| Publication | Date of Publication | Type |
|---|
| A similarity-based approach for macroeconomic forecasting | 2025-01-22 | Paper |
| A State Space Approach to Extracting the Signal From Uncertain Data | 2025-01-20 | Paper |
| An LM Test for the Conditional Independence between Regressors and Factor Loadings in Panel Data Models with Interactive Effects | 2024-10-28 | Paper |
| On the estimation of short memory components in long memory time series models | 2023-03-30 | Paper |
| Choosing between persistent and stationary volatility | 2023-01-12 | Paper |
| Estimation and inference for impulse response functions from univariate strongly persistent processes | 2022-07-26 | Paper |
| Inference for impulse response coefficients from multivariate fractionally integrated processes | 2022-06-07 | Paper |
| Semiparametric Sieve-Type Generalized Least Squares Inference | 2022-06-03 | Paper |
| ESTIMATION OF TIME-VARYING COVARIANCE MATRICES FOR LARGE DATASETS | 2022-01-26 | Paper |
| Time-varying instrumental variable estimation | 2021-10-26 | Paper |
| Corrigendum to “A Generalised Fractional Differencing Bootstrap for Long Memory Processes” Journal of Time Series Analysis 40: 467‐492 (2019) <scp>DOI</scp>: 10.1111/jtsa.12460 | 2021-07-16 | Paper |
| Correction to: ``Exponent of cross-sectional dependence for residuals | 2021-05-03 | Paper |
| Estimation and inference for multi-dimensional heterogeneous panel datasets with hierarchical multi-factor error structure | 2021-02-04 | Paper |
| Time-varying cointegration with an application to the UK Great Ratios | 2020-11-03 | Paper |
| Exponent of cross-sectional dependence for residuals | 2020-02-20 | Paper |
| A time-varying parameter structural model of the UK economy | 2019-11-21 | Paper |
| A Generalised Fractional Differencing Bootstrap for Long Memory Processes | 2019-07-30 | Paper |
| Modified information criteria and selection of long memory time series models | 2018-11-23 | Paper |
| Time-varying Lasso | 2018-10-05 | Paper |
| A One Covariate at a Time, Multiple Testing Approach to Variable Selection in High-Dimensional Linear Regression Models | 2018-09-19 | Paper |
| A new approach to multi-step forecasting using dynamic stochastic general equilibrium models | 2018-08-31 | Paper |
| A new summary measure of inflation expectations | 2018-08-29 | Paper |
| Revisiting useful approaches to data-rich macroeconomic forecasting | 2018-08-15 | Paper |
| Forecasting inflation and GDP growth using heuristic optimisation of information criteria and variable reduction methods | 2018-08-15 | Paper |
| Shifts in volatility driven by large stock market shocks | 2018-08-13 | Paper |
| Inference on Multivariate Heteroscedastic Time Varying Random Coefficient Models | 2018-03-09 | Paper |
| Estimation and forecasting in vector autoregressive moving average models for rich datasets | 2017-11-23 | Paper |
| Bootstrap Statistical Tests of Rank Determination for System Identification | 2017-07-12 | Paper |
| Panels with non-stationary multifactor error structures | 2016-08-10 | Paper |
| Nonlinear models for strongly dependent processes with financial applications | 2016-06-22 | Paper |
| Structural analysis with multivariate autoregressive index models | 2016-05-10 | Paper |
| Testing for ARCH in the presence of nonlinearity of unknown form in the conditional mean | 2016-05-04 | Paper |
| Inference on stochastic time-varying coefficient models | 2014-08-07 | Paper |
| Adaptive forecasting in the presence of recent and ongoing structural change | 2014-06-06 | Paper |
| Factor-GMM estimation with large sets of possibly weak instruments | 2014-04-14 | Paper |
| A factor approach to realized volatility forecasting in the presence of finite jumps and cross-sectional correlation in pricing errors | 2014-04-03 | Paper |
| Estimating deterministically time-varying variances in regression models | 2013-01-28 | Paper |
| Nonlinear autoregressive models and long memory | 2013-01-07 | Paper |
| Forecasting using predictive likelihood model averaging | 2013-01-07 | Paper |
| A note on an iterative least-squares estimation method for ARMA and VARMA models | 2013-01-01 | Paper |
| A note on modelling core inflation for the UK using a new dynamic factor estimation method and a large disaggregated price index dataset | 2013-01-01 | Paper |
| Are more data always better for factor analysis? Results for the euro area, the six largest euro area countries and the UK | 2012-10-15 | Paper |
| Testing the Null Hypothesis of Nonstationary Long Memory Against the Alternative Hypothesis of a Nonlinear Ergodic Model | 2011-07-27 | Paper |
| A Testing Procedure for Determining the Number of Factors in Approximate Factor Models With Large Datasets | 2011-04-13 | Paper |
| A parametric estimation method for dynamic factor models of large dimensions | 2011-02-22 | Paper |
| TESTS OF THE MARTINGALE DIFFERENCE HYPOTHESIS USING BOOSTING AND RBF NEURAL NETWORK APPROXIMATIONS | 2010-10-14 | Paper |
| Cross-sectional averaging and instrumental variable estimation with many weak instruments | 2010-09-07 | Paper |
| Modeling structural breaks in economic relationships using large shocks | 2010-06-11 | Paper |
| Bootstrap-based tests for deterministic time-varying coefficients in regression models | 2010-03-30 | Paper |
| TESTING FOR EXOGENEITY IN THRESHOLD MODELS | 2010-02-26 | Paper |
| Statistical Tests and Estimators of the Rank of a Matrix and Their Applications in Econometric Modelling | 2009-10-16 | Paper |
| Variable selection in regression models using nonstandard optimisation of information criteria | 2009-06-02 | Paper |
| Choosing the optimal set of instruments from large instrument sets | 2009-04-06 | Paper |
| Cluster analysis of panel data sets using non-standard optimisation of information criteria | 2008-11-25 | Paper |
| A bootstrap procedure for panel data sets with many cross-sectional units | 2008-08-21 | Paper |
| Testing for Neglected Nonlinearity in Cointegrating Relationships | 2008-06-18 | Paper |
| TESTING FOR COINTEGRATION IN NONLINEAR SMOOTH TRANSITION ERROR CORRECTION MODELS | 2008-01-23 | Paper |
| Chapter 7 Nonlinear Modelling of Autoregressive Structural Breaks in Some US Macroeconomic Series | 2007-07-23 | Paper |
| Unit root tests in three‐regime SETAR models | 2006-09-22 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5474896 | 2006-06-26 | Paper |
| Estimating the Rank of the Spectral Density Matrix | 2006-05-24 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3368310 | 2006-01-27 | Paper |
| An Investigation of Current Account Solvency in Latin America Using Non Linear Nonstationarity Tests | 2006-01-27 | Paper |
| THE ASYMPTOTIC DISTRIBUTION OF THE COINTEGRATION RANK ESTIMATOR UNDER THE AKAIKE INFORMATION CRITERION | 2006-01-17 | Paper |
| Pure Significance Tests of the Unit Root Hypothesis Against Nonlinear Alternatives | 2004-11-24 | Paper |
| A radial basis function artificial neural network test for neglected nonlinearity | 2004-03-17 | Paper |
| Testing for a unit root in the nonlinear STAR framework | 2003-04-09 | Paper |
| Nonlinear mean reversion in real exchange rates. | 2003-01-21 | Paper |
| Testing the rank of the Hankel covariance matrix: a statistical approach | 2002-07-21 | Paper |
| Model Selection in Threshold Models | 2002-04-24 | Paper |
| An automatic leading indicator of economic activity: forecasting GDP growth for European countries* | 2002-02-19 | Paper |
| Incorporating lag order selection uncertainty in parameter inference for AR models | 2001-08-20 | Paper |
| A radial basis function artificial neural network test for ARCH | 2000-10-26 | Paper |
| Small sample properties of the conditional least squares estimator in SETAR models | 2000-10-26 | Paper |
