| Publication | Date of Publication | Type |
|---|
Subgeometrically ergodic autoregressions with autoregressive conditional heteroskedasticity
Econometric Theory | 2025-12-29 | Paper |
A mixture autoregressive model based on Student’s t–distribution
Communications in Statistics: Theory and Methods | 2023-02-03 | Paper |
SUBGEOMETRICALLY ERGODIC AUTOREGRESSIONS
Econometric Theory | 2022-11-23 | Paper |
Testing identification via heteroskedasticity in structural vector autoregressive models
Econometrics Journal | 2022-06-22 | Paper |
| Subgeometrically ergodic autoregressions with autoregressive conditional heteroskedasticity | 2022-05-24 | Paper |
Stationarity and ergodicity of vector STAR models
Econometric Reviews | 2022-03-04 | Paper |
Subgeometric ergodicity and \(\beta\)-mixing
Journal of Applied Probability | 2021-09-24 | Paper |
Testing for observation-dependent regime switching in mixture autoregressive models
Journal of Econometrics | 2021-05-04 | Paper |
Subgeometrically ergodic autoregressions
(available as arXiv preprint) | 2019-04-15 | Paper |
Forecasting with a noncausal VAR model
Computational Statistics and Data Analysis | 2018-11-23 | Paper |
A mixture autoregressive model based on Student's $t$-distribution
(available as arXiv preprint) | 2018-05-10 | Paper |
Identification and estimation of non-Gaussian structural vector autoregressions
Journal of Econometrics | 2017-02-01 | Paper |
Identification and estimation of non-Gaussian structural vector autoregressions
Journal of Econometrics | 2017-01-13 | Paper |
Gaussian mixture vector autoregression
Journal of Econometrics | 2016-06-01 | Paper |
Gaussian mixture vector autoregression
Journal of Econometrics | 2016-05-10 | Paper |
Residual autocorrelation testing for vector error correction models
Journal of Econometrics | 2016-05-02 | Paper |
Stability results for nonlinear error correction models
Journal of Econometrics | 2016-03-30 | Paper |
Testing for a unit root in noncausal autoregressive models
Journal of Time Series Analysis | 2016-01-25 | Paper |
A Gaussian Mixture Autoregressive Model for Univariate Time Series
Journal of Time Series Analysis | 2015-03-09 | Paper |
Noncausal vector autoregression
Econometric Theory | 2013-08-22 | Paper |
Noncausal autoregressions for economic time series
Journal of Time Series Econometrics | 2013-06-14 | Paper |
Maximum likelihood estimation of a noninvertible ARMA model with autoregressive conditional heteroskedasticity
Journal of Multivariate Analysis | 2013-01-16 | Paper |
Why is it so difficult to uncover the risk-return tradeoff in stock returns?
Economics Letters | 2013-01-08 | Paper |
Parameter estimation in nonlinear AR-GARCH models
Econometric Theory | 2012-01-04 | Paper |
Stability of nonlinear AR-GARCH models
Journal of Time Series Analysis | 2010-04-22 | Paper |
A note on the geometric ergodicity of a nonlinear AR-ARCH model
Statistics & Probability Letters | 2010-04-01 | Paper |
Testing for the cointegrating rank of a vector autoregressive process with uncertain deterministic trend term
Econometrics Journal | 2009-12-22 | Paper |
ERGODICITY, MIXING, AND EXISTENCE OF MOMENTS OF A CLASS OF MARKOV MODELS WITH APPLICATIONS TO GARCH AND ACD MODELS
Econometric Theory | 2009-06-11 | Paper |
STABILITY OF REGIME SWITCHING ERROR CORRECTION MODELS UNDER LINEAR COINTEGRATION
Econometric Theory | 2009-06-11 | Paper |
Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break
Journal of Time Series Analysis | 2009-02-28 | Paper |
| scientific article; zbMATH DE number 5274712 (Why is no real title available?) | 2008-05-14 | Paper |
| Stability of mixtures of vector autoregressions with autoregressive conditional heteroskedastic\-ity | 2008-01-09 | Paper |
Comparison of unit root tests for time series with level shifts
Journal of Time Series Analysis | 2007-05-29 | Paper |
Testing for the Cointegrating Rank of a VAR Process with Level Shift at Unknown Time
Econometrica | 2006-06-19 | Paper |
BREAK DATE ESTIMATION FOR VAR PROCESSES WITH LEVEL SHIFT WITH AN APPLICATION TO COINTEGRATION TESTING
Econometric Theory | 2006-03-22 | Paper |
Non‐linear GARCH models for highly persistent volatility
Econometrics Journal | 2005-11-08 | Paper |
Testing for unit roots in time series with level shifts
AStA. Allgemeines Statistisches Archiv | 2004-09-22 | Paper |
A REVIEW OF SYSTEMS COINTEGRATION TESTS
Econometric Reviews | 2004-06-18 | Paper |
Reducing size distortions of parametric stationarity tests
Journal of Time Series Analysis | 2004-03-16 | Paper |
| scientific article; zbMATH DE number 1944301 (Why is no real title available?) | 2004-01-20 | Paper |
TESTING FOR A UNIT ROOT IN A TIME SERIES WITH A LEVEL SHIFT AT UNKNOWN TIME
Econometric Theory | 2003-05-18 | Paper |
Comparison of tests for the cointegrating rank of a VAR process with a structural shift
Journal of Econometrics | 2003-04-28 | Paper |
Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process
Econometrics Journal | 2002-10-23 | Paper |
Vector autoregressive processes with nonlinear time trends in cointegrating relations
Macroeconomic Dynamics | 2002-07-02 | Paper |
Consistent estimation in cointegrated vector autoregressive models with nonlinear time trends in cointegrating relations
Econometric Theory | 2001-12-05 | Paper |
Trend adjustment prior to testing for the cointegrating rank of a vector autoregressive process
Journal of Time Series Analysis | 2001-10-09 | Paper |
Testing for the cointegrating rank of a VAR process with a time trend
Journal of Econometrics | 2001-10-03 | Paper |
Statistical inference in cointegrated vector autoregressive models with nonlinear time trends in cointegrating relations.
Econometric Theory | 2001-01-01 | Paper |
TESTING FOR THE COINTEGRATING RANK OF A VAR PROCESS WITH AN INTERCEPT
Econometric Theory | 2000-01-01 | Paper |
LOCAL POWER OF LIKELIHOOD RATIO TESTS FOR THE COINTEGRATING RANK OF A VAR PROCESS
Econometric Theory | 1999-12-19 | Paper |
Testing cointegration in infinite order vector autoregressive processes
Journal of Econometrics | 1999-10-17 | Paper |
Impulse response analysis in infinite order cointegrated vector autoregressive processes
Journal of Econometrics | 1999-10-17 | Paper |
A lag augmentation test for the cointegrating rank of a VAR process
Economics Letters | 1999-04-28 | Paper |
Testing normalization and overidentification of cointegrating vectors in vector autoregressive processes
Econometric Reviews | 1999-01-01 | Paper |
TESTING THE ORDER OF DIFFERENCING IN TIME SERIES REGRESSION
Journal of Time Series Analysis | 1997-03-23 | Paper |
Power of the Lagrange multiplier test for testing an autoregressive unit root
Economics Letters | 1997-02-27 | Paper |
Dependent versions of a central limit theorem for the squared length of a sample mean
Statistics & Probability Letters | 1995-10-05 | Paper |
| scientific article; zbMATH DE number 775748 (Why is no real title available?) | 1995-08-14 | Paper |
| Testing for a Moving Average Unit Root in Autoregressive Integrated Moving Average Models | 1993-09-02 | Paper |
Estimating multivariate autoregressive moving average models by fitting long autoregressions
Communications in Statistics: Theory and Methods | 1989-01-01 | Paper |
Testing linearity against smooth transition autoregressive models
Biometrika | 1988-01-01 | Paper |
| scientific article; zbMATH DE number 4090638 (Why is no real title available?) | 1988-01-01 | Paper |
| scientific article; zbMATH DE number 4060586 (Why is no real title available?) | 1988-01-01 | Paper |
An efficient method for the estimation of multivariate moving averge models
Communications in Statistics: Theory and Methods | 1988-01-01 | Paper |
A specification strategy for order determination in arma models
Communications in Statistics. Simulation and Computation | 1988-01-01 | Paper |
Asymptotic properties of some tests for autocorrelation
Statistics | 1986-01-01 | Paper |
ASYMPTOTIC PROPERTIES OF SOME PRELIMINARY ESTIMATORS FOR AUTOREGRESSIVE MOVING AVERAGE TIME SERIES MODELS
Journal of Time Series Analysis | 1986-01-01 | Paper |
| scientific article; zbMATH DE number 4030770 (Why is no real title available?) | 1985-01-01 | Paper |
ASYMPTOTIC RELATIVE EFFICIENCY OF SOME TESTS OF FIT IN TIME SERIES MODELS
Journal of Time Series Analysis | 1983-01-01 | Paper |
| scientific article; zbMATH DE number 3965273 (Why is no real title available?) | 1983-01-01 | Paper |
