| Publication | Date of Publication | Type |
|---|
Bootstrap Inference in the Presence of Bias
Journal of the American Statistical Association | 2024-12-10 | Paper |
Bootstrapping Noncausal Autoregressions: With Applications to Explosive Bubble Modeling
Journal of Business and Economic Statistics | 2024-10-28 | Paper |
Adaptive Inference in Heteroscedastic Fractional Time Series Models
Journal of Business and Economic Statistics | 2024-10-17 | Paper |
Inference in Heavy-Tailed Nonstationary Multivariate Time Series
Journal of the American Statistical Association | 2024-03-19 | Paper |
Specification Tests for GARCH Processes with Nuisance Parameters on the Boundary
Journal of Business and Economic Statistics | 2024-03-06 | Paper |
An identification and testing strategy for proxy-SVARs with weak proxies
Journal of Econometrics | 2024-02-13 | Paper |
Tail behavior of ACD models and consequences for likelihood-based estimation
Journal of Econometrics | 2024-02-13 | Paper |
Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models
Econometric Reviews | 2023-12-07 | Paper |
Bootstrap inference for Hawkes and general point processes
Journal of Econometrics | 2023-06-09 | Paper |
Bootstrap cointegration rank testing: the role of deterministic variables and initial values in the bootstrap recursion
Econometric Reviews | 2022-05-31 | Paper |
Wild bootstrap of the sample mean in the infinite variance case
Econometric Reviews | 2022-05-31 | Paper |
Lag length selection for unit root tests in the presence of nonstationary volatility
Econometric Reviews | 2022-05-31 | Paper |
Bootstrap determination of the co-integration rank in heteroskedastic VAR models
Econometric Reviews | 2022-05-31 | Paper |
Bootstrap inference on the boundary of the parameter space, with application to conditional volatility models
Journal of Econometrics | 2022-03-16 | Paper |
Wild bootstrap seasonal unit root tests for time series with periodic nonstationary volatility
Econometric Reviews | 2022-03-04 | Paper |
Bootstrapping non-stationary stochastic volatility
Journal of Econometrics | 2021-07-30 | Paper |
Inference under random limit bootstrap measures
Econometrica | 2021-06-07 | Paper |
A primer on bootstrap testing of hypotheses in time series models: with an application to double autoregressive models
Econometric Theory | 2021-04-16 | Paper |
A new approach to stock price modelling and the efficiency of the Italian stock exchange
Journal of the Italian Statistical Society | 2020-09-29 | Paper |
Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form
Journal of Econometrics | 2020-02-11 | Paper |
Bootstrap testing of hypotheses on co-integration relations in vector autoregressive models
Econometrica | 2019-01-30 | Paper |
The fixed volatility bootstrap for a class of \(\mathrm{ARCH}(q)\) models
Journal of Time Series Analysis | 2018-11-16 | Paper |
Determining the cointegration rank in heteroskedastic VAR models of unknown order
Econometric Theory | 2018-04-25 | Paper |
Unit root inference for non-stationary linear processes driven by infinite variance innovations
Econometric Theory | 2018-04-25 | Paper |
On the consistency of bootstrap testing for a parameter on the boundary of the parameter space
Journal of Time Series Analysis | 2017-07-21 | Paper |
Sieve-based inference for infinite-variance linear processes
The Annals of Statistics | 2016-09-07 | Paper |
Testing for co-integration in vector autoregressions with non-stationary volatility
Journal of Econometrics | 2016-08-04 | Paper |
The Role of the Normal Distribution in Financial Markets
Studies in Classification, Data Analysis, and Knowledge Organization | 2016-07-14 | Paper |
Testing for a change in persistence in the presence of non-stationary volatility
Journal of Econometrics | 2016-06-22 | Paper |
Inference on co-integration parameters in heteroskedastic vector autoregressions
Journal of Econometrics | 2016-03-01 | Paper |
Testing for unit roots under multiple possible trend breaks and non-stationary volatility using bootstrap minimum Dickey-Fuller statistics
Journal of Time Series Analysis | 2015-10-12 | Paper |
Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets
Journal of Econometrics | 2015-06-08 | Paper |
Bootstrap Determination of the Co‐Integration Rank in VAR Models with Unrestricted Deterministic Components
Journal of Time Series Analysis | 2015-05-20 | Paper |
Testing for unit roots in bounded time series
Journal of Econometrics | 2014-08-06 | Paper |
Exploiting infinite variance through dummy variables in nonstationary autoregressions
Econometric Theory | 2014-06-23 | Paper |
Heteroskedastic time series with a unit root
Econometric Theory | 2014-04-23 | Paper |
Bootstrap determination of the co-integration rank in vector autoregressive models
Econometrica | 2013-11-08 | Paper |
Testing stationarity under a permanent variance shift
Economics Letters | 2013-01-01 | Paper |
Testing for unit roots in time series models with non-stationary volatility
Journal of Econometrics | 2012-09-23 | Paper |
Testing for unit roots in autoregressions with multiple level shifts
Econometric Theory | 2012-05-14 | Paper |
TESTING FOR UNIT ROOTS IN THE PRESENCE OF A POSSIBLE BREAK IN TREND AND NONSTATIONARY VOLATILITY
Econometric Theory | 2011-11-22 | Paper |
Cointegration rank testing under conditional heteroskedasticity
Econometric Theory | 2011-04-21 | Paper |
The econometrics of consumption risk sharing: a new perspective
| 2011-03-10 | Paper |
A note on unit root testing in the presence of level shifts
| 2010-06-03 | Paper |
Robust inference in autoregressions with multiple outliers
Econometric Theory | 2009-12-15 | Paper |
A Note on Testing Covariance Stationarity
Econometric Reviews | 2009-10-21 | Paper |
Tests for cointegration rank and choice of the alternative
Statistical Methods and Applications | 2009-10-13 | Paper |
BootstrapMUnit Root Tests
Econometric Reviews | 2009-08-28 | Paper |
BOOTSTRAP UNIT ROOT TESTS FOR TIME SERIES WITH NONSTATIONARY VOLATILITY
Econometric Theory | 2009-06-11 | Paper |
REGIME-SWITCHING AUTOREGRESSIVE COEFFICIENTS AND THE ASYMPTOTICS FOR UNIT ROOT TESTS
Econometric Theory | 2009-06-11 | Paper |
Time-Transformed Unit Root Tests for Models with Non-Stationary Volatility
Journal of Time Series Analysis | 2009-02-28 | Paper |
Devaluation expectations and the unit root hypothesis: The Italian Lira in the European monetary system
Journal of the Italian Statistical Society | 2009-02-03 | Paper |
Testing the Null of Co-integration in the Presence of Variance Breaks
Journal of Time Series Analysis | 2007-05-29 | Paper |
STATIONARITY TESTS UNDER TIME-VARYING SECOND MOMENTS
Econometric Theory | 2006-03-22 | Paper |
LIMITED TIME SERIES WITH A UNIT ROOT
Econometric Theory | 2006-03-08 | Paper |
Bounded integrated processes and unit root tests
Statistical Methods and Applications | 2005-03-03 | Paper |
Fundamentals and asset price dynamics
Statistical Methods and Applications | 2005-03-03 | Paper |
Unit Root Tests under Time-Varying Variances
Econometric Reviews | 2005-01-19 | Paper |
Asymptotics for unit root tests under Markov regime‐switching
Econometrics Journal | 2004-03-17 | Paper |
Testing the unit root hypothesis using generalized range statistics
The Econometrics Journal | 2002-02-19 | Paper |
scientific article; zbMATH DE number 1327258 (Why is no real title available?)
| 2001-04-09 | Paper |
scientific article; zbMATH DE number 992982 (Why is no real title available?)
| 1997-06-02 | Paper |
scientific article; zbMATH DE number 1241179 (Why is no real title available?)
| 1997-01-01 | Paper |
