Details about Ignacio N. Lobato

Access statistics for papers by Ignacio N. Lobato.

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

Short-id: plo172

Working Papers

2010

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

2009

2. Transformations of the State Variable and Learning Dynamics
   Working Papers, Centro de Investigacion Economica, ITAM
   Also in Working Papers, Centro de Investigacion Economica, ITAM (2007) View citations (1)
   See also Journal Article Transformations of the state variable and learning dynamics, International Journal of Economic Theory, The International Society for Economic Theory (2010) View citations (1) (2010)

2006

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

2005

4. Efficient wald tests for fractional unit roots
   UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía View citations (5)
   See also Journal Article Efficient Wald Tests for Fractional Unit Roots, Econometrica, Econometric Society (2007) View citations (82) (2007)

2004

5. A simple and general test for white noise
   Econometric Society 2004 Latin American Meetings, Econometric Society
6. Debt Composition and Balance Sheet Effects of Exchange Rate Volatility in Mexico: A Firm Level Analysis
   Working Papers, Centro de Investigacion Economica, ITAM View citations (16)
   See also Journal Article Debt composition and balance sheet effects of exchange rate volatility in Mexico: a firm level analysis, Emerging Markets Review, Elsevier (2003) View citations (65) (2003)
7. Optimal Fractional Dickey-Fuller Tests for Unit Roots
   Working Papers, Centro de Investigacion Economica, ITAM View citations (2)

2001

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

2000

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

1999

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

1997

12. 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
13. Testing that Stock Returns Are Uncorrelated Using A General Box-Pierce Q Test
    Working Papers, University of Iowa, Department of Economics

1996

14. Real and Spurious Long Memory Properties of Stock Market Data
    Working Papers, University of Iowa, Department of Economics View citations (2)
    Also in Econometrics, University Library of Munich, Germany (1996) View citations (52)
    See also Journal Article Real and Spurious Long-Memory Properties of Stock-Market Data, Journal of Business & Economic Statistics, American Statistical Association (1998) View citations (276) (1998)

1994

15. 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

2013

2. Automatic Specification Testing for Vector Autoregressions and Multivariate Nonlinear Time Series Models
   Journal of Business & Economic Statistics, 2013, 31, (4), 426-437 View citations (8)

2010

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

2009

4. An automatic Portmanteau test for serial correlation
   Journal of Econometrics, 2009, 151, (2), 140-149 View citations (136)

2008

5. Power comparison among tests for fractional unit roots
   Economics Letters, 2008, 99, (1), 152-154 View citations (3)

2007

6. Efficient Wald Tests for Fractional Unit Roots
   Econometrica, 2007, 75, (2), 575-589 View citations (82)
   See also Working Paper Efficient wald tests for fractional unit roots, UC3M Working papers. Economics (2005) View citations (5) (2005)

2006

7. Bootstrapping the Box-Pierce Q test: A robust test of uncorrelatedness
   Journal of Econometrics, 2006, 133, (2), 841-862 View citations (36)
8. Optimal Fractional Dickey-Fuller tests
   Econometrics Journal, 2006, 9, (3), 492-510 View citations (15)

2004

9. A SIMPLE TEST OF NORMALITY FOR TIME SERIES
   Econometric Theory, 2004, 20, (4), 671-689 View citations (21)
10. Consistent Estimation of Models Defined by Conditional Moment Restrictions
    Econometrica, 2004, 72, (5), 1601-1615 View citations (98)

2003

11. Debt composition and balance sheet effects of exchange rate volatility in Mexico: a firm level analysis
    Emerging Markets Review, 2003, 4, (4), 450-471 View citations (65)
    See also Working Paper Debt Composition and Balance Sheet Effects of Exchange Rate Volatility in Mexico: A Firm Level Analysis, Working Papers (2004) View citations (16) (2004)
12. Testing for Nonlinear Autoregression
    Journal of Business & Economic Statistics, 2003, 21, (1), 164-73 View citations (3)
13. Testing the Martingale Difference Hypothesis
    Econometric Reviews, 2003, 22, (4), 351-377 View citations (38)

2002

14. TESTING FOR ZERO AUTOCORRELATION IN THE PRESENCE OF STATISTICAL DEPENDENCE
    Econometric Theory, 2002, 18, (3), 730-743 View citations (49)

2001

15. Testing That a Dependent Process Is Uncorrelated
    Journal of the American Statistical Association, 2001, 96, 1066-1076 View citations (60)
16. Testing for Autocorrelation Using a Modified Box-Pierce Q Test
    International Economic Review, 2001, 42, (1), 187-205 View citations (63)

2000

17. Long Memory in Stock-Market Trading Volume
    Journal of Business & Economic Statistics, 2000, 18, (4), 410-27 View citations (109)

1999

18. A semiparametric two-step estimator in a multivariate long memory model
    Journal of Econometrics, 1999, 90, (1), 129-153 View citations (82)

1998

19. Real and Spurious Long-Memory Properties of Stock-Market Data
    Journal of Business & Economic Statistics, 1998, 16, (3), 261-68 View citations (276)
    See also Working Paper Real and Spurious Long Memory Properties of Stock Market Data, Working Papers (1996) View citations (2) (1996)
20. Real and Spurious Long-Memory Properties of Stock-Market Data: Reply
    Journal of Business & Economic Statistics, 1998, 16, (3), 280-83 View citations (264)

1997

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

1996

22. Averaged periodogram estimation of long memory
    Journal of Econometrics, 1996, 73, (1), 303-324 View citations (56)