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Details about Ignacio N. Lobato

Homepage:http://cie.itam.mx/investigacion/cie_invest.html#lobato
Workplace:Centro de Investigación Económica (CIE) (Centre for Economic Research), Departamento Académico de Economía (Academic Department of Economics), Instituto Tecnólogico Autónomo de México (ITAM) (Autonomous Technological Institute of Mexico), (more information at EDIRC)

Access statistics for papers by Ignacio N. Lobato.

Last updated 2015-10-15. Update your information in the RePEc Author Service.

Short-id: plo172


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Working Papers

2010

  1. Consistent Inference in Models Defined by COnditional Moment Restrictions: an Alternative to GMM
    Working Papers, Centro de Investigacion Economica, ITAM Downloads

2009

  1. Transformations of the State Variable and Learning Dynamics
    Working Papers, Centro de Investigacion Economica, ITAM Downloads
    Also in Working Papers, Centro de Investigacion Economica, ITAM (2007) Downloads View citations (1)

    See also Journal Article in International Journal of Economic Theory (2010)

2006

  1. A consistent specification test for models defined by conditional moment restrictions
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía Downloads View citations (1)

2005

  1. Efficient wald tests for fractional unit roots
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía Downloads View citations (5)
    See also Journal Article in Econometrica (2007)

2004

  1. A simple and general test for white noise
    Econometric Society 2004 Latin American Meetings, Econometric Society Downloads
  2. Debt Composition and Balance Sheet Effects of Exchange Rate Volatility in Mexico: A Firm Level Analysis
    Working Papers, Centro de Investigacion Economica, ITAM Downloads View citations (16)
    See also Journal Article in Emerging Markets Review (2003)
  3. Optimal Fractional Dickey-Fuller Tests for Unit Roots
    Working Papers, Centro de Investigacion Economica, ITAM Downloads View citations (2)

2001

  1. A Consistent Test for the Martingale Difference Hypothesis
    Working Papers, Centro de Investigacion Economica, ITAM Downloads View citations (12)
  2. Size Corrected Power for Bootstrap Tests
    Working Papers, Centro de Investigacion Economica, ITAM Downloads View citations (1)

2000

  1. A Consistent Test for the Martingale Difference Assumption
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society Downloads

1999

  1. A Robust Test For Autocorrelation in the Presence of Statistical Dependence
    Working Papers, University of Iowa, Department of Economics

1997

  1. A Nonparametric Test for I(0) - (Now published in 'Review of Economic Studies', 65 (1998), pp.475-495.)
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE
  2. Testing that Stock Returns Are Uncorrelated Using A General Box-Pierce Q Test
    Working Papers, University of Iowa, Department of Economics

1996

  1. Real and Spurious Long Memory Properties of Stock Market Data
    Working Papers, University of Iowa, Department of Economics View citations (1)
    Also in Econometrics, University Library of Munich, Germany (1996) Downloads View citations (51)

    See also Journal Article in Journal of Business & Economic Statistics (1998)

1994

  1. Cartel Stability and the Joint Executive Committee, 1880-1886
    Economics Technical Papers, Trinity College Dublin, Economics Department

Journal Articles

2015

  1. On divergent dynamics with ordinary least squares learning
    Journal of Economic Behavior & Organization, 2015, 109, (C), 1-9 Downloads

2013

  1. Automatic Specification Testing for Vector Autoregressions and Multivariate Nonlinear Time Series Models
    Journal of Business & Economic Statistics, 2013, 31, (4), 426-437 Downloads View citations (4)

2010

  1. Transformations of the state variable and learning dynamics
    International Journal of Economic Theory, 2010, 6, (4), 385-403 Downloads View citations (1)
    See also Working Paper (2009)

2009

  1. An automatic Portmanteau test for serial correlation
    Journal of Econometrics, 2009, 151, (2), 140-149 Downloads View citations (104)

2008

  1. Power comparison among tests for fractional unit roots
    Economics Letters, 2008, 99, (1), 152-154 Downloads View citations (2)

2007

  1. Efficient Wald Tests for Fractional Unit Roots
    Econometrica, 2007, 75, (2), 575-589 Downloads View citations (80)
    See also Working Paper (2005)

2006

  1. Bootstrapping the Box-Pierce Q test: A robust test of uncorrelatedness
    Journal of Econometrics, 2006, 133, (2), 841-862 Downloads View citations (32)
  2. Optimal Fractional Dickey-Fuller tests
    Econometrics Journal, 2006, 9, (3), 492-510 View citations (12)

2004

  1. A SIMPLE TEST OF NORMALITY FOR TIME SERIES
    Econometric Theory, 2004, 20, (4), 671-689 Downloads View citations (15)
  2. Consistent Estimation of Models Defined by Conditional Moment Restrictions
    Econometrica, 2004, 72, (5), 1601-1615 Downloads View citations (78)

2003

  1. Debt composition and balance sheet effects of exchange rate volatility in Mexico: a firm level analysis
    Emerging Markets Review, 2003, 4, (4), 450-471 Downloads View citations (44)
    See also Working Paper (2004)
  2. Testing for Nonlinear Autoregression
    Journal of Business & Economic Statistics, 2003, 21, (1), 164-73 View citations (3)
  3. Testing the Martingale Difference Hypothesis
    Econometric Reviews, 2003, 22, (4), 351-377 Downloads View citations (32)

2002

  1. TESTING FOR ZERO AUTOCORRELATION IN THE PRESENCE OF STATISTICAL DEPENDENCE
    Econometric Theory, 2002, 18, (3), 730-743 Downloads View citations (41)

2001

  1. Testing That a Dependent Process Is Uncorrelated
    Journal of the American Statistical Association, 2001, 96, 1066-1076 Downloads View citations (52)
  2. Testing for Autocorrelation Using a Modified Box-Pierce Q Test
    International Economic Review, 2001, 42, (1), 187-205 View citations (49)

2000

  1. Long Memory in Stock-Market Trading Volume
    Journal of Business & Economic Statistics, 2000, 18, (4), 410-27 View citations (98)

1999

  1. A semiparametric two-step estimator in a multivariate long memory model
    Journal of Econometrics, 1999, 90, (1), 129-153 Downloads View citations (75)

1998

  1. Real and Spurious Long-Memory Properties of Stock-Market Data
    Journal of Business & Economic Statistics, 1998, 16, (3), 261-68 View citations (226)
    See also Working Paper (1996)
  2. Real and Spurious Long-Memory Properties of Stock-Market Data: Reply
    Journal of Business & Economic Statistics, 1998, 16, (3), 280-83 View citations (143)

1997

  1. Semiparametric estimation of seasonal long memory models: theory and an application to the modeling of exchange rates
    Investigaciones Economicas, 1997, 21, (2), 273-296 Downloads View citations (2)

1996

  1. Averaged periodogram estimation of long memory
    Journal of Econometrics, 1996, 73, (1), 303-324 Downloads View citations (55)
 
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