| Publication | Date of Publication | Type |
|---|
Tilted Nonparametric Estimation of Volatility Functions With Empirical Applications
Journal of Business and Economic Statistics | 2025-01-20 | Paper |
Testing the Martingale Hypothesis
Journal of Business and Economic Statistics | 2025-01-20 | Paper |
Reprint of: Robust inference on correlation under general heterogeneity
Journal of Econometrics | 2025-01-16 | Paper |
Practical Kolmogorov–Smirnov Testing by Minimum Distance Applied to Measure Top Income Shares in Korea
Journal of Business and Economic Statistics | 2024-10-23 | Paper |
Robust inference of panel data models with interactive fixed effects under long memory: a frequency domain approach
Journal of Econometrics | 2024-06-12 | Paper |
A PANEL CLUSTERING APPROACH TO ANALYZING BUBBLE BEHAVIOR
International Economic Review | 2024-03-27 | Paper |
Panel data models with time-varying latent group structures
Journal of Econometrics | 2024-03-21 | Paper |
High-dimensional IV cointegration estimation and inference
Journal of Econometrics | 2024-02-13 | Paper |
Robust testing for explosive behavior with strongly dependent errors
Journal of Econometrics | 2024-02-13 | Paper |
OPTIMAL BANDWIDTH SELECTION IN NONLINEAR COINTEGRATING REGRESSION
Econometric Theory | 2024-01-09 | Paper |
LIMIT THEORY FOR LOCALLY FLAT FUNCTIONAL COEFFICIENT REGRESSION
Econometric Theory | 2023-10-24 | Paper |
Robust inference with stochastic local unit root regressors in predictive regressions
Journal of Econometrics | 2023-06-29 | Paper |
Regression-adjusted estimation of quantile treatment effects under covariate-adaptive randomizations
Journal of Econometrics | 2023-06-09 | Paper |
Regression-adjusted estimation of quantile treatment effects under covariate-adaptive randomizations
Journal of Econometrics | 2023-06-09 | Paper |
THE ECONOMETRIC THEORY AWARDS 2023
Econometric Theory | 2023-05-04 | Paper |
ESTIMATION AND INFERENCE WITH NEAR UNIT ROOTS
Econometric Theory | 2023-05-04 | Paper |
High-dimensional VARs with common factors
Journal of Econometrics | 2023-03-03 | Paper |
When bias contributes to variance: true limit theory in functional coefficient cointegrating regression
Journal of Econometrics | 2023-02-01 | Paper |
Fully modified least squares cointegrating parameter estimation in multicointegrated systems
Journal of Econometrics | 2023-02-01 | Paper |
ROBUST TESTS FOR WHITE NOISE AND CROSS-CORRELATION
Econometric Theory | 2022-11-23 | Paper |
Edmond Malinvaud: a tribute to his contributions in econometrics
Econometrics Journal | 2022-07-27 | Paper |
Point-optimal panel unit root tests with serially correlated errors
Econometrics Journal | 2022-07-26 | Paper |
Reduced forms and weak instrumentation
Econometric Reviews | 2022-06-08 | Paper |
Meritocracy voting: measuring the unmeasurable
Econometric Reviews | 2022-06-07 | Paper |
Lag length selection in panel autoregression
Econometric Reviews | 2022-06-07 | Paper |
Limit theory for VARs with mixed roots near unity
Econometric Reviews | 2022-06-03 | Paper |
Nonlinearity induced weak instrumentation
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 |
Parametric conditional mean inference with functional data applied to lifetime income curves
International Economic Review | 2022-04-25 | Paper |
Understanding temporal aggregation effects on kurtosis in financial indices
Journal of Econometrics | 2022-03-16 | Paper |
Functional coefficient panel modeling with communal smoothing covariates
Journal of Econometrics | 2022-03-16 | Paper |
Nonlinear cointegrating power function regression with endogeneity
Econometric Theory | 2022-01-26 | Paper |
Boosting: why you can use the HP filter
International Economic Review | 2021-09-17 | Paper |
Business cycles, trend elimination, and the HP filter
International Economic Review | 2021-09-17 | Paper |
Fully Modified Least Squares Cointegrating Parameter Estimation in Multicointegrated Systems
(available as arXiv preprint) | 2021-08-07 | Paper |
LATENT VARIABLE NONPARAMETRIC COINTEGRATING REGRESSION
Econometric Theory | 2021-04-16 | Paper |
Point optimal testing with roots that are functionally local to unity
Journal of Econometrics | 2021-02-04 | Paper |
Nonstationary panel models with latent group structures and cross-section dependence
Journal of Econometrics | 2021-02-04 | Paper |
Dynamic panel GMM using R
Handbook of Statistics | 2020-08-18 | Paper |
Real time monitoring of asset markets: bubbles and crises
Handbook of Statistics | 2020-07-10 | Paper |
Kernel-based inference in time-varying coefficient cointegrating regression
Journal of Econometrics | 2020-05-21 | Paper |
Asymptotic theory for near integrated processes driven by tempered linear processes
Journal of Econometrics | 2020-03-20 | Paper |
Hybrid stochastic local unit roots
Journal of Econometrics | 2020-02-17 | Paper |
Econometric estimates of Earth's transient climate sensitivity
Journal of Econometrics | 2019-12-19 | Paper |
The heterogeneous effects of the minimum wage on employment across states
Economics Letters | 2019-10-10 | Paper |
Random coefficient continuous systems: testing for extreme sample path behavior
Journal of Econometrics | 2019-04-30 | Paper |
Weak \(\sigma\)-convergence: theory and applications
Journal of Econometrics | 2019-04-30 | Paper |
Identifying latent structures in panel data
Econometrica | 2019-01-31 | Paper |
On Confidence Intervals for Autoregressive Roots and Predictive Regression
Econometrica | 2019-01-29 | Paper |
IN MEMORY OF JOHN DENIS SARGAN
Econometric Theory | 2018-12-14 | Paper |
Vision and influence in econometrics: John Denis Sargan
Econometric Theory | 2018-12-14 | Paper |
Threshold regression asymptotics: from the compound Poisson process to two-sided Brownian motion
Economics Letters | 2018-12-12 | Paper |
Change detection and the causal impact of the yield curve
Journal of Time Series Analysis | 2018-11-16 | Paper |
A frequentist approach to Bayesian asymptotics
Journal of Econometrics | 2018-10-12 | Paper |
IV AND GMM INFERENCE IN ENDOGENOUS STOCHASTIC UNIT ROOT MODELS
Econometric Theory | 2018-09-06 | Paper |
Boundary limit theory for functional local to unity regression
Journal of Time Series Analysis | 2018-07-11 | Paper |
Financial bubble implosion and reverse regression
Econometric Theory | 2018-06-26 | Paper |
Dynamic panel Anderson-Hsiao estimation with roots near unity
Econometric Theory | 2018-04-25 | Paper |
Threshold regression with endogeneity
Journal of Econometrics | 2018-03-22 | Paper |
Pythagorean generalization of testing the equality of two symmetric positive definite matrices
Journal of Econometrics | 2017-11-23 | Paper |
Inference in continuous systems with mildly explosive regressors
Journal of Econometrics | 2017-11-07 | Paper |
Phoebus J. Dhrymes (1932–2016)
Econometric Theory | 2017-09-15 | Paper |
TRIBUTE TO T.W. ANDERSON
Econometric Theory | 2017-08-22 | Paper |
Structural inference from reduced forms with many instruments
Journal of Econometrics | 2017-08-18 | Paper |
Dynamic misspecification in nonparametric cointegrating regression
Journal of Econometrics | 2017-05-12 | Paper |
Dynamic misspecification in nonparametric cointegrating regression
Journal of Econometrics | 2017-05-12 | Paper |
Cointegrating rank selection in models with time-varying variance
Journal of Econometrics | 2017-05-12 | Paper |
Cointegrating rank selection in models with time-varying variance
Journal of Econometrics | 2017-05-12 | Paper |
Mean and autocovariance function estimation near the boundary of stationarity
Journal of Econometrics | 2017-05-12 | Paper |
Mean and autocovariance function estimation near the boundary of stationarity
Journal of Econometrics | 2017-05-12 | Paper |
Optimal estimation under nonstandard conditions
Journal of Econometrics | 2017-05-12 | Paper |
Optimal estimation under nonstandard conditions
Journal of Econometrics | 2017-05-12 | Paper |
Weak convergence to stochastic integrals for econometric applications
Econometric Theory | 2017-05-10 | Paper |
A multivariate stochastic unit root model with an application to derivative pricing
Journal of Econometrics | 2016-11-17 | Paper |
Estimating smooth structural change in cointegration models
Journal of Econometrics | 2016-11-17 | Paper |
Bias in estimating multivariate and univariate diffusions
Journal of Econometrics | 2016-08-10 | Paper |
Bootstrapping I(1) data
Journal of Econometrics | 2016-08-04 | Paper |
Smoothing local-to-moderate unit root theory
Journal of Econometrics | 2016-08-04 | Paper |
Indirect inference for dynamic panel models
Journal of Econometrics | 2016-08-01 | Paper |
Uniform consistency of nonstationary kernel-weighted sample covariances for nonparametric regression
Econometric Theory | 2016-07-29 | Paper |
Long memory and long run variation
Journal of Econometrics | 2016-07-18 | Paper |
A two-stage realized volatility approach to estimation of diffusion processes with discrete data
Journal of Econometrics | 2016-07-04 | Paper |
A complete asymptotic series for the autocovariance function of a long memory process
Journal of Econometrics | 2016-06-22 | Paper |
Adaptive estimation of autoregressive models with time-varying variances
Journal of Econometrics | 2016-06-03 | Paper |
Incidental trends and the power of panel unit root tests
Journal of Econometrics | 2016-05-27 | Paper |
Nonstationary discrete choice: a corrigendum and addendum
Journal of Econometrics | 2016-05-27 | Paper |
Robust econometric inference with mixed integrated and mildly explosive regressors
Journal of Econometrics | 2016-05-10 | Paper |
Unit root log periodogram regression
Journal of Econometrics | 2016-05-04 | Paper |
A simple approach to the parametric estimation of potentially nonstationary diffusions
Journal of Econometrics | 2016-05-04 | Paper |
Limit theory for moderate deviations from a unit root
Journal of Econometrics | 2016-05-02 | Paper |
Bias in dynamic panel estimation with fixed effects, incidental trends and cross section dependence
Journal of Econometrics | 2016-05-02 | Paper |
Local Whittle estimation of fractional integration and some of its variants
Journal of Econometrics | 2016-04-25 | Paper |
Nonparametric cointegrating regression with endogeneity and long memory
Econometric Theory | 2016-04-22 | Paper |
Testing for multiple bubbles: historical episodes of exuberance and collapse in the S\&P 500
International Economic Review | 2016-02-10 | Paper |
Testing for multiple bubbles: limit theory of real-time detectors
International Economic Review | 2016-02-10 | Paper |
The true limit distributions of the Anderson-Hsiao IV estimators in panel autoregression
Economics Letters | 2015-09-29 | Paper |
Testing linearity using power transforms of regressors
Journal of Econometrics | 2015-09-01 | Paper |
Model selection in the presence of incidental parameters
Journal of Econometrics | 2015-08-13 | Paper |
MEMORIAL TO EDMOND MALINVAUD
Econometric Theory | 2015-06-22 | Paper |
Automated estimation of vector error correction models
Econometric Theory | 2015-06-22 | Paper |
Nonparametric predictive regression
Journal of Econometrics | 2015-05-06 | Paper |
Norming rates and limit theory for some time-varying coefficient autoregressions
Journal of Time Series Analysis | 2015-03-04 | Paper |
Optimal estimation of cointegrated systems with irrelevant instruments
Journal of Econometrics | 2014-08-06 | Paper |
Special issue of econometric theory on SETA 2010: editors' introduction
Econometric Theory | 2014-06-20 | Paper |
X-differencing and dynamic panel model estimation
Econometric Theory | 2014-06-20 | Paper |
Predictive regression under various degrees of persistence and robust long-horizon regression
Journal of Econometrics | 2014-06-06 | Paper |
Semiparametric estimation in triangular system equations with nonstationarity
Journal of Econometrics | 2014-04-04 | Paper |
INCONSISTENT VAR REGRESSION WITH COMMON EXPLOSIVE ROOTS
Econometric Theory | 2014-03-25 | Paper |
First difference maximum likelihood and dynamic panel estimation
Journal of Econometrics | 2014-03-18 | Paper |
Nonstationary discrete choice
Journal of Econometrics | 2014-03-07 | Paper |
Folklore theorems, implicit maps, and indirect inference
Econometrica | 2013-11-06 | Paper |
A simple proof of the latent root sensitivity formula
Economics Letters | 2013-10-25 | Paper |
Non-parametric regression under location shifts
Econometrics Journal | 2013-04-17 | Paper |
A specification test for nonlinear nonstationary models
The Annals of Statistics | 2012-08-29 | Paper |
A specification test for nonlinear nonstationary models
The Annals of Statistics | 2012-08-29 | Paper |
Testing for common trends in semi-parametric panel data models with fixed effects
The Econometrics Journal | 2012-07-13 | Paper |
Nonlinear cointegrating regression under weak identification
Econometric Theory | 2012-06-11 | Paper |
Regression with slowly varying regressors and nonlinear trends
Econometric Theory | 2012-05-14 | Paper |
Long-run covariance matrices for fractionally integrated processes
Econometric Theory | 2012-05-14 | Paper |
Dating the timeline of financial bubbles during the subprime crisis
Quantitative Economics | 2012-03-02 | Paper |
Uniform asymptotic normality in stationary and unit root autoregression
Econometric Theory | 2012-01-04 | Paper |
Power maximization and size control in heteroskedasticity and autocorrelation robust tests with exponentiated kernels
Econometric Theory | 2012-01-04 | Paper |
Corrigendum to ‘A Gaussian approach for continuous time models of short‐term interest rates’
Econometrics Journal | 2011-07-27 | Paper |
Bimodal \(t\)-ratios: the impact of thick tails on inference
Econometrics Journal | 2011-05-31 | Paper |
Asymptotic theory for zero energy functionals with nonparametric regression applications
Econometric Theory | 2011-04-27 | Paper |
Infinite density at the median and the typical shape of stock return distributions
Journal of Business and Economic Statistics | 2011-04-13 | Paper |
Testing linearity in cointegrating relations with an application to purchasing power parity
Journal of Business and Economic Statistics | 2010-10-11 | Paper |
LAD asymptotics under conditional heteroskedasticity with possibly infinite error densities
Econometric Theory | 2010-07-23 | Paper |
GMM estimation for dynamic panels with fixed effects and strong instruments at unity
Econometric Theory | 2010-02-26 | Paper |
Semiparametric cointegrating rank selection
Econometrics Journal | 2010-02-12 | Paper |
Structural nonparametric cointegrating regression
Econometrica | 2010-02-03 | Paper |
Unit root and cointegrating limit theory when initialization is in the infinite past
Econometric Theory | 2009-12-15 | Paper |
Local limit theory and spurious nonparametric regression
Econometric Theory | 2009-12-15 | Paper |
Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance
Handbook of Financial Time Series | 2009-11-27 | Paper |
EXACT DISTRIBUTION THEORY IN STRUCTURAL ESTIMATION WITH AN IDENTITY
Econometric Theory | 2009-09-30 | Paper |
ECONOMETRIC THEORY AND PRACTICE
Econometric Theory | 2009-09-30 | Paper |
ECONOMETRIC THEORY MEMORIAL TO ALBERT REX BERGSTROM–INTRODUCTION
Econometric Theory | 2009-09-30 | Paper |
ASYMPTOTIC THEORY FOR LOCAL TIME DENSITY ESTIMATION AND NONPARAMETRIC COINTEGRATING REGRESSION
Econometric Theory | 2009-09-30 | Paper |
LIMIT THEORY FOR COINTEGRATED SYSTEMS WITH MODERATELY INTEGRATED AND MODERATELY EXPLOSIVE REGRESSORS
Econometric Theory | 2009-06-11 | Paper |
REGRESSION ASYMPTOTICS USING MARTINGALE CONVERGENCE METHODS
Econometric Theory | 2009-06-11 | Paper |
LIMIT THEORY FOR EXPLOSIVELY COINTEGRATED SYSTEMS
Econometric Theory | 2009-06-11 | Paper |
GAUSSIAN INFERENCE IN AR(1) TIME SERIES WITH OR WITHOUT A UNIT ROOT
Econometric Theory | 2009-06-11 | Paper |
LIMIT THEORY FOR COINTEGRATED SYSTEMS WITH MODERATELY INTEGRATED AND MODERATELY EXPLOSIVE REGRESSORS
Econometric Theory | 2009-04-01 | Paper |
Refined Inference on Long Memory in Realized Volatility
Econometric Reviews | 2008-11-19 | Paper |
Optimal Bandwidth Selection in Heteroskedasticity–Autocorrelation Robust Testing
Econometrica | 2008-03-19 | Paper |
Transition Modeling and Econometric Convergence Tests
Econometrica | 2008-02-21 | Paper |
Comment: A selective overview of nonparametric methods in financial econometrics
Statistical Science | 2007-09-18 | Paper |
Uniform Limit Theory for Stationary Autoregression
Journal of Time Series Analysis | 2007-05-29 | Paper |
Inference in Autoregression under Heteroskedasticity
Journal of Time Series Analysis | 2007-05-29 | Paper |
ON THE BREITUNG TEST FOR PANEL UNIT ROOTS AND LOCAL ASYMPTOTIC POWER
Econometric Theory | 2007-04-23 | Paper |
Long run variance estimation and robust regression testing using sharp origin kernels with no truncation
Journal of Statistical Planning and Inference | 2007-02-14 | Paper |
A REMARK ON BIMODALITY AND WEAK INSTRUMENTATION IN STRUCTURAL EQUATION ESTIMATION
Econometric Theory | 2006-11-14 | Paper |
GMM with Many Moment Conditions
Econometrica | 2006-10-24 | Paper |
Fully Nonparametric Estimation of Scalar Diffusion Models
Econometrica | 2006-06-19 | Paper |
GMM Estimation of Autoregressive Roots Near Unity with Panel Data
Econometrica | 2006-06-19 | Paper |
Empirical Limits for Time Series Econometric Models
Econometrica | 2006-06-19 | Paper |
Band Spectral Regression with Trending Data
Econometrica | 2006-06-16 | Paper |
Expansions for approximate maximum likelihood estimators of the fractional difference parameter
Econometrics Journal | 2006-01-24 | Paper |
Exact local Whittle estimation of fractional integration
The Annals of Statistics | 2006-01-16 | Paper |
HAC ESTIMATION BY AUTOMATED REGRESSION
Econometric Theory | 2005-10-18 | Paper |
AUTOMATED DISCOVERY IN ECONOMETRICS
Econometric Theory | 2005-10-18 | Paper |
Challenges of trending time series econometrics
Mathematics and Computers in Simulation | 2005-08-05 | Paper |
Error bounds and asymptotic expansions for toeplitz product functionals of unbounded spectra
Journal of Time Series Analysis | 2005-05-20 | Paper |
EXPANSIONS FOR THE DISTRIBUTION OF THE MAXIMUM LIKELIHOOD ESTIMATOR OF THE FRACTIONAL DIFFERENCE PARAMETER
Econometric Theory | 2005-03-07 | Paper |
Local Whittle estimation in nonstationary and unit root cases.
The Annals of Statistics | 2004-09-15 | Paper |
Dynamic panel estimation and homogeneity testing under cross section dependence
Econometrics Journal | 2004-03-17 | Paper |
| scientific article; zbMATH DE number 2051039 (Why is no real title available?) | 2004-03-07 | Paper |
Nonlinear instrumental variable estimation of an autoregression.
Journal of Econometrics | 2004-01-26 | Paper |
Nonlinear log-periodogram regression for perturbed fractional processes
Journal of Econometrics | 2003-08-07 | 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 |
A CUSUM test for cointegration using regression residuals
Journal of Econometrics | 2003-04-02 | Paper |
Jeffreys prior analysis of the simultaneous equations model in the case with \(n+1\) endogenous variables.
Journal of Econometrics | 2003-04-02 | Paper |
New unit root asymptotics in the presence of deterministic trends.
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 |
Nonlinear econometric models with cointegrated and deterministically trending regressors
The Econometrics Journal | 2003-03-26 | Paper |
The KPSS test with seasonal dummies
Economics Letters | 2003-01-21 | Paper |
Pooled Log Periodogram Regression
Journal of Time Series Analysis | 2002-08-05 | Paper |
Linear Regression Limit Theory for Nonstationary Panel Data
Econometrica | 2002-05-28 | Paper |
Nonlinear Regressions with Integrated Time Series
Econometrica | 2002-05-28 | Paper |
New Tools for Understanding Spurious Regressions
Econometrica | 2002-05-28 | Paper |
Nonstationary Binary Choice
Econometrica | 2002-05-28 | Paper |
EFFICIENT DETRENDING IN COINTEGRATING REGRESSION
Econometric Theory | 2002-05-23 | Paper |
Structural change tests in tail behaviour and the Asian crisis
The Review of Economic Studies | 2002-03-06 | Paper |
How to estimate autoregressive roots near unity
Econometric Theory | 2001-11-01 | Paper |
ASYMPTOTICS FOR NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES
Econometric Theory | 2001-07-19 | Paper |
Trending time series and macroeconomic activity: Some present and future challenges
Journal of Econometrics | 2001-06-05 | Paper |
Estimation of autoregressive roots near unity using panel data
Econometric Theory | 2001-05-16 | Paper |
Higher-order approximations for frequency domain time series regression
Journal of Econometrics | 2001-03-11 | Paper |
A Gaussian approach for continuous time models of the short-term interest rate
Econometrics Journal | 2001-01-01 | Paper |
Nonstationary panel data analysis: an overview of some recent developments
Econometric Reviews | 2000-11-05 | Paper |
Bayesian model selection and prediction with empirical applications
Journal of Econometrics | 1999-11-08 | Paper |
Impulse response and forecast error variance asymptotics in nonstationary VARs
Journal of Econometrics | 1999-08-16 | Paper |
Model selection in partially nonstationary vector autoregressive processes with reduced rank structure
Journal of Econometrics | 1999-01-01 | Paper |
| scientific article; zbMATH DE number 1098828 (Why is no real title available?) | 1998-09-20 | Paper |
Fully Modified Least Squares and Vector Autoregression
Econometrica | 1998-01-05 | Paper |
Posterior distributions in limited information analysis of the simultaneous equations model using the Jeffreys prior
Journal of Econometrics | 1998-01-01 | Paper |
An Asymtotic Theory of Bayesian Inference for Time Series
Econometrica | 1997-05-29 | Paper |
Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
Journal of Econometrics | 1997-03-10 | Paper |
Fully modified IV, GIVE and GMM estimation with possibly non-stationary regressors and instruments.
Journal of Econometrics | 1997-01-01 | Paper |
Econometric Model Determination
Econometrica | 1996-10-13 | Paper |
A bayesian analysis of trend determination in economic time series
Econometric Reviews | 1996-02-13 | Paper |
Vector autoregression and causality: a theoretical overview and simulation study
Econometric Reviews | 1996-01-24 | Paper |
| scientific article; zbMATH DE number 762936 (Why is no real title available?) | 1995-09-19 | Paper |
Vector Autoregressions and Causality
Econometrica | 1994-10-16 | Paper |
Some Exact Distribution Theory for Maximum Likelihood Estimators of Cointegrating Coefficients in Error Correction Models
Econometrica | 1994-03-24 | Paper |
| scientific article; zbMATH DE number 88842 (Why is no real title available?) | 1993-01-16 | Paper |
The spurious effect of unit roots on vector autoregressions. An analytical study
Journal of Econometrics | 1993-01-01 | Paper |
Asymptotics for linear processes
The Annals of Statistics | 1992-09-27 | Paper |
Regression Theory for Near-Integrated Time Series
Econometrica | 1992-06-25 | Paper |
Estimating Long-Run Economic Equilibria
Review of Economic Studies | 1991-05-01 | Paper |
Estimating Long-Run Economic Equilibria
Review of Economic Studies | 1991-01-01 | Paper |
Optimal Inference in Cointegrated Systems
Econometrica | 1991-01-01 | Paper |
Error Correction and Long-Run Equilibrium in Continuous Time
Econometrica | 1991-01-01 | Paper |
The Durbin-Watson ratio under infinite-variance errors
Journal of Econometrics | 1991-01-01 | Paper |
Statistical Inference in Instrumental Variables Regression with I(1) Processes
Review of Economic Studies | 1990-01-01 | Paper |
Asymptotic Properties of Residual Based Tests for Cointegration
Econometrica | 1990-01-01 | Paper |
Spherical matrix distributions and Cauchy quotients
Statistics & Probability Letters | 1989-01-01 | Paper |
Testing for a unit root in time series regression
Biometrika | 1988-01-01 | Paper |
Weak convergence to the matrix stochastic integral \(\int ^{1}_{0}B\,dB'\)
Journal of Multivariate Analysis | 1988-01-01 | Paper |
Testing for cointegration using principal components methods
Journal of Economic Dynamics and Control | 1988-01-01 | Paper |
Trends versus Random Walks in Time Series Analysis
Econometrica | 1988-01-01 | 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 |
Conditional and unconditional statistical independence
Journal of Econometrics | 1988-01-01 | Paper |
| scientific article; zbMATH DE number 4100451 (Why is no real title available?) | 1988-01-01 | Paper |
Towards a unified asymptotic theory for autoregression
Biometrika | 1987-01-01 | Paper |
Time Series Regression with a Unit Root
Econometrica | 1987-01-01 | Paper |
| Best Median-Unbiased Estimation in Linear Regression with Bounded Asymmetric Loss Functions | 1987-01-01 | Paper |
An everywhere convergent series representation of the distribution of Hotelling's generalized \(T^ 2_ 0\)
Journal of Multivariate Analysis | 1987-01-01 | Paper |
The Distribution of FIML in the Leading Case
International Economic Review | 1986-01-01 | Paper |
The Exact Distribution of the Wald Statistic
Econometrica | 1986-01-01 | Paper |
Multiple Time Series Regression with Integrated Processes
Review of Economic Studies | 1986-01-01 | Paper |
Understanding spurious regressions in econometrics
Journal of Econometrics | 1986-01-01 | Paper |
A simplified proof of a theorem on the difference of the moore–penrose inverses of two positive semi–difinte matrices
Communications in Statistics: Theory and Methods | 1986-01-01 | Paper |
The Exact Distribution of LIML: II
International Economic Review | 1985-01-01 | Paper |
The distribution of matrix quotients
Journal of Multivariate Analysis | 1985-01-01 | Paper |
The Exact Distribution of the SUR Estimator
Econometrica | 1985-01-01 | Paper |
The Exact Distribution of LIML: I
International Economic Review | 1984-01-01 | Paper |
The exact distribution of the Stein-rule estimator
Journal of Econometrics | 1984-01-01 | Paper |
The exact distribution of exogenous variable coefficient estimators
Journal of Econometrics | 1984-01-01 | Paper |
| scientific article; zbMATH DE number 3876450 (Why is no real title available?) | 1983-01-01 | Paper |
ERA's: A New Approach to Small Sample Theory
Econometrica | 1983-01-01 | Paper |
On the behavior of inconsistent instrumental variable estimators
Journal of Econometrics | 1982-01-01 | Paper |
On the Consistency of Nonlinear FIML
Econometrica | 1982-01-01 | Paper |
| scientific article; zbMATH DE number 3852286 (Why is no real title available?) | 1982-01-01 | Paper |
The true characteristic function of the F distribution
Biometrika | 1982-01-01 | Paper |
Finite Sample Theory and the Distributions of Alternative Estimators of the Marginal Propensity to Consume
Review of Economic Studies | 1980-01-01 | Paper |
The Exact Distribution of Instrumental Variable Estimators in an Equation Containing n + 1 Endogenous Variables
Econometrica | 1980-01-01 | Paper |
A Saddlepoint Approximation to the Distribution of the k-Class Estimator of a Coefficient in a Simultaneous System
Econometrica | 1979-01-01 | Paper |
The sampling distribution of forecasts from a first-order autoregression
Journal of Econometrics | 1979-01-01 | Paper |
The concentration ellipsoid of a random vector
Journal of Econometrics | 1979-01-01 | Paper |
Edgeworth and saddlepoint approximations in the first-order noncircular autoregression
Biometrika | 1978-01-01 | Paper |
| scientific article; zbMATH DE number 3673420 (Why is no real title available?) | 1978-01-01 | Paper |
Approximations to Some Finite Sample Distributions Associated with a First-Order Stochastic Difference Equation
Econometrica | 1977-01-01 | Paper |
An approximation to the finite sample distribution of Zellner's seemingly unrelated regression estimator
Journal of Econometrics | 1977-01-01 | Paper |
A General Theorem in the Theory of Asymptotic Expansions as Approximations to the Finite Sample Distributions of Econometric Estimators
Econometrica | 1977-01-01 | Paper |
A large deviation limit theorem for multivariate distributions
Journal of Multivariate Analysis | 1977-01-01 | Paper |
| scientific article; zbMATH DE number 3557052 (Why is no real title available?) | 1976-01-01 | Paper |
The Iterated Minimum Distance Estimator and the Quasi-Maximum Likelihood Estimator
Econometrica | 1976-01-01 | Paper |
| scientific article; zbMATH DE number 3558788 (Why is no real title available?) | 1976-01-01 | Paper |
| scientific article; zbMATH DE number 3558789 (Why is no real title available?) | 1976-01-01 | Paper |
| scientific article; zbMATH DE number 3558791 (Why is no real title available?) | 1976-01-01 | Paper |
The Estimation of Some Continuous Time Models
Econometrica | 1974-01-01 | Paper |
The problem of identification in finite parameter continuous time models
Journal of Econometrics | 1973-01-01 | Paper |
The Structural Estimation of a Stochastic Differential Equation System
Econometrica | 1972-01-01 | Paper |
