| Publication | Date of Publication | Type |
|---|
Partial identification of structural vector autoregressions with non-centred stochastic volatility
Journal of Econometrics | 2026-07-14 | Paper |
Time-varying shock transmission in non-Gaussian structural vector autoregressions
The Econometrics Journal | 2026-06-23 | Paper |
Avoiding Unintentionally Correlated Shocks in Proxy Vector Autoregressive Analysis
Journal of Business and Economic Statistics | 2026-04-17 | Paper |
Comparing external and internal instruments for vector autoregressions
Journal of Economic Dynamics & Control | 2025-12-01 | Paper |
Heteroscedastic Proxy Vector Autoregressions
Journal of Business and Economic Statistics | 2024-10-17 | Paper |
Heteroskedastic proxy vector autoregressions: an identification-robust test for time-varying impulse responses in the presence of multiple proxies
Journal of Economic Dynamics and Control | 2024-07-04 | Paper |
Estimating the Kronecker indices of cointegrated echelon‐form VARMA models
Econometrics Journal | 2023-07-07 | Paper |
Testing identification via heteroskedasticity in structural vector autoregressive models
Econometrics Journal | 2022-06-22 | Paper |
Comparison of local projection estimators for proxy vector autoregressions
Journal of Economic Dynamics and Control | 2022-03-15 | Paper |
Qualitative versus quantitative external information for proxy vector autoregressive analysis
Journal of Economic Dynamics and Control | 2021-11-16 | Paper |
Inference in partially identified heteroskedastic simultaneous equations models
Journal of Econometrics | 2021-02-09 | Paper |
Structural vector autoregressive models with more shocks than variables identified via heteroskedasticity
Economics Letters | 2020-11-04 | Paper |
Forecasting aggregated vector ARMA processes
Lecture Notes in Economics and Mathematical Systems | 2020-09-09 | Paper |
Bootstrapping impulse responses in VAR analyses
COMPSTAT | 2020-07-21 | Paper |
Identifying structural vector autoregressions via changes in volatility
VAR Models in Macroeconomics – New Developments and Applications: Essays in Honor of Christopher A. Sims | 2020-07-10 | Paper |
Bayesian inference for structural vector autoregressions identified by Markov-switching heteroskedasticity
Journal of Economic Dynamics and Control | 2020-05-19 | Paper |
Bayesian inference for structural vector autoregressions identified by Markov-switching heteroskedasticity
Journal of Economic Dynamics and Control | 2020-04-01 | Paper |
Estimation of structural impulse responses: short-run versus long-run identifying restrictions
AStA. Advances in Statistical Analysis | 2019-08-06 | Paper |
Bootstrapping impulse responses of structural vector autoregressive models identified through GARCH
Journal of Economic Dynamics and Control | 2019-03-27 | Paper |
Testing for identification in SVAR-GARCH models
Journal of Economic Dynamics and Control | 2018-08-10 | Paper |
Structural vector autoregressions with smooth transition in variances
Journal of Economic Dynamics and Control | 2018-08-09 | Paper |
Structural vector autoregressions with smooth transition in variances
Journal of Economic Dynamics and Control | 2017-11-01 | Paper |
| Structural vector autoregressive analysis | 2017-09-29 | Paper |
Residual autocorrelation testing for vector error correction models
Journal of Econometrics | 2016-05-02 | Paper |
General-to-specific or specific-to-general modelling? An opinion on current econometric terminology
Journal of Econometrics | 2016-05-02 | Paper |
Structural vector autoregressions with Markov switching: combining conventional with statistical identification of shocks
Journal of Econometrics | 2014-11-20 | Paper |
Book review of: Stanley A. Mulaik, Foundations of factor analysis
Statistical Papers | 2014-10-24 | Paper |
Generalized least squares estimation for cointegration parameters under conditional heteroskedasticity
Journal of Time Series Analysis | 2014-06-16 | Paper |
Reducing confidence bands for simulated impulse responses
Statistical Papers | 2013-11-11 | Paper |
Non-linear least squares estimation under nonlinear equality constraints
Economics Letters | 2013-10-24 | Paper |
Linear aggregation of vector autoregressive moving average processes
Economics Letters | 2013-10-24 | Paper |
The joint asymptotic distribution of multistep prediction errors of estimated vector autoregressions
Economics Letters | 2013-10-24 | Paper |
Forecasting annual inflation with seasonal monthly data: using levels versus logs of the underlying price index
Journal of Time Series Econometrics | 2013-06-14 | Paper |
Problems related to over-identifying restrictions for structural vector error correction models
Economics Letters | 2013-01-29 | Paper |
On unit root tests in the presence of transitional growth
Economics Letters | 2013-01-01 | Paper |
Structural Vector Autoregressions With Nonnormal Residuals
Journal of Business and Economic Statistics | 2010-10-11 | Paper |
Structural vector autoregressions with Markov switching
Journal of Economic Dynamics and Control | 2010-02-09 | Paper |
Testing for the cointegrating rank of a vector autoregressive process with uncertain deterministic trend term
Econometrics Journal | 2009-12-22 | 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 |
Recent Advances in Cointegration Analysis
Contributions to Economic Analysis | 2007-06-19 | Paper |
Comparison of unit root tests for time series with level shifts
Journal of Time Series Analysis | 2007-05-29 | Paper |
Structural vector autoregressive analysis for cointegrated variables
AStA. Allgemeines Statistisches Archiv | 2007-01-24 | Paper |
| Forecasting cointegrated VARMA processes | 2006-08-09 | Paper |
| scientific article; zbMATH DE number 5035828 (Why is no real title available?) | 2006-06-26 | Paper |
Testing for the Cointegrating Rank of a VAR Process with Level Shift at Unknown Time
Econometrica | 2006-06-19 | Paper |
| New introduction to multiple time series analysis. | 2006-05-22 | Paper |
BREAK DATE ESTIMATION FOR VAR PROCESSES WITH LEVEL SHIFT WITH AN APPLICATION TO COINTEGRATION TESTING
Econometric Theory | 2006-03-22 | Paper |
A NOTE ON TESTING RESTRICTIONS FOR THE COINTEGRATION PARAMETERS OF A VAR WITH I(2) VARIABLES
Econometric Theory | 2005-10-18 | Paper |
| scientific article; zbMATH DE number 2199188 (Why is no real title available?) | 2005-08-25 | Paper |
Testing for unit roots in time series with level shifts
AStA. Allgemeines Statistisches Archiv | 2004-09-22 | Paper |
TRANSMISSION OF GERMAN MONETARY POLICY IN THE PRE-EURO PERIOD
Macroeconomic Dynamics | 2004-09-07 | Paper |
A REVIEW OF SYSTEMS COINTEGRATION TESTS
Econometric Reviews | 2004-06-18 | 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 |
Unit root tests for time series with level shifts: a comparison of different proposals.
Economics Letters | 2002-07-15 | Paper |
Comparison of bootstrap confidence intervals for impulse responses of German monetary systems
Macroeconomic Dynamics | 2002-04-02 | Paper |
On the reliability of Chow-type tests for parameter constancy in multivariate dynamic models.
Economics Letters | 2002-03-03 | 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 |
Problems related to confidence intervals for impulse responses of autoregressive processes
Econometric Reviews | 2001-06-19 | Paper |
Comment on essays on current state and future challenges of econometrics
Journal of Econometrics | 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 |
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 |
A Review of Nonparametric Time Series Analysis
International Statistical Review | 1998-05-25 | Paper |
Making wald tests work for cointegrated VAR systems
Econometric Reviews | 1997-11-06 | Paper |
Analysis of cointegrated VARMA processes
Journal of Econometrics | 1997-10-28 | Paper |
Modified Wald tests under nonregular conditions
Journal of Econometrics | 1997-08-12 | Paper |
| scientific article; zbMATH DE number 951459 (Why is no real title available?) | 1996-11-28 | Paper |
Testing for nonzero impulse responses in vector autoregressive processes
Journal of Statistical Planning and Inference | 1996-11-06 | Paper |
Specification of varying coefficient time series models via generalized flexible least squares
Journal of Econometrics | 1996-04-08 | Paper |
| scientific article; zbMATH DE number 811061 (Why is no real title available?) | 1995-10-30 | Paper |
| scientific article; zbMATH DE number 762913 (Why is no real title available?) | 1995-06-12 | Paper |
| scientific article; zbMATH DE number 233049 (Why is no real title available?) | 1994-01-31 | Paper |
Granger-causality in cointegrated VAR processes. The case of the term structure
Economics Letters | 1993-08-23 | Paper |
| scientific article; zbMATH DE number 51202 (Why is no real title available?) | 1992-09-18 | Paper |
| scientific article; zbMATH DE number 45973 (Why is no real title available?) | 1992-09-17 | Paper |
Impulse response analysis of cointegrated systems
Journal of Economic Dynamics and Control | 1992-06-28 | Paper |
Measures of multivariate skewness and kurtosis for tests of nonnormality
Statistical Papers | 1991-01-01 | Paper |
Prediction of temporally aggregated systems involving both stock and flow variables
Statistical Papers | 1989-01-01 | Paper |
A note on the asymptotic distribution of impulse response functions of estimated VAR models with orthogonal residuals
Journal of Econometrics | 1989-01-01 | Paper |
Bemerkung zur Lösung der Yule-Walker-Gleichungen. (Remarks on the solution of the Yule-Walker equations)
Metrika | 1988-01-01 | Paper |
| scientific article; zbMATH DE number 3885171 (Why is no real title available?) | 1985-01-01 | Paper |
The Optimality of Rational Distributed Lags: A Comment
International Economic Review | 1984-01-01 | Paper |
Linear transformations of vector ARMA processes
Journal of Econometrics | 1984-01-01 | Paper |
Discounted polynomials for multiple time series model building
Biometrika | 1982-01-01 | Paper |
DIFFERENCING MULTIPLE TIME SERIES: ANOTHER LOOK AT CANADIAN MONEY AND INCOME DATA
Journal of Time Series Analysis | 1982-01-01 | Paper |
A model for non-negative and non-positive distributed lag functions
Journal of Econometrics | 1981-01-01 | Paper |
Approximation of Arbitrary Distributed Lag Structures by a Modified Polynomial Lag: An Extension
Journal of the American Statistical Association | 1980-01-01 | Paper |
| scientific article; zbMATH DE number 3649685 (Why is no real title available?) | 1977-01-01 | Paper |
