| Publication | Date of Publication | Type |
|---|
CCE under nonrandom heterogeneity
The Econometrics Journal | 2026-02-03 | Paper |
Interactive effects panel data models with general factors and regressors
Econometric Theory | 2025-12-29 | Paper |
Using information criteria to select averages in CCE
The Econometrics Journal | 2025-06-24 | Paper |
Heteroscedasticity Robust Panel Unit Root Tests
Journal of Business and Economic Statistics | 2025-01-20 | Paper |
Rethinking the Univariate Approach to Panel Unit Root Testing: Using Covariates to Resolve the Incidental Trend Problem
Journal of Business and Economic Statistics | 2025-01-20 | Paper |
On the Use of GLS Demeaning in Panel Unit Root Testing
Journal of Business and Economic Statistics | 2024-10-23 | Paper |
Unit Root Inference in Generally Trending and Cross-Correlated Fixed-<i>T</i> Panels
Journal of Business and Economic Statistics | 2024-10-23 | Paper |
Tests of Equal Forecasting Accuracy for Nested Models with Estimated CCE Factors*
Journal of Business and Economic Statistics | 2024-10-17 | Paper |
Structural Breaks in Interactive Effects Panels and the Stock Market Reaction to COVID-19
Journal of Business and Economic Statistics | 2024-03-06 | Paper |
Estimation of Panel Data Models with Random Interactive Effects and Multiple Structural Breaks when <i>T</i> is Fixed
Journal of Business and Economic Statistics | 2024-03-06 | Paper |
Testing factors in CCE
Economics Letters | 2023-09-12 | Paper |
CCE in heterogenous fixed-<i>T</i> panels
Econometrics Journal | 2022-12-06 | Paper |
The factor analytical approach in trending near unit root panels
Journal of Time Series Analysis | 2022-08-08 | Paper |
CCE in panels with general unknown factors
Econometrics Journal | 2022-06-24 | Paper |
Optimal panel unit root testing with covariates
Econometrics Journal | 2022-06-24 | Paper |
Forecasting using cross-section average–augmented time series regressions
Econometrics Journal | 2022-06-22 | Paper |
Panel data measures of price discovery
Econometric Reviews | 2022-06-09 | Paper |
The local power of the CADF and CIPS panel unit root tests
Econometric Reviews | 2022-06-07 | Paper |
Pooled panel unit root tests and the effect of past initialization
Econometric Reviews | 2022-06-07 | Paper |
Lessons from a decade of IPS and LLC
Econometric Reviews | 2022-05-31 | Paper |
Estimation of factor-augmented panel regressions with weakly influential factors
Econometric Reviews | 2022-03-09 | Paper |
Robust block bootstrap panel predictability tests
Econometric Reviews | 2022-03-04 | Paper |
Breaks in persistence in fixed-\(T\) panel data
Economics Letters | 2021-07-22 | Paper |
The factor analytical approach in near unit root interactive effects panels
Journal of Econometrics | 2021-03-24 | Paper |
On the robustness of the pooled CCE estimator
Journal of Econometrics | 2021-02-04 | Paper |
Panel stationary tests against changes in persistence
Statistical Papers | 2019-11-28 | Paper |
Lag truncation and the local asymptotic distribution of the ADF test for a unit root
Statistical Papers | 2019-11-21 | Paper |
On estimation and inference in heterogeneous panel regressions with interactive effects
Journal of Time Series Analysis | 2019-10-18 | Paper |
Testing additive versus interactive effects in fixed-\(T\) panels
Economics Letters | 2019-10-10 | Paper |
Common breaks in means for cross-correlated fixed-\(T\) panel data
Journal of Time Series Analysis | 2019-06-17 | Paper |
On CCE estimation of factor-augmented models when regressors are not linear in the factors
Economics Letters | 2019-05-07 | Paper |
On the choice of test for a unit root when the errors are conditionally heteroskedastic
Computational Statistics and Data Analysis | 2018-11-02 | Paper |
Likelihood ratio tests for a unit root in panels with random effects
Statistics | 2017-07-20 | Paper |
On the determination of the number of factors using information criteria with data-driven penalty
Statistical Papers | 2017-03-07 | Paper |
On the role of the rank condition in CCE estimation of factor-augmented panel regressions
Journal of Econometrics | 2017-01-30 | Paper |
Testing for a unit root in a random coefficient panel data model
Journal of Econometrics | 2016-08-15 | Paper |
The asymptotic distribution of the CADF unit root test in the presence of heterogeneous AR(p) errors
Statistical Papers | 2016-05-17 | Paper |
A simple test for nonstationarity in mixed panels: a further investigation
Journal of Statistical Planning and Inference | 2016-03-08 | Paper |
New tools for understanding the local asymptotic power of panel unit root tests
Journal of Econometrics | 2015-07-27 | Paper |
Small-Sample Improved Seasonal Unit Root Tests for Trending and Breaking Series
Communications in Statistics. Simulation and Computation | 2015-06-24 | Paper |
A simple test for nonstationarity in mixed panels with incidental trends
Economics Letters | 2015-05-19 | Paper |
The effect of recursive detrending on panel unit root tests
Journal of Econometrics | 2015-05-06 | Paper |
Nonparametric rank tests for non-stationary panels
Journal of Econometrics | 2015-05-06 | Paper |
Cross-sectional averages versus principal components
Journal of Econometrics | 2015-05-06 | Paper |
The power of PANIC
Journal of Econometrics | 2015-05-06 | Paper |
On the asymptotic distribution of the Dickey Fuller-GLS test statistic
Statistics | 2014-12-22 | Paper |
Testing slope homogeneity in large panels with serial correlation
Economics Letters | 2014-06-06 | Paper |
Alternative representations for cointegrated panels with global stochastic trends
Economics Letters | 2014-04-09 | Paper |
On the estimation and inference in factor-augmented panel regressions with correlated loadings
Economics Letters | 2014-03-17 | Paper |
A computationally convenient unit root test with covariates, conditional heteroskedasticity and efficient detrending
Journal of Time Series Analysis | 2013-11-26 | Paper |
A panel bootstrap cointegration test
Economics Letters | 2013-01-28 | Paper |
Reducing the size distortions of the panel LM test for cointegration
Economics Letters | 2013-01-07 | Paper |
A note on the pooling of individual panic unit root tests
Econometric Theory | 2009-12-15 | Paper |
Some transformation techniques with applications in global optimization
Journal of Global Optimization | 2009-07-13 | Paper |
New Improved Tests for Cointegration with Structural Breaks
Journal of Time Series Analysis | 2008-06-18 | Paper |
New Simple Tests for Panel Cointegration
Econometric Reviews | 2005-10-17 | Paper |
