economica, London School of Economics and Political Science (2023) View citations (1) (2023)
9. Out of Sample Predictability in Predictive Regressions with Many Predictor Candidates
   Papers, arXiv.org View citations (1)
   Also in UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía (2020)
   See also Journal Article Out-of-sample predictability in predictive regressions with many predictor candidates, International Journal of Forecasting, Elsevier (2024) (2024)
10. Trends in Temperature Data: Micro-foundations of Their Nature
    Papers, arXiv.org View citations (1)
    Also in UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía (2023) View citations (1)
    See also Journal Article Trends in temperature data: Micro-foundations of their nature, Economics Letters, Elsevier (2024) (2024)

2021

11. A tale of three cities: climate heterogeneity (special issue of SERIES in homage to Juan J. Dolado)
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía

2020

12. Quantile Factor Models
    Papers, arXiv.org View citations (3)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2018) View citations (5)
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía (2017) View citations (2)
    IZA Discussion Papers, Institute of Labor Economics (IZA) (2020) View citations (2)
    See also Journal Article Quantile Factor Models, Econometrica, Econometric Society (2021) View citations (38) (2021)
13. Spurious relationships in high dimensional systems with strong or mild persistence
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía
    See also Journal Article Spurious relationships in high-dimensional systems with strong or mild persistence, International Journal of Forecasting, Elsevier (2021) View citations (1) (2021)
14. Uncovering regimes in out of sample forecast errors from predictive regressions
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía
    See also Journal Article Uncovering Regimes in Out of Sample Forecast Errors from Predictive Regressions, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2021) (2021)

2019

15. Predictive Regressions
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía View citations (1)

2017

16. Trends in distributional characteristics: Existence of global warming
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía
    See also Journal Article Trends in distributional characteristics: Existence of global warming, Journal of Econometrics, Elsevier (2020) View citations (17) (2020)

2016

17. Long-term optimal portfolio allocation under dynamic horizon-specific risk aversion
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía View citations (3)

2013

18. Co-summability from linear to non-linear cointegration
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía View citations (19)
19. Conditional stochastic dominance tests in dynamic settings
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía View citations (2)
    Also in UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía (2010) View citations (1)
    See also Journal Article CONDITIONAL STOCHASTIC DOMINANCE TESTS IN DYNAMIC SETTINGS, International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association (2014) View citations (3) (2014)
20. Detecting Big Structural Breaks in Large Factor Models
    Economics Series Working Papers, University of Oxford, Department of Economics
    Also in UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía (2011) View citations (6)
    MPRA Paper, University Library of Munich, Germany (2011) View citations (9)
    See also Journal Article Detecting big structural breaks in large factor models, Journal of Econometrics, Elsevier (2014) View citations (87) (2014)
21. Revisiting Granger Causality of CO2 on Global Warming: a Quantile Factor Approach
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística

2012

22. Estimation and inference in threshold type regime switching models
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía View citations (3)
    See also Chapter Estimation and inference in threshold type regime switching models, Chapters, Edward Elgar Publishing (2013) View citations (1) (2013)

2011

23. Summability of stochastic processes: a generalization of integration and co-integration valid for non-linear processes
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía View citations (13)

2010

24. Regime Specific Predictability in Predictive Regressions
    MPRA Paper, University Library of Munich, Germany View citations (1)
    Also in UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía (2010) View citations (6)
    See also Journal Article Regime-Specific Predictability in Predictive Regressions, Journal of Business & Economic Statistics, Taylor & Francis Journals (2011) (2011)

2009

25. Downside Risk Efficiency Under Market Distress
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía

2008

26. Modelling and Measuring Price Discovery in Commodity Markets
    DEE - Working Papers. Business Economics. WB, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa View citations (2)
    Also in DEE - Working Papers. Business Economics. WB, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa (2007) View citations (2)
    See also Journal Article Modelling and measuring price discovery in commodity markets, Journal of Econometrics, Elsevier (2010) View citations (91) (2010)
27. Simple Wald tests of the fractional integration parameter: an overview of new results
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía
28. Testing Downside Risk Efficiency Under Market Distress
    Working Papers, Department of Economics, City University London
    Also in UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía (2008)

2007

29. Permanent and transitory components of GDP and stock prices: further analysis
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía
    See also Journal Article Permanent and transitory components of GDP and stock prices: further analysis, Macroeconomics and Finance in Emerging Market Economies, Taylor & Francis Journals (2008) View citations (2) (2008)
30. The impact of heavy tails and comovements in downside-risk diversification
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía
    Also in Working Papers, Department of Economics, City University London (2007)
31. Wald Tests of I(1) against I(d) alternatives: some new properties and an extension to processes with trending components
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía View citations (2)
    See also Journal Article Wald Tests of I(1) against I(d) Alternatives: Some New Properties and an Extension to Processes with Trending Components, Studies in Nonlinear Dynamics & Econometrics, De Gruyter (2008) View citations (10) (2008)

2006

32. Testing I(1) against I(d) alternatives with Wald Tests in the presence of deterministic components
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía View citations (4)
33. Threshold effects in cointegrating relationships
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía View citations (42)
    See also Journal Article Threshold Effects in Cointegrating Relationships*, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2006) View citations (55) (2006)

2005

34. Contagion versus flight to quality in financial markets
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía View citations (19)
35. Testing I(1) against I(d) alternatives in the presence of deteministic components
    Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra View citations (8)
36. The Spline GARCH Model for Unconditional Volatility and its Global Macroeconomic Causes
    Working Papers, Czech National Bank, Research and Statistics Department View citations (38)
37. What is What? A Simple Time-Domain Test of Long-memory vs. Structural Breaks
    Working Papers, Barcelona School of Economics View citations (21)
    Also in Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra (2005) View citations (23)

2004

38. Threshold Integrated Moving Average Models (Does Size Matter? Maybe So)
    Econometric Society 2004 North American Winter Meetings, Econometric Society View citations (5)
    Also in DE - Documentos de Trabajo. Economía. DE, Universidad Carlos III de Madrid. Departamento de Economía (2003) View citations (1)
39. Which Extreme Values are Really Extremes?
    Econometric Society 2004 North American Winter Meetings, Econometric Society View citations (13)
    See also Journal Article Which Extreme Values Are Really Extreme?, Journal of Financial Econometrics, Oxford University Press (2004) View citations (17) (2004)

2003

40. Testing for a Unit Root Against Fractional Alternatives in the Presence of a Maintained Trend
    Working Papers, Barcelona School of Economics View citations (6)

2001

41. Lag Length Estimation in Large Dimensional Systems
    Econometrics, University Library of Munich, Germany
    Also in Econometrics, University Library of Munich, Germany (2001) View citations (11)
    See also Journal Article Lag length estimation in large dimensional systems, Journal of Time Series Analysis, Wiley Blackwell (2002) View citations (18) (2002)
42. Subsampling inference in threshold autoregressive models
    Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra View citations (3)
    See also Journal Article Subsampling inference in threshold autoregressive models, Journal of Econometrics, Elsevier (2005) View citations (68) (2005)

2000

43. Econometric implications of non-exact present value models
    DE - Documentos de Trabajo. Economía. DE, Universidad Carlos III de Madrid. Departamento de Economía

1997

44. Threshold unit root models
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística View citations (18)

1996

45. A Systematic Framework for Analyzing the Dynamic Effects of Permanent and Transitory Shocks
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ View citations (6)
    Also in DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística (1996) View citations (6)
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1996) View citations (7)
    See also Journal Article A systematic framework for analyzing the dynamic effects of permanent and transitory shocks, Journal of Economic Dynamics and Control, Elsevier (2001) View citations (137) (2001)
46. Multicointegration and present value relations
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística
47. Non-exact present value relations
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística
48. On the robustness of cointegration tests when series are fractionally integrated
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística
    Also in The A. Gary Anderson Graduate School of Management, The A. Gary Anderson Graduate School of Management. University of California Riverside (1995) View citations (1)
    See also Journal Article On the robustness of cointegration tests when series are fractionally intergrated, Journal of Applied Statistics, Taylor & Francis Journals (2000) View citations (10) (2000)
49. P-values for non-standard distributions with an application to the DF test
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística View citations (5)
    Also in Boston University - Institute for Economic Development, Boston University, Institute for Economic Development (1995) View citations (3)
    See also Journal Article P-Values for non-standard distributions with an application to the DF test, Economics Letters, Elsevier (1996) View citations (5) (1996)

1995

50. Comovements in large systems
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística View citations (9)
    Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (1994) View citations (8)
51. No lack of relative power of the Dickey-Fuller tests for unit roots
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística
52. On the Exact Moments of Non-Standard Asymptotic Distributions in Non Stationary Autoregressions with Dependant Errors
    Working Papers, Boston University - Department of Economics
    Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (1995)
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística (1995)
53. Pitfalls in Testing for Long Run Relationships
    Working Papers, Boston University - Department of Economics View citations (20)
    See also Journal Article Pitfalls in testing for long run relationships, Journal of Econometrics, Elsevier (1998) View citations (134) (1998)
54. Relative Power of t Type Tests of Stationary and Unit Root Processes
    Working Papers, Boston University - Department of Economics View citations (1)
    See also Journal Article RELATIVE POWER OF t TYPE TESTS FOR STATIONARY AND UNIT ROOT PROCESSES, Journal of Time Series Analysis, Wiley Blackwell (1996) View citations (9) (1996)

1992

55. Cointegration and Aggregation
    Working Papers, Boston University - Department of Economics View citations (2)
    See also Journal Article Cointegration and aggregation, Ricerche Economiche, Elsevier (1993) View citations (10) (1993)
56. Estimation of Common Long-Memory Components in Cointegrated Systems
    Working Papers, Boston University - Department of Economics View citations (95)
    See also Journal Article Estimation of Common Long-Memory Components in Cointegrated Systems, Journal of Business & Economic Statistics, American Statistical Association (1995) View citations (694) (1995)

Journal Articles

2024

1. Out-of-sample predictability in predictive regressions with many predictor candidates
   International Journal of Forecasting, 2024, 40, (3), 1166-1178
   See also Working Paper Out of Sample Predictability in Predictive Regressions with Many Predictor Candidates, Papers (2023) View citations (1) (2023)
2. Trends in temperature data: Micro-foundations of their nature
   Economics Letters, 2024, 244, (C)
   See also Working Paper Trends in Temperature Data: Micro-foundations of Their Nature, Papers (2023) View citations (1) (2023)

2023

3. Heterogeneous predictive association of CO2 with global warming
   Economica, 2023, 90, (360), 1397-1421 View citations (1)
   See also Working Paper Heterogeneous Predictive Association of CO2 with Global Warming, UC3M Working papers. Economics (2023) View citations (1) (2023)

2022

4. A tale of three cities: climate heterogeneity
   SERIEs: Journal of the Spanish Economic Association, 2022, 13, (1), 475-511 View citations (3)
5. Nonparametric estimation of functional dynamic factor model
   Journal of Nonparametric Statistics, 2022, 34, (4), 895-916 View citations (2)

2021

6. Quantile Factor Models
   Econometrica, 2021, 89, (2), 875-910 View citations (38)
   See also Working Paper Quantile Factor Models, Papers (2020) View citations (3) (2020)
7. Spurious relationships in high-dimensional systems with strong or mild persistence
   International Journal of Forecasting, 2021, 37, (4), 1480-1497 View citations (1)
   See also Working Paper Spurious relationships in high dimensional systems with strong or mild persistence, UC3M Working papers. Economics (2020) (2020)
8. Uncovering Regimes in Out of Sample Forecast Errors from Predictive Regressions
   Oxford Bulletin of Economics and Statistics, 2021, 83, (3), 713-741
   See also Working Paper Uncovering regimes in out of sample forecast errors from predictive regressions, UC3M Working papers. Economics (2020) (2020)

2020

9. Trends in distributional characteristics: Existence of global warming
   Journal of Econometrics, 2020, 214, (1), 153-174 View citations (17)
   See also Working Paper Trends in distributional characteristics: Existence of global warming, UC3M Working papers. Economics (2017) (2017)

2019

10. Differences Between Short‐ and Long‐Term Risk Aversion: An Optimal Asset Allocation Perspective
    Oxford Bulletin of Economics and Statistics, 2019, 81, (1), 42-61

2017

11. Inferring the Predictability Induced by a Persistent Regressor in a Predictive Threshold Model
    Journal of Business & Economic Statistics, 2017, 35, (2), 202-217 View citations (12)
12. The reaction of stock market returns to unemployment
    Studies in Nonlinear Dynamics & Econometrics, 2017, 21, (4), 20

2014

13. CONDITIONAL STOCHASTIC DOMINANCE TESTS IN DYNAMIC SETTINGS
    International Economic Review, 2014, 55, (3), 819-838 View citations (3)
    See also Working Paper Conditional stochastic dominance tests in dynamic settings, UC3M Working papers. Economics (2013) View citations (2) (2013)
14. Detecting big structural breaks in large factor models
    Journal of Econometrics, 2014, 180, (1), 30-48 View citations (87)
    See also Working Paper Detecting Big Structural Breaks in Large Factor Models, Economics Series Working Papers (2013) (2013)
15. Summability of stochastic processes—A generalization of integration for non-linear processes
    Journal of Econometrics, 2014, 178, (P2), 331-341 View citations (23)

2011

16. Regime-Specific Predictability in Predictive Regressions
    Journal of Business & Economic Statistics, 2011, 30, (2), 229-241
    See also Working Paper Regime Specific Predictability in Predictive Regressions, MPRA Paper (2010) View citations (1) (2010)

2010

17. Modelling and measuring price discovery in commodity markets
    Journal of Econometrics, 2010, 158, (1), 95-107 View citations (91)
    See also Working Paper Modelling and Measuring Price Discovery in Commodity Markets, DEE - Working Papers. Business Economics. WB (2008) View citations (2) (2008)
18. The Making of "Estimation of Common Long-Memory Components in Cointegrated Systems"
    Journal of Financial Econometrics, 2010, 8, (2), 174-176

2008

19. Permanent and transitory components of GDP and stock prices: further analysis
    Macroeconomics and Finance in Emerging Market Economies, 2008, 1, (1), 105-120 View citations (2)
    See also Working Paper Permanent and transitory components of GDP and stock prices: further analysis, UC3M Working papers. Economics (2007) (2007)
20. The Spline-GARCH Model for Low-Frequency Volatility and Its Global Macroeconomic Causes
    The Review of Financial Studies, 2008, 21, (3), 1187-1222 View citations (509)
21. Wald Tests of I(1) against I(d) Alternatives: Some New Properties and an Extension to Processes with Trending Components
    Studies in Nonlinear Dynamics & Econometrics, 2008, 12, (4), 35 View citations (10)
    See also Working Paper Wald Tests of I(1) against I(d) alternatives: some new properties and an extension to processes with trending components, UC3M Working papers. Economics (2007) View citations (2) (2007)

2006

22. Large shocks vs. small shocks. (Or does size matter? May be so.)
    Journal of Econometrics, 2006, 135, (1-2), 311-347 View citations (9)
23. Predictive methodology and application in economics and finance: Volume in honor of the accomplishments of Clive W.J. Granger
    Journal of Econometrics, 2006, 135, (1-2), 1-9 View citations (4)
24. Threshold Effects in Cointegrating Relationships*
    Oxford Bulletin of Economics and Statistics, 2006, 68, (s1), 813-833 View citations (55)
    See also Working Paper Threshold effects in cointegrating relationships, UC3M Working papers. Economics (2006) View citations (42) (2006)

2005

25. Subsampling inference in threshold autoregressive models
    Journal of Econometrics, 2005, 127, (2), 201-224 View citations (68)
    See also Working Paper Subsampling inference in threshold autoregressive models, Economics Working Papers (2001) View citations (3) (2001)

2004

26. Which Extreme Values Are Really Extreme?
    Journal of Financial Econometrics, 2004, 2, (3), 349-369 View citations (17)
    See also Working Paper Which Extreme Values are Really Extremes?, Econometric Society 2004 North American Winter Meetings (2004) View citations (13) (2004)

2003

27. Long-range dependence in Spanish political opinion poll series
    Journal of Applied Econometrics, 2003, 18, (2), 137-155 View citations (19)

2002

28. A Fractional Dickey-Fuller Test for Unit Roots
    Econometrica, 2002, 70, (5), 1963-2006 View citations (72)
29. Estimation and model selection based inference in single and multiple threshold models
    Journal of Econometrics, 2002, 110, (2), 319-352 View citations (145)
30. Lag length estimation in large dimensional systems
    Journal of Time Series Analysis, 2002, 23, (4), 401-423 View citations (18)
    See also Working Paper Lag Length Estimation in Large Dimensional Systems, Econometrics (2001) (2001)

2001

31. A systematic framework for analyzing the dynamic effects of permanent and transitory shocks
    Journal of Economic Dynamics and Control, 2001, 25, (10), 1527-1546 View citations (137)
    See also Working Paper A Systematic Framework for Analyzing the Dynamic Effects of Permanent and Transitory Shocks, Cahiers de recherche (1996) View citations (6) (1996)

2000

32. On the robustness of cointegration tests when series are fractionally intergrated
    Journal of Applied Statistics, 2000, 27, (7), 821-827 View citations (10)
    See also Working Paper On the robustness of cointegration tests when series are fractionally integrated, DES - Working Papers. Statistics and Econometrics. WS (1996) (1996)

1998

33. On the Exact Moments of Asymptotic Distributions in an Unstable AR(1) with Dependent Errors
    International Economic Review, 1998, 39, (1), 71-88 View citations (11)
34. Pitfalls in testing for long run relationships
    Journal of Econometrics, 1998, 86, (1), 129-154 View citations (134)
    See also Working Paper Pitfalls in Testing for Long Run Relationships, Working Papers (1995) View citations (20) (1995)
35. Specification via model selection in vector error correction models
    Economics Letters, 1998, 60, (3), 321-328 View citations (56)

1997

36. Testing for multicointegration
    Economics Letters, 1997, 56, (3), 259-266 View citations (44)

1996

37. P-Values for non-standard distributions with an application to the DF test
    Economics Letters, 1996, 50, (2), 155-160 View citations (5)
    See also Working Paper P-values for non-standard distributions with an application to the DF test, DES - Working Papers. Statistics and Econometrics. WS (1996) View citations (5) (1996)
38. RELATIVE POWER OF t TYPE TESTS FOR STATIONARY AND UNIT ROOT PROCESSES
    Journal of Time Series Analysis, 1996, 17, (1), 37-47 View citations (9)
    See also Working Paper Relative Power of t Type Tests of Stationary and Unit Root Processes, Working Papers (1995) View citations (1) (1995)

1995

39. Estimation of Common Long-Memory Components in Cointegrated Systems
    Journal of Business & Economic Statistics, 1995, 13, (1), 27-35 View citations (694)
    See also Working Paper Estimation of Common Long-Memory Components in Cointegrated Systems, Working Papers (1992) View citations (95) (1992)

1994

40. Five alternative methods of estimating long-run equilibrium relationships
    Journal of Econometrics, 1994, 60, (1-2), 203-233 View citations (644)

1993

41. Cointegration and aggregation
    Ricerche Economiche, 1993, 47, (3), 281-291 View citations (10)
    See also Working Paper Cointegration and Aggregation, Working Papers (1992) View citations (2) (1992)

Chapters

2013

1. Estimation and inference in threshold type regime switching models
   Chapter 8 in Handbook of Research Methods and Applications in Empirical Macroeconomics, 2013, pp 189-205 View citations (1)
   See also Working Paper Estimation and inference in threshold type regime switching models, Universidad Carlos III de Madrid. Departamento de Economía (2012) View citations (3) (2012)