| Publication | Date of Publication | Type |
|---|
Non-stationary regression with logistic transition
Econometrics Journal | 2022-07-26 | Paper |
Estimation of volatility functions in jump diffusions using truncated bipower increments
Econometric Theory | 2021-11-25 | Paper |
Nonparametric estimation of jump diffusion models
Journal of Econometrics | 2021-05-04 | Paper |
Testing for stationarity at high frequency
Journal of Econometrics | 2020-05-21 | Paper |
Evaluating trends in time series of distributions: a spatial fingerprint of human effects on climate
Journal of Econometrics | 2019-12-19 | Paper |
Estimation of longrun variance of continuous time stochastic process using discrete sample
Journal of Econometrics | 2019-07-01 | Paper |
Evaluating factor pricing models using high-frequency panels
Quantitative Economics | 2018-09-12 | Paper |
Stationarity-based specification tests for diffusions when the process is nonstationary
Journal of Econometrics | 2017-05-12 | Paper |
Random walk or chaos: a formal test on the Lyapunov exponent
Journal of Econometrics | 2017-05-12 | Paper |
Asymptotics for recurrent diffusions with application to high frequency regression
Journal of Econometrics | 2016-11-17 | Paper |
A new approach to model regime switching
Journal of Econometrics | 2016-11-17 | Paper |
ARCH/GARCH with persistent covariate: asymptotic theory of MLE
Journal of Econometrics | 2016-08-15 | Paper |
Functional regression of continuous state distributions
Journal of Econometrics | 2016-08-15 | Paper |
A semiparametric cointegrating regression: investigating the effects of age distributions on consumption and saving
Journal of Econometrics | 2016-08-01 | Paper |
Nonlinearity, nonstationarity, and thick tails: how they interact to generate persistence in memory
Journal of Econometrics | 2016-07-25 | Paper |
Functional-coefficient models for nonstationary time series data
Journal of Econometrics | 2016-07-04 | Paper |
Extracting a common stochastic trend: theory with some applications
Journal of Econometrics | 2016-07-04 | Paper |
Time series properties of ARCH processes with persistent covariates
Journal of Econometrics | 2016-06-22 | Paper |
Testing for a unit root against transitional autoregressive models
International Economic Review | 2016-06-16 | Paper |
Nonstationary nonlinear heteroskedasticity in regression
Journal of Econometrics | 2016-05-02 | Paper |
A bootstrap theory for weakly integrated processes
Journal of Econometrics | 2016-04-25 | Paper |
Bootstrapping cointegrating regressions
Journal of Econometrics | 2016-04-25 | Paper |
Bandwidth selection and asymptotic properties of local nonparametric estimators in possibly nonstationary continuous-time models
Journal of Econometrics | 2016-03-01 | Paper |
A reexamination of stock return predictability
Journal of Econometrics | 2016-03-01 | Paper |
Nonstationarity in time series of state densities
Journal of Econometrics | 2016-03-01 | Paper |
GARCH with omitted persistent covariate
Economics Letters | 2015-01-12 | Paper |
Nonstationary nonlinearity: a survey on Peter Phillips's contributions with a new perspective
Econometric Theory | 2014-09-05 | Paper |
An asymptotic analysis of likelihood-based diffusion model selection using high frequency data
Journal of Econometrics | 2014-08-07 | Paper |
Endogeneity in nonlinear regressions with integrated time series
Econometric Reviews | 2011-03-30 | Paper |
Cointegrating regressions with time heterogeneity
Econometric Reviews | 2010-08-05 | Paper |
Bootstrap Unit Root Tests
Econometrica | 2006-06-19 | Paper |
A Test of the Martingale Hypothesis
Studies in Nonlinear Dynamics & Econometrics | 2006-01-27 | Paper |
ON THE ASYMPTOTICS OF ADF TESTS FOR UNIT ROOTS
Econometric Reviews | 2004-09-22 | Paper |
A Sieve Bootstrap For The Test Of A Unit Root
Journal of Time Series Analysis | 2004-03-16 | Paper |
Nonlinear instrumental variable estimation of an autoregression.
Journal of Econometrics | 2004-01-26 | Paper |
AN INVARIANCE PRINCIPLE FOR SIEVE BOOTSTRAP IN TIME SERIES
Econometric Theory | 2003-05-18 | Paper |
Index models with integrated time series
Journal of Econometrics | 2003-05-04 | Paper |
A cointegration approach to estimating preference parameters
Journal of Econometrics | 2003-04-21 | Paper |
Nonlinear econometric models with cointegrated and deterministically trending regressors
The Econometrics Journal | 2003-03-26 | Paper |
Nonstationary nonlinear heteroskedasticity.
Journal of Econometrics | 2003-02-17 | Paper |
Nonlinear Regressions with Integrated Time Series
Econometrica | 2002-05-28 | Paper |
Nonstationary Binary Choice
Econometrica | 2002-05-28 | Paper |
ASYMPTOTICS FOR NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES
Econometric Theory | 2001-07-19 | Paper |
COINTEGRATING REGRESSIONS WITH TIME VARYING COEFFICIENTS
Econometric Theory | 2001-07-08 | Paper |
Canonical Cointegrating Regressions
Econometrica | 1992-09-26 | Paper |
Asymptotic Equivalence of Ordinary Least Squares and Generalized Least Squares in Regressions With Integrated Regressors
| 1988-01-01 | Paper |
On the Formulation of Wald Tests of Nonlinear Restrictions
Econometrica | 1988-01-01 | Paper |
