Details about Timothy Vogelsang

Access statistics for papers by Timothy Vogelsang.

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Short-id: pvo70

Working Papers

2024

1. Fixed-b Asymptotics for Panel Models with Two-Way Clustering
   Papers, arXiv.org
2. Integrated Modified OLS Estimation and Fixed-b Inference for Cointegrating Multivariate Polynomial Regressions
   IHS Working Paper Series, Institute for Advanced Studies

2015

3. Estimation and Inference of Linear Trend Slope Ratios with an Application to Global Temperature Data
   MPRA Paper, University Library of Munich, Germany
   See also Journal Article Estimation and Inference of Linear Trend Slope Ratios With an Application to Global Temperature Data, Journal of Time Series Analysis, Wiley Blackwell (2017) View citations (1) (2017)

2011

4. A Fixed-b Perspective on the Phillips-Perron Unit Root Tests
   Economics Series, Institute for Advanced Studies
   See also Journal Article A FIXED-b PERSPECTIVE ON THE PHILLIPS–PERRON UNIT ROOT TESTS, Econometric Theory, Cambridge University Press (2013) View citations (20) (2013)
5. Integrated Modified OLS Estimation and Fixed-b Inference for Cointegrating Regressions
   Economics Series, Institute for Advanced Studies View citations (2)
   See also Journal Article Integrated modified OLS estimation and fixed-b inference for cointegrating regressions, Journal of Econometrics, Elsevier (2014) View citations (25) (2014)
6. Multivariate trend comparisons between autocorrelated climate series with general trend regressors
   Working Papers, University of Guelph, Department of Economics and Finance
7. Nonparametric Rank Tests for Non-stationary Panels
   Economics Series, Institute for Advanced Studies
   See also Journal Article Nonparametric rank tests for non-stationary panels, Journal of Econometrics, Elsevier (2015) View citations (6) (2015)

2006

8. Fixed-b Asymptotic Approximation of the Sampling Behavior of Nonparametric Spectral Density Estimators
   Working Papers, Cornell University, Center for Analytic Economics View citations (9)
   See also Journal Article Fixed‐b asymptotic approximation of the sampling behaviour of nonparametric spectral density estimators, Journal of Time Series Analysis, Wiley Blackwell (2008) View citations (22) (2008)

2005

9. A New Asymptotic Theory for Heteroskedasticity-Autocorrelation Robust Tests
   Working Papers, Cornell University, Center for Analytic Economics View citations (209)
   See also Journal Article A NEW ASYMPTOTIC THEORY FOR HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTS, Econometric Theory, Cambridge University Press (2005) View citations (243) (2005)

2004

10. Powerful Tests of Structural Change That are Robust to Strong Serial Correlation
    Discussion Papers, University at Albany, SUNY, Department of Economics View citations (7)

2003

11. Powerful Trend Function Tests That Are Robust to Strong Serial Correlation with an Application to the Prebisch-Singer Hypothesis
    Staff General Research Papers Archive, Iowa State University, Department of Economics View citations (12)
    Also in ISU General Staff Papers, Iowa State University, Department of Economics (2003)
    Econometrics, University Library of Munich, Germany (2003) View citations (6)
    See also Journal Article Powerful Trend Function Tests That Are Robust to Strong Serial Correlation, With an Application to the Prebisch-Singer Hypothesis, Journal of Business & Economic Statistics, American Statistical Association (2005) View citations (71) (2005)

2001

12. Simple Robust Testing of Hypothesis in Non-Linear Models
    Staff General Research Papers Archive, Iowa State University, Department of Economics View citations (5)
    See also Journal Article Simple Robust Testing of Hypotheses in Nonlinear Models, Journal of the American Statistical Association, American Statistical Association (2001) View citations (10) (2001)
13. Spectral Density Bandwidth Choice: Source of Nonmonotonic Power for Tests of a Mean Shift in a Time Series
    Working Papers, Cornell University, Center for Analytic Economics View citations (8)
14. Testing for Common Deterministic Trend Slopes
    Working Papers, Cornell University, Center for Analytic Economics View citations (4)
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2001) View citations (4)
    See also Journal Article Testing for common deterministic trend slopes, Journal of Econometrics, Elsevier (2005) View citations (15) (2005)
15. Testing in GMM Models without Truncation
    Working Papers, Cornell University, Center for Analytic Economics View citations (4)
    See also Chapter TESTING IN GMM MODELS WITHOUT TRUNCATION, Advances in Econometrics, Emerald Group Publishing Limited (2003) View citations (1) (2003)

2000

16. A New Approach to the Asymptotics of HAC Robust Testing in Econometrics
    Working Papers, Cornell University, Center for Analytic Economics
17. Forecasting Autoregressive Time Series in the Presence of Deterministic Components
    Working Papers, Cornell University, Center for Analytic Economics
    See also Journal Article Forecasting autoregressive time series in the presence of deterministic components, Econometrics Journal, Royal Economic Society (2002) View citations (6) (2002)
18. Simple Robust Testing of Regression Hypotheses
    Staff General Research Papers Archive, Iowa State University, Department of Economics View citations (140)
    See also Journal Article Simple Robust Testing of Regression Hypotheses, Econometrica, Econometric Society (2000) View citations (148) (2000)
19. The Application of Size Robust Trend Analysis to Global Warming Temperature Series
    Working Papers, Cornell University, Center for Analytic Economics View citations (9)

1999

20. Forecasting Dynamic Time Series in the Presence of Deterministic Components
    Boston College Working Papers in Economics, Boston College Department of Economics

1997

21. Analysis of Vector Autoregressions in the Presence of Shifts in Mean
    Boston College Working Papers in Economics, Boston College Department of Economics View citations (4)
    See also Journal Article ANALYSIS OF VECTOR AUTOREGRESSIONS IN THE PRESENCE OF SHIFTS IN MEAN, Econometric Reviews, Taylor & Francis Journals (2002) View citations (16) (2002)

1994

22. Additional Tests for a Unit Root Allowing for a Break in the Trend Function at an Unknown Time
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques View citations (19)
    Also in Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1994) View citations (15)
    See also Journal Article Additional Tests for a Unit Root Allowing for a Break in the Trend Function at an Unknown Time, International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association (1998) View citations (326) (1998)
23. On Testing for a Unit Root in the Presence of Additive Outliers
    Working Papers, Cornell - Department of Economics View citations (5)

1991

24. Nonstationary and Level Shifts With An Application To Purchasing Power Parity
    Working Papers, Princeton, Department of Economics - Econometric Research Program View citations (22)
    See also Journal Article Nonstationarity and Level Shifts with an Application to Purchasing Power Parity, Journal of Business & Economic Statistics, American Statistical Association (1992) View citations (676) (1992)

Undated

25. Level Shifts and Purchasing Power Parity
    Instructional Stata datasets for econometrics, Boston College Department of Economics View citations (519)

Journal Articles

2021

1. Inference in time series models using smoothed-clustered standard errors
   Journal of Econometrics, 2021, 224, (1), 113-133 View citations (1)

2019

2. HETEROSKEDASTICITY AUTOCORRELATION ROBUST INFERENCE IN TIME SERIES REGRESSIONS WITH MISSING DATA
   Econometric Theory, 2019, 35, (3), 601-629 View citations (4)

2018

3. Comment on "HAR Inference: Recommendations for Practice"
   Journal of Business & Economic Statistics, 2018, 36, (4), 569-573
4. Finite sample performance of a long run variance estimator based on exactly (almost) unbiased autocovariance estimators
   Economics Letters, 2018, 165, (C), 21-27 View citations (3)

2017

5. Estimation and Inference of Linear Trend Slope Ratios With an Application to Global Temperature Data
   Journal of Time Series Analysis, 2017, 38, (5), 640-667 View citations (1)
   See also Working Paper Estimation and Inference of Linear Trend Slope Ratios with an Application to Global Temperature Data, MPRA Paper (2015) (2015)

2016

6. Exactly/Nearly Unbiased Estimation of Autocovariances of a Univariate Time Series With Unknown Mean
   Journal of Time Series Analysis, 2016, 37, (6), 723-740 View citations (4)
7. FIXED-b ASYMPTOTICS FOR SPATIALLY DEPENDENT ROBUST NONPARAMETRIC COVARIANCE MATRIX ESTIMATORS
   Econometric Theory, 2016, 32, (1), 154-186 View citations (22)
8. Fixed- b Inference for Testing Structural Change in a Time Series Regression
   Econometrics, 2016, 5, (1), 1-26

2015

9. Nonparametric rank tests for non-stationary panels
   Journal of Econometrics, 2015, 185, (2), 378-391 View citations (6)
   See also Working Paper Nonparametric Rank Tests for Non-stationary Panels, Economics Series (2011) (2011)

2014

10. Comment
    Journal of Business & Economic Statistics, 2014, 32, (3), 334-338
11. HAC robust trend comparisons among climate series with possible level shifts
    Environmetrics, 2014, 25, (7), 528-547 View citations (22)
12. Integrated modified OLS estimation and fixed-b inference for cointegrating regressions
    Journal of Econometrics, 2014, 178, (2), 741-760 View citations (25)
    See also Working Paper Integrated Modified OLS Estimation and Fixed-b Inference for Cointegrating Regressions, Economics Series (2011) View citations (2) (2011)

2013

13. A FIXED-b PERSPECTIVE ON THE PHILLIPS–PERRON UNIT ROOT TESTS
    Econometric Theory, 2013, 29, (3), 609-628 View citations (20)
    See also Working Paper A Fixed-b Perspective on the Phillips-Perron Unit Root Tests, Economics Series (2011) (2011)

2012

14. Heteroskedasticity, autocorrelation, and spatial correlation robust inference in linear panel models with fixed-effects
    Journal of Econometrics, 2012, 166, (2), 303-319 View citations (101)

2011

15. BLOCK BOOTSTRAP HAC ROBUST TESTS: THE SOPHISTICATION OF THE NAIVE BOOTSTRAP
    Econometric Theory, 2011, 27, (4), 745-791 View citations (28)
16. Fixed‐b analysis of LM‐type tests for a shift in mean
    Econometrics Journal, 2011, 14, (3), 438-456 View citations (12)
17. SPECIAL ISSUE OF ECONOMETRIC THEORY ON BOOTSTRAP AND NUMERICAL METHODS IN TIME SERIES: GUEST EDITORS’ INTRODUCTION
    Econometric Theory, 2011, 27, (5), 929-932
18. TESTING FOR A SHIFT IN TREND AT AN UNKNOWN DATE: A FIXED-B ANALYSIS OF HETEROSKEDASTICITY AUTOCORRELATION ROBUST OLS-BASED TESTS
    Econometric Theory, 2011, 27, (5), 992-1025 View citations (13)

2009

19. The KPSS Test Using Fixed-b Critical Values: Size and Power in Highly Autocorrelated Time Series
    Journal of Time Series Econometrics, 2009, 1, (1), 44 View citations (8)

2008

20. Fixed‐b asymptotic approximation of the sampling behaviour of nonparametric spectral density estimators
    Journal of Time Series Analysis, 2008, 29, (1), 142-162 View citations (22)
    See also Working Paper Fixed-b Asymptotic Approximation of the Sampling Behavior of Nonparametric Spectral Density Estimators, Working Papers (2006) View citations (9) (2006)

2007

21. Projection Bias in Catalog Orders
    American Economic Review, 2007, 97, (4), 1217-1249 View citations (85)

2005

22. A NEW ASYMPTOTIC THEORY FOR HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTS
    Econometric Theory, 2005, 21, (6), 1130-1164 View citations (243)
    See also Working Paper A New Asymptotic Theory for Heteroskedasticity-Autocorrelation Robust Tests, Working Papers (2005) View citations (209) (2005)
23. Powerful Trend Function Tests That Are Robust to Strong Serial Correlation, With an Application to the Prebisch-Singer Hypothesis
    Journal of Business & Economic Statistics, 2005, 23, 381-394 View citations (71)
    See also Working Paper Powerful Trend Function Tests That Are Robust to Strong Serial Correlation with an Application to the Prebisch-Singer Hypothesis, Staff General Research Papers Archive (2003) View citations (12) (2003)
24. Testing for common deterministic trend slopes
    Journal of Econometrics, 2005, 126, (1), 1-24 View citations (15)
    See also Working Paper Testing for Common Deterministic Trend Slopes, Working Papers (2001) View citations (4) (2001)

2002

25. ANALYSIS OF VECTOR AUTOREGRESSIONS IN THE PRESENCE OF SHIFTS IN MEAN
    Econometric Reviews, 2002, 21, (3), 353-381 View citations (16)
    See also Working Paper Analysis of Vector Autoregressions in the Presence of Shifts in Mean, Boston College Working Papers in Economics (1997) View citations (4) (1997)
26. Are U.S. regions converging? Using new econometric methods to examine old issues
    Empirical Economics, 2002, 27, (1), 49-62 View citations (35)
27. Asymptotic Theory for Econometricians (rev. ed.)
    Journal of the American Statistical Association, 2002, 97, 921-921
28. Forecasting autoregressive time series in the presence of deterministic components
    Econometrics Journal, 2002, 5, (1), 196-224 View citations (6)
    See also Working Paper Forecasting Autoregressive Time Series in the Presence of Deterministic Components, Working Papers (2000) (2000)
29. HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTING USING BANDWIDTH EQUAL TO SAMPLE SIZE
    Econometric Theory, 2002, 18, (6), 1350-1366 View citations (102)
30. Heteroskedasticity-Autocorrelation Robust Standard Errors Using The Bartlett Kernel Without Truncation
    Econometrica, 2002, 70, (5), 2093-2095 View citations (121)

2001

31. Simple Robust Testing of Hypotheses in Nonlinear Models
    Journal of the American Statistical Association, 2001, 96, 1088-1096 View citations (10)
    See also Working Paper Simple Robust Testing of Hypothesis in Non-Linear Models, Staff General Research Papers Archive (2001) View citations (5) (2001)

2000

32. A Simple Test of the Law of Demand for the United States
    Econometrica, 2000, 68, (4), 1013-1022 View citations (3)
33. Simple Robust Testing of Regression Hypotheses
    Econometrica, 2000, 68, (3), 695-714 View citations (148)
    See also Working Paper Simple Robust Testing of Regression Hypotheses, Staff General Research Papers Archive (2000) View citations (140) (2000)

1999

34. Change and Involution in Sugar Production in Cultivation-System Java, 1840–1870
    The Journal of Economic History, 1999, 59, (4), 885-911
35. Two Simple Procedures for Testing for a Unit Root When There are Additive Outliers
    Journal of Time Series Analysis, 1999, 20, (2), 237-252 View citations (62)

1998

36. Additional Tests for a Unit Root Allowing for a Break in the Trend Function at an Unknown Time
    International Economic Review, 1998, 39, (4), 1073-1100 View citations (326)
    See also Working Paper Additional Tests for a Unit Root Allowing for a Break in the Trend Function at an Unknown Time, Cahiers de recherche (1994) View citations (19) (1994)
37. On Seasonal Cycles, Unit Roots, And Mean Shifts
    The Review of Economics and Statistics, 1998, 80, (2), 231-240 View citations (36)
38. Sources of nonmonotonic power when testing for a shift in mean of a dynamic time series
    Journal of Econometrics, 1998, 88, (2), 283-299 View citations (20)
39. Testing for a Shift in Mean without Having to Estimate Serial-Correlation Parameters
    Journal of Business & Economic Statistics, 1998, 16, (1), 73-80 View citations (27)
40. Trend Function Hypothesis Testing in the Presence of Serial Correlation
    Econometrica, 1998, 66, (1), 123-148 View citations (183)

1997

41. Wald-Type Tests for Detecting Breaks in the Trend Function of a Dynamic Time Series
    Econometric Theory, 1997, 13, (6), 818-848 View citations (124)

1993

42. A Note on the Asymptotic Distributions of Unit Root Tests in the Additive Outlier Model With Breaks
    Brazilian Review of Econometrics, 1993, 13, (2) View citations (11)

1992

43. Nonstationarity and Level Shifts with an Application to Purchasing Power Parity
    Journal of Business & Economic Statistics, 1992, 10, (3), 301-20 View citations (676)
    See also Working Paper Nonstationary and Level Shifts With An Application To Purchasing Power Parity, Working Papers (1991) View citations (22) (1991)
44. Testing for a Unit Root in a Time Series with a Changing Mean: Corrections and Extensions
    Journal of Business & Economic Statistics, 1992, 10, (4), 467-70 View citations (171)

Chapters

2012

1. Serial Correlation Robust LM
   A chapter in 30th Anniversary Edition, 2012, pp 97-131

2003

2. TESTING IN GMM MODELS WITHOUT TRUNCATION
   A chapter in Maximum Likelihood Estimation of Misspecified Models: Twenty Years Later, 2003, pp 199-233 View citations (1)
   See also Working Paper Testing in GMM Models without Truncation, Cornell University, Center for Analytic Economics (2001) View citations (4) (2001)
3. TESTS OF COMMON DETERMINISTIC TREND SLOPES APPLIED TO QUARTERLY GLOBAL TEMPERATURE DATA
   A chapter in Maximum Likelihood Estimation of Misspecified Models: Twenty Years Later, 2003, pp 29-43 View citations (2)