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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 2024-02-06. Update your information in the RePEc Author Service.

Short-id: pgo192


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Working Papers

2023

  1. Climate change heterogeneity: A new quantitative approach
    Papers, arXiv.org Downloads View citations (2)
    Also in UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía (2022) Downloads
  2. Estimation of Characteristics-based Quantile Factor Models
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads
    Also in UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía (2023) Downloads
    Papers, arXiv.org (2023) Downloads
  3. Heterogeneous Predictive Association of CO2 with Global Warming
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía Downloads
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2023) Downloads

    See also Journal Article Heterogeneous predictive association of CO2 with global warming, Economica, London School of Economics and Political Science (2023) Downloads (2023)
  4. Out of Sample Predictability in Predictive Regressions with Many Predictor Candidates
    Papers, arXiv.org Downloads View citations (1)
    Also in UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía (2020) Downloads
  5. Trends in Temperature Data: Micro-foundations of Their Nature
    Papers, arXiv.org Downloads
    Also in UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía (2023) Downloads

2021

  1. 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 Downloads

2020

  1. Dynamic Effects of Persistent Shocks
    Papers, arXiv.org Downloads View citations (6)
    Also in UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía (2019) Downloads View citations (7)
    Working Papers, Banco de España (2019) Downloads View citations (8)
  2. Quantile Factor Models
    IZA Discussion Papers, Institute of Labor Economics (IZA) Downloads View citations (1)
    Also in UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía (2017) Downloads View citations (2)
    Papers, arXiv.org (2020) Downloads View citations (2)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2018) Downloads View citations (5)

    See also Journal Article Quantile Factor Models, Econometrica, Econometric Society (2021) Downloads View citations (27) (2021)
  3. Spurious relationships in high dimensional systems with strong or mild persistence
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía Downloads
    See also Journal Article Spurious relationships in high-dimensional systems with strong or mild persistence, International Journal of Forecasting, Elsevier (2021) Downloads View citations (1) (2021)
  4. Uncovering regimes in out of sample forecast errors from predictive regressions
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía Downloads
    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) Downloads (2021)

2019

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

2017

  1. The Reaction of Stock Market Returns to Unemployment
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía Downloads
    See also Journal Article The reaction of stock market returns to unemployment, Studies in Nonlinear Dynamics & Econometrics, De Gruyter (2017) Downloads (2017)
  2. Trends in distributional characteristics: Existence of global warming
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía Downloads
    See also Journal Article Trends in distributional characteristics: Existence of global warming, Journal of Econometrics, Elsevier (2020) Downloads View citations (11) (2020)

2016

  1. Long-term optimal portfolio allocation under dynamic horizon-specific risk aversion
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía Downloads View citations (2)

2013

  1. Co-summability from linear to non-linear cointegration
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía Downloads View citations (19)
  2. Conditional stochastic dominance tests in dynamic settings
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía Downloads View citations (2)
    Also in UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía (2010) Downloads 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) Downloads View citations (3) (2014)
  3. Detecting Big Structural Breaks in Large Factor Models
    Economics Series Working Papers, University of Oxford, Department of Economics Downloads
    Also in MPRA Paper, University Library of Munich, Germany (2011) Downloads View citations (9)
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía (2011) Downloads View citations (6)

    See also Journal Article Detecting big structural breaks in large factor models, Journal of Econometrics, Elsevier (2014) Downloads View citations (83) (2014)
  4. 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 Downloads

2012

  1. Estimation and inference in threshold type regime switching models
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía Downloads View citations (3)
    See also Chapter Estimation and inference in threshold type regime switching models, Chapters, Edward Elgar Publishing (2013) Downloads View citations (1) (2013)
  2. The reaction of stock market returns to anticipated unemployment
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía Downloads View citations (1)
    Also in UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía (2011) Downloads View citations (1)

2011

  1. 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 Downloads View citations (13)

2010

  1. Regime Specific Predictability in Predictive Regressions
    MPRA Paper, University Library of Munich, Germany Downloads View citations (1)
    Also in UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía (2010) Downloads View citations (6)

    See also Journal Article Regime-Specific Predictability in Predictive Regressions, Journal of Business & Economic Statistics, Taylor & Francis Journals (2011) Downloads (2011)

2009

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

2008

  1. 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 Downloads View citations (2)
    Also in DEE - Working Papers. Business Economics. WB, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa (2007) Downloads View citations (2)

    See also Journal Article Modelling and measuring price discovery in commodity markets, Journal of Econometrics, Elsevier (2010) Downloads View citations (89) (2010)
  2. 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 Downloads
  3. Testing Downside Risk Efficiency Under Market Distress
    Working Papers, Department of Economics, City University London Downloads
    Also in UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía (2008) Downloads

2007

  1. Permanent and transitory components of GDP and stock prices: further analysis
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía Downloads
    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) Downloads View citations (2) (2008)
  2. The impact of heavy tails and comovements in downside-risk diversification
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía Downloads
    Also in Working Papers, Department of Economics, City University London (2007) Downloads
  3. 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 Downloads 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) Downloads View citations (9) (2008)

2006

  1. 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 Downloads View citations (4)
  2. Threshold effects in cointegrating relationships
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía Downloads View citations (41)
    See also Journal Article Threshold Effects in Cointegrating Relationships*, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2006) Downloads View citations (54) (2006)

2005

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

2004

  1. 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) Downloads View citations (1)
  2. Which Extreme Values are Really Extremes?
    Econometric Society 2004 North American Winter Meetings, Econometric Society Downloads View citations (13)
    See also Journal Article Which Extreme Values Are Really Extreme?, Journal of Financial Econometrics, Oxford University Press (2004) Downloads View citations (17) (2004)

2003

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

2001

  1. Lag Length Estimation in Large Dimensional Systems
    Econometrics, University Library of Munich, Germany Downloads
    Also in Econometrics, University Library of Munich, Germany (2001) Downloads View citations (11)

    See also Journal Article Lag length estimation in large dimensional systems, Journal of Time Series Analysis, Wiley Blackwell (2002) Downloads View citations (17) (2002)
  2. Subsampling inference in threshold autoregressive models
    Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra Downloads View citations (3)
    See also Journal Article Subsampling inference in threshold autoregressive models, Journal of Econometrics, Elsevier (2005) Downloads View citations (66) (2005)

2000

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

1997

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

1996

  1. 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) Downloads View citations (6)
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1996) Downloads 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) Downloads View citations (129) (2001)
  2. Multicointegration and present value relations
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística Downloads
  3. Non-exact present value relations
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística Downloads
  4. 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 Downloads
    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) Downloads View citations (10) (2000)
  5. 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 Downloads 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) Downloads View citations (5) (1996)

1995

  1. Comovements in large systems
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística Downloads View citations (9)
    Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (1994) Downloads View citations (8)
  2. 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 Downloads
  3. 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 DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística (1995) Downloads
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (1995) Downloads
  4. 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) Downloads View citations (131) (1998)
  5. 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) Downloads View citations (9) (1996)

1992

  1. Cointegration and Aggregation
    Working Papers, Boston University - Department of Economics View citations (2)
    See also Journal Article Cointegration and aggregation, Ricerche Economiche, Elsevier (1993) Downloads View citations (10) (1993)
  2. 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 (681) (1995)

Journal Articles

2023

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

2022

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

2021

  1. Quantile Factor Models
    Econometrica, 2021, 89, (2), 875-910 Downloads View citations (27)
    See also Working Paper Quantile Factor Models, IZA Discussion Papers (2020) Downloads View citations (1) (2020)
  2. Spurious relationships in high-dimensional systems with strong or mild persistence
    International Journal of Forecasting, 2021, 37, (4), 1480-1497 Downloads View citations (1)
    See also Working Paper Spurious relationships in high dimensional systems with strong or mild persistence, UC3M Working papers. Economics (2020) Downloads (2020)
  3. Uncovering Regimes in Out of Sample Forecast Errors from Predictive Regressions
    Oxford Bulletin of Economics and Statistics, 2021, 83, (3), 713-741 Downloads
    See also Working Paper Uncovering regimes in out of sample forecast errors from predictive regressions, UC3M Working papers. Economics (2020) Downloads (2020)

2020

  1. Trends in distributional characteristics: Existence of global warming
    Journal of Econometrics, 2020, 214, (1), 153-174 Downloads View citations (11)
    See also Working Paper Trends in distributional characteristics: Existence of global warming, UC3M Working papers. Economics (2017) Downloads (2017)

2019

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

2017

  1. Inferring the Predictability Induced by a Persistent Regressor in a Predictive Threshold Model
    Journal of Business & Economic Statistics, 2017, 35, (2), 202-217 Downloads View citations (11)
  2. The reaction of stock market returns to unemployment
    Studies in Nonlinear Dynamics & Econometrics, 2017, 21, (4), 20 Downloads
    See also Working Paper The Reaction of Stock Market Returns to Unemployment, UC3M Working papers. Economics (2017) Downloads (2017)

2014

  1. CONDITIONAL STOCHASTIC DOMINANCE TESTS IN DYNAMIC SETTINGS
    International Economic Review, 2014, 55, (3), 819-838 Downloads View citations (3)
    See also Working Paper Conditional stochastic dominance tests in dynamic settings, UC3M Working papers. Economics (2013) Downloads View citations (2) (2013)
  2. Detecting big structural breaks in large factor models
    Journal of Econometrics, 2014, 180, (1), 30-48 Downloads View citations (83)
    See also Working Paper Detecting Big Structural Breaks in Large Factor Models, Economics Series Working Papers (2013) Downloads (2013)
  3. Summability of stochastic processes—A generalization of integration for non-linear processes
    Journal of Econometrics, 2014, 178, (P2), 331-341 Downloads View citations (23)

2011

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

2010

  1. Modelling and measuring price discovery in commodity markets
    Journal of Econometrics, 2010, 158, (1), 95-107 Downloads View citations (89)
    See also Working Paper Modelling and Measuring Price Discovery in Commodity Markets, DEE - Working Papers. Business Economics. WB (2008) Downloads View citations (2) (2008)
  2. The Making of "Estimation of Common Long-Memory Components in Cointegrated Systems"
    Journal of Financial Econometrics, 2010, 8, (2), 174-176 Downloads

2008

  1. Permanent and transitory components of GDP and stock prices: further analysis
    Macroeconomics and Finance in Emerging Market Economies, 2008, 1, (1), 105-120 Downloads View citations (2)
    See also Working Paper Permanent and transitory components of GDP and stock prices: further analysis, UC3M Working papers. Economics (2007) Downloads (2007)
  2. The Spline-GARCH Model for Low-Frequency Volatility and Its Global Macroeconomic Causes
    The Review of Financial Studies, 2008, 21, (3), 1187-1222 Downloads View citations (490)
  3. 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), 1-35 Downloads View citations (9)
    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) Downloads View citations (2) (2007)

2006

  1. Large shocks vs. small shocks. (Or does size matter? May be so.)
    Journal of Econometrics, 2006, 135, (1-2), 311-347 Downloads View citations (9)
  2. 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 Downloads View citations (4)
  3. Threshold Effects in Cointegrating Relationships*
    Oxford Bulletin of Economics and Statistics, 2006, 68, (s1), 813-833 Downloads View citations (54)
    See also Working Paper Threshold effects in cointegrating relationships, UC3M Working papers. Economics (2006) Downloads View citations (41) (2006)

2005

  1. Subsampling inference in threshold autoregressive models
    Journal of Econometrics, 2005, 127, (2), 201-224 Downloads View citations (66)
    See also Working Paper Subsampling inference in threshold autoregressive models, Economics Working Papers (2001) Downloads View citations (3) (2001)

2004

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

2003

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

2002

  1. A Fractional Dickey-Fuller Test for Unit Roots
    Econometrica, 2002, 70, (5), 1963-2006 View citations (71)
  2. Estimation and model selection based inference in single and multiple threshold models
    Journal of Econometrics, 2002, 110, (2), 319-352 Downloads View citations (140)
  3. Lag length estimation in large dimensional systems
    Journal of Time Series Analysis, 2002, 23, (4), 401-423 Downloads View citations (17)
    See also Working Paper Lag Length Estimation in Large Dimensional Systems, Econometrics (2001) Downloads (2001)

2001

  1. A systematic framework for analyzing the dynamic effects of permanent and transitory shocks
    Journal of Economic Dynamics and Control, 2001, 25, (10), 1527-1546 Downloads View citations (129)
    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

  1. On the robustness of cointegration tests when series are fractionally intergrated
    Journal of Applied Statistics, 2000, 27, (7), 821-827 Downloads 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) Downloads (1996)

1998

  1. 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)
  2. Pitfalls in testing for long run relationships
    Journal of Econometrics, 1998, 86, (1), 129-154 Downloads View citations (131)
    See also Working Paper Pitfalls in Testing for Long Run Relationships, Working Papers (1995) View citations (20) (1995)
  3. Specification via model selection in vector error correction models
    Economics Letters, 1998, 60, (3), 321-328 Downloads View citations (56)

1997

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

1996

  1. P-Values for non-standard distributions with an application to the DF test
    Economics Letters, 1996, 50, (2), 155-160 Downloads 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) Downloads View citations (5) (1996)
  2. RELATIVE POWER OF t TYPE TESTS FOR STATIONARY AND UNIT ROOT PROCESSES
    Journal of Time Series Analysis, 1996, 17, (1), 37-47 Downloads 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

  1. Estimation of Common Long-Memory Components in Cointegrated Systems
    Journal of Business & Economic Statistics, 1995, 13, (1), 27-35 View citations (681)
    See also Working Paper Estimation of Common Long-Memory Components in Cointegrated Systems, Working Papers (1992) View citations (95) (1992)

1994

  1. Five alternative methods of estimating long-run equilibrium relationships
    Journal of Econometrics, 1994, 60, (1-2), 203-233 Downloads View citations (620)

1993

  1. Cointegration and aggregation
    Ricerche Economiche, 1993, 47, (3), 281-291 Downloads 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 Downloads 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) Downloads View citations (3) (2012)
 
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