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Details about Yongcheol Shin

Workplace:Department of Economics and Related Studies, University of York, (more information at EDIRC)

Access statistics for papers by Yongcheol Shin.

Last updated 2024-05-06. Update your information in the RePEc Author Service.

Short-id: psh557


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Working Papers

2023

  1. Dynamic Quantile Panel Data Models with Interactive Effects
    Economics Discussion Papers, Department of Economics, University of Reading Downloads
  2. Reflections on "Testing for Unit Roots in Heterogeneous Panels"
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge Downloads
    Also in CESifo Working Paper Series, CESifo (2023) Downloads
  3. Regional Productivity Network in the EU
    CESifo Working Paper Series, CESifo Downloads
  4. The Asymmetric Response of Dividends to Earnings News
    Working papers, Yonsei University, Yonsei Economics Research Institute Downloads View citations (2)
    See also Journal Article The asymmetric response of dividends to earnings news, Finance Research Letters, Elsevier (2023) Downloads View citations (2) (2023)

2021

  1. Dynamic Network Quantile Regression Model
    Papers, arXiv.org Downloads View citations (1)
    See also Journal Article Dynamic Network Quantile Regression Model, Journal of Business & Economic Statistics, Taylor & Francis Journals (2024) Downloads (2024)
  2. Recent Developments of the Autoregressive Distributed Lag Modelling Framework
    Working papers, Yonsei University, Yonsei Economics Research Institute Downloads View citations (9)
    See also Journal Article Recent developments of the autoregressive distributed lag modelling framework, Journal of Economic Surveys, Wiley Blackwell (2023) Downloads View citations (3) (2023)

2020

  1. Canonical Correlation-based Model Selection for the Multilevel Factors
    Working Papers, Nam Duck-Woo Economic Research Institute, Sogang University (Former Research Institute for Market Economy) Downloads
    See also Journal Article Canonical correlation-based model selection for the multilevel factors, Journal of Econometrics, Elsevier (2023) Downloads View citations (1) (2023)
  2. Dynamic Spatial Network Quantile Autoregression
    IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" Downloads View citations (1)
  3. Estimation and Inference in Heterogeneous Spatial Panel Data Models with a Multifactor Error Structure
    Discussion Papers, Department of Economics, University of York Downloads View citations (1)
  4. Online Appendix for Canonical Correlation-based Model Selection for the Multilevel Factors
    Working Papers, Nam Duck-Woo Economic Research Institute, Sogang University (Former Research Institute for Market Economy) Downloads
  5. Spatial Attendance Spillover in the European Football Leagues
    Working Papers, Nam Duck-Woo Economic Research Institute, Sogang University (Former Research Institute for Market Economy) Downloads

2019

  1. Estimation and Inference for Multi-dimensional Heterogeneous Panel Datasets with Hierarchical Multi-factor Error Structure
    SERIES, Dipartimento di Economia e Finanza - Università degli Studi di Bari "Aldo Moro" Downloads
    See also Journal Article Estimation and inference for multi-dimensional heterogeneous panel datasets with hierarchical multi-factor error structure, Journal of Econometrics, Elsevier (2021) Downloads View citations (7) (2021)
  2. Testing for Correlated Factor Loadings in Cross Sectionally Dependent Panels
    SERIES, Dipartimento di Economia e Finanza - Università degli Studi di Bari "Aldo Moro" Downloads View citations (2)
  3. Two-Step Estimation of the Nonlinear Autoregressive Distributed Lag Model
    Working papers, Yonsei University, Yonsei Economics Research Institute Downloads View citations (3)

2017

  1. What’s Mine Is Yours: Sovereign Risk Transmission during the European Debt Crisis
    Melbourne Institute Working Paper Series, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne Downloads View citations (6)

2014

  1. Dynamic Panels with Threshold Effect and Endogeneity
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE Downloads View citations (9)
    See also Journal Article Dynamic panels with threshold effect and endogeneity, Journal of Econometrics, Elsevier (2016) Downloads View citations (162) (2016)
  2. Mapping Korea's International Linkages using Generalised Connectedness Measures
    Working Papers, Economic Research Institute, Bank of Korea Downloads View citations (3)
  3. Quantifying Informational Linkages in a Global Model of Currency Spot Markets
    Melbourne Institute Working Paper Series, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne Downloads View citations (2)
  4. Quantile Cointegration in the Autoregressive Distributed-Lag Modelling Framework
    Working papers, Yonsei University, Yonsei Economics Research Institute Downloads View citations (1)
    See also Journal Article Quantile cointegration in the autoregressive distributed-lag modeling framework, Journal of Econometrics, Elsevier (2015) Downloads View citations (136) (2015)

2013

  1. A Nonlinear Panel Data Model of Cross-Sectional Dependence
    EMF Research Papers, Economic Modelling and Forecasting Group Downloads View citations (6)
    Also in Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester (2012) Downloads View citations (1)

    See also Journal Article A nonlinear panel data model of cross-sectional dependence, Journal of Econometrics, Elsevier (2014) Downloads View citations (16) (2014)

2012

  1. Globalisation and Technological Convergence in the EU
    SERIES, Dipartimento di Economia e Finanza - Università degli Studi di Bari "Aldo Moro" Downloads View citations (1)
    See also Journal Article Globalisation and technological convergence in the EU, Journal of Productivity Analysis, Springer (2013) Downloads View citations (21) (2013)
  2. International Linkages of the Korean Economy: The Global Vector Error-Correcting Macroeconometric Modelling Approach
    Melbourne Institute Working Paper Series, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne Downloads View citations (6)

2011

  1. Asymmetric Price Impacts of Order Flow on Exchange Rate Dynamics
    Melbourne Institute Working Paper Series, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne Downloads View citations (3)
  2. TIs Globalization Driving Efficiency? A Threshold Stochastic Frontier Panel Data Modelling Approach
    SERIES, Dipartimento di Economia e Finanza - Università degli Studi di Bari "Aldo Moro" Downloads
    See also Journal Article Is Globalization Driving Efficiency? A Threshold Stochastic Frontier Panel Data Modeling Approach, Review of International Economics, Wiley Blackwell (2012) Downloads View citations (1) (2012)

2010

  1. A Nonlinear Panel Model of Cross-sectional Dependence
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads
  2. Shifting Preferences at the Fed: Evidence from Rolling Dynamic Multipliers and Impulse Response Analysis
    IMK Working Paper, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute Downloads View citations (2)
  3. The Great Moderation and the Decoupling of Monetary Policy from Long-Term Rates in the U.S. and Germany
    IMK Working Paper, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute Downloads View citations (5)

2004

  1. Gravity Models of the Intra-EU Trade: Application of the Hausman-Taylor Estimation in Heterogeneous Panels with Common Time-specific Factors
    Econometric Society 2004 Far Eastern Meetings, Econometric Society Downloads View citations (28)
    Also in Edinburgh School of Economics Discussion Paper Series, Edinburgh School of Economics, University of Edinburgh (2004) Downloads View citations (28)
  2. Testing for nonlinear cointegration between stock prices and dividends
    Money Macro and Finance (MMF) Research Group Conference 2003, Money Macro and Finance Research Group Downloads

2003

  1. GLS Detrending-Based Unit Root Tests in Nonlinear STAR and SETAR Frameworks
    Edinburgh School of Economics Discussion Paper Series, Edinburgh School of Economics, University of Edinburgh Downloads View citations (2)
  2. Testing for Cointegration in Nonlinear STAR Error Correction Models
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads View citations (12)
  3. Testing for Nonstationary Long Memory against Nonlinear Ergodic Models
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads View citations (6)
  4. Trade, Technology and Wage Inequality in the South African Manufacturing Sectors
    Edinburgh School of Economics Discussion Paper Series, Edinburgh School of Economics, University of Edinburgh Downloads View citations (7)
  5. Unit Root Tests in Three-Regime SETAR Models
    Edinburgh School of Economics Discussion Paper Series, Edinburgh School of Economics, University of Edinburgh Downloads View citations (7)
    Also in Working Papers, Queen Mary University of London, School of Economics and Finance (2002) Downloads View citations (17)

    See also Journal Article Unit root tests in three-regime SETAR models, Econometrics Journal, Royal Economic Society (2006) View citations (57) (2006)

2002

  1. A Panel Data Approach to Testing Anomaly Effects in Factor Pricing Models
    Edinburgh School of Economics Discussion Paper Series, Edinburgh School of Economics, University of Edinburgh Downloads View citations (1)
    Also in Royal Economic Society Annual Conference 2002, Royal Economic Society (2002) Downloads View citations (2)
  2. Forecast Uncertainties In Macroeconometric Modelling: An Application to the UK Economy
    Royal Economic Society Annual Conference 2002, Royal Economic Society Downloads View citations (61)
    Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2000) Downloads View citations (22)
  3. GLS Detrending for Nonlinear Unit Root Tests
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads View citations (1)
  4. Mean Group Tests for Stationarity in Heterogeneous Panels
    Edinburgh School of Economics Discussion Paper Series, Edinburgh School of Economics, University of Edinburgh Downloads View citations (3)
    See also Journal Article Mean group tests for stationarity in heterogeneous panels, Econometrics Journal, Royal Economic Society (2006) View citations (16) (2006)

2001

  1. A long run structural macroeconometric model of the UK
    Edinburgh School of Economics Discussion Paper Series, Edinburgh School of Economics, University of Edinburgh Downloads View citations (30)
    Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (1998) View citations (10)

    See also Journal Article A Long run structural macroeconometric model of the UK, Economic Journal, Royal Economic Society (2003) View citations (119) (2003)
  2. Forecast Uncertainties in Macroeconomics Modelling: An Application to the UK Economy
    Edinburgh School of Economics Discussion Paper Series, Edinburgh School of Economics, University of Edinburgh Downloads View citations (8)
    See also Journal Article Forecast Uncertainties in Macroeconomic Modeling: An Application to the U.K. Economy, Journal of the American Statistical Association, American Statistical Association (2003) Downloads View citations (60) (2003)

2000

  1. Forecast Uncertainties in Macroeconometric Models: An Application to the UK Economy
    Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester Downloads View citations (3)
  2. Testing for a Linear Unit Root against Nonlinear Threshold Stationarity
    Edinburgh School of Economics Discussion Paper Series, Edinburgh School of Economics, University of Edinburgh Downloads View citations (2)
  3. Testing for a Unit Root against Nonlinear STAR Models
    National Institute of Economic and Social Research (NIESR) Discussion Papers, National Institute of Economic and Social Research View citations (113)
    Also in Edinburgh School of Economics Discussion Paper Series, Edinburgh School of Economics, University of Edinburgh (2000) Downloads View citations (3)

1999

  1. A long run structural macroeconometric model of the UK (first version)
    Edinburgh School of Economics Discussion Paper Series, Edinburgh School of Economics, University of Edinburgh Downloads View citations (3)
  2. Bounds Testing Approaches to the Analysis of Long Run Relationships
    Edinburgh School of Economics Discussion Paper Series, Edinburgh School of Economics, University of Edinburgh Downloads View citations (91)
    Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (1999) Downloads View citations (87)
  3. Long-Run Structural Modelling
    Edinburgh School of Economics Discussion Paper Series, Edinburgh School of Economics, University of Edinburgh Downloads View citations (12)
    Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (1995) View citations (62)

    See also Journal Article LONG-RUN STRUCTURAL MODELLING, Econometric Reviews, Taylor & Francis Journals (2002) Downloads View citations (117) (2002)
  4. Structural analysis of vector error correction models with exogenous I(1) variables
    Edinburgh School of Economics Discussion Paper Series, Edinburgh School of Economics, University of Edinburgh Downloads View citations (11)
    Also in Edinburgh School of Economics Discussion Paper Series, Edinburgh School of Economics, University of Edinburgh (1997) View citations (17)
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (1997) View citations (64)

    See also Journal Article Structural analysis of vector error correction models with exogenous I(1) variables, Journal of Econometrics, Elsevier (2000) Downloads View citations (446) (2000)
  5. Testing for Stationarity in Heterogeneous Panels with Serially Correlated Errors
    Edinburgh School of Economics Discussion Paper Series, Edinburgh School of Economics, University of Edinburgh Downloads View citations (2)
  6. Trade and Labor usage: An examination of the Stolper-Samuelson theorem for the South African manufacturing industry
    Edinburgh School of Economics Discussion Paper Series, Edinburgh School of Economics, University of Edinburgh Downloads View citations (2)

1998

  1. A Structural Cointegrating VAR Approach to Macroeconometric Modelling
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (21)
    Also in Edinburgh School of Economics Discussion Paper Series, Edinburgh School of Economics, University of Edinburgh (1998) Downloads View citations (10)
  2. Pooled Mean Group Estimation of Dynamic Heterogeneous Panels
    Edinburgh School of Economics Discussion Paper Series, Edinburgh School of Economics, University of Edinburgh Downloads View citations (104)

1997

  1. Generalised Impulse Response Analysis in Linear Multivariate Models
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (65)
    See also Journal Article Generalized impulse response analysis in linear multivariate models, Economics Letters, Elsevier (1998) Downloads View citations (2849) (1998)
  2. Pooled Estimation of Long-run Relationships in Dynamic Heterogeneous Panels
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (90)

1996

  1. Forecasting Single and Multiple Hazards: The Use of the Weibull Distribution with Application to Arrears Mortgages Facing Repossession Risks
    Archive Working Papers, Birkbeck, Department of Economics, Mathematics & Statistics View citations (2)
  2. Testing for the 'Existence of a Long-run Relationship'
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (260)

1995

  1. An Autoregressive Distributed Lag Modelling Approach to Cointegration Analysis
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (338)
  2. Testing for Unit Roots in Heterogeneous Panels
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (309)
    See also Journal Article Testing for unit roots in heterogeneous panels, Journal of Econometrics, Elsevier (2003) Downloads View citations (6396) (2003)

1993

  1. Cointegration and Speed of Convergence to Equilibrium
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (4)
    See also Journal Article Cointegration and speed of convergence to equilibrium, Journal of Econometrics, Elsevier (1996) Downloads View citations (310) (1996)

Journal Articles

2024

  1. An LM Test for the Conditional Independence between Regressors and Factor Loadings in Panel Data Models with Interactive Effects
    Journal of Business & Economic Statistics, 2024, 42, (2), 743-761 Downloads
  2. Dynamic Network Quantile Regression Model
    Journal of Business & Economic Statistics, 2024, 42, (2), 407-421 Downloads
    See also Working Paper Dynamic Network Quantile Regression Model, Papers (2021) Downloads View citations (1) (2021)

2023

  1. Canonical correlation-based model selection for the multilevel factors
    Journal of Econometrics, 2023, 233, (1), 22-44 Downloads View citations (1)
    See also Working Paper Canonical Correlation-based Model Selection for the Multilevel Factors, Working Papers (2020) Downloads (2020)
  2. Recent developments of the autoregressive distributed lag modelling framework
    Journal of Economic Surveys, 2023, 37, (1), 7-32 Downloads View citations (3)
    See also Working Paper Recent Developments of the Autoregressive Distributed Lag Modelling Framework, Working papers (2021) Downloads View citations (9) (2021)
  3. Reprint of: Testing for unit roots in heterogeneous panels
    Journal of Econometrics, 2023, 234, (S), 56-69 Downloads
  4. Testing for correlation between the regressors and factor loadings in heterogeneous panels with interactive effects
    Empirical Economics, 2023, 64, (6), 2611-2659 Downloads View citations (1)
  5. The asymmetric response of dividends to earnings news
    Finance Research Letters, 2023, 54, (C) Downloads View citations (2)
    See also Working Paper The Asymmetric Response of Dividends to Earnings News, Working papers (2023) Downloads View citations (2) (2023)
  6. What is mine is yours: Sovereign risk transmission during the European debt crisis
    Journal of Financial Stability, 2023, 65, (C) Downloads View citations (1)

2022

  1. Estimation and inference in heterogeneous spatial panels with a multifactor error structure
    Journal of Econometrics, 2022, 229, (1), 55-79 Downloads View citations (5)
  2. Nonlinear limits to arbitrage
    Journal of Futures Markets, 2022, 42, (6), 1084-1113 Downloads
  3. Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks
    Management Science, 2022, 68, (4), 2401-2431 Downloads View citations (73)

2021

  1. Estimation and inference for multi-dimensional heterogeneous panel datasets with hierarchical multi-factor error structure
    Journal of Econometrics, 2021, 220, (2), 504-531 Downloads View citations (7)
    See also Working Paper Estimation and Inference for Multi-dimensional Heterogeneous Panel Datasets with Hierarchical Multi-factor Error Structure, SERIES (2019) Downloads (2019)
  2. Gravity models of interprovincial migration flows in Canada with hierarchical multifactor structure
    Empirical Economics, 2021, 60, (1), 365-390 Downloads View citations (5)
  3. Measuring the Connectedness of the Global Economy
    International Journal of Forecasting, 2021, 37, (2), 899-919 Downloads View citations (20)

2018

  1. Noise Momentum Around the World
    Abacus, 2018, 54, (1), 79-104 Downloads View citations (3)
  2. Testing for Unit Roots in Dynamic Panels with Smooth Breaks and Cross-Sectionally Dependent Errors
    Computational Economics, 2018, 52, (1), 167-193 Downloads View citations (11)
  3. The Effects of Oil Price on the Korean Economy: A Global VAR Approach
    Emerging Markets Finance and Trade, 2018, 54, (5), 981-991 Downloads View citations (2)

2017

  1. Exploring international linkages using generalised connectedness measures: The case of Korea
    International Review of Economics & Finance, 2017, 50, (C), 49-64 Downloads View citations (1)

2016

  1. Dynamic panels with threshold effect and endogeneity
    Journal of Econometrics, 2016, 195, (2), 169-186 Downloads View citations (162)
    See also Working Paper Dynamic Panels with Threshold Effect and Endogeneity, STICERD - Econometrics Paper Series (2014) Downloads View citations (9) (2014)
  2. Forecasting distributions of inflation rates: the functional auto-regressive approach
    Journal of the Royal Statistical Society Series A, 2016, 179, (1), 65-102 Downloads View citations (5)
  3. Modelling Technical Efficiency in Cross Sectionally Dependent Stochastic Frontier Panels
    Journal of Applied Econometrics, 2016, 31, (1), 281-297 Downloads View citations (24)

2015

  1. In search of robust methods for dynamic panel data models in empirical corporate finance
    Journal of Banking & Finance, 2015, 53, (C), 84-98 Downloads View citations (53)
  2. Quantile cointegration in the autoregressive distributed-lag modeling framework
    Journal of Econometrics, 2015, 188, (1), 281-300 Downloads View citations (136)
    See also Working Paper Quantile Cointegration in the Autoregressive Distributed-Lag Modelling Framework, Working papers (2014) Downloads View citations (1) (2014)

2014

  1. A nonlinear panel data model of cross-sectional dependence
    Journal of Econometrics, 2014, 179, (2), 134-157 Downloads View citations (16)
    See also Working Paper A Nonlinear Panel Data Model of Cross-Sectional Dependence, EMF Research Papers (2013) Downloads View citations (6) (2013)
  2. Asymmetric adjustment toward optimal capital structure: Evidence from a crisis
    International Review of Financial Analysis, 2014, 33, (C), 226-242 Downloads View citations (37)

2013

  1. Globalisation and technological convergence in the EU
    Journal of Productivity Analysis, 2013, 40, (1), 15-29 Downloads View citations (21)
    See also Working Paper Globalisation and Technological Convergence in the EU, SERIES (2012) Downloads View citations (1) (2012)
  2. On the Asymmetric U-Shaped Relationship between Inflation, Inflation Uncertainty, and Relative Price Skewness in the UK
    Journal of Money, Credit and Banking, 2013, 45, (7), 1431-1449 Downloads View citations (3)
    Also in Journal of Money, Credit and Banking, 2013, 45, (7), 1431-1449 (2013) Downloads View citations (1)
  3. Taxation and the asymmetric adjustment of selected retail energy prices in the UK
    Economics Letters, 2013, 121, (3), 411-416 Downloads View citations (56)

2012

  1. Asymmetric capital structure adjustments: New evidence from dynamic panel threshold models
    Journal of Empirical Finance, 2012, 19, (4), 465-482 Downloads View citations (86)
  2. Is Globalization Driving Efficiency? A Threshold Stochastic Frontier Panel Data Modeling Approach
    Review of International Economics, 2012, 20, (3), 563-579 Downloads View citations (1)
    See also Working Paper TIs Globalization Driving Efficiency? A Threshold Stochastic Frontier Panel Data Modelling Approach, SERIES (2011) Downloads (2011)
  3. Probabilistic forecasting of output growth, inflation and the balance of trade in a GVAR framework
    Journal of Applied Econometrics, 2012, 27, (4), 554-573 Downloads View citations (44)
  4. Trade, Technology and the Labour Market: The Case of South Africa-super-
    Oxford Bulletin of Economics and Statistics, 2012, 74, (6), 808-830 Downloads View citations (3)

2011

  1. Testing the Null Hypothesis of Nonstationary Long Memory Against the Alternative Hypothesis of a Nonlinear Ergodic Model
    Econometric Reviews, 2011, 30, (6), 620-645 Downloads View citations (9)

2008

  1. GLS detrending-based unit root tests in nonlinear STAR and SETAR models
    Economics Letters, 2008, 100, (3), 377-380 Downloads View citations (25)
  2. Optimal Test for Markov Switching GARCH Models
    Studies in Nonlinear Dynamics & Econometrics, 2008, 12, (3), 1-27 Downloads View citations (7)

2007

  1. Comments on: Panel data analysis—advantages and challenges
    TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, 2007, 16, (1), 52-55 Downloads View citations (1)
  2. Gravity models of intra-EU trade: application of the CCEP-HT estimation in heterogeneous panels with unobserved common time-specific factors
    Journal of Applied Econometrics, 2007, 22, (2), 361-381 Downloads View citations (80)

2006

  1. Mean group tests for stationarity in heterogeneous panels
    Econometrics Journal, 2006, 9, (1), 123-158 View citations (16)
    See also Working Paper Mean Group Tests for Stationarity in Heterogeneous Panels, Edinburgh School of Economics Discussion Paper Series (2002) Downloads View citations (3) (2002)
  2. TESTING FOR COINTEGRATION IN NONLINEAR SMOOTH TRANSITION ERROR CORRECTION MODELS
    Econometric Theory, 2006, 22, (2), 279-303 Downloads View citations (108)
  3. Unit root tests in three-regime SETAR models
    Econometrics Journal, 2006, 9, (2), 252-278 View citations (57)
    See also Working Paper Unit Root Tests in Three-Regime SETAR Models, Edinburgh School of Economics Discussion Paper Series (2003) Downloads View citations (7) (2003)

2003

  1. A Long run structural macroeconometric model of the UK
    Economic Journal, 2003, 113, (487), 412-455 View citations (119)
    See also Working Paper A long run structural macroeconometric model of the UK, Edinburgh School of Economics Discussion Paper Series (2001) Downloads View citations (30) (2001)
  2. Forecast Uncertainties in Macroeconomic Modeling: An Application to the U.K. Economy
    Journal of the American Statistical Association, 2003, 98, 829-838 Downloads View citations (60)
    See also Working Paper Forecast Uncertainties in Macroeconomics Modelling: An Application to the UK Economy, Edinburgh School of Economics Discussion Paper Series (2001) Downloads View citations (8) (2001)
  3. Testing for a unit root in the nonlinear STAR framework
    Journal of Econometrics, 2003, 112, (2), 359-379 Downloads View citations (883)
  4. Testing for unit roots in heterogeneous panels
    Journal of Econometrics, 2003, 115, (1), 53-74 Downloads View citations (6396)
    See also Working Paper Testing for Unit Roots in Heterogeneous Panels, Cambridge Working Papers in Economics (1995) View citations (309) (1995)

2002

  1. LONG-RUN STRUCTURAL MODELLING
    Econometric Reviews, 2002, 21, (1), 49-87 Downloads View citations (117)
    See also Working Paper Long-Run Structural Modelling, Edinburgh School of Economics Discussion Paper Series (1999) Downloads View citations (12) (1999)
  2. Nonlinear mean reversion in real exchange rates
    Economics Letters, 2002, 77, (3), 411-417 Downloads View citations (53)

2001

  1. Bounds testing approaches to the analysis of level relationships
    Journal of Applied Econometrics, 2001, 16, (3), 289-326 Downloads View citations (6717)

2000

  1. Structural analysis of vector error correction models with exogenous I(1) variables
    Journal of Econometrics, 2000, 97, (2), 293-343 Downloads View citations (446)
    See also Working Paper Structural analysis of vector error correction models with exogenous I(1) variables, Edinburgh School of Economics Discussion Paper Series (1999) Downloads View citations (11) (1999)

1998

  1. Generalized impulse response analysis in linear multivariate models
    Economics Letters, 1998, 58, (1), 17-29 Downloads View citations (2849)
    See also Working Paper Generalised Impulse Response Analysis in Linear Multivariate Models, Cambridge Working Papers in Economics (1997) View citations (65) (1997)

1997

  1. A Parametric approach to testing the null of cointegration
    Journal of Time Series Analysis, 1997, 18, (4), 395-413 Downloads View citations (19)
  2. On stationary tests in the presence of structural breaks
    Economics Letters, 1997, 55, (2), 165-172 Downloads View citations (35)

1996

  1. Cointegration and speed of convergence to equilibrium
    Journal of Econometrics, 1996, 71, (1-2), 117-143 Downloads View citations (310)
    See also Working Paper Cointegration and Speed of Convergence to Equilibrium, Cambridge Working Papers in Economics (1993) View citations (4) (1993)

1994

  1. A Residual-Based Test of the Null of Cointegration Against the Alternative of No Cointegration
    Econometric Theory, 1994, 10, (1), 91-115 Downloads View citations (298)

1992

  1. 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)
  2. The KPSS stationarity test as a unit root test
    Economics Letters, 1992, 38, (4), 387-392 Downloads View citations (33)

Books

2012

  1. Global and National Macroeconometric Modelling: A Long-Run Structural Approach
    OUP Catalogue, Oxford University Press View citations (27)
    Also in OUP Catalogue, Oxford University Press (2006) View citations (183)

Chapters

2016

  1. Multilateral Resistance and the Euro Effects on Trade Flows
    Springer View citations (3)

2014

  1. Testing for Cointegration in Markov Switching Error Correction Models
    A chapter in Essays in Honor of Peter C. B. Phillips, 2014, vol. 33, pp 123-150 Downloads View citations (2)
 
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