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Details about Peter C. B. Phillips

Homepage:http://korora.econ.yale.edu
Phone:203 432 3695
Postal address:30 Hillhouse Avenue New Haven CT 06520 USA
Workplace:School of Economics, Singapore Management University, (more information at EDIRC)
Cowles Foundation for Research in Economics, Yale University, (more information at EDIRC)
Department of Economics, Business School, University of Auckland, (more information at EDIRC)

Access statistics for papers by Peter C. B. Phillips.

Last updated 2024-02-05. Update your information in the RePEc Author Service.

Short-id: pph8


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Working Papers

2024

  1. The boosted HP filter is more general than you might think
    Papers, arXiv.org Downloads View citations (4)
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2022) Downloads View citations (3)

2023

  1. Functional Data Inference in a Parametric Quantile Model applied to Lifetime Income Curves
    Working papers, Yonsei University, Yonsei Economics Research Institute Downloads
  2. Housing Fever in Australia 2020-2023: Insights from an Econometric Thermometer
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
  3. New asymptotics applied to functional coefficient regression and climate sensitivity analysis
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
  4. Panel Data Models with Time-Varying Latent Group Structures
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
    Also in Papers, arXiv.org (2023) Downloads

    See also Journal Article Panel data models with time-varying latent group structures, Journal of Econometrics, Elsevier (2024) Downloads (2024)
  5. Policy Evaluation with Nonlinear Trended Outcomes: COVID-19 Vaccination Rates in the US
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
  6. Robust Inference on Correlation under General Heterogeneity
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
    See also Journal Article Robust inference on correlation under general heterogeneity, Journal of Econometrics, Elsevier (2024) Downloads (2024)

2022

  1. A General Limit Theory for Nonlinear Functionals of Nonstationary Time Series
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (1)
  2. A Panel Clustering Approach to Analyzing Bubble Behavior
    Economics and Statistics Working Papers, Singapore Management University, School of Economics Downloads View citations (1)
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2022) Downloads View citations (1)

    See also Journal Article A PANEL CLUSTERING APPROACH TO ANALYZING BUBBLE BEHAVIOR, International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association (2023) Downloads (2023)
  3. An Econometrician amongst Statisticians: T. W. Anderson
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
  4. Asymptotics of Polynomial Time Trend Estimation and Hypothesis Testing under Rank Deficiency
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (1)
  5. Boosting the HP Filter for Trending Time Series with Long Range Dependence
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
  6. Econometric Analysis of Asset Price Bubbles
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
  7. Panel Threshold Regression with Unobserved Individual-Specific Threshold Effects
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
  8. Regression-Adjusted Estimation of Quantile Treatment Effects under Covariate-Adaptive Randomizations
    Papers, arXiv.org Downloads View citations (2)
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2021) Downloads View citations (1)

    See also Journal Article Regression-adjusted estimation of quantile treatment effects under covariate-adaptive randomizations, Journal of Econometrics, Elsevier (2023) Downloads View citations (1) (2023)
  9. Robust Testing for Explosive Behavior with Strongly Dependent Errors
    Economics and Statistics Working Papers, Singapore Management University, School of Economics Downloads View citations (1)
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2022) Downloads View citations (1)

    See also Journal Article Robust testing for explosive behavior with strongly dependent errors, Journal of Econometrics, Elsevier (2024) Downloads (2024)
  10. The Impact of Upzoning on Housing Construction in Auckland
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
    See also Journal Article The impact of upzoning on housing construction in Auckland, Journal of Urban Economics, Elsevier (2023) Downloads View citations (1) (2023)
  11. Unified Factor Model Estimation and Inference under Short and Long Memory
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
  12. Weak Identification of Long Memory with Implications for Inference
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
    Also in Economics and Statistics Working Papers, Singapore Management University, School of Economics (2022) Downloads

2021

  1. Bootstrap Inference for Quantile Treatment Effects in Randomized Experiments with Matched Pairs
    Papers, arXiv.org Downloads View citations (4)
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2020) Downloads View citations (3)

    See also Journal Article Bootstrap Inference for Quantile Treatment Effects in Randomized Experiments with Matched Pairs, The Review of Economics and Statistics, MIT Press (2024) Downloads (2024)
  2. Discrete Fourier Transforms of Fractional Processes with Econometric Applications
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
    See also Chapter Discrete Fourier Transforms of Fractional Processes with Econometric Applications*, Advances in Econometrics, Emerald Group Publishing Limited (2023) Downloads (2023)
  3. Estimation and Inference with Near Unit Roots
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (2)
    See also Journal Article ESTIMATION AND INFERENCE WITH NEAR UNIT ROOTS, Econometric Theory, Cambridge University Press (2023) Downloads View citations (5) (2023)
  4. Fully Modified Least Squares Cointegrating Parameter Estimation in Multicointegrated Systems
    Papers, arXiv.org Downloads View citations (3)
    See also Journal Article Fully modified least squares cointegrating parameter estimation in multicointegrated systems, Journal of Econometrics, Elsevier (2023) Downloads View citations (2) (2023)
  5. Limit Theory for Locally Flat Functional Coefficient Regression
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (1)
    See also Journal Article LIMIT THEORY FOR LOCALLY FLAT FUNCTIONAL COEFFICIENT REGRESSION, Econometric Theory, Cambridge University Press (2023) Downloads (2023)
  6. On Multicointegration
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (1)
  7. Robust Inference with Stochastic Local Unit Root Regressors in Predictive Regressions
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
    See also Journal Article Robust inference with stochastic local unit root regressors in predictive regressions, Journal of Econometrics, Elsevier (2023) Downloads View citations (2) (2023)

2020

  1. Boosting: Why You Can Use the HP Filter
    Papers, arXiv.org Downloads View citations (6)
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2019) Downloads View citations (7)

    See also Journal Article BOOSTING: WHY YOU CAN USE THE HP FILTER, International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association (2021) Downloads View citations (21) (2021)
  2. Common Bubble Detection in Large Dimensional Financial Systems
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (1)
    See also Journal Article Common Bubble Detection in Large Dimensional Financial Systems*, Journal of Financial Econometrics, Oxford University Press (2023) Downloads (2023)
  3. Consistent Misspecification Testing in Spatial Autoregressive Models
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (1)
  4. Diagnosing Housing Fever with an Econometric Thermometer
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (2)
    Also in CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2020) Downloads View citations (2)

    See also Journal Article Diagnosing housing fever with an econometric thermometer, Journal of Economic Surveys, Wiley Blackwell (2023) Downloads View citations (4) (2023)
  5. Forecasting Economic Activity Using the Yield Curve: Quasi-Real-Time Applications for New Zealand, Australia and the US
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (2)
  6. High-Dimensional VARs with Common Factors
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (2)
    See also Journal Article High-dimensional VARs with common factors, Journal of Econometrics, Elsevier (2023) Downloads View citations (4) (2023)
  7. Nonstationary Panel Models with Latent Group Structures and Cross-Section Dependence
    Economics and Statistics Working Papers, Singapore Management University, School of Economics Downloads View citations (2)
    See also Journal Article Nonstationary panel models with latent group structures and cross-section dependence, Journal of Econometrics, Elsevier (2021) Downloads View citations (9) (2021)
  8. Robust Tests for White Noise and Cross-Correlation
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (7)
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2019) Downloads View citations (4)
    Working Papers, Queen Mary University of London, School of Economics and Finance (2020) Downloads View citations (8)

    See also Journal Article ROBUST TESTS FOR WHITE NOISE AND CROSS-CORRELATION, Econometric Theory, Cambridge University Press (2022) Downloads View citations (2) (2022)
  9. When Bias Contributes to Variance: True Limit Theory in Functional Coefficient Cointegrating Regression
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (2)
    See also Journal Article When bias contributes to variance: True limit theory in functional coefficient cointegrating regression, Journal of Econometrics, Elsevier (2023) Downloads View citations (2) (2023)

2019

  1. Boosting the Hodrick-Prescott Filter
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (6)
  2. Continuously Updated Indirect Inference in Heteroskedastic Spatial Models
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (1)
    Also in Working Papers, University of Verona, Department of Economics (2019) Downloads View citations (1)

    See also Journal Article CONTINUOUSLY UPDATED INDIRECT INFERENCE IN HETEROSKEDASTIC SPATIAL MODELS, Econometric Theory, Cambridge University Press (2023) Downloads (2023)
  3. Fully Modified Least Squares for Multicointegrated Systems
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (2)
  4. Functional Coefficient Panel Modeling with Communal Smoothing Covariates
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (1)
    See also Journal Article Functional coefficient panel modeling with communal smoothing covariates, Journal of Econometrics, Elsevier (2022) Downloads View citations (3) (2022)
  5. Inference and Specification Testing in Threshold Regression with Endogeneity
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (2)
  6. Nonlinear Cointegrating Power Function Regression with Endogeneity
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (4)
    See also Journal Article NONLINEAR COINTEGRATING POWER FUNCTION REGRESSION WITH ENDOGENEITY, Econometric Theory, Cambridge University Press (2021) Downloads View citations (2) (2021)
  7. Parametric Inference on the Mean of Functional Data Applied to Lifetime Income Curves
    Working papers, Yonsei University, Yonsei Economics Research Institute Downloads View citations (3)

2018

  1. Asymptotic Theory for Near Integrated Process Driven by Tempered Linear Process
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
  2. Dynamic Panel Modeling of Climate Change
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (2)
    See also Journal Article Dynamic Panel Modeling of Climate Change, Econometrics, MDPI (2020) Downloads View citations (2) (2020)
  3. HAR Testing for Spurious Regression in Trend
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (1)
    See also Journal Article HAR Testing for Spurious Regression in Trend, Econometrics, MDPI (2019) Downloads View citations (5) (2019)
  4. Real Time Monitoring of Asset Markets: Bubbles and Crises
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (4)
  5. The Heterogeneous Effects of the Minimum Wage on Employment Across States
    Economics and Statistics Working Papers, Singapore Management University, School of Economics Downloads View citations (1)
    See also Journal Article The heterogeneous effects of the minimum wage on employment across states, Economics Letters, Elsevier (2019) Downloads View citations (21) (2019)
  6. Understanding Temporal Aggregation Effects on Kurtosis in Financial Indices
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
    See also Journal Article Understanding temporal aggregation effects on kurtosis in financial indices, Journal of Econometrics, Elsevier (2022) Downloads View citations (1) (2022)

2017

  1. Bayesian estimation based on summary statistics: Double asymptotics and practice
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads View citations (4)
  2. Boundary Limit Theory for Functional Local to Unity Regression
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
    See also Journal Article Boundary Limit Theory for Functional Local to Unity Regression, Journal of Time Series Analysis, Wiley Blackwell (2018) Downloads View citations (9) (2018)
  3. Detecting Financial Collapse and Ballooning Sovereign Risk
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (12)
    See also Journal Article Detecting Financial Collapse and Ballooning Sovereign Risk, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2019) Downloads View citations (24) (2019)
  4. Econometric Measurement of Earth's Transient Climate Sensitivity
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (4)
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2017) Downloads View citations (4)
  5. Hybrid Stochastic Local Unit Roots
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (2)
    See also Journal Article Hybrid stochastic local unit roots, Journal of Econometrics, Elsevier (2020) Downloads View citations (6) (2020)
  6. John Denis Sargan at the London School of Economics
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
  7. Kernel-Based Inference In Time-Varying Coefficient Cointegrating Regression
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
    See also Journal Article Kernel-based Inference in Time-Varying Coefficient Cointegrating Regression, Journal of Econometrics, Elsevier (2020) Downloads View citations (4) (2020)
  8. Kernel-based inference in time-varying coefficient models with multiple integrated regressors
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads View citations (1)
  9. Latent Variable Nonparametric Cointegrating Regression
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
    See also Journal Article LATENT VARIABLE NONPARAMETRIC COINTEGRATING REGRESSION, Econometric Theory, Cambridge University Press (2021) Downloads View citations (2) (2021)
  10. Point Optimal Testing with Roots That Are Functionally Local to Unity
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (4)
    See also Journal Article Point optimal testing with roots that are functionally local to unity, Journal of Econometrics, Elsevier (2020) Downloads View citations (5) (2020)
  11. Random Coefficient Continuous Systems: Testing for Extreme Sample Path Behaviour
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (2)
    Also in Economics and Statistics Working Papers, Singapore Management University, School of Economics (2017) Downloads View citations (3)

    See also Journal Article Random coefficient continuous systems: Testing for extreme sample path behavior, Journal of Econometrics, Elsevier (2019) Downloads View citations (7) (2019)
  12. Uniform Inference in Panel Autoregression
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (1)
    See also Journal Article Uniform Inference in Panel Autoregression, Econometrics, MDPI (2019) Downloads View citations (1) (2019)
  13. Weak s- Convergence: Theory and Applications
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (2)
    See also Journal Article Weak σ-convergence: Theory and applications, Journal of Econometrics, Elsevier (2019) Downloads View citations (8) (2019)

2016

  1. "Change Detection and the Causal Impact of the Yield Curve
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (8)
    Also in NCER Working Paper Series, National Centre for Econometric Research (2015) Downloads View citations (3)

    See also Journal Article Change Detection and the Causal Impact of the Yield Curve, Journal of Time Series Analysis, Wiley Blackwell (2018) Downloads View citations (82) (2018)
  2. A Frequency Approach to Bayesian Asymptotics
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads
  3. Causal Change Detection in Possibly Integrated Systems: Revisiting the Money-Income Relationship
    NCER Working Paper Series, National Centre for Econometric Research Downloads View citations (11)
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2016) Downloads View citations (9)
  4. Homogeneity Pursuit in Panel Data Models: Theory and Applications
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (12)
    See also Journal Article Homogeneity pursuit in panel data models: Theory and application, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2018) Downloads View citations (21) (2018)
  5. IV and GMM Estimation and Testing of Multivariate Stochastic Unit Root Models
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
  6. Online Supplement to "Pythagorean Generalization of Testing the Equality of Two Symmetric Positive Definite Matrices"
    Working papers, Yonsei University, Yonsei Economics Research Institute Downloads
  7. Practical Kolmogorov-Smirnov Testing by Minimum Distance Applied to Measure Top Income Shares in Korea
    Working papers, Yonsei University, Yonsei Economics Research Institute Downloads View citations (1)
    See also Journal Article Practical Kolmogorov–Smirnov Testing by Minimum Distance Applied to Measure Top Income Shares in Korea, Journal of Business & Economic Statistics, Taylor & Francis Journals (2018) Downloads View citations (2) (2018)
  8. Pythagorean Generalization of Testing the Equality of Two Symmetric Positive Definite Matrices
    Working papers, Yonsei University, Yonsei Economics Research Institute Downloads View citations (1)
    See also Journal Article Pythagorean generalization of testing the equality of two symmetric positive definite matrices, Journal of Econometrics, Elsevier (2018) Downloads View citations (6) (2018)
  9. Sequentially Testing Polynomial Model Hypotheses Using Power Transforms of Regressors
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
    Also in Working papers, Yonsei University, Yonsei Economics Research Institute (2016) Downloads

    See also Journal Article Sequentially testing polynomial model hypotheses using power transforms of regressors, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2018) Downloads View citations (12) (2018)
  10. Structural Inference from Reduced Forms with Many Instruments
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
    See also Journal Article Structural inference from reduced forms with many instruments, Journal of Econometrics, Elsevier (2017) Downloads View citations (3) (2017)
  11. Supplement to ¡°Practical Kolmogorov-Smirnov Testing by Minimum Distance Applied to Measure Top Income Shares in Korea¡±
    Working papers, Yonsei University, Yonsei Economics Research Institute Downloads
  12. Tribute to T. W. Anderson
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads

2015

  1. Business Cycles, Trend Elimination, and the HP Filter
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (37)
    See also Journal Article BUSINESS CYCLES, TREND ELIMINATION, AND THE HP FILTER, International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association (2021) Downloads View citations (10) (2021)
  2. Edmond Malinvaud: A Tribute to His Contributions in Econometrics
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (2)
    See also Journal Article Edmond Malinvaud: a tribute to his contributions in econometrics, Econometrics Journal, Royal Economic Society (2015) Downloads View citations (2) (2015)
  3. Hot Property in New Zealand: Empirical Evidence of Housing Bubbles in the Metropolitan Centres
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (15)
    Also in Working Papers, Department of Economics, The University of Auckland (2015) Downloads View citations (12)

    See also Journal Article Hot property in New Zealand: Empirical evidence of housing bubbles in the metropolitan centres, New Zealand Economic Papers, Taylor & Francis Journals (2016) Downloads View citations (42) (2016)
  4. Inference in Near Singular Regression
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
    See also Chapter Inference in Near-Singular Regression, Advances in Econometrics, Emerald Group Publishing Limited (2016) Downloads View citations (7) (2016)
  5. Minimum Distance Testing and Top Income Shares in Korea
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
  6. Pitfalls and Possibilities in Predictive Regression
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (30)
  7. Testing Linearity Using Power Transforms of Regressors
    Working papers, Yonsei University, Yonsei Economics Research Institute Downloads View citations (27)
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2013) Downloads

    See also Journal Article Testing linearity using power transforms of regressors, Journal of Econometrics, Elsevier (2015) Downloads View citations (27) (2015)
  8. Testing Mean Stability of Heteroskedastic Time Series
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads View citations (2)
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2015) Downloads View citations (2)
  9. We provide mathematical proofs for the results in "Testing Linearity Using Power Transforms of Regressors"
    Working papers, Yonsei University, Yonsei Economics Research Institute Downloads View citations (1)

2014

  1. A Multivariate Stochastic Unit Root Model with an Application to Derivative Pricing
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
    See also Journal Article A multivariate stochastic unit root model with an application to derivative pricing, Journal of Econometrics, Elsevier (2017) Downloads View citations (15) (2017)
  2. A New Hedonic Regression for Real Estate Prices Applied to the Singapore Residential Market
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (6)
    Also in Working Papers, Singapore Management University, School of Economics (2014) Downloads View citations (7)
  3. Dynamic Panel GMM with Near Unity
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (6)
  4. Financial Bubble Implosion
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (9)
  5. Identifying Latent Structures in Panel Data
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (9)
    Also in Working Papers, Singapore Management University, School of Economics (2014) Downloads View citations (10)

    See also Journal Article Identifying Latent Structures in Panel Data, Econometrica, Econometric Society (2016) Downloads View citations (123) (2016)
  6. Threshold Regression with Endogeneity
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (8)
    See also Journal Article Threshold regression with endogeneity, Journal of Econometrics, Elsevier (2018) Downloads View citations (19) (2018)
  7. True Limit Distributions of the Anderson-Hsiao IV Estimators in Panel Autoregression
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (2)
    See also Journal Article The true limit distributions of the Anderson–Hsiao IV estimators in panel autoregression, Economics Letters, Elsevier (2015) Downloads View citations (2) (2015)
  8. Weak Convergence to Stochastic Integrals for Econometric Applications
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (1)
    See also Journal Article WEAK CONVERGENCE TO STOCHASTIC INTEGRALS FOR ECONOMETRIC APPLICATIONS, Econometric Theory, Cambridge University Press (2016) Downloads View citations (8) (2016)

2013

  1. Bias in the Mean Reversion Estimator in Continuous-Time Gaussian and Levy Processes
    Working Papers, Singapore Management University, Sim Kee Boon Institute for Financial Economics Downloads
  2. Estimating Smooth Structural Change in Cointegration Models
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads View citations (4)
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2013) Downloads View citations (4)

    See also Journal Article Estimating smooth structural change in cointegration models, Journal of Econometrics, Elsevier (2017) Downloads View citations (40) (2017)
  3. Functional Coefficient Nonstationary Regression
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (10)
  4. Functional Coefficient Nonstationary Regression with Non- and Semi-Parametric Cointegration
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads View citations (9)
  5. Model Selection in the Presence of Incidental Parameters
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (1)
    Also in Center for Policy Research Working Papers, Center for Policy Research, Maxwell School, Syracuse University (2013) Downloads View citations (1)

    See also Journal Article Model selection in the presence of incidental parameters, Journal of Econometrics, Elsevier (2015) Downloads View citations (12) (2015)
  6. Nonparametric Predictive Regression
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2012) Downloads View citations (4)
    University of Cyprus Working Papers in Economics, University of Cyprus Department of Economics (2012) Downloads View citations (4)

    See also Journal Article Nonparametric predictive regression, Journal of Econometrics, Elsevier (2015) Downloads View citations (29) (2015)
  7. Norming Rates and Limit Theory for Some Time-Varying Coefficient Autoregressions
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
    See also Journal Article NORMING RATES AND LIMIT THEORY FOR SOME TIME-VARYING COEFFICIENT AUTOREGRESSIONS, Journal of Time Series Analysis, Wiley Blackwell (2014) Downloads View citations (18) (2014)
  8. Testing for Multiple Bubbles 1: Historical Episodes of Exuberance and Collapse in the S&P 500
    Working Papers, Singapore Management University, School of Economics Downloads View citations (92)
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2013) Downloads View citations (85)

    See also Journal Article TESTING FOR MULTIPLE BUBBLES: HISTORICAL EPISODES OF EXUBERANCE AND COLLAPSE IN THE S&P 500, International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association (2015) Downloads View citations (128) (2015)
  9. Testing for Multiple Bubbles 2: Limit Theory of Real Time Detectors
    Working Papers, Singapore Management University, School of Economics Downloads View citations (6)
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2013) Downloads View citations (5)
    Working Papers, Singapore Management University, Sim Kee Boon Institute for Financial Economics (2013) Downloads

    See also Journal Article TESTING FOR MULTIPLE BUBBLES: LIMIT THEORY OF REAL‐TIME DETECTORS, International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association (2015) Downloads View citations (71) (2015)
  10. Testing the Martingale Hypothesis
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (1)
    See also Journal Article Testing the Martingale Hypothesis, Journal of Business & Economic Statistics, Taylor & Francis Journals (2014) Downloads View citations (7) (2014)
  11. Uniform Consistency of Nonstationary Kernel-Weighted Sample Covariances for Nonparametric Regression
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2013) Downloads

    See also Journal Article UNIFORM CONSISTENCY OF NONSTATIONARY KERNEL-WEIGHTED SAMPLE COVARIANCES FOR NONPARAMETRIC REGRESSION, Econometric Theory, Cambridge University Press (2016) Downloads View citations (7) (2016)
  12. Unit Roots in Life -- A Graduate Student Story
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
    See also Journal Article UNIT ROOTS IN LIFE—A GRADUATE STUDENT STORY, Econometric Theory, Cambridge University Press (2014) Downloads (2014)

2012

  1. Automated Estimation of Vector Error Correction Models
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (2)
    See also Journal Article AUTOMATED ESTIMATION OF VECTOR ERROR CORRECTION MODELS, Econometric Theory, Cambridge University Press (2015) Downloads View citations (30) (2015)
  2. Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (2)
    Also in Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) (2011) Downloads View citations (3)

    See also Journal Article Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility, Econometric Reviews, Taylor & Francis Journals (2015) Downloads View citations (9) (2015)
  3. Non-linearity Induced Weak Instrumentation
    University of Cyprus Working Papers in Economics, University of Cyprus Department of Economics Downloads View citations (1)
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2012) Downloads View citations (1)

    See also Journal Article Nonlinearity Induced Weak Instrumentation, Econometric Reviews, Taylor & Francis Journals (2014) Downloads View citations (4) (2014)
  4. On Confidence Intervals for Autoregressive Roots and Predictive Regression
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (5)
    See also Journal Article On Confidence Intervals for Autoregressive Roots and Predictive Regression, Econometrica, Econometric Society (2014) Downloads View citations (49) (2014)
  5. Series Estimation of Stochastic Processes: Recent Developments and Econometric Applications
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (2)
  6. Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behavior
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (3)
    Also in Working Papers, Singapore Management University, School of Economics (2011) Downloads View citations (8)
    Working Papers, Singapore Management University, Sim Kee Boon Institute for Financial Economics (2011) Downloads
    Working Papers, Singapore Management University, School of Economics (2012) Downloads View citations (4)

    See also Journal Article Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behaviour, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2014) Downloads View citations (86) (2014)
  7. Testing for Multiple Bubbles
    Working Papers, Singapore Management University, School of Economics Downloads View citations (75)
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2012) Downloads View citations (48)
    Working Papers, Singapore Management University, Sim Kee Boon Institute for Financial Economics (2011) Downloads
    Working Papers, Singapore Management University, School of Economics (2011) Downloads View citations (49)
  8. VARs with Mixed Roots Near Unity
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads

2011

  1. Bias in Estimating Multivariate and Univariate Diffusions
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (13)
    See also Journal Article Bias in estimating multivariate and univariate diffusions, Journal of Econometrics, Elsevier (2011) Downloads View citations (12) (2011)
  2. First Difference MLE and Dynamic Panel Estimation
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (3)
  3. Folklore Theorems, Implicit Maps and New Unit Root Limit Theory
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
  4. Inconsistent VAR Regression with Common Explosive Roots
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (2)
    See also Journal Article INCONSISTENT VAR REGRESSION WITH COMMON EXPLOSIVE ROOTS, Econometric Theory, Cambridge University Press (2013) Downloads View citations (8) (2013)
  5. Meritocracy Voting: Measuring the Unmeasurable
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
    See also Journal Article Meritocracy Voting: Measuring the Unmeasurable, Econometric Reviews, Taylor & Francis Journals (2016) Downloads View citations (1) (2016)
  6. Semiparametric Estimation in Multivariate Nonstationary Time Series Models
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads View citations (5)
  7. Speci fication Sensitivities in Right-Tailed Unit Root Testing for Financial Bubbles
    Working Papers, Singapore Management University, School of Economics Downloads View citations (1)
    Also in Working Papers, Hong Kong Institute for Monetary Research (2011) Downloads View citations (3)
    Working Papers, Singapore Management University, Sim Kee Boon Institute for Financial Economics (2011) Downloads
  8. Specification Testing for Nonlinear Cointegrating Regression
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (1)
  9. Testing for Common Trends in Semiparametric Panel Data Models with Fixed Effects
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (2)
    See also Journal Article Testing for common trends in semi‐parametric panel data models with fixed effects, Econometrics Journal, Royal Economic Society (2012) Downloads View citations (22) (2012)

2010

  1. A Conversation with Eric Ghysels Co-President of the Society for Financial Econometrics
    Working Papers, Singapore Management University, School of Economics Downloads
  2. Corrigendum to “A Gaussian Approach for Continuous Time Models of the Short Term Interest Rate"
    Working Papers, Singapore Management University, School of Economics Downloads
  3. Dating the Timeline of Financial Bubbles during the Subprime Crisis
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (15)
    Also in Working Papers, Singapore Management University, School of Economics (2009) Downloads View citations (13)
    Finance Working Papers, East Asian Bureau of Economic Research (2009) Downloads View citations (13)
    Working Papers, Singapore Management University, Sim Kee Boon Institute for Financial Economics (2009) Downloads

    See also Journal Article Dating the timeline of financial bubbles during the subprime crisis, Quantitative Economics, Econometric Society (2011) Downloads View citations (323) (2011)
  4. Measurement and High Finance
    Working Papers, Singapore Management University, School of Economics Downloads
  5. Nonlinear Cointegrating Regression under Weak Identification
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
    See also Journal Article NONLINEAR COINTEGRATING REGRESSION UNDER WEAK IDENTIFICATION, Econometric Theory, Cambridge University Press (2012) Downloads View citations (12) (2012)
  6. Optimal Estimation under Nonstandard Conditions
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
    See also Journal Article Optimal estimation under nonstandard conditions, Journal of Econometrics, Elsevier (2012) Downloads View citations (11) (2012)
  7. Power Maximization and Size Control in Heteroskedasticity and Autocorrelation Robust Tests with Exponentiated Kernels
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
    See also Journal Article POWER MAXIMIZATION AND SIZE CONTROL IN HETEROSKEDASTICITY AND AUTOCORRELATION ROBUST TESTS WITH EXPONENTIATED KERNELS, Econometric Theory, Cambridge University Press (2011) Downloads View citations (11) (2011)
  8. Semiparametric Estimation in Simultaneous Equations of Time Series Models
    School of Economics and Public Policy Working Papers, University of Adelaide, School of Economics and Public Policy Downloads View citations (2)
  9. Semiparametric Estimation in Time Series of Simultaneous Equations
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (2)
  10. The Mysteries of Trend
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (8)
  11. Tilted Nonparametric Estimation of Volatility Functions
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (1)
  12. Two New Zealand Pioneer Econometricians
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (3)
    See also Journal Article Two New Zealand pioneer econometricians, New Zealand Economic Papers, Taylor & Francis Journals (2010) Downloads View citations (3) (2010)
  13. Uniform Asymptotic Normality in Stationary and Unit Root Autoregression
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (1)
    See also Journal Article UNIFORM ASYMPTOTIC NORMALITY IN STATIONARY AND UNIT ROOT AUTOREGRESSION, Econometric Theory, Cambridge University Press (2011) Downloads View citations (7) (2011)
  14. X-Differencing and Dynamic Panel Model Estimation
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (1)
    See also Journal Article X-DIFFERENCING AND DYNAMIC PANEL MODEL ESTIMATION, Econometric Theory, Cambridge University Press (2014) Downloads View citations (28) (2014)

2009

  1. A Paradox of Inconsistent Parametric and Consistent Nonparametric Regression
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
  2. Asymptotic Theory for Zero Energy Density Estimation with Nonparametric Regression Applications
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (2)
  3. Bootstrapping I(1) Data
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
    See also Journal Article Bootstrapping I(1) data, Journal of Econometrics, Elsevier (2010) Downloads View citations (1) (2010)
  4. Cointegrating Rank Selection in Models with Time-Varying Variance
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (4)
    See also Journal Article Cointegrating rank selection in models with time-varying variance, Journal of Econometrics, Elsevier (2012) Downloads View citations (10) (2012)
  5. Dynamic Misspecification in Nonparametric Cointegrating Regression
    University of Cyprus Working Papers in Economics, University of Cyprus Department of Economics Downloads View citations (4)
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2009) Downloads View citations (4)
    Working Papers, Singapore Management University, Sim Kee Boon Institute for Financial Economics (2009) Downloads

    See also Journal Article Dynamic misspecification in nonparametric cointegrating regression, Journal of Econometrics, Elsevier (2012) Downloads View citations (14) (2012)
  6. Econometric Inference in the Vicinity of Unity
    Working Papers, Singapore Management University, Sim Kee Boon Institute for Financial Economics Downloads View citations (1)
  7. Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values?
    Working Papers, Singapore Management University, Sim Kee Boon Institute for Financial Economics Downloads
    Also in Working Papers, Singapore Management University, School of Economics (2009) Downloads View citations (28)
    Working Papers, Hong Kong Institute for Monetary Research (2007) Downloads View citations (9)
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2009) Downloads View citations (24)

    See also Journal Article EXPLOSIVE BEHAVIOR IN THE 1990s NASDAQ: WHEN DID EXUBERANCE ESCALATE ASSET VALUES?, International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association (2011) View citations (554) (2011)
  8. Infinite Density at the Median and the Typical Shape of Stock Return Distributions
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (1)
    Also in Working Papers, Singapore Management University, Sim Kee Boon Institute for Financial Economics (2009) Downloads
    Discussion Paper Series, Institute of Economic Research, Korea University (2009) Downloads View citations (2)

    See also Journal Article Infinite Density at the Median and the Typical Shape of Stock Return Distributions, Journal of Business & Economic Statistics, American Statistical Association (2011) Downloads View citations (3) (2011)
  9. Information Loss in Volatility Measurement with Flat Price Trading
    Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University Downloads View citations (1)
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2007) Downloads View citations (4)
    Levine's Bibliography, UCLA Department of Economics (2007) Downloads View citations (5)
    Working Papers, Singapore Management University, Sim Kee Boon Institute for Financial Economics (2008) Downloads

    See also Journal Article Information loss in volatility measurement with flat price trading, Empirical Economics, Springer (2023) Downloads View citations (1) (2023)
  10. LAD Asymptotics under Conditional Heteroskedasticity with Possibly Infinite Error Densities
    Discussion Paper Series, Institute of Economic Research, Korea University Downloads
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2009) Downloads
    Working Papers, Singapore Management University, Sim Kee Boon Institute for Financial Economics (2009) Downloads

    See also Journal Article LAD ASYMPTOTICS UNDER CONDITIONAL HETEROSKEDASTICITY WITH POSSIBLY INFINITE ERROR DENSITIES, Econometric Theory, Cambridge University Press (2010) Downloads View citations (2) (2010)
  11. Mean and Autocovariance Function Estimation Near the Boundary of Stationarity
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
    See also Journal Article Mean and autocovariance function estimation near the boundary of stationarity, Journal of Econometrics, Elsevier (2012) Downloads View citations (5) (2012)
  12. Nonparametric Structural Estimation via Continuous Location Shifts in an Endogenous Regressor
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (1)

2008

  1. Local Limit Theory and Spurious Nonparametric Regression
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
    See also Journal Article LOCAL LIMIT THEORY AND SPURIOUS NONPARAMETRIC REGRESSION, Econometric Theory, Cambridge University Press (2009) Downloads View citations (15) (2009)
  2. Long Memory and Long Run Variation
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
    See also Journal Article Long memory and long run variation, Journal of Econometrics, Elsevier (2009) Downloads View citations (2) (2009)
  3. Optimal Bandwidth Choice for Interval Estimation in GMM Regression
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (4)
  4. Regression asymptotics using martingale convergence methods
    Scholarly Articles, Harvard University Department of Economics Downloads View citations (28)
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2004) Downloads View citations (9)

    See also Journal Article REGRESSION ASYMPTOTICS USING MARTINGALE CONVERGENCE METHODS, Econometric Theory, Cambridge University Press (2008) Downloads View citations (30) (2008)
  5. Semiparametric Cointegrating Rank Selection
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (6)
    See also Journal Article Semiparametric cointegrating rank selection, Econometrics Journal, Royal Economic Society (2009) View citations (18) (2009)
  6. Simulation-based Estimation of Contingent-claims Prices
    Finance Working Papers, East Asian Bureau of Economic Research Downloads View citations (1)
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2007) Downloads View citations (2)
    Working Papers, Singapore Management University, Sim Kee Boon Institute for Financial Economics Downloads

    See also Journal Article Simulation-Based Estimation of Contingent-Claims Prices, The Review of Financial Studies, Society for Financial Studies (2009) Downloads View citations (18) (2009)
  7. Smoothing Local-to-Moderate Unit Root Theory
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
    See also Journal Article Smoothing local-to-moderate unit root theory, Journal of Econometrics, Elsevier (2010) Downloads View citations (15) (2010)
  8. Structural Nonparametric Cointegrating Regression
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (9)
    See also Journal Article Structural Nonparametric Cointegrating Regression, Econometrica, Econometric Society (2009) Downloads View citations (70) (2009)
  9. Unit Root Model Selection
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (9)
  10. Unit Root and Cointegrating Limit Theory When Initialization Is in the Infinite Past
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (2)
    See also Journal Article UNIT ROOT AND COINTEGRATING LIMIT THEORY WHEN INITIALIZATION IS IN THE INFINITE PAST, Econometric Theory, Cambridge University Press (2009) Downloads View citations (41) (2009)

2007

  1. Exact Distribution Theory in Structural Estimation with an Identity
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
    See also Journal Article EXACT DISTRIBUTION THEORY IN STRUCTURAL ESTIMATION WITH AN IDENTITY, Econometric Theory, Cambridge University Press (2009) Downloads View citations (2) (2009)
  2. GMM Estimation for Dynamic Panels with Fixed Effects and Strong Instruments at Unity
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (4)
    See also Journal Article GMM ESTIMATION FOR DYNAMIC PANELS WITH FIXED EFFECTS AND STRONG INSTRUMENTS AT UNITY, Econometric Theory, Cambridge University Press (2010) Downloads View citations (122) (2010)
  3. Limit Theory for Explosively Cointegrated Systems
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (1)
    See also Journal Article LIMIT THEORY FOR EXPLOSIVELY COINTEGRATED SYSTEMS, Econometric Theory, Cambridge University Press (2008) Downloads View citations (16) (2008)
  4. Long Run Covariance Matrices for Fractionally Integrated Processes
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (9)
    See also Journal Article LONG-RUN COVARIANCE MATRICES FOR FRACTIONALLY INTEGRATED PROCESSES, Econometric Theory, Cambridge University Press (2007) Downloads View citations (10) (2007)
  5. Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (1)
    Also in Development Economics Working Papers, East Asian Bureau of Economic Research (2006) Downloads View citations (4)
    Working Papers, Singapore Management University, Sim Kee Boon Institute for Financial Economics Downloads
  6. Transition Modeling and Econometric Convergence Tests
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (587)
    See also Journal Article Transition Modeling and Econometric Convergence Tests, Econometrica, Econometric Society (2007) Downloads View citations (591) (2007)

2006

  1. A Complete Asymptotic Series for the Autocovariance Function of a Long Memory Process
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (1)
    See also Journal Article A complete asymptotic series for the autocovariance function of a long memory process, Journal of Econometrics, Elsevier (2008) Downloads View citations (5) (2008)
  2. A Two-Stage Realized Volatility Approach to Estimation of Diffusion Processes with Discrete
    Macroeconomics Working Papers, East Asian Bureau of Economic Research Downloads
  3. Adaptive Estimation of Autoregressive Models with Time-Varying Variances
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (1)
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2006) Downloads

    See also Journal Article Adaptive estimation of autoregressive models with time-varying variances, Journal of Econometrics, Elsevier (2008) Downloads View citations (57) (2008)
  4. Asymptotic Theory for Local Time Density Estimation and Nonparametric Cointegrating Regression
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (5)
    See also Journal Article ASYMPTOTIC THEORY FOR LOCAL TIME DENSITY ESTIMATION AND NONPARAMETRIC COINTEGRATING REGRESSION, Econometric Theory, Cambridge University Press (2009) Downloads View citations (75) (2009)
  5. Gaussian Inference in AR(1) Time Series with or without a Unit Root
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (2)
    See also Journal Article GAUSSIAN INFERENCE IN AR(1) TIME SERIES WITH OR WITHOUT A UNIT ROOT, Econometric Theory, Cambridge University Press (2008) Downloads View citations (12) (2008)
  6. Indirect Inference for Dynamic Panel Models
    Development Economics Working Papers, East Asian Bureau of Economic Research Downloads View citations (2)
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2006) Downloads View citations (2)

    See also Journal Article Indirect inference for dynamic panel models, Journal of Econometrics, Elsevier (2010) Downloads View citations (76) (2010)
  7. Log Periodogram Regression: The Nonstationary Case
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (30)
  8. Optimal Bandwidth Selection in Heteroskedasticity-Autocorrelation Robust Testing
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (3)
    See also Journal Article Optimal Bandwidth Selection in Heteroskedasticity-Autocorrelation Robust Testing, Econometrica, Econometric Society (2008) Downloads View citations (114) (2008)
  9. Optimal Estimation of Cointegrated Systems with Irrelevant Instruments
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (9)
    See also Journal Article Optimal estimation of cointegrated systems with irrelevant instruments, Journal of Econometrics, Elsevier (2014) Downloads View citations (17) (2014)
  10. Refined Inference on Long Memory in Realized Volatility
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (2)
    See also Journal Article Refined Inference on Long Memory in Realized Volatility, Econometric Reviews, Taylor & Francis Journals (2008) Downloads View citations (23) (2008)
  11. Sinusoidal Modeling Applied to Spatially Variant Tropospheric Ozone Air Pollution
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads

2005

  1. A New Approach to Robust Inference in Cointegration
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
    See also Journal Article A new approach to robust inference in cointegration, Economics Letters, Elsevier (2006) Downloads View citations (7) (2006)
  2. A Remark on Bimodality and Weak Instrumentation in Structural Equation Estimation
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (1)
    See also Journal Article A REMARK ON BIMODALITY AND WEAK INSTRUMENTATION IN STRUCTURAL EQUATION ESTIMATION, Econometric Theory, Cambridge University Press (2006) Downloads View citations (10) (2006)
  3. A Simple Approach to the Parametric Estimation of Potentially Nonstationary Diffusions
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (6)
    See also Journal Article A simple approach to the parametric estimation of potentially nonstationary diffusions, Journal of Econometrics, Elsevier (2007) Downloads View citations (23) (2007)
  4. A Two-Stage Realized Volatility Approach to the Estimation for Diffusion Processes from Discrete Observations
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (8)
  5. Comment on “Realized Variance and Market Microstructure Noise†by Peter R. Hansen and Asger Lunde
    Finance Working Papers, East Asian Bureau of Economic Research Downloads
  6. Comment on “Realized Variance and Market Microstructure Noise” by Peter R. Hansen and Asger Lunde
    Working Papers, Singapore Management University, School of Economics Downloads
  7. Comments on “A selective overview of nonparametric methods in financial econometricsâ€Â
    Finance Working Papers, East Asian Bureau of Economic Research Downloads View citations (3)
  8. Comments on “A Selective Overview of Nonparametric Methods in Financial Econometrics” by Jianqing Fan
    Working Papers, Singapore Management University, School of Economics Downloads View citations (6)
  9. Economic Transition and Growth
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (5)
    See also Journal Article Economic transition and growth, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2009) Downloads View citations (344) (2009)
  10. GMM with Many Moment Conditions
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (5)
    Also in Econometric Society 2004 Far Eastern Meetings, Econometric Society (2004) Downloads View citations (4)

    See also Journal Article GMM with Many Moment Conditions, Econometrica, Econometric Society (2006) Downloads View citations (71) (2006)
  11. Improved HAR Inference
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (3)
  12. Incidental Trends and the Power of Panel Unit Root Tests
    IEPR Working Papers, Institute of Economic Policy Research (IEPR) View citations (2)
    Also in Yale School of Management Working Papers, Yale School of Management (2004) Downloads View citations (2)
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2003) Downloads View citations (18)

    See also Journal Article Incidental trends and the power of panel unit root tests, Journal of Econometrics, Elsevier (2007) Downloads View citations (56) (2007)
  13. Limit Theory for Moderate Deviations from a Unit Root under Weak Dependence
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (6)
  14. Nonstationary Discrete Choice: A Corrigendum and Addendum
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (4)
    See also Journal Article Nonstationary discrete choice: A corrigendum and addendum, Journal of Econometrics, Elsevier (2007) Downloads View citations (10) (2007)
  15. Optimal Bandwidth Selection in Heteroskedasticity-Autocorrelation Robust Testing∗
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego Downloads View citations (1)
  16. Testing Linearity in Cointegrating Relations with an Application to Purchasing Power Parity
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (7)
    See also Journal Article Testing Linearity in Cointegrating Relations With an Application to Purchasing Power Parity, Journal of Business & Economic Statistics, American Statistical Association (2010) Downloads View citations (29) (2010)

2004

  1. Automated Discovery in Econometrics
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (5)
    See also Journal Article AUTOMATED DISCOVERY IN ECONOMETRICS, Econometric Theory, Cambridge University Press (2005) Downloads View citations (13) (2005)
  2. Bias in Dynamic Panel Estimation with Fixed Effects, Incidental Trends and Cross Section Dependence
    Yale School of Management Working Papers, Yale School of Management Downloads View citations (14)
    Also in Working Papers, Department of Economics, The University of Auckland (2003) Downloads View citations (6)
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2004) Downloads View citations (9)

    See also Journal Article Bias in dynamic panel estimation with fixed effects, incidental trends and cross section dependence, Journal of Econometrics, Elsevier (2007) Downloads View citations (138) (2007)
  3. Challenges of Trending Time Series Econometrics
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (5)
    See also Journal Article Challenges of trending time series econometrics, Mathematics and Computers in Simulation (MATCOM), Elsevier (2005) Downloads View citations (36) (2005)
  4. Consistent HAC Estimation and Robust Regression Testing Using Sharp Origin Kernels with No Truncation
    Yale School of Management Working Papers, Yale School of Management Downloads
    Also in Econometric Society 2004 North American Winter Meetings, Econometric Society (2004) Downloads
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego (2004) Downloads
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2003) Downloads View citations (12)
  5. Exact Local Whittle Estimation of Fractional Integration
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (21)
    Also in Economics Discussion Papers, University of Essex, Department of Economics (2002) Downloads View citations (17)
  6. Expansions for Approximate Maximum Likelihood Estimators of the Fractional Difference Parameter
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (4)
    See also Journal Article Expansions for approximate maximum likelihood estimators of the fractional difference parameter, Econometrics Journal, Royal Economic Society (2005) View citations (4) (2005)
  7. HAC Estimation by Automated Regression
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (8)
    See also Journal Article HAC ESTIMATION BY AUTOMATED REGRESSION, Econometric Theory, Cambridge University Press (2005) Downloads View citations (60) (2005)
  8. Jackknifing Bond Option Prices
    Econometric Society 2004 North American Winter Meetings, Econometric Society Downloads View citations (2)
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2003) Downloads View citations (3)
    Working Papers, Department of Economics, The University of Auckland (2002) Downloads

    See also Journal Article Jackknifing Bond Option Prices, The Review of Financial Studies, Society for Financial Studies (2005) Downloads View citations (62) (2005)
  9. Limit Theory for Moderate Deviations from a Unit Root
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (7)
    See also Journal Article Limit theory for moderate deviations from a unit root, Journal of Econometrics, Elsevier (2007) Downloads View citations (241) (2007)
  10. Long Run Variance Estimation Using Steep Origin Kernels Without Truncation
    Yale School of Management Working Papers, Yale School of Management Downloads
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2003) Downloads View citations (4)
  11. Prewhitening Bias in HAC Estimation
    Yale School of Management Working Papers, Yale School of Management Downloads View citations (10)
    Also in Working Papers, Department of Economics, The University of Auckland (2003) Downloads View citations (12)
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2003) Downloads View citations (12)

    See also Journal Article Prewhitening Bias in HAC Estimation, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2005) Downloads View citations (141) (2005)
  12. Spectral Density Estimation and Robust Hypothesis Testing Using Steep Origin Kernels Without Truncation
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego Downloads
    See also Journal Article SPECTRAL DENSITY ESTIMATION AND ROBUST HYPOTHESIS TESTING USING STEEP ORIGIN KERNELS WITHOUT TRUNCATION, International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association (2006) View citations (29) (2006)
  13. The Elusive Empirical Shadow of Growth Convergence
    Yale School of Management Working Papers, Yale School of Management Downloads
    Also in Working Papers, Department of Economics, The University of Auckland (2003) Downloads View citations (34)
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2003) Downloads View citations (33)
  14. Uniform Limit Theory for Stationary Autoregression
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (2)
    Also in Discussion Papers, Department of Economics, University of York View citations (52)

    See also Journal Article Uniform Limit Theory for Stationary Autoregression, Journal of Time Series Analysis, Wiley Blackwell (2006) Downloads View citations (61) (2006)

2003

  1. Fractional Brownian Motion as a Differentiable Generalized Gaussian Process
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (3)
  2. GMM Estimation of Autoregressive Roots Near Unity with Panel Data
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (1)
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2000) Downloads View citations (16)

    See also Journal Article GMM Estimation of Autoregressive Roots Near Unity with Panel Data, Econometrica, Econometric Society (2004) Downloads View citations (22) (2004)
  3. Laws and Limits of Econometrics
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (29)
    See also Journal Article Laws and Limits of Econometrics, Economic Journal, Royal Economic Society (2003) View citations (30) (2003)
  4. Local Whittle Estimation in Nonstationary and Unit Root Cases
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (33)
  5. Vision and Influence in Econometrics: John Denis Sargan
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (5)
    See also Journal Article VISION AND INFLUENCE IN ECONOMETRICS: JOHN DENIS SARGAN, Econometric Theory, Cambridge University Press (2003) Downloads View citations (5) (2003)

2002

  1. Dynamic Panel Estimation and Homogeneity Testing Under Cross Section Dependence
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (34)
    Also in Working Papers, Department of Economics, The University of Auckland (2002) Downloads View citations (26)
  2. Dynamics of the Federal Funds Target Rate: A Nonstationary Discrete Choice Approach
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (4)
  3. Efficient Regression in Time Series Partial Linear Models
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (2)
  4. Error Bounds and Asymptotic Expansions for Toeplitz Product Functionals of Unbounded Spectra
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
    See also Journal Article Error bounds and asymptotic expansions for toeplitz product functionals of unbounded spectra, Journal of Time Series Analysis, Wiley Blackwell (2004) Downloads View citations (4) (2004)
  5. Nonlinear Log-Periodogram Regression for Perturbed Fractional Processes
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (1)
    See also Journal Article Nonlinear log-periodogram regression for perturbed fractional processes, Journal of Econometrics, Elsevier (2003) Downloads View citations (58) (2003)
  6. Nonstationary Discrete Choice
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (10)
    See also Journal Article Nonstationary discrete choice, Journal of Econometrics, Elsevier (2004) Downloads View citations (66) (2004)
  7. The KPSS Test with Seasonal Dummies
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (10)
    See also Journal Article The KPSS test with seasonal dummies, Economics Letters, Elsevier (2002) Downloads View citations (11) (2002)

2001

  1. A CUSUM Test for Cointegration Using Regression Residuals
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (3)
    See also Journal Article A CUSUM test for cointegration using regression residuals, Journal of Econometrics, Elsevier (2002) Downloads View citations (41) (2002)
  2. Bootstrapping Spurious Regression
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (7)
  3. Fully Nonparametric Estimation of Scalar Diffusion Models
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (5)
    See also Journal Article Fully Nonparametric Estimation of Scalar Diffusion Models, Econometrica, Econometric Society (2003) View citations (106) (2003)
  4. Gaussian Estimation of Continuous Time Models of the Short Term Interest Rate
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (24)
  5. Nonlinear Instrumental Variable Estimation of an Autoregression
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (1)
    See also Journal Article Nonlinear instrumental variable estimation of an autoregression, Journal of Econometrics, Elsevier (2004) Downloads View citations (27) (2004)
  6. Nonparametric Estimation of a Multifactor Heath-Jarrow-Morton Model: An Integrated Approach
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
  7. Regression with Slowly Varying Regressors
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (2)
  8. Second Order Expansions for the Distribution of the Maximum Likelihood Estimator of the Fractional Difference Parameter
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads

2000

  1. Accelerated Asymptotics for Diffusion Model Estimation
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society Downloads
  2. Exact Gaussian Estimation of Continuous Time Models of The Term Structure of Interest Rates Rankings of Economics Departments in New Zealand
    Working Papers, Department of Economics, The University of Auckland Downloads
  3. Forecasting New Zealand's Real GDP
    Working Papers, Department of Economics, The University of Auckland Downloads View citations (2)
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2000) Downloads View citations (3)

    See also Journal Article Forecasting New Zealand's real GDP, New Zealand Economic Papers, Taylor & Francis Journals (2000) Downloads View citations (2) (2000)
  4. Modified Local Whittle Estimation of the Memory Parameter in the Nonstationary Case
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (8)
  5. Pooled Log Periodogram Regression
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (7)
    See also Journal Article Pooled Log Periodogram Regression, Journal of Time Series Analysis, Wiley Blackwell (2002) Downloads View citations (28) (2002)
  6. Structural Change in Tail Behavior and the Asian Financial Crisis
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (1)
  7. THE BIOSAFETY PROTOCOL AND INTERNATIONAL TRADE IN GENETICALLY MODIFIED ORGANISMS
    CATRN Papers, Canadian Agri-Food Trade Research Network Downloads View citations (4)
  8. Trending Time Series and Macroeconomic Activity: Some Present and Future Challenges
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
    See also Journal Article Trending time series and macroeconomic activity: Some present and future challenges, Journal of Econometrics, Elsevier (2001) Downloads View citations (45) (2001)

1999

  1. Descriptive Econometrics for Nonstationary Time Series with Empirical Illustrations
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (5)
    See also Journal Article Descriptive econometrics for non-stationary time series with empirical illustrations, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2001) Downloads View citations (14) (2001)
  2. Discrete Fourier Transforms of Fractional Processes
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (72)
  3. Discrete Fourier Transforms of Fractional Processes August
    Working Papers, Department of Economics, The University of Auckland Downloads View citations (23)
  4. Empirical Limits for Time Series Econometric Models
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (8)
    See also Journal Article Empirical Limits for Time Series Econometric Models, Econometrica, Econometric Society (2003) View citations (25) (2003)
  5. Estimation of Autoregressive Roots Near Unity Using Panel Data
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (14)
    Also in University of California at Santa Barbara, Economics Working Paper Series, Department of Economics, UC Santa Barbara (1999) Downloads View citations (4)

    See also Journal Article ESTIMATION OF AUTOREGRESSIVE ROOTS NEAR UNITY USING PANEL DATA, Econometric Theory, Cambridge University Press (2000) Downloads View citations (42) (2000)
  6. How to Estimate Autoregressive Roots Near Unity
    University of California at Santa Barbara, Economics Working Paper Series, Department of Economics, UC Santa Barbara Downloads
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (1998) Downloads View citations (9)

    See also Journal Article HOW TO ESTIMATE AUTOREGRESSIVE ROOTS NEAR UNITY, Econometric Theory, Cambridge University Press (2001) Downloads View citations (29) (2001)
  7. Linear Regression Limit Theory for Nonstationary Panel Data
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (821)
    See also Journal Article Linear Regression Limit Theory for Nonstationary Panel Data, Econometrica, Econometric Society (1999) View citations (838) (1999)
  8. Maximum Likelihood Estimation in Panels with Incidental Trends
    University of California at Santa Barbara, Economics Working Paper Series, Department of Economics, UC Santa Barbara Downloads View citations (25)
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (1999) Downloads View citations (25)
  9. Nonlinear Econometric Models with Cointegrated and Deterministically Trending Regressors
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (22)
    See also Journal Article Nonlinear econometric models with cointegrated and deterministically trending regressors, Econometrics Journal, Royal Economic Society (2001) View citations (79) (2001)
  10. Nonstationary Binary Choice
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
    See also Journal Article Nonstationary Binary Choice, Econometrica, Econometric Society (2000) View citations (80) (2000)
  11. Nonstationary Panel Data Analysis: An Overview of Some Recent Developments
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (49)
    See also Journal Article Nonstationary panel data analysis: an overview of some recent developments, Econometric Reviews, Taylor & Francis Journals (2000) Downloads View citations (163) (2000)
  12. Unit Root Log Periodogram Regression
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (40)
    See also Journal Article Unit root log periodogram regression, Journal of Econometrics, Elsevier (2007) Downloads View citations (67) (2007)

1998

  1. A Primer on Unit Root Testing
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (114)
    See also Journal Article A Primer on Unit Root Testing, Journal of Economic Surveys, Wiley Blackwell (1998) Downloads View citations (115) (1998)
  2. Asymptotics for Nonlinear Transformations of Integrated Time Series
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (10)
    See also Journal Article ASYMPTOTICS FOR NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES, Econometric Theory, Cambridge University Press (1999) Downloads View citations (184) (1999)
  3. Econometric Analysis of Fisher's Equation
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (32)
    See also Journal Article Econometric Analysis of Fisher's Equation, American Journal of Economics and Sociology, Wiley Blackwell (2005) Downloads View citations (9) (2005)
  4. Higher Order Approximations for Wald Statistics in Cointegrating Regressions
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
  5. Jeffreys Prior Analysis of the Simultaneous Equations Model in the Case with n+1 Endogenous Variables
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
    See also Journal Article Jeffreys prior analysis of the simultaneous equations model in the case with n+1 endogenous variables, Journal of Econometrics, Elsevier (2002) Downloads View citations (6) (2002)
  6. New Unit Root Asymptotics in the Presence of Deterministic Trends
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (2)
    Also in Working Papers, Department of Economics, The University of Auckland (1998) Downloads View citations (2)

    See also Journal Article New unit root asymptotics in the presence of deterministic trends, Journal of Econometrics, Elsevier (2002) Downloads View citations (12) (2002)
  7. Nonlinear Regressions with Integrated Time Series
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (2)
    See also Journal Article Nonlinear Regressions with Integrated Time Series, Econometrica, Econometric Society (2001) View citations (224) (2001)
  8. Nonstationary Density Estimation and Kernel Autoregression
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (64)
  9. Rissanen's Theorem and Econometric Time Series
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (3)

1997

  1. An ADF Coefficient Test for a Unit Root in ARMA Models of Unknown Order with Empirical Applications to the U.S. Economy
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (7)
    See also Journal Article An ADF coefficient test for a unit root in ARMA models of unknown order with empirical applications to the US economy, Econometrics Journal, Royal Economic Society (1998) View citations (19) (1998)
  2. Band Spectral Regression with Trending Data
    Working Papers, University of Iowa, Department of Economics View citations (5)
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (1997) Downloads

    See also Journal Article Band Spectral Regression with Trending Data, Econometrica, Econometric Society (2002) View citations (74) (2002)
  3. Model Selection in Partially Nonstationary Vector Autoregressive Processes with Reduced Rank Structure
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (2)
    See also Journal Article Model selection in partially nonstationary vector autoregressive processes with reduced rank structure, Journal of Econometrics, Elsevier (1999) Downloads View citations (61) (1999)
  4. Regressions for Partially Identified, Cointegrated Simultaneous Equations
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads

1996

  1. Bayesian Posterior Distributions in Limited Information Analysis of the Simultaneous Equations Model Using the Jeffreys Prior
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (1)
  2. Efficiency Gains from Quasi-Differencing Under Nonstationarity
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (21)
  3. Forward Exchange Market Unbiasedness: The Case of the Australian Dollar Since 1984
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (1)
    See also Journal Article Forward exchange market unbiasedness: the case of the Australian dollar since 1984, Journal of International Money and Finance, Elsevier (1997) Downloads View citations (20) (1997)
  4. Spurious Regression Unmasked
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (6)

1995

  1. Automated Forecasts of Asia-Pacific Economic Activity
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (14)
  2. Impulse Response and Forecast Error Variance Asymptotics in Nonstationary VAR's
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (8)
    See also Journal Article Impulse response and forecast error variance asymptotics in nonstationary VARs, Journal of Econometrics, Elsevier (1998) Downloads View citations (168) (1998)
  3. Unit Root Tests
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (13)

1994

  1. Fully Modified IV, GIVE and GMM Estimation with Possibly Non-Stationary Regressions and Instruments
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (2)
    See also Journal Article Fully modified IV, GIVE and GMM estimation with possibly non-stationary regressors and instruments, Journal of Econometrics, Elsevier (1997) Downloads View citations (37) (1997)
  2. Model Determination and Macroeconomic Activity
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (6)
  3. Nonstationary Time Series and Cointegration: Recent Books and Themes for the Future
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (4)
  4. Robust Tests of Forward Exchange Market Efficiency with Empirical Evidence from the 1920's
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
    See also Journal Article Robust Tests of Forward Exchange Market Efficiency with Empirical Evidence from the 1920s, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (1996) Downloads View citations (22) (1996)

1993

  1. Fully Modified Least Squares and Vector Autoregression
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (17)
    See also Journal Article Fully Modified Least Squares and Vector Autoregression, Econometrica, Econometric Society (1995) Downloads View citations (248) (1995)
  2. Robust Nonstationary Regression
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (7)
    See also Journal Article Robust Nonstationary Regression, Econometric Theory, Cambridge University Press (1995) Downloads View citations (26) (1995)

1992

  1. Bayes Methods for Trending Multiple Time Series with an Empirical Application to the US Economy
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (10)
  2. Bayes Models and Forecasts of Australian Macroeconomic Time Series
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (4)
  3. Bayesian Model Selection and Prediction with Empirical Applications
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (3)
    See also Journal Article Bayesian model selection and prediction with empirical applications, Journal of Econometrics, Elsevier (1995) Downloads View citations (22) (1995)
  4. Hyper-Consistent Estimation of a Unit Root in Time Series Regression
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (7)
  5. Posterior Odds Testing for a Unit Root with Data-Based Model Selection
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (24)
    See also Journal Article Posterior Odds Testing for a Unit Root with Data-Based Model Selection, Econometric Theory, Cambridge University Press (1994) Downloads View citations (61) (1994)
  6. Some Exact Distribution Theory for Maximum Likelihood Estimators of Cointegrating Coefficients in Error Correction Models
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (1)
    See also Journal Article Some Exact Distribution Theory for Maximum Likelihood Estimators of Cointegrating Coefficients in Error Correction Models, Econometrica, Econometric Society (1994) Downloads View citations (70) (1994)
  7. Testing the Covariance Stationarity of Heavy-Tailed Time Series: An Overview of the Theory with Applications to Several Financial Datasets
    Working papers, Wisconsin Madison - Social Systems View citations (2)
    See also Journal Article Testing the covariance stationarity of heavy-tailed time series: An overview of the theory with applications to several financial datasets, Journal of Empirical Finance, Elsevier (1994) Downloads View citations (173) (1994)
  8. Time Series Modeling with a Bayesian Frame of Reference: Concepts, Illustrations and Asymptotics
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (3)

1991

  1. A Bayesian Analysis of Trend Determination in Economic Time Series
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (8)
  2. A Reexamination of the Consumption Function Using Frequency Domain Regressors
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
    See also Journal Article A Reexamination of the Consumption Function Using Frequency Domain Regressions, Empirical Economics, Springer (1994) View citations (20) (1994)
  3. A Rexamination of the Consumption Function Using Frequency Domain Regressions
    Working Papers, University of Iowa, Department of Economics
    See also Journal Article A Reexamination of the Consumption Function Using Frequency Domain Regressions, Empirical Economics, Springer (1994) View citations (20) (1994)
  4. Bayesian Routes and Unit Roots: de rebus prioribus semper est disputandum
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (28)
    See also Journal Article Bayesian Routes and Unit Roots: De Rebus Prioribus Semper Est Disputandum, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (1991) Downloads View citations (28) (1991)
  5. Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root: How Sure Are We That Economic Time Series Have a Unit Root?
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (42)
    Also in Working Papers, Michigan State - Econometrics and Economic Theory (1990) View citations (55)

    See also Journal Article Testing the null hypothesis of stationarity against the alternative of a unit root: How sure are we that economic time series have a unit root?, Journal of Econometrics, Elsevier (1992) Downloads View citations (4120) (1992)
  6. The Long-Run Australian Consumption Function Reexamined: An Empirical Exercise in Bayesian Influence
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (2)
  7. The Spurious Effect of Unit Roots on Exogeneity Tests in Vector Autoregressions: An Analytical Study
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (1)
  8. The Tail Behavior of Maximum Likelihood Estimates of Cointegrating Coefficients in Error Correction Models
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (2)
  9. Time Series Modelling with a Bayesian Frame of Reference: 1. Concepts and Illustrations
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (12)
  10. Unidentified Components in Reduced Rank Regression Estimation of ECM's
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (2)
  11. Unit Roots
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (2)
  12. Vector Autoregression and Causality
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (22)
    See also Journal Article Vector Autoregressions and Causality, Econometrica, Econometric Society (1993) Downloads View citations (405) (1993)
  13. Vector Autoregression and Causality: A Theoretical Overview and Simulation Study
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (18)

1990

  1. A Shortcut to LAD Estimator Asymptotics
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
    See also Journal Article A Shortcut to LAD Estimator Asymptotics, Econometric Theory, Cambridge University Press (1991) Downloads View citations (44) (1991)
  2. Operational Algebra and Regression t-Tests
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (1)
  3. Testing Covariance Stationarity Under Moment Condition Failure with an Application to Common Stock Returns
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (9)
  4. Testing forUnit Root in the Presence of Deterministic Trends
    Working Papers, Michigan State - Econometrics and Economic Theory View citations (5)
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (1989) Downloads View citations (19)
  5. To Criticize the Critics: An Objective Bayesian Analysis of Stochastic Trends
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (5)
    See also Journal Article To Criticize the Critics: An Objective Bayesian Analysis of Stochastic Trends, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (1991) Downloads View citations (134) (1991)

1989

  1. A Little Magic with the Cauchy Distribution
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
  2. A New Proof of Knight's Theorem on the Cauchy Distribution
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
  3. Asymptotic and Finite Sample Distribution Theory for IV Estimators and Tests in Partially Identified Structural Equations
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (6)
    See also Journal Article Asymptotic and finite sample distribution theory for IV estimators and tests in partially identified structural equations, Journal of Econometrics, Elsevier (1992) Downloads View citations (82) (1992)
  4. Asymptotics for Linear Processes
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (72)
  5. Error Correction and Long Run Equilibrium in Continuous Time
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
    See also Journal Article Error Correction and Long-Run Equilibrium in Continuous Time, Econometrica, Econometric Society (1991) Downloads View citations (70) (1991)
  6. Estimating Long Run Economic Equilibria
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (67)
    See also Journal Article Estimating Long-run Economic Equilibria, The Review of Economic Studies, Review of Economic Studies Ltd (1991) Downloads View citations (415) (1991)
  7. Optimal Inference in Cointegrated Systems
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (2)
    See also Journal Article Optimal Inference in Cointegrated Systems, Econometrica, Econometric Society (1991) Downloads View citations (487) (1991)
  8. Statistical Inference in Instrumental Variables
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (104)
  9. Testing for a Unit Root by Generalized Least Squares Methods in the Time and Frequency Domains
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
  10. The Durbin-Watson Ratio Under Infinite Variance Errors
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
    See also Journal Article The Durbin-Watson ratio under infinite-variance errors, Journal of Econometrics, Elsevier (1991) Downloads View citations (6) (1991)
  11. Time Series Regression with a Unit Root and Infinite Variance Errors
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
    See also Journal Article Time Series Regression With a Unit Root and Infinite-Variance Errors, Econometric Theory, Cambridge University Press (1990) Downloads View citations (36) (1990)

1988

  1. Asymptotic Properties of Residual Based Tests for Cointegration
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (8)
    See also Journal Article Asymptotic Properties of Residual Based Tests for Cointegration, Econometrica, Econometric Society (1990) Downloads View citations (985) (1990)
  2. Estimation and Inference in Models of Cointegration: A Simulation Study
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (9)
  3. Partially Identified Econometric Models
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (29)
    See also Journal Article Partially Identified Econometric Models, Econometric Theory, Cambridge University Press (1989) Downloads View citations (166) (1989)
  4. Reflections on Econometric Methodology
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (38)
    See also Journal Article Reflections on Econometric Methodology, The Economic Record, The Economic Society of Australia (1988) Downloads View citations (35) (1988)
  5. Spectral Regression for Cointegrated Time Series
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (25)
  6. Testing for a Unit Root in the Presence of a Maintained Trend
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (114)
  7. The Characteristic Function of the Dirichlet and Multivariate F Distributions
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (2)

1987

  1. Bimodal t-Ratios
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (4)
  2. Conditional and Unconditional Statistical Independence
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
    See also Journal Article Conditional and unconditional statistical independence, Journal of Econometrics, Elsevier (1988) Downloads View citations (5) (1988)
  3. Multiple Regression with Integrated Time Series
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (144)
  4. Regression Theory for Near-Integrated Time Series
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
    See also Journal Article Regression Theory for Near-Integrated Time Series, Econometrica, Econometric Society (1988) Downloads View citations (127) (1988)
  5. Spherical Matrix Distributions and Cauchy Quotients
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (2)
    See also Journal Article Spherical matrix distributions and cauchy quotients, Statistics & Probability Letters, Elsevier (1989) Downloads View citations (5) (1989)
  6. Statistical Inference in Regressions with Integrated Processes: Part 1
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (32)
    See also Journal Article Statistical Inference in Regressions with Integrated Processes: Part 1, Econometric Theory, Cambridge University Press (1988) Downloads View citations (223) (1988)
  7. Statistical Inference in Regressions with Integrated Processes: Part 2
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (39)
    See also Journal Article Statistical Inference in Regressions with Integrated Processes: Part 2, Econometric Theory, Cambridge University Press (1989) Downloads View citations (181) (1989)
  8. Testing for Cointegration Using Principal Component Measures
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
  9. Testing for a Unit Root in Time Series Regression
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (443)
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1986) View citations (367)

    See also Journal Article Time Series Regression with a Unit Root, Econometrica, Econometric Society (1987) Downloads View citations (1133) (1987)
  10. Weak Convergence of Sample Covariance Matrices to Stochastic Integrals via Martingale Approximations
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (3)
    See also Journal Article Weak Convergence of Sample Covariance Matrices to Stochastic Integrals Via Martingale Approximations, Econometric Theory, Cambridge University Press (1988) Downloads View citations (33) (1988)

1986

  1. An Everywhere Convergent Series Representation of the Distribution of Hotelling's Generalized T_{0}^{2}
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (1)
  2. Asymptotic Equivalence of OLS and GLS in Regressions with Integrated Regressors
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (7)
  3. Best Median Unbiased Estimation in Linear Regression with Bounded Asymmetric Loss Functions
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (3)
  4. Does Gnp Have a Unit Root? a Reevaluation
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques View citations (5)
    See also Journal Article Does GNP have a unit root?: A re-evaluation, Economics Letters, Elsevier (1987) Downloads View citations (45) (1987)
  5. On the Formulation of Wald Tests of Nonlinear Restrictions
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (4)
    See also Journal Article On the Formulation of Wald Tests of Nonlinear Restrictions, Econometrica, Econometric Society (1988) Downloads View citations (60) (1988)
  6. Time Series Regression with a Unit Root
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (44)
    See also Journal Article Time Series Regression with a Unit Root, Econometrica, Econometric Society (1987) Downloads View citations (1133) (1987)
  7. Towards a Unified Asymptotic Theory for Autoregression
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (1)
  8. Trends Versus Random Walks in Time Series Analysis
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (2)
    See also Journal Article Trends versus Random Walks in Time Series Analysis, Econometrica, Econometric Society (1988) Downloads View citations (107) (1988)
  9. Weak Convergence to the Matrix Stochastic Integral BdB
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (5)

1985

  1. Asymptotic Expansions in Nonstationary Vector Autoregressions
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (4)
    See also Journal Article Asymptotic Expansions in Nonstationary Vector Autoregressions, Econometric Theory, Cambridge University Press (1987) Downloads View citations (12) (1987)
  2. Fractional Matrix Calculus and the Distribution of Multivariate Tests
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (2)
  3. Multiple Time Series Regression with Integrated Processes
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (7)
    See also Journal Article Multiple Time Series Regression with Integrated Processes, The Review of Economic Studies, Review of Economic Studies Ltd (1986) Downloads View citations (354) (1986)
  4. The Distribution of FIML in the Leading Case
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
    See also Journal Article The Distribution of FIML in the Leading Case, International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association (1986) Downloads View citations (4) (1986)
  5. Understanding Spurious Regressions in Econometrics
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (68)
    See also Journal Article Understanding spurious regressions in econometrics, Journal of Econometrics, Elsevier (1986) Downloads View citations (731) (1986)

1984

  1. Testing for Serial Correlation and Unit Roots Using a Computer Function Routine Bases on ERA's
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
  2. The Exact Distribution of the Wald Statistic
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
    See also Journal Article The Exact Distribution of the Wald Statistic, Econometrica, Econometric Society (1986) Downloads View citations (9) (1986)
  3. The Exact Distribution of the Wald Statistic: The Non-Central Case
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads

1983

  1. Finite Sample Econometrics Using ERA's
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (3)
  2. On University Education in Econometrics: Remarks on an Article by Eric R. Sowey
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
  3. The Exact Distribution of Exogenous Variable Coefficient Estimators
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
    See also Journal Article The exact distribution of exogenous variable coefficient estimators, Journal of Econometrics, Elsevier (1984) Downloads View citations (6) (1984)
  4. The Exact Distribution of LIML: II
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (1982) Downloads

    See also Journal Article The Exact Distribution of LIML: II, International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association (1985) Downloads View citations (21) (1985)
  5. The Exact Distribution of Zellner's SUR
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
  6. The Exact Distribution of the Stein-Rule Estimator
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
    See also Journal Article The exact distribution of the Stein-rule estimator, Journal of Econometrics, Elsevier (1984) Downloads View citations (9) (1984)

1982

  1. ERA's: A New Approach to Small Sample Theory
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
    See also Journal Article ERAs: A New Approach to Small Sample Theory, Econometrica, Econometric Society (1983) Downloads View citations (15) (1983)
  2. Exact Small Sample Theory in the Simultaneous Equations Model
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (4)
    See also Chapter Exact small sample theory in the simultaneous equations model, Handbook of Econometrics, Elsevier (1983) Downloads View citations (97) (1983)
  3. Failure of the Alternation Theorem in Rational Approximations Over C_0(-infinity,infinity)
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
  4. On the Exact Distribution of LIML (revised and extended, see CFDP 658)
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
  5. Small Sample Distribution Theory in Econometric Models of Simultaneous Equations
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (9)
  6. The Distribution of Matrix Quotients
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
    See also Journal Article The distribution of matrix quotients, Journal of Multivariate Analysis, Elsevier (1985) Downloads View citations (2) (1985)

1981

  1. A New Approach to Small Sample Theory
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
  2. Marginal Densities of Instrumental Variable Estimators in the General Single Equation Case
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (7)

1980

  1. A Model of Output, Employment, Capital Formation and Inflation
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (6)
  2. Best Uniform Approximation to Probability Densities in Econometrics
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (1)
  3. Characteristic Functions and the Tail Behavior of Probability Distributions
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
  4. On a Lemma of Amemiya
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
  5. On the Behavior of Inconsistent Instrumental Variable Estimators
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (5)
    See also Journal Article On the behavior of inconsistent instrumental variable estimators, Journal of Econometrics, Elsevier (1982) Downloads View citations (27) (1982)
  6. On the Consistency of Non-Linear FIML
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
    See also Journal Article On the Consistency of Nonlinear FIML, Econometrica, Econometric Society (1982) Downloads View citations (9) (1982)
  7. The Characteristic Function of the F Distribution
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads

1979

  1. A SMALL MODEL OF OUTPUT, EMPLOYMENT, CAPITAL FORMATION AND INFLATION, APPLIED TO THE NEW ZEALAND ECONOMY
    Working Papers, University of Sydney, School of Economics Downloads

1978

  1. A Note on the Saddlepoint Approximation in the First Order Non-Circular Autoregression
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (1)

Undated

  1. Limit Theory for Dating the Origination and Collapse of Mildly Explosive Periods in Time Series Data
    Working Papers, Singapore Management University, Sim Kee Boon Institute for Financial Economics Downloads
  2. Restricted Likelihood Ratio Tests in Predictive Regression
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (1)
  3. Testing Equality of Covariance Matrices via Pythagorean Means
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads

Journal Articles

2024

  1. Bootstrap Inference for Quantile Treatment Effects in Randomized Experiments with Matched Pairs
    The Review of Economics and Statistics, 2024, 106, (2), 542-556 Downloads
    See also Working Paper Bootstrap Inference for Quantile Treatment Effects in Randomized Experiments with Matched Pairs, Papers (2021) Downloads View citations (4) (2021)
  2. High-dimensional IV cointegration estimation and inference
    Journal of Econometrics, 2024, 238, (2) Downloads
  3. Panel data models with time-varying latent group structures
    Journal of Econometrics, 2024, 240, (1) Downloads
    See also Working Paper Panel Data Models with Time-Varying Latent Group Structures, Cowles Foundation Discussion Papers (2023) Downloads (2023)
  4. Robust inference of panel data models with interactive fixed effects under long memory: A frequency domain approach
    Journal of Econometrics, 2024, 241, (2) Downloads
  5. Robust inference on correlation under general heterogeneity
    Journal of Econometrics, 2024, 240, (1) Downloads
    See also Working Paper Robust Inference on Correlation under General Heterogeneity, Cowles Foundation Discussion Papers (2023) Downloads (2023)
  6. Robust testing for explosive behavior with strongly dependent errors
    Journal of Econometrics, 2024, 238, (2) Downloads
    See also Working Paper Robust Testing for Explosive Behavior with Strongly Dependent Errors, Economics and Statistics Working Papers (2022) Downloads View citations (1) (2022)

2023

  1. A PANEL CLUSTERING APPROACH TO ANALYZING BUBBLE BEHAVIOR
    International Economic Review, 2023, 64, (4), 1347-1395 Downloads
    See also Working Paper A Panel Clustering Approach to Analyzing Bubble Behavior, Economics and Statistics Working Papers (2022) Downloads View citations (1) (2022)
  2. CONTINUOUSLY UPDATED INDIRECT INFERENCE IN HETEROSKEDASTIC SPATIAL MODELS
    Econometric Theory, 2023, 39, (1), 107-145 Downloads
    See also Working Paper Continuously Updated Indirect Inference in Heteroskedastic Spatial Models, Cowles Foundation Discussion Papers (2019) Downloads View citations (1) (2019)
  3. Common Bubble Detection in Large Dimensional Financial Systems*
    Journal of Financial Econometrics, 2023, 21, (4), 989-1063 Downloads
    See also Working Paper Common Bubble Detection in Large Dimensional Financial Systems, Cowles Foundation Discussion Papers (2020) Downloads View citations (1) (2020)
  4. Diagnosing housing fever with an econometric thermometer
    Journal of Economic Surveys, 2023, 37, (1), 159-186 Downloads View citations (4)
    See also Working Paper Diagnosing Housing Fever with an Econometric Thermometer, Cowles Foundation Discussion Papers (2020) Downloads View citations (2) (2020)
  5. ESTIMATION AND INFERENCE WITH NEAR UNIT ROOTS
    Econometric Theory, 2023, 39, (2), 221-263 Downloads View citations (5)
    See also Working Paper Estimation and Inference with Near Unit Roots, Cowles Foundation Discussion Papers (2021) Downloads View citations (2) (2021)
  6. Fully modified least squares cointegrating parameter estimation in multicointegrated systems
    Journal of Econometrics, 2023, 232, (2), 300-319 Downloads View citations (2)
    See also Working Paper Fully Modified Least Squares Cointegrating Parameter Estimation in Multicointegrated Systems, Papers (2021) Downloads View citations (3) (2021)
  7. High-dimensional VARs with common factors
    Journal of Econometrics, 2023, 233, (1), 155-183 Downloads View citations (4)
    See also Working Paper High-Dimensional VARs with Common Factors, Cowles Foundation Discussion Papers (2020) Downloads View citations (2) (2020)
  8. Housing Fever in Australia 2020–23: Insights from an Econometric Thermometer
    Australian Economic Review, 2023, 56, (3), 357-362 Downloads
  9. Information loss in volatility measurement with flat price trading
    Empirical Economics, 2023, 64, (6), 2957-2999 Downloads View citations (1)
    See also Working Paper Information Loss in Volatility Measurement with Flat Price Trading, Global COE Hi-Stat Discussion Paper Series (2009) Downloads View citations (1) (2009)
  10. LIMIT THEORY FOR LOCALLY FLAT FUNCTIONAL COEFFICIENT REGRESSION
    Econometric Theory, 2023, 39, (5), 900-949 Downloads
    See also Working Paper Limit Theory for Locally Flat Functional Coefficient Regression, Cowles Foundation Discussion Papers (2021) Downloads View citations (1) (2021)
  11. OPTIMAL BANDWIDTH SELECTION IN NONLINEAR COINTEGRATING REGRESSION
    Econometric Theory, 2023, 39, (6), 1325-1337 Downloads
  12. Regression-adjusted estimation of quantile treatment effects under covariate-adaptive randomizations
    Journal of Econometrics, 2023, 234, (2), 758-776 Downloads View citations (1)
    See also Working Paper Regression-Adjusted Estimation of Quantile Treatment Effects under Covariate-Adaptive Randomizations, Papers (2022) Downloads View citations (2) (2022)
  13. Robust inference with stochastic local unit root regressors in predictive regressions
    Journal of Econometrics, 2023, 235, (2), 563-591 Downloads View citations (2)
    See also Working Paper Robust Inference with Stochastic Local Unit Root Regressors in Predictive Regressions, Cowles Foundation Discussion Papers (2021) Downloads (2021)
  14. The impact of upzoning on housing construction in Auckland
    Journal of Urban Economics, 2023, 136, (C) Downloads View citations (1)
    See also Working Paper The Impact of Upzoning on Housing Construction in Auckland, Cowles Foundation Discussion Papers (2022) Downloads (2022)
  15. When bias contributes to variance: True limit theory in functional coefficient cointegrating regression
    Journal of Econometrics, 2023, 232, (2), 469-489 Downloads View citations (2)
    See also Working Paper When Bias Contributes to Variance: True Limit Theory in Functional Coefficient Cointegrating Regression, Cowles Foundation Discussion Papers (2020) Downloads View citations (2) (2020)

2022

  1. Functional coefficient panel modeling with communal smoothing covariates
    Journal of Econometrics, 2022, 227, (2), 371-407 Downloads View citations (3)
    See also Working Paper Functional Coefficient Panel Modeling with Communal Smoothing Covariates, Cowles Foundation Discussion Papers (2019) Downloads View citations (1) (2019)
  2. PARAMETRIC CONDITIONAL MEAN INFERENCE WITH FUNCTIONAL DATA APPLIED TO LIFETIME INCOME CURVES
    International Economic Review, 2022, 63, (1), 391-456 Downloads View citations (1)
  3. ROBUST TESTS FOR WHITE NOISE AND CROSS-CORRELATION
    Econometric Theory, 2022, 38, (5), 913-941 Downloads View citations (2)
    See also Working Paper Robust Tests for White Noise and Cross-Correlation, Cowles Foundation Discussion Papers (2020) Downloads View citations (7) (2020)
  4. Understanding temporal aggregation effects on kurtosis in financial indices
    Journal of Econometrics, 2022, 227, (1), 25-46 Downloads View citations (1)
    See also Working Paper Understanding Temporal Aggregation Effects on Kurtosis in Financial Indices, Cowles Foundation Discussion Papers (2018) Downloads (2018)

2021

  1. BOOSTING: WHY YOU CAN USE THE HP FILTER
    International Economic Review, 2021, 62, (2), 521-570 Downloads View citations (21)
    See also Working Paper Boosting: Why You Can Use the HP Filter, Papers (2020) Downloads View citations (6) (2020)
  2. BUSINESS CYCLES, TREND ELIMINATION, AND THE HP FILTER
    International Economic Review, 2021, 62, (2), 469-520 Downloads View citations (10)
    See also Working Paper Business Cycles, Trend Elimination, and the HP Filter, Cowles Foundation Discussion Papers (2015) Downloads View citations (37) (2015)
  3. House prices and affordability
    New Zealand Economic Papers, 2021, 55, (1), 1-6 Downloads View citations (1)
  4. LATENT VARIABLE NONPARAMETRIC COINTEGRATING REGRESSION
    Econometric Theory, 2021, 37, (1), 138-168 Downloads View citations (2)
    See also Working Paper Latent Variable Nonparametric Cointegrating Regression, Cowles Foundation Discussion Papers (2017) Downloads (2017)
  5. NONLINEAR COINTEGRATING POWER FUNCTION REGRESSION WITH ENDOGENEITY
    Econometric Theory, 2021, 37, (6), 1173-1213 Downloads View citations (2)
    See also Working Paper Nonlinear Cointegrating Power Function Regression with Endogeneity, Cowles Foundation Discussion Papers (2019) Downloads View citations (4) (2019)
  6. Nonstationary panel models with latent group structures and cross-section dependence
    Journal of Econometrics, 2021, 221, (1), 198-222 Downloads View citations (9)
    See also Working Paper Nonstationary Panel Models with Latent Group Structures and Cross-Section Dependence, Economics and Statistics Working Papers (2020) Downloads View citations (2) (2020)
  7. Pitfalls in Bootstrapping Spurious Regression
    Journal of Quantitative Economics, 2021, 19, (1), 163-217 Downloads View citations (1)

2020

  1. Asymptotic theory for near integrated processes driven by tempered linear processes
    Journal of Econometrics, 2020, 216, (1), 192-202 Downloads View citations (2)
  2. Dynamic Panel Modeling of Climate Change
    Econometrics, 2020, 8, (3), 1-28 Downloads View citations (2)
    See also Working Paper Dynamic Panel Modeling of Climate Change, Cowles Foundation Discussion Papers (2018) Downloads View citations (2) (2018)
  3. Econometric estimates of Earth’s transient climate sensitivity
    Journal of Econometrics, 2020, 214, (1), 6-32 Downloads View citations (2)
  4. Hybrid stochastic local unit roots
    Journal of Econometrics, 2020, 215, (1), 257-285 Downloads View citations (6)
    See also Working Paper Hybrid Stochastic Local Unit Roots, Cowles Foundation Discussion Papers (2017) Downloads View citations (2) (2017)
  5. Kernel-based Inference in Time-Varying Coefficient Cointegrating Regression
    Journal of Econometrics, 2020, 215, (2), 607-632 Downloads View citations (4)
    See also Working Paper Kernel-Based Inference In Time-Varying Coefficient Cointegrating Regression, Cowles Foundation Discussion Papers (2017) Downloads (2017)
  6. Point optimal testing with roots that are functionally local to unity
    Journal of Econometrics, 2020, 219, (2), 231-259 Downloads View citations (5)
    See also Working Paper Point Optimal Testing with Roots That Are Functionally Local to Unity, Cowles Foundation Discussion Papers (2017) Downloads View citations (4) (2017)

2019

  1. Detecting Financial Collapse and Ballooning Sovereign Risk
    Oxford Bulletin of Economics and Statistics, 2019, 81, (6), 1336-1361 Downloads View citations (24)
    See also Working Paper Detecting Financial Collapse and Ballooning Sovereign Risk, Cowles Foundation Discussion Papers (2017) Downloads View citations (12) (2017)
  2. HAR Testing for Spurious Regression in Trend
    Econometrics, 2019, 7, (4), 1-28 Downloads View citations (5)
    See also Working Paper HAR Testing for Spurious Regression in Trend, Cowles Foundation Discussion Papers (2018) Downloads View citations (1) (2018)
  3. Random coefficient continuous systems: Testing for extreme sample path behavior
    Journal of Econometrics, 2019, 209, (2), 208-237 Downloads View citations (7)
    See also Working Paper Random Coefficient Continuous Systems: Testing for Extreme Sample Path Behaviour, Cowles Foundation Discussion Papers (2017) Downloads View citations (2) (2017)
  4. The heterogeneous effects of the minimum wage on employment across states
    Economics Letters, 2019, 174, (C), 179-185 Downloads View citations (21)
    See also Working Paper The Heterogeneous Effects of the Minimum Wage on Employment Across States, Economics and Statistics Working Papers (2018) Downloads View citations (1) (2018)
  5. Uniform Inference in Panel Autoregression
    Econometrics, 2019, 7, (4), 1-28 Downloads View citations (1)
    See also Working Paper Uniform Inference in Panel Autoregression, Cowles Foundation Discussion Papers (2017) Downloads View citations (1) (2017)
  6. Weak σ-convergence: Theory and applications
    Journal of Econometrics, 2019, 209, (2), 185-207 Downloads View citations (8)
    See also Working Paper Weak s- Convergence: Theory and Applications, Cowles Foundation Discussion Papers (2017) Downloads View citations (2) (2017)

2018

  1. A frequentist approach to Bayesian asymptotics
    Journal of Econometrics, 2018, 206, (2), 359-378 Downloads View citations (1)
  2. Boundary Limit Theory for Functional Local to Unity Regression
    Journal of Time Series Analysis, 2018, 39, (4), 523-562 Downloads View citations (9)
    See also Working Paper Boundary Limit Theory for Functional Local to Unity Regression, Cowles Foundation Discussion Papers (2017) Downloads (2017)
  3. Change Detection and the Causal Impact of the Yield Curve
    Journal of Time Series Analysis, 2018, 39, (6), 966-987 Downloads View citations (82)
    See also Working Paper "Change Detection and the Causal Impact of the Yield Curve, Cowles Foundation Discussion Papers (2016) Downloads View citations (8) (2016)
  4. DYNAMIC PANEL ANDERSON-HSIAO ESTIMATION WITH ROOTS NEAR UNITY
    Econometric Theory, 2018, 34, (2), 253-276 Downloads View citations (7)
  5. FINANCIAL BUBBLE IMPLOSION AND REVERSE REGRESSION
    Econometric Theory, 2018, 34, (4), 705-753 Downloads View citations (66)
  6. Homogeneity pursuit in panel data models: Theory and application
    Journal of Applied Econometrics, 2018, 33, (6), 797-815 Downloads View citations (21)
    See also Working Paper Homogeneity Pursuit in Panel Data Models: Theory and Applications, Cowles Foundation Discussion Papers (2016) Downloads View citations (12) (2016)
  7. IV AND GMM INFERENCE IN ENDOGENOUS STOCHASTIC UNIT ROOT MODELS
    Econometric Theory, 2018, 34, (5), 1065-1100 Downloads View citations (6)
  8. Practical Kolmogorov–Smirnov Testing by Minimum Distance Applied to Measure Top Income Shares in Korea
    Journal of Business & Economic Statistics, 2018, 36, (3), 523-537 Downloads View citations (2)
    See also Working Paper Practical Kolmogorov-Smirnov Testing by Minimum Distance Applied to Measure Top Income Shares in Korea, Working papers (2016) Downloads View citations (1) (2016)
  9. Pythagorean generalization of testing the equality of two symmetric positive definite matrices
    Journal of Econometrics, 2018, 202, (1), 45-56 Downloads View citations (6)
    See also Working Paper Pythagorean Generalization of Testing the Equality of Two Symmetric Positive Definite Matrices, Working papers (2016) Downloads View citations (1) (2016)
  10. Sequentially testing polynomial model hypotheses using power transforms of regressors
    Journal of Applied Econometrics, 2018, 33, (1), 141-159 Downloads View citations (12)
    See also Working Paper Sequentially Testing Polynomial Model Hypotheses Using Power Transforms of Regressors, Cowles Foundation Discussion Papers (2016) Downloads (2016)
  11. Threshold regression asymptotics: From the compound Poisson process to two-sided Brownian motion
    Economics Letters, 2018, 172, (C), 123-126 Downloads View citations (2)
  12. Threshold regression with endogeneity
    Journal of Econometrics, 2018, 203, (1), 50-68 Downloads View citations (19)
    See also Working Paper Threshold Regression with Endogeneity, Cowles Foundation Discussion Papers (2014) Downloads View citations (8) (2014)

2017

  1. A multivariate stochastic unit root model with an application to derivative pricing
    Journal of Econometrics, 2017, 196, (1), 99-110 Downloads View citations (15)
    See also Working Paper A Multivariate Stochastic Unit Root Model with an Application to Derivative Pricing, Cowles Foundation Discussion Papers (2014) Downloads (2014)
  2. Econometric Reviews honors Esfandiar Maasoumi
    Econometric Reviews, 2017, 36, (6-9), 563-567 Downloads
  3. Edmond Malinvaud - an Economist's Econometrician
    Annals of Economics and Statistics, 2017, (125-126), 135-151 Downloads
  4. Estimating smooth structural change in cointegration models
    Journal of Econometrics, 2017, 196, (1), 180-195 Downloads View citations (40)
    See also Working Paper Estimating Smooth Structural Change in Cointegration Models, Monash Econometrics and Business Statistics Working Papers (2013) Downloads View citations (4) (2013)
  5. Indirect inference in spatial autoregression
    Econometrics Journal, 2017, 20, (2), 168-189 Downloads View citations (16)
  6. Inference in continuous systems with mildly explosive regressors
    Journal of Econometrics, 2017, 201, (2), 400-416 Downloads View citations (13)
  7. Labeling Demands, Coexistence and the Challenges for Trade
    Journal of Agricultural & Food Industrial Organization, 2017, 15, (1), 10 Downloads View citations (1)
  8. Lag length selection in panel autoregression
    Econometric Reviews, 2017, 36, (1-3), 225-240 Downloads View citations (12)
  9. Reduced forms and weak instrumentation
    Econometric Reviews, 2017, 36, (6-9), 818-839 Downloads View citations (2)
  10. Structural inference from reduced forms with many instruments
    Journal of Econometrics, 2017, 199, (2), 96-116 Downloads View citations (3)
    See also Working Paper Structural Inference from Reduced Forms with Many Instruments, Cowles Foundation Discussion Papers (2016) Downloads (2016)

2016

  1. Asset pricing with financial bubble risk
    Journal of Empirical Finance, 2016, 38, (PB), 590-622 Downloads View citations (22)
  2. Expert and Lay Public Risk Preferences Regarding Plants with Novel Traits
    Canadian Journal of Agricultural Economics/Revue canadienne d'agroeconomie, 2016, 64, (4), 717-738 Downloads
  3. Hot property in New Zealand: Empirical evidence of housing bubbles in the metropolitan centres
    New Zealand Economic Papers, 2016, 50, (1), 88-113 Downloads View citations (42)
    See also Working Paper Hot Property in New Zealand: Empirical Evidence of Housing Bubbles in the Metropolitan Centres, Cowles Foundation Discussion Papers (2015) Downloads View citations (15) (2015)
  4. Identifying Latent Structures in Panel Data
    Econometrica, 2016, 84, 2215-2264 Downloads View citations (123)
    See also Working Paper Identifying Latent Structures in Panel Data, Cowles Foundation Discussion Papers (2014) Downloads View citations (9) (2014)
  5. Meritocracy Voting: Measuring the Unmeasurable
    Econometric Reviews, 2016, 35, (1), 2-40 Downloads View citations (1)
    See also Working Paper Meritocracy Voting: Measuring the Unmeasurable, Cowles Foundation Discussion Papers (2011) Downloads (2011)
  6. Modeling speculative bubbles with diverse investor expectations
    Research in Economics, 2016, 70, (3), 375-387 Downloads View citations (5)
  7. NONPARAMETRIC COINTEGRATING REGRESSION WITH ENDOGENEITY AND LONG MEMORY
    Econometric Theory, 2016, 32, (2), 359-401 Downloads View citations (17)
  8. Robust econometric inference with mixed integrated and mildly explosive regressors
    Journal of Econometrics, 2016, 192, (2), 433-450 Downloads View citations (30)
  9. UNIFORM CONSISTENCY OF NONSTATIONARY KERNEL-WEIGHTED SAMPLE COVARIANCES FOR NONPARAMETRIC REGRESSION
    Econometric Theory, 2016, 32, (3), 655-685 Downloads View citations (7)
    See also Working Paper Uniform Consistency of Nonstationary Kernel-Weighted Sample Covariances for Nonparametric Regression, Monash Econometrics and Business Statistics Working Papers (2013) Downloads (2013)
  10. WEAK CONVERGENCE TO STOCHASTIC INTEGRALS FOR ECONOMETRIC APPLICATIONS
    Econometric Theory, 2016, 32, (6), 1349-1375 Downloads View citations (8)
    See also Working Paper Weak Convergence to Stochastic Integrals for Econometric Applications, Cowles Foundation Discussion Papers (2014) Downloads View citations (1) (2014)

2015

  1. AUTOMATED ESTIMATION OF VECTOR ERROR CORRECTION MODELS
    Econometric Theory, 2015, 31, (3), 581-646 Downloads View citations (30)
    See also Working Paper Automated Estimation of Vector Error Correction Models, Cowles Foundation Discussion Papers (2012) Downloads View citations (2) (2012)
  2. Edmond Malinvaud: a tribute to his contributions in econometrics
    Econometrics Journal, 2015, 18, (2), A1-A13 Downloads View citations (2)
    See also Working Paper Edmond Malinvaud: A Tribute to His Contributions in Econometrics, Cowles Foundation Discussion Papers (2015) Downloads View citations (2) (2015)
  3. Halbert White Jr. Memorial JFEC Lecture: Pitfalls and Possibilities in Predictive Regression†
    Journal of Financial Econometrics, 2015, 13, (3), 521-555 Downloads View citations (17)
  4. Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility
    Econometric Reviews, 2015, 34, (4), 512-536 Downloads View citations (9)
    See also Working Paper Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility, Cowles Foundation Discussion Papers (2012) Downloads View citations (2) (2012)
  5. Limit Theory for VARs with Mixed Roots Near Unity
    Econometric Reviews, 2015, 34, (6-10), 1035-1056 Downloads View citations (6)
  6. Model selection in the presence of incidental parameters
    Journal of Econometrics, 2015, 188, (2), 474-489 Downloads View citations (12)
    See also Working Paper Model Selection in the Presence of Incidental Parameters, Cowles Foundation Discussion Papers (2013) Downloads View citations (1) (2013)
  7. New methodology for constructing real estate price indices applied to the Singapore residential market
    Journal of Banking & Finance, 2015, 61, (S2), S121-S131 Downloads View citations (20)
  8. Nonparametric predictive regression
    Journal of Econometrics, 2015, 185, (2), 468-494 Downloads View citations (29)
    See also Working Paper Nonparametric Predictive Regression, CEPR Discussion Papers (2013) Downloads (2013)
  9. TESTING FOR MULTIPLE BUBBLES: HISTORICAL EPISODES OF EXUBERANCE AND COLLAPSE IN THE S&P 500
    International Economic Review, 2015, 56, (4), 1043-1078 Downloads View citations (128)
    See also Working Paper Testing for Multiple Bubbles 1: Historical Episodes of Exuberance and Collapse in the S&P 500, Working Papers (2013) Downloads View citations (92) (2013)
  10. TESTING FOR MULTIPLE BUBBLES: LIMIT THEORY OF REAL‐TIME DETECTORS
    International Economic Review, 2015, 56, (4), 1079-1134 Downloads View citations (71)
    See also Working Paper Testing for Multiple Bubbles 2: Limit Theory of Real Time Detectors, Working Papers (2013) Downloads View citations (6) (2013)
  11. Testing linearity using power transforms of regressors
    Journal of Econometrics, 2015, 187, (1), 376-384 Downloads View citations (27)
    See also Working Paper Testing Linearity Using Power Transforms of Regressors, Working papers (2015) Downloads View citations (27) (2015)
  12. The true limit distributions of the Anderson–Hsiao IV estimators in panel autoregression
    Economics Letters, 2015, 127, (C), 89-92 Downloads View citations (2)
    See also Working Paper True Limit Distributions of the Anderson-Hsiao IV Estimators in Panel Autoregression, Cowles Foundation Discussion Papers (2014) Downloads View citations (2) (2014)

2014

  1. Homage to Halbert White
    Journal of Financial Econometrics, 2014, 12, (4), 618-619 Downloads
  2. NORMING RATES AND LIMIT THEORY FOR SOME TIME-VARYING COEFFICIENT AUTOREGRESSIONS
    Journal of Time Series Analysis, 2014, 35, (6), 592-623 Downloads View citations (18)
    See also Working Paper Norming Rates and Limit Theory for Some Time-Varying Coefficient Autoregressions, Cowles Foundation Discussion Papers (2013) Downloads (2013)
  3. Nonlinearity Induced Weak Instrumentation
    Econometric Reviews, 2014, 33, (5-6), 676-712 Downloads View citations (4)
    See also Working Paper Non-linearity Induced Weak Instrumentation, University of Cyprus Working Papers in Economics (2012) Downloads View citations (1) (2012)
  4. On Confidence Intervals for Autoregressive Roots and Predictive Regression
    Econometrica, 2014, 82, (3), 1177-1195 Downloads View citations (49)
    See also Working Paper On Confidence Intervals for Autoregressive Roots and Predictive Regression, Cowles Foundation Discussion Papers (2012) Downloads View citations (5) (2012)
  5. Optimal estimation of cointegrated systems with irrelevant instruments
    Journal of Econometrics, 2014, 178, (P2), 210-224 Downloads View citations (17)
    See also Working Paper Optimal Estimation of Cointegrated Systems with Irrelevant Instruments, Cowles Foundation Discussion Papers (2006) Downloads View citations (9) (2006)
  6. Point‐optimal panel unit root tests with serially correlated errors
    Econometrics Journal, 2014, 17, (3), 338-372 Downloads View citations (4)
  7. SPECIAL ISSUE OF ECONOMETRIC THEORY ON SETA 2010: EDITORS’ INTRODUCTION
    Econometric Theory, 2014, 30, (1), 1-2 Downloads
  8. Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behaviour
    Oxford Bulletin of Economics and Statistics, 2014, 76, (3), 315-333 Downloads View citations (86)
    See also Working Paper Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behavior, Cowles Foundation Discussion Papers (2012) Downloads View citations (3) (2012)
  9. Testing the Martingale Hypothesis
    Journal of Business & Economic Statistics, 2014, 32, (4), 537-554 Downloads View citations (7)
    See also Working Paper Testing the Martingale Hypothesis, Cowles Foundation Discussion Papers (2013) Downloads View citations (1) (2013)
  10. UNIT ROOTS IN LIFE—A GRADUATE STUDENT STORY
    Econometric Theory, 2014, 30, (4), 719-736 Downloads
    See also Working Paper Unit Roots in Life -- A Graduate Student Story, Cowles Foundation Discussion Papers (2013) Downloads (2013)
  11. X-DIFFERENCING AND DYNAMIC PANEL MODEL ESTIMATION
    Econometric Theory, 2014, 30, (1), 201-251 Downloads View citations (28)
    See also Working Paper X-Differencing and Dynamic Panel Model Estimation, Cowles Foundation Discussion Papers (2010) Downloads View citations (1) (2010)

2013

  1. First difference maximum likelihood and dynamic panel estimation
    Journal of Econometrics, 2013, 175, (1), 35-45 Downloads View citations (16)
  2. INCONSISTENT VAR REGRESSION WITH COMMON EXPLOSIVE ROOTS
    Econometric Theory, 2013, 29, (4), 808-837 Downloads View citations (8)
    See also Working Paper Inconsistent VAR Regression with Common Explosive Roots, Cowles Foundation Discussion Papers (2011) Downloads View citations (2) (2011)
  3. Predictive regression under various degrees of persistence and robust long-horizon regression
    Journal of Econometrics, 2013, 177, (2), 250-264 Downloads View citations (65)
  4. Semiparametric estimation in triangular system equations with nonstationarity
    Journal of Econometrics, 2013, 176, (1), 59-79 Downloads View citations (27)

2012

  1. Cointegrating rank selection in models with time-varying variance
    Journal of Econometrics, 2012, 169, (2), 155-165 Downloads View citations (10)
    See also Working Paper Cointegrating Rank Selection in Models with Time-Varying Variance, Cowles Foundation Discussion Papers (2009) Downloads View citations (4) (2009)
  2. Dynamic misspecification in nonparametric cointegrating regression
    Journal of Econometrics, 2012, 168, (2), 270-284 Downloads View citations (14)
    See also Working Paper Dynamic Misspecification in Nonparametric Cointegrating Regression, University of Cyprus Working Papers in Economics (2009) Downloads View citations (4) (2009)
  3. Folklore Theorems, Implicit Maps, and Indirect Inference
    Econometrica, 2012, 80, (1), 425-454 Downloads View citations (35)
  4. Mean and autocovariance function estimation near the boundary of stationarity
    Journal of Econometrics, 2012, 169, (2), 166-178 Downloads View citations (5)
    See also Working Paper Mean and Autocovariance Function Estimation Near the Boundary of Stationarity, Cowles Foundation Discussion Papers (2009) Downloads (2009)
  5. NONLINEAR COINTEGRATING REGRESSION UNDER WEAK IDENTIFICATION
    Econometric Theory, 2012, 28, (3), 509-547 Downloads View citations (12)
    See also Working Paper Nonlinear Cointegrating Regression under Weak Identification, Cowles Foundation Discussion Papers (2010) Downloads (2010)
  6. Optimal estimation under nonstandard conditions
    Journal of Econometrics, 2012, 169, (2), 258-265 Downloads View citations (11)
    See also Working Paper Optimal Estimation under Nonstandard Conditions, Cowles Foundation Discussion Papers (2010) Downloads (2010)
  7. Testing for common trends in semi‐parametric panel data models with fixed effects
    Econometrics Journal, 2012, 15, (1), 56-100 Downloads View citations (22)
    See also Working Paper Testing for Common Trends in Semiparametric Panel Data Models with Fixed Effects, Cowles Foundation Discussion Papers (2011) Downloads View citations (2) (2011)

2011

  1. ASYMPTOTIC THEORY FOR ZERO ENERGY FUNCTIONALS WITH NONPARAMETRIC REGRESSION APPLICATIONS
    Econometric Theory, 2011, 27, (2), 235-259 Downloads View citations (27)
  2. Bias in estimating multivariate and univariate diffusions
    Journal of Econometrics, 2011, 161, (2), 228-245 Downloads View citations (12)
    See also Working Paper Bias in Estimating Multivariate and Univariate Diffusions, Cowles Foundation Discussion Papers (2011) Downloads View citations (13) (2011)
  3. Corrigendum to ‘A Gaussian approach for continuous time models of short‐term interest rates’ (Yu, J. and P. C. B. Phillips, Econometrics Journal, 4, 210–24)
    Econometrics Journal, 2011, 14, 126-129 Downloads
  4. Dating the timeline of financial bubbles during the subprime crisis
    Quantitative Economics, 2011, 2, (3), 455-491 Downloads View citations (323)
    See also Working Paper Dating the Timeline of Financial Bubbles during the Subprime Crisis, Cowles Foundation Discussion Papers (2010) Downloads View citations (15) (2010)
  5. EXPLOSIVE BEHAVIOR IN THE 1990s NASDAQ: WHEN DID EXUBERANCE ESCALATE ASSET VALUES?
    International Economic Review, 2011, 52, (1), 201-226 View citations (554)
    See also Working Paper Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values?, Working Papers (2009) Downloads (2009)
  6. Infinite Density at the Median and the Typical Shape of Stock Return Distributions
    Journal of Business & Economic Statistics, 2011, 29, (2), 282-294 Downloads View citations (3)
    Also in Journal of Business & Economic Statistics, 2011, 29, (2), 282-294 (2011) Downloads View citations (3)

    See also Working Paper Infinite Density at the Median and the Typical Shape of Stock Return Distributions, Cowles Foundation Discussion Papers (2009) Downloads View citations (1) (2009)
  7. Non‐parametric regression under location shifts
    Econometrics Journal, 2011, 14, (3), 457-486 Downloads View citations (3)
  8. POWER MAXIMIZATION AND SIZE CONTROL IN HETEROSKEDASTICITY AND AUTOCORRELATION ROBUST TESTS WITH EXPONENTIATED KERNELS
    Econometric Theory, 2011, 27, (6), 1320-1368 Downloads View citations (11)
    See also Working Paper Power Maximization and Size Control in Heteroskedasticity and Autocorrelation Robust Tests with Exponentiated Kernels, Cowles Foundation Discussion Papers (2010) Downloads (2010)
  9. Tilted Nonparametric Estimation of Volatility Functions With Empirical Applications
    Journal of Business & Economic Statistics, 2011, 29, (4), 518-528 Downloads View citations (18)
    Also in Journal of Business & Economic Statistics, 2011, 29, (4), 518-528 (2011) Downloads View citations (21)
  10. UNIFORM ASYMPTOTIC NORMALITY IN STATIONARY AND UNIT ROOT AUTOREGRESSION
    Econometric Theory, 2011, 27, (6), 1117-1151 Downloads View citations (7)
    See also Working Paper Uniform Asymptotic Normality in Stationary and Unit Root Autoregression, Cowles Foundation Discussion Papers (2010) Downloads View citations (1) (2010)

2010

  1. Bimodal t-ratios: the impact of thick tails on inference
    Econometrics Journal, 2010, 13, (2), 271-289 View citations (7)
  2. Bootstrapping I(1) data
    Journal of Econometrics, 2010, 158, (2), 280-284 Downloads View citations (1)
    See also Working Paper Bootstrapping I(1) Data, Cowles Foundation Discussion Papers (2009) Downloads (2009)
  3. GMM ESTIMATION FOR DYNAMIC PANELS WITH FIXED EFFECTS AND STRONG INSTRUMENTS AT UNITY
    Econometric Theory, 2010, 26, (1), 119-151 Downloads View citations (122)
    See also Working Paper GMM Estimation for Dynamic Panels with Fixed Effects and Strong Instruments at Unity, Cowles Foundation Discussion Papers (2007) Downloads View citations (4) (2007)
  4. Indirect inference for dynamic panel models
    Journal of Econometrics, 2010, 157, (1), 68-77 Downloads View citations (76)
    See also Working Paper Indirect Inference for Dynamic Panel Models, Development Economics Working Papers (2006) Downloads View citations (2) (2006)
  5. LAD ASYMPTOTICS UNDER CONDITIONAL HETEROSKEDASTICITY WITH POSSIBLY INFINITE ERROR DENSITIES
    Econometric Theory, 2010, 26, (3), 953-962 Downloads View citations (2)
    See also Working Paper LAD Asymptotics under Conditional Heteroskedasticity with Possibly Infinite Error Densities, Discussion Paper Series (2009) Downloads (2009)
  6. Smoothing local-to-moderate unit root theory
    Journal of Econometrics, 2010, 158, (2), 274-279 Downloads View citations (15)
    See also Working Paper Smoothing Local-to-Moderate Unit Root Theory, Cowles Foundation Discussion Papers (2008) Downloads (2008)
  7. Testing Linearity in Cointegrating Relations With an Application to Purchasing Power Parity
    Journal of Business & Economic Statistics, 2010, 28, (1), 96-114 Downloads View citations (29)
    See also Working Paper Testing Linearity in Cointegrating Relations with an Application to Purchasing Power Parity, Cowles Foundation Discussion Papers (2005) Downloads View citations (7) (2005)
  8. Two New Zealand pioneer econometricians
    New Zealand Economic Papers, 2010, 44, (1), 1-26 Downloads View citations (3)
    See also Working Paper Two New Zealand Pioneer Econometricians, Cowles Foundation Discussion Papers (2010) Downloads View citations (3) (2010)

2009

  1. A two-stage realized volatility approach to estimation of diffusion processes with discrete data
    Journal of Econometrics, 2009, 150, (2), 139-150 Downloads View citations (15)
  2. ASYMPTOTIC THEORY FOR LOCAL TIME DENSITY ESTIMATION AND NONPARAMETRIC COINTEGRATING REGRESSION
    Econometric Theory, 2009, 25, (3), 710-738 Downloads View citations (75)
    See also Working Paper Asymptotic Theory for Local Time Density Estimation and Nonparametric Cointegrating Regression, Cowles Foundation Discussion Papers (2006) Downloads View citations (5) (2006)
  3. EXACT DISTRIBUTION THEORY IN STRUCTURAL ESTIMATION WITH AN IDENTITY
    Econometric Theory, 2009, 25, (4), 958-984 Downloads View citations (2)
    See also Working Paper Exact Distribution Theory in Structural Estimation with an Identity, Cowles Foundation Discussion Papers (2007) Downloads (2007)
  4. Economic transition and growth
    Journal of Applied Econometrics, 2009, 24, (7), 1153-1185 Downloads View citations (344)
    Also in Journal of Applied Econometrics, 2009, 24, (7), 1153-1185 (2009) Downloads View citations (338)

    See also Working Paper Economic Transition and Growth, Cowles Foundation Discussion Papers (2005) Downloads View citations (5) (2005)
  5. LIMIT THEORY FOR COINTEGRATED SYSTEMS WITH MODERATELY INTEGRATED AND MODERATELY EXPLOSIVE REGRESSORS
    Econometric Theory, 2009, 25, (2), 482-526 Downloads View citations (46)
  6. LOCAL LIMIT THEORY AND SPURIOUS NONPARAMETRIC REGRESSION
    Econometric Theory, 2009, 25, (6), 1466-1497 Downloads View citations (15)
    See also Working Paper Local Limit Theory and Spurious Nonparametric Regression, Cowles Foundation Discussion Papers (2008) Downloads (2008)
  7. Long memory and long run variation
    Journal of Econometrics, 2009, 151, (2), 150-158 Downloads View citations (2)
    See also Working Paper Long Memory and Long Run Variation, Cowles Foundation Discussion Papers (2008) Downloads (2008)
  8. Semiparametric cointegrating rank selection
    Econometrics Journal, 2009, 12, (s1), S83-S104 View citations (18)
    See also Working Paper Semiparametric Cointegrating Rank Selection, Cowles Foundation Discussion Papers (2008) Downloads View citations (6) (2008)
  9. Simulation-Based Estimation of Contingent-Claims Prices
    The Review of Financial Studies, 2009, 22, (9), 3669-3705 Downloads View citations (18)
    See also Working Paper Simulation-based Estimation of Contingent-claims Prices, Finance Working Papers (2008) Downloads View citations (1) (2008)
  10. Structural Nonparametric Cointegrating Regression
    Econometrica, 2009, 77, (6), 1901-1948 Downloads View citations (70)
    See also Working Paper Structural Nonparametric Cointegrating Regression, Cowles Foundation Discussion Papers (2008) Downloads View citations (9) (2008)
  11. UNIT ROOT AND COINTEGRATING LIMIT THEORY WHEN INITIALIZATION IS IN THE INFINITE PAST
    Econometric Theory, 2009, 25, (6), 1682-1715 Downloads View citations (41)
    See also Working Paper Unit Root and Cointegrating Limit Theory When Initialization Is in the Infinite Past, Cowles Foundation Discussion Papers (2008) Downloads View citations (2) (2008)

2008

  1. A complete asymptotic series for the autocovariance function of a long memory process
    Journal of Econometrics, 2008, 147, (1), 99-103 Downloads View citations (5)
    See also Working Paper A Complete Asymptotic Series for the Autocovariance Function of a Long Memory Process, Cowles Foundation Discussion Papers (2006) Downloads View citations (1) (2006)
  2. Adaptive estimation of autoregressive models with time-varying variances
    Journal of Econometrics, 2008, 142, (1), 265-280 Downloads View citations (57)
    See also Working Paper Adaptive Estimation of Autoregressive Models with Time-Varying Variances, Cowles Foundation Discussion Papers (2006) Downloads View citations (1) (2006)
  3. GAUSSIAN INFERENCE IN AR(1) TIME SERIES WITH OR WITHOUT A UNIT ROOT
    Econometric Theory, 2008, 24, (3), 631-650 Downloads View citations (12)
    See also Working Paper Gaussian Inference in AR(1) Time Series with or without a Unit Root, Cowles Foundation Discussion Papers (2006) Downloads View citations (2) (2006)
  4. LIMIT THEORY FOR EXPLOSIVELY COINTEGRATED SYSTEMS
    Econometric Theory, 2008, 24, (4), 865-887 Downloads View citations (16)
    See also Working Paper Limit Theory for Explosively Cointegrated Systems, Cowles Foundation Discussion Papers (2007) Downloads View citations (1) (2007)
  5. Optimal Bandwidth Selection in Heteroskedasticity-Autocorrelation Robust Testing
    Econometrica, 2008, 76, (1), 175-194 Downloads View citations (114)
    See also Working Paper Optimal Bandwidth Selection in Heteroskedasticity-Autocorrelation Robust Testing, Cowles Foundation Discussion Papers (2006) Downloads View citations (3) (2006)
  6. REGRESSION ASYMPTOTICS USING MARTINGALE CONVERGENCE METHODS
    Econometric Theory, 2008, 24, (4), 888-947 Downloads View citations (30)
    See also Working Paper Regression asymptotics using martingale convergence methods, Scholarly Articles (2008) Downloads View citations (28) (2008)
  7. Refined Inference on Long Memory in Realized Volatility
    Econometric Reviews, 2008, 27, (1-3), 254-267 Downloads View citations (23)
    See also Working Paper Refined Inference on Long Memory in Realized Volatility, Cowles Foundation Discussion Papers (2006) Downloads View citations (2) (2006)

2007

  1. A simple approach to the parametric estimation of potentially nonstationary diffusions
    Journal of Econometrics, 2007, 137, (2), 354-395 Downloads View citations (23)
    See also Working Paper A Simple Approach to the Parametric Estimation of Potentially Nonstationary Diffusions, Cowles Foundation Discussion Papers (2005) Downloads View citations (6) (2005)
  2. Bias in dynamic panel estimation with fixed effects, incidental trends and cross section dependence
    Journal of Econometrics, 2007, 137, (1), 162-188 Downloads View citations (138)
    See also Working Paper Bias in Dynamic Panel Estimation with Fixed Effects, Incidental Trends and Cross Section Dependence, Yale School of Management Working Papers (2004) Downloads View citations (14) (2004)
  3. Incidental trends and the power of panel unit root tests
    Journal of Econometrics, 2007, 141, (2), 416-459 Downloads View citations (56)
    See also Working Paper Incidental Trends and the Power of Panel Unit Root Tests, IEPR Working Papers (2005) View citations (2) (2005)
  4. LONG-RUN COVARIANCE MATRICES FOR FRACTIONALLY INTEGRATED PROCESSES
    Econometric Theory, 2007, 23, (6), 1233-1247 Downloads View citations (10)
    See also Working Paper Long Run Covariance Matrices for Fractionally Integrated Processes, Cowles Foundation Discussion Papers (2007) Downloads View citations (9) (2007)
  5. Limit theory for moderate deviations from a unit root
    Journal of Econometrics, 2007, 136, (1), 115-130 Downloads View citations (241)
    See also Working Paper Limit Theory for Moderate Deviations from a Unit Root, Cowles Foundation Discussion Papers (2004) Downloads View citations (7) (2004)
  6. Nonstationary discrete choice: A corrigendum and addendum
    Journal of Econometrics, 2007, 141, (2), 1115-1130 Downloads View citations (10)
    See also Working Paper Nonstationary Discrete Choice: A Corrigendum and Addendum, Cowles Foundation Discussion Papers (2005) Downloads View citations (4) (2005)
  7. REGRESSION WITH SLOWLY VARYING REGRESSORS AND NONLINEAR TRENDS
    Econometric Theory, 2007, 23, (4), 557-614 Downloads View citations (35)
  8. Some empirics on economic growth under heterogeneous technology
    Journal of Macroeconomics, 2007, 29, (3), 455-469 Downloads View citations (38)
  9. Transition Modeling and Econometric Convergence Tests
    Econometrica, 2007, 75, (6), 1771-1855 Downloads View citations (591)
    See also Working Paper Transition Modeling and Econometric Convergence Tests, Cowles Foundation Discussion Papers (2007) Downloads View citations (587) (2007)
  10. Unit root log periodogram regression
    Journal of Econometrics, 2007, 138, (1), 104-124 Downloads View citations (67)
    See also Working Paper Unit Root Log Periodogram Regression, Cowles Foundation Discussion Papers (1999) Downloads View citations (40) (1999)

2006

  1. A REMARK ON BIMODALITY AND WEAK INSTRUMENTATION IN STRUCTURAL EQUATION ESTIMATION
    Econometric Theory, 2006, 22, (5), 947-960 Downloads View citations (10)
    See also Working Paper A Remark on Bimodality and Weak Instrumentation in Structural Equation Estimation, Cowles Foundation Discussion Papers (2005) Downloads View citations (1) (2005)
  2. A new approach to robust inference in cointegration
    Economics Letters, 2006, 91, (2), 300-306 Downloads View citations (7)
    See also Working Paper A New Approach to Robust Inference in Cointegration, Cowles Foundation Discussion Papers (2005) Downloads (2005)
  3. Comment
    Journal of Business & Economic Statistics, 2006, 24, 202-208 Downloads
  4. GMM with Many Moment Conditions
    Econometrica, 2006, 74, (1), 147-192 Downloads View citations (71)
    See also Working Paper GMM with Many Moment Conditions, Cowles Foundation Discussion Papers (2005) Downloads View citations (5) (2005)
  5. Inference in Autoregression under Heteroskedasticity
    Journal of Time Series Analysis, 2006, 27, (2), 289-308 Downloads View citations (42)
  6. Local Whittle estimation of fractional integration and some of its variants
    Journal of Econometrics, 2006, 130, (2), 209-233 Downloads View citations (82)
  7. ON THE BREITUNG TEST FOR PANEL UNIT ROOTS AND LOCAL ASYMPTOTIC POWER
    Econometric Theory, 2006, 22, (6), 1179-1190 Downloads View citations (12)
  8. SPECTRAL DENSITY ESTIMATION AND ROBUST HYPOTHESIS TESTING USING STEEP ORIGIN KERNELS WITHOUT TRUNCATION
    International Economic Review, 2006, 47, (3), 837-894 View citations (29)
    See also Working Paper Spectral Density Estimation and Robust Hypothesis Testing Using Steep Origin Kernels Without Truncation, University of California at San Diego, Economics Working Paper Series (2004) Downloads (2004)
  9. Uniform Limit Theory for Stationary Autoregression
    Journal of Time Series Analysis, 2006, 27, (1), 51-60 Downloads View citations (61)
    See also Working Paper Uniform Limit Theory for Stationary Autoregression, Cowles Foundation Discussion Papers (2004) Downloads View citations (2) (2004)

2005

  1. AUTOMATED DISCOVERY IN ECONOMETRICS
    Econometric Theory, 2005, 21, (1), 3-20 Downloads View citations (13)
    See also Working Paper Automated Discovery in Econometrics, Cowles Foundation Discussion Papers (2004) Downloads View citations (5) (2004)
  2. Albert Rex Bergstrom 1925-2005
    New Zealand Economic Papers, 2005, 39, (2), 129-152 Downloads View citations (2)
  3. Challenges of trending time series econometrics
    Mathematics and Computers in Simulation (MATCOM), 2005, 68, (5), 401-416 Downloads View citations (36)
    See also Working Paper Challenges of Trending Time Series Econometrics, Cowles Foundation Discussion Papers (2004) Downloads View citations (5) (2004)
  4. Econometric Analysis of Fisher's Equation
    American Journal of Economics and Sociology, 2005, 64, (1), 125-168 Downloads View citations (9)
    See also Working Paper Econometric Analysis of Fisher's Equation, Cowles Foundation Discussion Papers (1998) Downloads View citations (32) (1998)
  5. Expansions for approximate maximum likelihood estimators of the fractional difference parameter
    Econometrics Journal, 2005, 8, (3), 367-379 View citations (4)
    See also Working Paper Expansions for Approximate Maximum Likelihood Estimators of the Fractional Difference Parameter, Cowles Foundation Discussion Papers (2004) Downloads View citations (4) (2004)
  6. HAC ESTIMATION BY AUTOMATED REGRESSION
    Econometric Theory, 2005, 21, (1), 116-142 Downloads View citations (60)
    See also Working Paper HAC Estimation by Automated Regression, Cowles Foundation Discussion Papers (2004) Downloads View citations (8) (2004)
  7. Jackknifing Bond Option Prices
    The Review of Financial Studies, 2005, 18, (2), 707-742 Downloads View citations (62)
    See also Working Paper Jackknifing Bond Option Prices, Econometric Society 2004 North American Winter Meetings (2004) Downloads View citations (2) (2004)
  8. Prewhitening Bias in HAC Estimation
    Oxford Bulletin of Economics and Statistics, 2005, 67, (4), 517-546 Downloads View citations (141)
    See also Working Paper Prewhitening Bias in HAC Estimation, Yale School of Management Working Papers (2004) Downloads View citations (10) (2004)

2004

  1. EXPANSIONS FOR THE DISTRIBUTION OF THE MAXIMUM LIKELIHOOD ESTIMATOR OF THE FRACTIONAL DIFFERENCE PARAMETER
    Econometric Theory, 2004, 20, (3), 464-484 Downloads View citations (10)
  2. Error bounds and asymptotic expansions for toeplitz product functionals of unbounded spectra
    Journal of Time Series Analysis, 2004, 25, (5), 733-753 Downloads View citations (4)
    See also Working Paper Error Bounds and Asymptotic Expansions for Toeplitz Product Functionals of Unbounded Spectra, Cowles Foundation Discussion Papers (2002) Downloads (2002)
  3. GMM Estimation of Autoregressive Roots Near Unity with Panel Data
    Econometrica, 2004, 72, (2), 467-522 Downloads View citations (22)
    See also Working Paper GMM Estimation of Autoregressive Roots Near Unity with Panel Data, Cowles Foundation Discussion Papers (2003) Downloads View citations (1) (2003)
  4. Nonlinear instrumental variable estimation of an autoregression
    Journal of Econometrics, 2004, 118, (1-2), 219-246 Downloads View citations (27)
    See also Working Paper Nonlinear Instrumental Variable Estimation of an Autoregression, Cowles Foundation Discussion Papers (2001) Downloads View citations (1) (2001)
  5. Nonstationary discrete choice
    Journal of Econometrics, 2004, 120, (1), 103-138 Downloads View citations (66)
    See also Working Paper Nonstationary Discrete Choice, Cowles Foundation Discussion Papers (2002) Downloads View citations (10) (2002)

2003

  1. 02.3.1. Regression with an Evaporating Logarithmic Trend— Solution
    Econometric Theory, 2003, 19, (4), 692-701 Downloads View citations (1)
  2. An Introduction to Best Empirical Models when the Parameter Space is Infinite Dimensional*
    Oxford Bulletin of Economics and Statistics, 2003, 65, (s1), 877-890 Downloads View citations (1)
  3. Dynamic panel estimation and homogeneity testing under cross section dependence &ast
    Econometrics Journal, 2003, 6, (1), 217-259 View citations (534)
  4. Empirical Limits for Time Series Econometric Models
    Econometrica, 2003, 71, (2), 627-673 View citations (25)
    See also Working Paper Empirical Limits for Time Series Econometric Models, Cowles Foundation Discussion Papers (1999) Downloads View citations (8) (1999)
  5. Fully Nonparametric Estimation of Scalar Diffusion Models
    Econometrica, 2003, 71, (1), 241-283 View citations (106)
    See also Working Paper Fully Nonparametric Estimation of Scalar Diffusion Models, Cowles Foundation Discussion Papers (2001) Downloads View citations (5) (2001)
  6. IN MEMORY OF JOHN DENIS SARGAN
    Econometric Theory, 2003, 19, (3), 417-422 Downloads View citations (1)
  7. Inference in Arch and Garch Models with Heavy--Tailed Errors
    Econometrica, 2003, 71, (1), 285-317 View citations (149)
  8. Laws and Limits of Econometrics
    Economic Journal, 2003, 113, (486), C26-C52 View citations (30)
    See also Working Paper Laws and Limits of Econometrics, Cowles Foundation Discussion Papers (2003) Downloads View citations (29) (2003)
  9. Nonlinear log-periodogram regression for perturbed fractional processes
    Journal of Econometrics, 2003, 115, (2), 355-389 Downloads View citations (58)
    See also Working Paper Nonlinear Log-Periodogram Regression for Perturbed Fractional Processes, Cowles Foundation Discussion Papers (2002) Downloads View citations (1) (2002)
  10. THE 2000–2002 TJALLING C. KOOPMANS ECONOMETRIC THEORY PRIZE
    Econometric Theory, 2003, 19, (6), 1201-1202 Downloads
  11. VISION AND INFLUENCE IN ECONOMETRICS: JOHN DENIS SARGAN
    Econometric Theory, 2003, 19, (3), 495-511 Downloads View citations (5)
    See also Working Paper Vision and Influence in Econometrics: John Denis Sargan, Cowles Foundation Discussion Papers (2003) Downloads View citations (5) (2003)

2002

  1. A CUSUM test for cointegration using regression residuals
    Journal of Econometrics, 2002, 108, (1), 43-61 Downloads View citations (41)
    See also Working Paper A CUSUM Test for Cointegration Using Regression Residuals, Cowles Foundation Discussion Papers (2001) Downloads View citations (3) (2001)
  2. Band Spectral Regression with Trending Data
    Econometrica, 2002, 70, (3), 1067-1109 View citations (74)
    See also Working Paper Band Spectral Regression with Trending Data, Working Papers (1997) View citations (5) (1997)
  3. Higher order approximations for Wald statistics in time series regressions with integrated processes
    Journal of Econometrics, 2002, 108, (1), 157-198 Downloads View citations (5)
  4. Jeffreys prior analysis of the simultaneous equations model in the case with n+1 endogenous variables
    Journal of Econometrics, 2002, 111, (2), 251-283 Downloads View citations (6)
    See also Working Paper Jeffreys Prior Analysis of the Simultaneous Equations Model in the Case with n+1 Endogenous Variables, Cowles Foundation Discussion Papers (1998) Downloads (1998)
  5. New unit root asymptotics in the presence of deterministic trends
    Journal of Econometrics, 2002, 111, (2), 323-353 Downloads View citations (12)
    See also Working Paper New Unit Root Asymptotics in the Presence of Deterministic Trends, Cowles Foundation Discussion Papers (1998) Downloads View citations (2) (1998)
  6. Pooled Log Periodogram Regression
    Journal of Time Series Analysis, 2002, 23, (1), 57-93 Downloads View citations (28)
    See also Working Paper Pooled Log Periodogram Regression, Cowles Foundation Discussion Papers (2000) Downloads View citations (7) (2000)
  7. The KPSS test with seasonal dummies
    Economics Letters, 2002, 77, (2), 239-243 Downloads View citations (11)
    See also Working Paper The KPSS Test with Seasonal Dummies, Cowles Foundation Discussion Papers (2002) Downloads View citations (10) (2002)

2001

  1. A Gaussian approach for continuous time models of the short-term interest rate
    Econometrics Journal, 2001, 4, (2), 3 View citations (32)
  2. Descriptive econometrics for non-stationary time series with empirical illustrations
    Journal of Applied Econometrics, 2001, 16, (3), 389-413 Downloads View citations (14)
    See also Working Paper Descriptive Econometrics for Nonstationary Time Series with Empirical Illustrations, Cowles Foundation Discussion Papers (1999) Downloads View citations (5) (1999)
  3. HOW TO ESTIMATE AUTOREGRESSIVE ROOTS NEAR UNITY
    Econometric Theory, 2001, 17, (1), 29-69 Downloads View citations (29)
    See also Working Paper How to Estimate Autoregressive Roots Near Unity, University of California at Santa Barbara, Economics Working Paper Series (1999) Downloads (1999)
  4. Nonlinear Regressions with Integrated Time Series
    Econometrica, 2001, 69, (1), 117-61 View citations (224)
    See also Working Paper Nonlinear Regressions with Integrated Time Series, Cowles Foundation Discussion Papers (1998) Downloads View citations (2) (1998)
  5. Nonlinear econometric models with cointegrated and deterministically trending regressors
    Econometrics Journal, 2001, 4, (1), 1-36 View citations (79)
    See also Working Paper Nonlinear Econometric Models with Cointegrated and Deterministically Trending Regressors, Cowles Foundation Discussion Papers (1999) Downloads View citations (22) (1999)
  6. Rethinking an old empirical puzzle: econometric evidence on the forward discount anomaly
    Journal of Applied Econometrics, 2001, 16, (6), 671-708 Downloads View citations (120)
  7. Structural Change Tests in Tail Behaviour and the Asian Crisis
    The Review of Economic Studies, 2001, 68, (3), 633-663 Downloads View citations (66)
  8. Trending time series and macroeconomic activity: Some present and future challenges
    Journal of Econometrics, 2001, 100, (1), 21-27 Downloads View citations (45)
    See also Working Paper Trending Time Series and Macroeconomic Activity: Some Present and Future Challenges, Cowles Foundation Discussion Papers (2000) Downloads (2000)

2000

  1. Auditing the cost effectiveness of radon mitigation in the workplace
    Managerial Auditing Journal, 2000, 15, (4), 153-160 Downloads
    Also in Managerial Auditing Journal, 1999, 14, (9), 461-468 (1999) Downloads
  2. ESTIMATION OF AUTOREGRESSIVE ROOTS NEAR UNITY USING PANEL DATA
    Econometric Theory, 2000, 16, (6), 927-997 Downloads View citations (42)
    See also Working Paper Estimation of Autoregressive Roots Near Unity Using Panel Data, Cowles Foundation Discussion Papers (1999) Downloads View citations (14) (1999)
  3. Forecasting New Zealand's real GDP
    New Zealand Economic Papers, 2000, 34, (2), 159-181 Downloads View citations (2)
    See also Working Paper Forecasting New Zealand's Real GDP, Working Papers (2000) Downloads View citations (2) (2000)
  4. Nonstationary Binary Choice
    Econometrica, 2000, 68, (5), 1249-1280 View citations (80)
    See also Working Paper Nonstationary Binary Choice, Cowles Foundation Discussion Papers (1999) Downloads (1999)
  5. Nonstationary panel data analysis: an overview of some recent developments
    Econometric Reviews, 2000, 19, (3), 263-286 Downloads View citations (163)
    See also Working Paper Nonstationary Panel Data Analysis: An Overview of Some Recent Developments, Cowles Foundation Discussion Papers (1999) Downloads View citations (49) (1999)

1999

  1. ASYMPTOTICS FOR NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES
    Econometric Theory, 1999, 15, (3), 269-298 Downloads View citations (184)
    See also Working Paper Asymptotics for Nonlinear Transformations of Integrated Time Series, Cowles Foundation Discussion Papers (1998) Downloads View citations (10) (1998)
  2. EFFICIENT DETRENDING IN COINTEGRATING REGRESSION
    Econometric Theory, 1999, 15, (4), 519-548 Downloads View citations (20)
  3. Linear Regression Limit Theory for Nonstationary Panel Data
    Econometrica, 1999, 67, (5), 1057-1112 View citations (838)
    See also Working Paper Linear Regression Limit Theory for Nonstationary Panel Data, Cowles Foundation Discussion Papers (1999) Downloads View citations (821) (1999)
  4. Model selection in partially nonstationary vector autoregressive processes with reduced rank structure
    Journal of Econometrics, 1999, 91, (2), 227-271 Downloads View citations (61)
    See also Working Paper Model Selection in Partially Nonstationary Vector Autoregressive Processes with Reduced Rank Structure, Cowles Foundation Discussion Papers (1997) Downloads View citations (2) (1997)

1998

  1. A Primer on Unit Root Testing
    Journal of Economic Surveys, 1998, 12, (5), 423-470 Downloads View citations (115)
    See also Working Paper A Primer on Unit Root Testing, Cowles Foundation Discussion Papers (1998) Downloads View citations (114) (1998)
  2. An ADF coefficient test for a unit root in ARMA models of unknown order with empirical applications to the US economy
    Econometrics Journal, 1998, 1, (RegularPapers), 27-43 View citations (19)
    See also Working Paper An ADF Coefficient Test for a Unit Root in ARMA Models of Unknown Order with Empirical Applications to the U.S. Economy, Cowles Foundation Discussion Papers (1997) Downloads View citations (7) (1997)
  3. Higher-order approximations for frequency domain time series regression
    Journal of Econometrics, 1998, 86, (2), 297-336 Downloads View citations (16)
  4. Impulse response and forecast error variance asymptotics in nonstationary VARs
    Journal of Econometrics, 1998, 83, (1-2), 21-56 Downloads View citations (168)
    See also Working Paper Impulse Response and Forecast Error Variance Asymptotics in Nonstationary VAR's, Cowles Foundation Discussion Papers (1995) Downloads View citations (8) (1995)
  5. New Tools for Understanding Spurious Regressions
    Econometrica, 1998, 66, (6), 1299-1326 View citations (90)
  6. Posterior distributions in limited information analysis of the simultaneous equations model using the Jeffreys prior
    Journal of Econometrics, 1998, 87, (1), 49-86 Downloads View citations (34)

1997

  1. Forward exchange market unbiasedness: the case of the Australian dollar since 1984
    Journal of International Money and Finance, 1997, 16, (6), 885-907 Downloads View citations (20)
    See also Working Paper Forward Exchange Market Unbiasedness: The Case of the Australian Dollar Since 1984, Cowles Foundation Discussion Papers (1996) Downloads View citations (1) (1996)
  2. Fully modified IV, GIVE and GMM estimation with possibly non-stationary regressors and instruments
    Journal of Econometrics, 1997, 80, (1), 85-123 Downloads View citations (37)
    See also Working Paper Fully Modified IV, GIVE and GMM Estimation with Possibly Non-Stationary Regressions and Instruments, Cowles Foundation Discussion Papers (1994) Downloads View citations (2) (1994)

1996

  1. An Asymptotic Theory of Bayesian Inference for Time Series
    Econometrica, 1996, 64, (2), 381-412 Downloads View citations (78)
  2. Econometric Model Determination
    Econometrica, 1996, 64, (4), 763-812 Downloads View citations (91)
  3. Robust Tests of Forward Exchange Market Efficiency with Empirical Evidence from the 1920s
    Journal of Applied Econometrics, 1996, 11, (1), 1-22 Downloads View citations (22)
    See also Working Paper Robust Tests of Forward Exchange Market Efficiency with Empirical Evidence from the 1920's, Cowles Foundation Discussion Papers (1994) Downloads (1994)

1995

  1. Bayesian model selection and prediction with empirical applications
    Journal of Econometrics, 1995, 69, (1), 289-331 Downloads View citations (22)
    See also Working Paper Bayesian Model Selection and Prediction with Empirical Applications, Cowles Foundation Discussion Papers (1992) Downloads View citations (3) (1992)
  2. Bayesian prediction a response
    Journal of Econometrics, 1995, 69, (1), 351-365 Downloads View citations (5)
  3. Efficient IV Estimation in Nonstationary Regression
    Econometric Theory, 1995, 11, (5), 1095-1130 Downloads View citations (10)
  4. Fully Modified Least Squares and Vector Autoregression
    Econometrica, 1995, 63, (5), 1023-78 Downloads View citations (248)
    See also Working Paper Fully Modified Least Squares and Vector Autoregression, Cowles Foundation Discussion Papers (1993) Downloads View citations (17) (1993)
  5. Robust Nonstationary Regression
    Econometric Theory, 1995, 11, (5), 912-951 Downloads View citations (26)
    See also Working Paper Robust Nonstationary Regression, Cowles Foundation Discussion Papers (1993) Downloads View citations (7) (1993)
  6. Time Series Regression with Mixtures of Integrated Processes
    Econometric Theory, 1995, 11, (5), 1033-1094 Downloads View citations (10)
  7. Trending Multiple Time Series: Editor's Introduction
    Econometric Theory, 1995, 11, (5), 811-817 Downloads

1994

  1. A Reexamination of the Consumption Function Using Frequency Domain Regressions
    Empirical Economics, 1994, 19, (4), 595-609 View citations (20)
    See also Working Paper A Reexamination of the Consumption Function Using Frequency Domain Regressors, Cowles Foundation Discussion Papers (1991) Downloads (1991)
    Working Paper A Rexamination of the Consumption Function Using Frequency Domain Regressions, Working Papers (1991) (1991)
  2. Bayes Methods and Unit Roots
    Econometric Theory, 1994, 10, (3-4), 453-460 Downloads View citations (1)
  3. Posterior Odds Testing for a Unit Root with Data-Based Model Selection
    Econometric Theory, 1994, 10, (3-4), 774-808 Downloads View citations (61)
    See also Working Paper Posterior Odds Testing for a Unit Root with Data-Based Model Selection, Cowles Foundation Discussion Papers (1992) Downloads View citations (24) (1992)
  4. Reflections on the Day
    Journal of Economic Surveys, 1994, 8, (3), 311-16 View citations (1)
  5. Some Exact Distribution Theory for Maximum Likelihood Estimators of Cointegrating Coefficients in Error Correction Models
    Econometrica, 1994, 62, (1), 73-93 Downloads View citations (70)
    See also Working Paper Some Exact Distribution Theory for Maximum Likelihood Estimators of Cointegrating Coefficients in Error Correction Models, Cowles Foundation Discussion Papers (1992) Downloads View citations (1) (1992)
  6. Testing the covariance stationarity of heavy-tailed time series: An overview of the theory with applications to several financial datasets
    Journal of Empirical Finance, 1994, 1, (2), 211-248 Downloads View citations (173)
    See also Working Paper Testing the Covariance Stationarity of Heavy-Tailed Time Series: An Overview of the Theory with Applications to Several Financial Datasets, Working papers (1992) View citations (2) (1992)

1993

  1. Parameter Constancy in Cointegrating Regressions
    Empirical Economics, 1993, 18, (4), 675-706 View citations (53)
  2. Testing for a unit root by frequency domain regression
    Journal of Econometrics, 1993, 59, (3), 263-286 Downloads View citations (12)
  3. The spurious effect of unit roots on vector autoregressions: An analytical study
    Journal of Econometrics, 1993, 59, (3), 229-255 Downloads View citations (35)
  4. Vector Autoregressions and Causality
    Econometrica, 1993, 61, (6), 1367-93 Downloads View citations (405)
    See also Working Paper Vector Autoregression and Causality, Cowles Foundation Discussion Papers (1991) Downloads View citations (22) (1991)

1992

  1. Asymptotic and finite sample distribution theory for IV estimators and tests in partially identified structural equations
    Journal of Econometrics, 1992, 51, (1-2), 113-150 Downloads View citations (82)
    See also Working Paper Asymptotic and Finite Sample Distribution Theory for IV Estimators and Tests in Partially Identified Structural Equations, Cowles Foundation Discussion Papers (1989) Downloads View citations (6) (1989)
  2. LM Tests for a Unit Root in the Presence of Deterministic Trends
    Oxford Bulletin of Economics and Statistics, 1992, 54, (3), 257-87 View citations (446)
  3. Testing the null hypothesis of stationarity against the alternative of a unit root: How sure are we that economic time series have a unit root?
    Journal of Econometrics, 1992, 54, (1-3), 159-178 Downloads View citations (4120)
    See also Working Paper Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root: How Sure Are We That Economic Time Series Have a Unit Root?, Cowles Foundation Discussion Papers (1991) Downloads View citations (42) (1991)

1991

  1. A Shortcut to LAD Estimator Asymptotics
    Econometric Theory, 1991, 7, (4), 450-463 Downloads View citations (44)
    See also Working Paper A Shortcut to LAD Estimator Asymptotics, Cowles Foundation Discussion Papers (1990) Downloads (1990)
  2. Bayesian Routes and Unit Roots: De Rebus Prioribus Semper Est Disputandum
    Journal of Applied Econometrics, 1991, 6, (4), 435-73 Downloads View citations (28)
    See also Working Paper Bayesian Routes and Unit Roots: de rebus prioribus semper est disputandum, Cowles Foundation Discussion Papers (1991) Downloads View citations (28) (1991)
  3. Error Correction and Long-Run Equilibrium in Continuous Time
    Econometrica, 1991, 59, (4), 967-80 Downloads View citations (70)
    See also Working Paper Error Correction and Long Run Equilibrium in Continuous Time, Cowles Foundation Discussion Papers (1989) Downloads (1989)
  4. Estimating Long-run Economic Equilibria
    The Review of Economic Studies, 1991, 58, (3), 407-436 Downloads View citations (415)
    See also Working Paper Estimating Long Run Economic Equilibria, Cowles Foundation Discussion Papers (1989) Downloads View citations (67) (1989)
  5. Optimal Inference in Cointegrated Systems
    Econometrica, 1991, 59, (2), 283-306 Downloads View citations (487)
    See also Working Paper Optimal Inference in Cointegrated Systems, Cowles Foundation Discussion Papers (1989) Downloads View citations (2) (1989)
  6. The Durbin-Watson ratio under infinite-variance errors
    Journal of Econometrics, 1991, 47, (1), 85-114 Downloads View citations (6)
    See also Working Paper The Durbin-Watson Ratio Under Infinite Variance Errors, Cowles Foundation Discussion Papers (1989) Downloads (1989)
  7. To Criticize the Critics: An Objective Bayesian Analysis of Stochastic Trends
    Journal of Applied Econometrics, 1991, 6, (4), 333-64 Downloads View citations (134)
    See also Working Paper To Criticize the Critics: An Objective Bayesian Analysis of Stochastic Trends, Cowles Foundation Discussion Papers (1990) Downloads View citations (5) (1990)

1990

  1. Asymptotic Properties of Residual Based Tests for Cointegration
    Econometrica, 1990, 58, (1), 165-93 Downloads View citations (985)
    See also Working Paper Asymptotic Properties of Residual Based Tests for Cointegration, Cowles Foundation Discussion Papers (1988) Downloads View citations (8) (1988)
  2. Statistical Inference in Instrumental Variables Regression with I(1) Processes
    The Review of Economic Studies, 1990, 57, (1), 99-125 Downloads View citations (2140)
  3. Time Series Regression With a Unit Root and Infinite-Variance Errors
    Econometric Theory, 1990, 6, (1), 44-62 Downloads View citations (36)
    See also Working Paper Time Series Regression with a Unit Root and Infinite Variance Errors, Cowles Foundation Discussion Papers (1989) Downloads (1989)

1989

  1. Partially Identified Econometric Models
    Econometric Theory, 1989, 5, (2), 181-240 Downloads View citations (166)
    See also Working Paper Partially Identified Econometric Models, Cowles Foundation Discussion Papers (1988) Downloads View citations (29) (1988)
  2. Spherical matrix distributions and cauchy quotients
    Statistics & Probability Letters, 1989, 8, (1), 51-53 Downloads View citations (5)
    See also Working Paper Spherical Matrix Distributions and Cauchy Quotients, Cowles Foundation Discussion Papers (1987) Downloads View citations (2) (1987)
  3. Statistical Inference in Regressions with Integrated Processes: Part 2
    Econometric Theory, 1989, 5, (1), 95-131 Downloads View citations (181)
    See also Working Paper Statistical Inference in Regressions with Integrated Processes: Part 2, Cowles Foundation Discussion Papers (1987) Downloads View citations (39) (1987)

1988

  1. Conditional and unconditional statistical independence
    Journal of Econometrics, 1988, 38, (3), 341-348 Downloads View citations (5)
    See also Working Paper Conditional and Unconditional Statistical Independence, Cowles Foundation Discussion Papers (1987) Downloads (1987)
  2. On the Formulation of Wald Tests of Nonlinear Restrictions
    Econometrica, 1988, 56, (5), 1065-83 Downloads View citations (60)
    See also Working Paper On the Formulation of Wald Tests of Nonlinear Restrictions, Cowles Foundation Discussion Papers (1986) Downloads View citations (4) (1986)
  3. Reflections on Econometric Methodology
    The Economic Record, 1988, 64, (4), 344-359 Downloads View citations (35)
    See also Working Paper Reflections on Econometric Methodology, Cowles Foundation Discussion Papers (1988) Downloads View citations (38) (1988)
  4. Regression Theory for Near-Integrated Time Series
    Econometrica, 1988, 56, (5), 1021-43 Downloads View citations (127)
    See also Working Paper Regression Theory for Near-Integrated Time Series, Cowles Foundation Discussion Papers (1987) Downloads (1987)
  5. Statistical Inference in Regressions with Integrated Processes: Part 1
    Econometric Theory, 1988, 4, (3), 468-497 Downloads View citations (223)
    See also Working Paper Statistical Inference in Regressions with Integrated Processes: Part 1, Cowles Foundation Discussion Papers (1987) Downloads View citations (32) (1987)
  6. Testing for cointegration using principal components methods
    Journal of Economic Dynamics and Control, 1988, 12, (2-3), 205-230 Downloads View citations (76)
  7. Trends versus Random Walks in Time Series Analysis
    Econometrica, 1988, 56, (6), 1333-54 Downloads View citations (107)
    See also Working Paper Trends Versus Random Walks in Time Series Analysis, Cowles Foundation Discussion Papers (1986) Downloads View citations (2) (1986)
  8. Weak Convergence of Sample Covariance Matrices to Stochastic Integrals Via Martingale Approximations
    Econometric Theory, 1988, 4, (3), 528-533 Downloads View citations (33)
    See also Working Paper Weak Convergence of Sample Covariance Matrices to Stochastic Integrals via Martingale Approximations, Cowles Foundation Discussion Papers (1987) Downloads View citations (3) (1987)
  9. Weak convergence to the matrix stochastic integral [integral operator]01 B dB'
    Journal of Multivariate Analysis, 1988, 24, (2), 252-264 Downloads View citations (7)
  10. Worldwide Institutional and Individual Rankings in Statistical Theory by Journal Publications over the period 1980–1986
    Econometric Theory, 1988, 4, (1), 1-34 Downloads View citations (8)

1987

  1. An everywhere convergent series representation of the distribution of Hotelling's generalized T02
    Journal of Multivariate Analysis, 1987, 21, (2), 238-249 Downloads
  2. Asymptotic Expansions in Nonstationary Vector Autoregressions
    Econometric Theory, 1987, 3, (1), 45-68 Downloads View citations (12)
    See also Working Paper Asymptotic Expansions in Nonstationary Vector Autoregressions, Cowles Foundation Discussion Papers (1985) Downloads View citations (4) (1985)
  3. Does GNP have a unit root?: A re-evaluation
    Economics Letters, 1987, 23, (2), 139-145 Downloads View citations (45)
    See also Working Paper Does Gnp Have a Unit Root? a Reevaluation, Cahiers de recherche (1986) View citations (5) (1986)
  4. Time Series Regression with a Unit Root
    Econometrica, 1987, 55, (2), 277-301 Downloads View citations (1133)
    See also Working Paper Time Series Regression with a Unit Root, Cowles Foundation Discussion Papers (1986) Downloads View citations (44) (1986)
    Working Paper Testing for a Unit Root in Time Series Regression, Cowles Foundation Discussion Papers (1987) Downloads View citations (443) (1987)

1986

  1. Multiple Time Series Regression with Integrated Processes
    The Review of Economic Studies, 1986, 53, (4), 473-495 Downloads View citations (354)
    See also Working Paper Multiple Time Series Regression with Integrated Processes, Cowles Foundation Discussion Papers (1985) Downloads View citations (7) (1985)
  2. The Distribution of FIML in the Leading Case
    International Economic Review, 1986, 27, (1), 239-43 Downloads View citations (4)
    See also Working Paper The Distribution of FIML in the Leading Case, Cowles Foundation Discussion Papers (1985) Downloads (1985)
  3. The Exact Distribution of the Wald Statistic
    Econometrica, 1986, 54, (4), 881-95 Downloads View citations (9)
    See also Working Paper The Exact Distribution of the Wald Statistic, Cowles Foundation Discussion Papers (1984) Downloads (1984)
  4. Understanding spurious regressions in econometrics
    Journal of Econometrics, 1986, 33, (3), 311-340 Downloads View citations (731)
    See also Working Paper Understanding Spurious Regressions in Econometrics, Cowles Foundation Discussion Papers (1985) Downloads View citations (68) (1985)

1985

  1. A Theorem on the Tail Behaviour of Probability Distributions with an Application to the Stable Family
    Canadian Journal of Economics, 1985, 18, (1), 58-65 Downloads View citations (3)
  2. The Exact Distribution of LIML: II
    International Economic Review, 1985, 26, (1), 21-36 Downloads View citations (21)
    Also in International Economic Review, 1984, 25, (1), 249-61 (1984) Downloads View citations (27)

    See also Working Paper The Exact Distribution of LIML: II, Cowles Foundation Discussion Papers (1983) Downloads (1983)
  3. The Exact Distribution of the SUR Estimator
    Econometrica, 1985, 53, (4), 745-56 Downloads View citations (8)
  4. The distribution of matrix quotients
    Journal of Multivariate Analysis, 1985, 16, (1), 157-161 Downloads View citations (2)
    See also Working Paper The Distribution of Matrix Quotients, Cowles Foundation Discussion Papers (1982) Downloads (1982)

1984

  1. The exact distribution of exogenous variable coefficient estimators
    Journal of Econometrics, 1984, 26, (3), 387-398 Downloads View citations (6)
    See also Working Paper The Exact Distribution of Exogenous Variable Coefficient Estimators, Cowles Foundation Discussion Papers (1983) Downloads (1983)
  2. The exact distribution of the Stein-rule estimator
    Journal of Econometrics, 1984, 25, (1-2), 123-131 Downloads View citations (9)
    See also Working Paper The Exact Distribution of the Stein-Rule Estimator, Cowles Foundation Discussion Papers (1983) Downloads (1983)

1983

  1. ERAs: A New Approach to Small Sample Theory
    Econometrica, 1983, 51, (5), 1505-25 Downloads View citations (15)
    See also Working Paper ERA's: A New Approach to Small Sample Theory, Cowles Foundation Discussion Papers (1982) Downloads (1982)

1982

  1. A simple proof of the latent root sensitivity formula
    Economics Letters, 1982, 9, (1), 57-59 Downloads View citations (1)
  2. On the Consistency of Nonlinear FIML
    Econometrica, 1982, 50, (5), 1307-24 Downloads View citations (9)
    See also Working Paper On the Consistency of Non-Linear FIML, Cowles Foundation Discussion Papers (1980) Downloads (1980)
  3. On the behavior of inconsistent instrumental variable estimators
    Journal of Econometrics, 1982, 19, (2-3), 183-201 Downloads View citations (27)
    See also Working Paper On the Behavior of Inconsistent Instrumental Variable Estimators, Cowles Foundation Discussion Papers (1980) View citations (5) (1980)

1980

  1. Finite Sample Theory and the Distributions of Alternative Estimators of the Marginal Propensity to Consume
    The Review of Economic Studies, 1980, 47, (1), 183-224 Downloads View citations (17)
  2. The Exact Distribution of Instrumental Variable Estimators in an Equation Containing n + 1 Endogenous Variables
    Econometrica, 1980, 48, (4), 861-78 Downloads View citations (43)

1979

  1. A Saddlepoint Approximation to the Distribution of the k-Class Estimator of a Coefficient in a Simultaneous System
    Econometrica, 1979, 47, (6), 1527-47 Downloads View citations (11)
  2. The concentration ellipsoid of a random vector
    Journal of Econometrics, 1979, 11, (2-3), 363-365 Downloads View citations (1)
  3. The sampling distribution of forecasts from a first-order autoregression
    Journal of Econometrics, 1979, 9, (3), 241-261 Downloads View citations (29)

1977

  1. A General Theorem in the Theory of Asymptotic Expansions as Approximations to the Finite Sample Distributions of Econometric Estimators
    Econometrica, 1977, 45, (6), 1517-34 Downloads View citations (32)
  2. A large deviation limit theorem for multivariate distributions
    Journal of Multivariate Analysis, 1977, 7, (1), 50-62 Downloads
  3. An approximation to the finite sample distribution of Zellner's seemingly unrelated regression estimator
    Journal of Econometrics, 1977, 6, (2), 147-164 Downloads View citations (4)
  4. Approximations to Some Finite Sample Distributions Associated with a First-Order Stochastic Difference Equation
    Econometrica, 1977, 45, (2), 463-85 Downloads View citations (61)

1976

  1. The Iterated Minimum Distance Estimator and the Quasi-Maximum Likelihood Estimator
    Econometrica, 1976, 44, (3), 449-60 Downloads View citations (6)

1974

  1. A Forecasting Model for the United Kingdom Invisible Account
    National Institute Economic Review, 1974, 69, 58-76 Downloads
  2. The Estimation of Some Continuous Time Models
    Econometrica, 1974, 42, (5), 803-23 Downloads View citations (18)

1973

  1. The problem of identification in finite parameter continuous time models
    Journal of Econometrics, 1973, 1, (4), 351-362 Downloads View citations (43)

1972

  1. The Structural Estimation of a Stochastic Differential Equation System
    Econometrica, 1972, 40, (6), 1021-41 Downloads View citations (30)

Chapters

2023

  1. Discrete Fourier Transforms of Fractional Processes with Econometric Applications*
    A chapter in Essays in Honor of Joon Y. Park: Econometric Theory, 2023, vol. 45A, pp 3-71 Downloads
    See also Working Paper Discrete Fourier Transforms of Fractional Processes with Econometric Applications, Cowles Foundation for Research in Economics, Yale University (2021) Downloads (2021)

2020

  1. Testing Convergence Using HAR Inference
    A chapter in Essays in Honor of Cheng Hsiao, 2020, vol. 41, pp 25-72 Downloads View citations (2)

2019

  1. John Denis Sargan (1924–1996)
    Palgrave Macmillan

2016

  1. Inference in Near-Singular Regression
    A chapter in Essays in Honor of Aman Ullah, 2016, vol. 36, pp 461-486 Downloads View citations (7)
    See also Working Paper Inference in Near Singular Regression, Cowles Foundation for Research in Economics, Yale University (2015) Downloads (2015)

1983

  1. Exact small sample theory in the simultaneous equations model
    Chapter 08 in Handbook of Econometrics, 1983, vol. 1, pp 449-516 Downloads View citations (97)
    See also Working Paper Exact Small Sample Theory in the Simultaneous Equations Model, Cowles Foundation for Research in Economics, Yale University (1982) Downloads View citations (4) (1982)
 
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