| Publication | Date of Publication | Type |
|---|
Dealing with Markov-switching parameters in quantile regression models
Communications in Statistics. Simulation and Computation | 2022-12-13 | Paper |
Inconsistency transmission and variance reduction in two-stage quantile regression
Communications in Statistics. Simulation and Computation | 2022-07-04 | Paper |
Impulse response analysis in conditional quantile models with an application to monetary policy
Journal of Economic Dynamics and Control | 2021-11-16 | Paper |
A residual-based test for autocorrelation in quantile regression models
Journal of Statistical Computation and Simulation | 2020-04-22 | Paper |
A robust test of exogeneity based on quantile regressions
Journal of Statistical Computation and Simulation | 2020-04-22 | Paper |
A robust test for autocorrelation in the presence of a structural break in variance
Journal of Statistical Computation and Simulation | 2020-03-09 | Paper |
Quantile cointegration in the autoregressive distributed-lag modeling framework
Journal of Econometrics | 2015-09-01 | Paper |
VAR for VaR: measuring tail dependence using multivariate regression quantiles
Journal of Econometrics | 2015-09-01 | Paper |
Quantile cointegration in the autoregressive distributed-lag modeling framework
Journal of Econometrics | 2015-07-27 | Paper |
Spurious nonlinear regressions in econometrics
Economics Letters | 2013-01-02 | Paper |
Spurious regressions with stationary processes around linear trends
Economics Letters | 2013-01-01 | Paper |
scientific article; zbMATH DE number 5984107 (Why is no real title available?)
| 2011-12-01 | Paper |
Detecting Multiple Changes in Persistence
Studies in Nonlinear Dynamics & Econometrics | 2008-04-04 | Paper |
CUSUM of Squares‐Based Tests for a Change in Persistence
Journal of Time Series Analysis | 2007-12-16 | Paper |
Two-stage Huber estimation
Journal of Statistical Planning and Inference | 2007-01-09 | Paper |
Examination of Some More Powerful Modifications of the Dickey–Fuller Test
Journal of Time Series Analysis | 2006-05-24 | Paper |
More powerful modifications of unit root tests allowing structural change
Journal of Statistical Computation and Simulation | 2006-01-10 | Paper |
Behaviour of Dickey–Fuller Unit‐Root Tests Under Trend Misspecification
Journal of Time Series Analysis | 2005-05-20 | Paper |
Asymptotic mean‐squared forecast error when an autoregression with linear trend is fitted to data generated by an I(0) or I(1) process
Journal of Time Series Analysis | 2005-05-20 | Paper |
A Direct Test for Cointegration Between a Pair of Time Series
Journal of Time Series Analysis | 2005-05-20 | Paper |
Two‐stage quantile regression when the first stage is based on quantile regression
Econometrics Journal | 2005-01-06 | Paper |
Tests for a change in persistence against the null of difference‐stationarity
Econometrics Journal | 2004-03-17 | Paper |
Testing for Linear Trend with Application to Relative Primary Commodity Prices
Journal of Time Series Analysis | 2004-03-16 | Paper |
James-Stein-Type Estimators in Large Samples With Application to the Least Absolute Deviations Estimator
Journal of the American Statistical Association | 2003-08-13 | Paper |
Unit root tests with a break in innovation variance.
Journal of Econometrics | 2003-02-17 | Paper |
