Details about Timothy Vogelsang

Access statistics for papers by Timothy Vogelsang.

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Short-id: pvo70

Working Papers

2011

1. A Fixed-b Perspective on the Phillips-Perron Unit Root Tests
   Economics Series, Institute for Advanced Studies
   See also Journal Article in Econometric Theory (2013)
2. Integrated Modified OLS Estimation and Fixed-b Inference for Cointegrating Regressions
   Economics Series, Institute for Advanced Studies View citations (1)
   See also Journal Article in Journal of Econometrics (2014)
3. Multivariate trend comparisons between autocorrelated climate series with general trend regressors
   Working Papers, University of Guelph, Department of Economics and Finance
4. Nonparametric Rank Tests for Non-stationary Panels
   Economics Series, Institute for Advanced Studies
   See also Journal Article in Journal of Econometrics (2015)

2006

5. 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 in Journal of Time Series Analysis (2008)

2005

6. A New Asymptotic Theory for Heteroskedasticity-Autocorrelation Robust Tests
   Working Papers, Cornell University, Center for Analytic Economics View citations (183)
   See also Journal Article in Econometric Theory (2005)
7. Robust Unit Root and Cointegration Rank Tests for Panels and Large Systems
   Department of Economics Working Papers, Department of Economics, Williams College View citations (11)

2004

8. 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

9. 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 in Journal of Business & Economic Statistics (2005)

2001

10. Simple Robust Testing of Hypothesis in Non-Linear Models
    Staff General Research Papers Archive, Iowa State University, Department of Economics View citations (4)
    See also Journal Article in Journal of the American Statistical Association (2001)
11. 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)
12. 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 in Journal of Econometrics (2005)
13. Testing in GMM Models without Truncation
    Working Papers, Cornell University, Center for Analytic Economics View citations (4)

2000

14. A New Approach to the Asymptotics of HAC Robust Testing in Econometrics
    Working Papers, Cornell University, Center for Analytic Economics
15. Forecasting Autoregressive Time Series in the Presence of Deterministic Components
    Working Papers, Cornell University, Center for Analytic Economics
    See also Journal Article in Econometrics Journal (2002)
16. Simple Robust Testing of Regression Hypotheses
    Staff General Research Papers Archive, Iowa State University, Department of Economics View citations (130)
    See also Journal Article in Econometrica (2000)
17. The Application of Size Robust Trend Analysis to Global Warming Temperature Series
    Working Papers, Cornell University, Center for Analytic Economics View citations (9)

1999

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

1997

19. 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 in Econometric Reviews (2002)

1994

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

1991

22. 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 in Journal of Business & Economic Statistics (1992)

Undated

23. Level Shifts and Purchasing Power Parity
    Instructional Stata datasets for econometrics, Boston College Department of Economics View citations (520)

Journal Articles

2019

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

2018

2. Comment on "HAR Inference: Recommendations for Practice"
   Journal of Business & Economic Statistics, 2018, 36, (4), 569-573
3. 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 (2)

2017

4. 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)

2016

5. 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 (3)
6. FIXED-b ASYMPTOTICS FOR SPATIALLY DEPENDENT ROBUST NONPARAMETRIC COVARIANCE MATRIX ESTIMATORS
   Econometric Theory, 2016, 32, (1), 154-186 View citations (18)
7. Fixed- b Inference for Testing Structural Change in a Time Series Regression
   Econometrics, 2016, 5, (1), 1-26

2015

8. Nonparametric rank tests for non-stationary panels
   Journal of Econometrics, 2015, 185, (2), 378-391 View citations (7)
   See also Working Paper (2011)

2014

9. Comment
   Journal of Business & Economic Statistics, 2014, 32, (3), 334-338
10. HAC robust trend comparisons among climate series with possible level shifts
    Environmetrics, 2014, 25, (7), 528-547 View citations (21)
11. Integrated modified OLS estimation and fixed-b inference for cointegrating regressions
    Journal of Econometrics, 2014, 178, (2), 741-760 View citations (18)
    See also Working Paper (2011)

2013

12. A FIXED-b PERSPECTIVE ON THE PHILLIPS–PERRON UNIT ROOT TESTS
    Econometric Theory, 2013, 29, (3), 609-628 View citations (14)
    See also Working Paper (2011)

2012

13. Heteroskedasticity, autocorrelation, and spatial correlation robust inference in linear panel models with fixed-effects
    Journal of Econometrics, 2012, 166, (2), 303-319 View citations (75)

2011

14. BLOCK BOOTSTRAP HAC ROBUST TESTS: THE SOPHISTICATION OF THE NAIVE BOOTSTRAP
    Econometric Theory, 2011, 27, (4), 745-791 View citations (25)
15. Fixed‐b analysis of LM‐type tests for a shift in mean
    Econometrics Journal, 2011, 14, (3), 438-456 View citations (12)
16. SPECIAL ISSUE OF ECONOMETRIC THEORY ON BOOTSTRAP AND NUMERICAL METHODS IN TIME SERIES: GUEST EDITORS’ INTRODUCTION
    Econometric Theory, 2011, 27, (5), 929-932
17. 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 (12)

2009

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

2008

19. 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 (20)
    See also Working Paper (2006)

2007

20. Projection Bias in Catalog Orders
    American Economic Review, 2007, 97, (4), 1217-1249 View citations (70)

2005

21. A NEW ASYMPTOTIC THEORY FOR HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTS
    Econometric Theory, 2005, 21, (6), 1130-1164 View citations (217)
    See also Working Paper (2005)
22. 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 (69)
    See also Working Paper (2003)
23. Testing for common deterministic trend slopes
    Journal of Econometrics, 2005, 126, (1), 1-24 View citations (13)
    See also Working Paper (2001)

2002

24. ANALYSIS OF VECTOR AUTOREGRESSIONS IN THE PRESENCE OF SHIFTS IN MEAN
    Econometric Reviews, 2002, 21, (3), 353-381 View citations (15)
    See also Working Paper (1997)
25. Are U.S. regions converging? Using new econometric methods to examine old issues
    Empirical Economics, 2002, 27, (1), 49-62 View citations (33)
26. Asymptotic Theory for Econometricians (rev. ed.)
    Journal of the American Statistical Association, 2002, 97, 921-921
27. Forecasting autoregressive time series in the presence of deterministic components
    Econometrics Journal, 2002, 5, (1), 196-224 View citations (5)
    See also Working Paper (2000)
28. HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTING USING BANDWIDTH EQUAL TO SAMPLE SIZE
    Econometric Theory, 2002, 18, (6), 1350-1366 View citations (97)
29. Heteroskedasticity-Autocorrelation Robust Standard Errors Using The Bartlett Kernel Without Truncation
    Econometrica, 2002, 70, (5), 2093-2095 View citations (108)

2001

30. Simple Robust Testing of Hypotheses in Nonlinear Models
    Journal of the American Statistical Association, 2001, 96, 1088-1096 View citations (9)
    See also Working Paper (2001)

2000

31. A Simple Test of the Law of Demand for the United States
    Econometrica, 2000, 68, (4), 1013-1022 View citations (3)
32. Simple Robust Testing of Regression Hypotheses
    Econometrica, 2000, 68, (3), 695-714 View citations (138)
    See also Working Paper (2000)

1999

33. Change and Involution in Sugar Production in Cultivation-System Java, 1840–1870
    The Journal of Economic History, 1999, 59, (4), 885-911
34. 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

35. 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 (299)
    See also Working Paper (1994)
36. On Seasonal Cycles, Unit Roots, And Mean Shifts
    The Review of Economics and Statistics, 1998, 80, (2), 231-240 View citations (36)
37. 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)
38. 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)
39. Trend Function Hypothesis Testing in the Presence of Serial Correlation
    Econometrica, 1998, 66, (1), 123-148 View citations (178)

1997

40. Wald-Type Tests for Detecting Breaks in the Trend Function of a Dynamic Time Series
    Econometric Theory, 1997, 13, (6), 818-848 View citations (120)

1993

41. 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 (9)

1992

42. Nonstationarity and Level Shifts with an Application to Purchasing Power Parity
    Journal of Business & Economic Statistics, 1992, 10, (3), 301-20 View citations (617)
    See also Working Paper (1991)
43. 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 (153)