| Publication | Date of Publication | Type |
|---|
Identification and estimation of exchange rate models with unobservable fundamentals
International Economic Review | 2026-02-04 | Paper |
Long memory and aggregation in macroeconomic time series
International Economic Review | 2026-02-04 | Paper |
Frequency domain estimation of cointegrating vectors with mixed frequency and mixed sample data
Journal of Econometrics | 2020-06-18 | Paper |
Deterministic parameter change models in continuous and discrete time
Journal of Time Series Analysis | 2020-05-27 | Paper |
Frequency domain estimation of continuous time cointegrated models with mixed frequency and mixed sample data
Journal of Time Series Analysis | 2019-12-06 | Paper |
Continuous time ARMA processes: discrete time representation and likelihood evaluation
Journal of Economic Dynamics and Control | 2018-08-09 | Paper |
Jackknife estimation of stationary autoregressive models
Journal of Econometrics | 2017-05-12 | Paper |
Jackknife estimation of stationary autoregressive models
Journal of Econometrics | 2017-05-12 | Paper |
Book review of: S. J. Koopman (ed.) and N. Shephard (ed.), Unobserved components and time series econometrics
Journal of Time Series Analysis | 2016-10-28 | Paper |
The estimation of continuous time models with mixed frequency data
Journal of Econometrics | 2016-07-12 | Paper |
Corrigendum to: ``Testing for unit roots with flow data and varying sampling frequency''
Journal of Econometrics | 2016-06-13 | Paper |
Granger causality and the sampling of economic processes
Journal of Econometrics | 2016-06-10 | Paper |
Frequency domain estimation of temporally aggregated Gaussian cointegrated systems
Journal of Econometrics | 2016-05-02 | Paper |
Testing for unit roots with flow data and varying sampling frequency
Journal of Econometrics | 2016-04-18 | Paper |
Testing for a unit root in a near-integrated model with skip-sampled data
Journal of Time Series Analysis | 2015-10-12 | Paper |
The Calculation of Some Limiting Distributions Arising in Near‐Integrated Models with GLS Detrending
Journal of Time Series Analysis | 2015-06-29 | Paper |
Testing for seasonal unit roots by frequency domain regression
Journal of Econometrics | 2014-08-06 | Paper |
Continuous-time autoregressive moving average processes in discrete time: representation and embeddability
Journal of Time Series Analysis | 2014-02-25 | Paper |
Jackknife estimation with a unit root
Statistics & Probability Letters | 2013-12-06 | Paper |
DISCRETE TIME REPRESENTATION OF CONTINUOUS TIME ARMA PROCESSES
Econometric Theory | 2012-03-29 | Paper |
Cointegration and sampling frequency
Econometrics Journal | 2011-07-27 | Paper |
<i>ECONOMETRIC THEORY</i> MEMORIAL TO ALBERT REX BERGSTROM–INTRODUCTION
Econometric Theory | 2009-09-30 | Paper |
DISCRETE TIME REPRESENTATIONS OF COINTEGRATED CONTINUOUS TIME MODELS WITH MIXED SAMPLE DATA
Econometric Theory | 2009-09-30 | Paper |
ESTIMATION OF DIFFERENTIAL-DIFFERENCE EQUATION SYSTEMS WITH UNKNOWN LAG PARAMETERS
Econometric Theory | 2006-11-07 | Paper |
THE ASYMPTOTIC EFFICIENCY OF COINTEGRATION ESTIMATORS UNDER TEMPORAL AGGREGATION
Econometric Theory | 2004-02-11 | Paper |
TEMPORAL AGGREGATION AND THE FINITE SAMPLE PERFORMANCE OF SPECTRAL REGRESSION ESTIMATORS IN COINTEGRATED SYSTEMS A Simulation Study
Econometric Theory | 2003-05-18 | Paper |
MODELING CYCLICAL BEHAVIOR WITH DIFFERENTIAL-DIFFERENCE EQUATIONS IN AN UNOBSERVED COMPONENTS FRAMEWORK
Econometric Theory | 2003-05-18 | Paper |
The estimation of systems of joint differential-difference equations
Journal of Econometrics | 2001-06-19 | Paper |
A Note on Modelling Seasonal Processes in Continuous Time
Journal of Time Series Analysis | 2000-05-24 | Paper |
Discrete time representation of stationary and non-stationary continuous time systems
Journal of Economic Dynamics and Control | 1999-01-12 | Paper |
Fractional integration, trend stationarity and difference stationarity
Economics Letters | 1997-02-28 | Paper |
The simulation of random vector time series with given spectrum
Mathematical and Computer Modelling | 1995-10-30 | Paper |
A nonnested approach to testing continuous time models against discrete alternatives
Journal of Econometrics | 1994-01-09 | Paper |
A note on forecasting in co-integrated systems
Computers & Mathematics with Applications | 1993-02-22 | Paper |
Forecasting discrete stock and flow data generated by a second order continuous time system
Computers & Mathematics with Applications | 1992-09-27 | Paper |
