| Publication | Date of Publication | Type |
|---|
Robust tests for changing volatility
Statistica Sinica | 2026-03-20 | Paper |
Functional quantile autoregression
Journal of Econometrics | 2025-01-16 | Paper |
Bootstrap Inference for Panel Data Quantile Regression
Journal of Business and Economic Statistics | 2024-10-28 | Paper |
Testing for Trend Specifications in Panel Data Models
Journal of Business and Economic Statistics | 2024-03-05 | Paper |
A bi-integrative analysis of two-dimensional heterogeneous panel data models
Economics Letters | 2023-09-12 | Paper |
| Almost sure invariance principle of $\beta-$mixing time series in Hilbert space | 2022-09-26 | Paper |
Estimation and inference about tail features with tail censored data
Journal of Econometrics | 2022-09-14 | Paper |
Weak instrument inference in the presence of parameter instability
Econometrics Journal | 2022-07-26 | Paper |
Testing for changing volatility
Econometrics Journal | 2022-06-24 | Paper |
Unifying inference for semiparametric regression
Econometrics Journal | 2022-06-22 | Paper |
On smooth tests for the equality of distributions
Econometric Theory | 2022-03-21 | Paper |
Quantile aggregation and combination for stock return prediction
Econometric Reviews | 2022-03-04 | Paper |
Right tail information and asset pricing
Econometric Reviews | 2022-03-04 | Paper |
Quantile estimation of regression models with GARCH-X errors
STATISTICA SINICA | 2021-10-06 | Paper |
Idiosyncratic volatility, expected windfall, and the cross-section of stock returns
Essays in Honor of Peter C. B. Phillips | 2020-11-10 | Paper |
Consistency of \(\ell_1\) penalized negative binomial regressions
Statistics & Probability Letters | 2020-09-01 | Paper |
Efficient estimation of nonparametric regression in the presence of dynamic heteroskedasticity
Journal of Econometrics | 2019-12-19 | Paper |
What do mean impacts miss? Distributional effects of corporate diversification
Journal of Econometrics | 2019-10-23 | Paper |
Hybrid Quantile Regression Estimation for Time Series Models with Conditional Heteroscedasticity
Journal of the Royal Statistical Society Series B: Statistical Methodology | 2019-03-06 | Paper |
Power functions and envelopes for unit root tests
Econometric Theory | 2018-12-14 | Paper |
Mincer–Zarnowitz quantile and expectile regressions for forecast evaluations under aysmmetric loss functions
Journal of Forecasting | 2018-10-12 | Paper |
Efficient estimation for time-varying coefficient longitudinal models
Journal of Nonparametric Statistics | 2018-09-17 | Paper |
A powerful test for changing trends in time series models
Journal of Time Series Analysis | 2018-07-11 | Paper |
Stochastic dominance via quantile regression with applications to investigate arbitrage opportunity and market efficiency
European Journal of Operational Research | 2018-05-29 | Paper |
Square-root Lasso for high-dimensional sparse linear systems with weakly dependent errors
Journal of Time Series Analysis | 2018-03-09 | Paper |
Robust inference in nonstationary time series models
Journal of Econometrics | 2017-05-12 | Paper |
A new characterization of the normal distribution and test for normality
Econometric Theory | 2017-04-28 | Paper |
Quantile regression on quantile ranges -- a threshold approach
Journal of Time Series Analysis | 2017-01-12 | Paper |
Semiparametric quantile regression estimation in dynamic models with partially varying coefficients
Journal of Econometrics | 2016-08-15 | Paper |
A semiparametric panel model for unbalanced data with application to climate change in the United Kingdom
Journal of Econometrics | 2016-08-12 | Paper |
Functional-coefficient cointegration models
Journal of Econometrics | 2016-07-25 | Paper |
Quantile cointegrating regression
Journal of Econometrics | 2016-07-04 | Paper |
Tests for changing mean with monotonic power
Journal of Econometrics | 2016-07-04 | Paper |
A nonparametric test for changing trends
Journal of Econometrics | 2016-03-30 | Paper |
Testing for cointegration using partially linear models
Journal of Econometrics | 2016-03-24 | Paper |
Adaptive nonparametric regression with conditional heteroskedasticity
Econometric Theory | 2016-01-22 | Paper |
EFFICIENT REGRESSIONS VIA OPTIMALLY COMBINING QUANTILE INFORMATION
Econometric Theory | 2015-01-07 | Paper |
Unit roots: a selective review of the contributions of Peter C. B. Phillips
Econometric Theory | 2014-09-05 | Paper |
Right-tail information in financial markets
Econometric Theory | 2014-06-20 | Paper |
Estimation of and inference about the expected shortfall for time series with infinite variance
Econometric Theory | 2014-03-25 | Paper |
A smooth test for the equality of distributions
Econometric Theory | 2013-09-11 | Paper |
Testing unit root based on partially adaptive estimation
Journal of Time Series Econometrics | 2013-06-14 | Paper |
Nonparametric tests of moment condition stability
Econometric Theory | 2013-04-29 | Paper |
A nonparametric regression estimator that adapts to error distribution of unknown form
Econometric Theory | 2012-05-14 | Paper |
Are there speculative bubbles in stock markets? Evidence from an alternative approach
Statistics and Its Interface | 2012-01-25 | Paper |
Testing structural change in time-series nonparametric regression models
Statistics and Its Interface | 2012-01-25 | Paper |
Conditional quantile estimation for generalized autoregressive conditional heteroscedasticity models
Journal of the American Statistical Association | 2011-02-01 | Paper |
Copula-based nonlinear quantile autoregression
Econometrics Journal | 2010-02-12 | Paper |
COMMENTARIES ON “Unit Root Testing in Practice: Dealing with Uncertainty over the Trend and Initial Condition,” by David I. Harvey, Stephen J. Leybourne, and A.M. Robert Taylor
Econometric Theory | 2009-09-30 | Paper |
Testing for parameter stability in quantile regression models
Statistics & Probability Letters | 2008-11-14 | Paper |
Testing Covariance Stationarity
Econometric Reviews | 2008-01-18 | Paper |
Quantile Autoregression
Journal of the American Statistical Association | 2007-08-20 | Paper |
Unit Root Quantile Autoregression Inference
Journal of the American Statistical Association | 2007-08-20 | Paper |
Inference on the Quantile Regression Process
Econometrica | 2006-06-16 | Paper |
PARTIALLY LINEAR MODELS WITH UNIT ROOTS
Econometric Theory | 2006-03-08 | Paper |
A Nonparametric Prewhitened Covariance Estimator
Journal of Time Series Analysis | 2005-05-20 | Paper |
Bootstrapping cointegrating regressions using blockwise bootstrap methods
Journal of Statistical Computation and Simulation | 2004-06-14 | Paper |
More Efficient Local Polynomial Estimation in Nonparametric Regression With Autocorrelated Errors
Journal of the American Statistical Association | 2004-06-10 | Paper |
An ADF coefficient test for a unit root in ARMA models of unknown order with empirical applications to the US economy
Econometrics Journal | 2003-08-07 | Paper |
| scientific article; zbMATH DE number 1911754 (Why is no real title available?) | 2003-05-18 | Paper |
SECOND-ORDER APPROXIMATION FOR ADAPTIVE REGRESSION ESTIMATORS
Econometric Theory | 2003-05-18 | Paper |
A CUSUM test for cointegration using regression residuals
Journal of Econometrics | 2003-04-02 | Paper |
Higher order approximations for Wald statistics in time series regressions with integrated processes.
Journal of Econometrics | 2003-04-02 | Paper |
Note on bandwidth selection in testing for long range dependence.
Economics Letters | 2003-01-22 | Paper |
EFFICIENT DETRENDING IN COINTEGRATING REGRESSION
Econometric Theory | 2002-05-23 | Paper |
How to estimate autoregressive roots near unity
Econometric Theory | 2001-11-01 | Paper |
Bootstraping time series regressions with integrated process
Journal of Time Series Analysis | 2001-10-09 | Paper |
Testing the null hypothesis of stationarity against an autoregressive unit root alternative
Journal of Time Series Analysis | 2001-07-11 | Paper |
On bootstrapping regressions with unit root processes
Statistics & Probability Letters | 2001-05-20 | Paper |
Higher-order approximations for frequency domain time series regression
Journal of Econometrics | 2001-03-11 | Paper |
A residual based test for the null hypothesis of cointegration.
Economics Letters | 2000-01-12 | Paper |
| scientific article; zbMATH DE number 24441 (Why is no real title available?) | 1992-06-26 | Paper |
