| Publication | Date of Publication | Type |
|---|
Time-varying correlations in multivariate unobserved components time series models
Journal of the Royal Statistical Society. Series A. Statistics in Society | 2026-02-12 | Paper |
Local projection inference in high dimensions
The Econometrics Journal | 2026-02-03 | Paper |
A dynamic factor model approach to incorporate big data in state space models for official statistics
Journal of the Royal Statistical Society. Series A. Statistics in Society | 2025-01-31 | Paper |
Risk Measure Inference
Journal of Business and Economic Statistics | 2024-10-09 | Paper |
A residual bootstrap for conditional value-at-risk
Journal of Econometrics | 2024-02-13 | Paper |
GLS estimation and confidence sets for the date of a single break in models with trends
Econometric Reviews | 2023-07-25 | Paper |
Lasso Inference for High-Dimensional Time Series
Journal of Econometrics | 2023-06-29 | Paper |
| Detrending bootstrap unit root tests | 2022-05-31 | Paper |
Lag length selection for unit root tests in the presence of nonstationary volatility
Econometric Reviews | 2022-05-31 | Paper |
Robust block bootstrap panel predictability tests
Econometric Reviews | 2022-03-04 | Paper |
A justification of conditional confidence intervals
Electronic Journal of Statistics | 2021-08-09 | Paper |
An automated approach towards sparse single-equation cointegration modelling
Journal of Econometrics | 2021-02-04 | Paper |
Lasso Inference for High-Dimensional Time Series
Journal of Econometrics | 2020-07-21 | Paper |
Autoregressive wild bootstrap inference for nonparametric trends
Journal of Econometrics | 2019-12-19 | Paper |
Autoregressive wild bootstrap inference for nonparametric trends
Journal of Econometrics | 2019-12-19 | Paper |
Lag truncation and the local asymptotic distribution of the ADF test for a unit root
Statistical Papers | 2019-11-21 | Paper |
An automated approach towards sparse single-equation cointegration modelling
Journal of Econometrics | 2018-09-24 | Paper |
Cross-sectional dependence robust block bootstrap panel unit root tests
Journal of Econometrics | 2016-08-12 | Paper |
Testing for Granger causality in large mixed-frequency VARs
Journal of Econometrics | 2016-07-12 | Paper |
Bootstrap sequential tests to determine the order of integration of individual units in a time series panel
Journal of Time Series Analysis | 2015-05-20 | Paper |
Bootstrap union tests for unit roots in the presence of nonstationary volatility
Econometric Theory | 2012-04-24 | Paper |
Cross-sectional dependence robust block bootstrap panel unit root tests
Journal of Econometrics | 2011-07-01 | Paper |
A sieve bootstrap test for cointegration in a conditional error correction model
Econometric Theory | 2010-07-23 | Paper |
Bootstrap Unit-Root Tests: Comparison and Extensions
Journal of Time Series Analysis | 2009-02-28 | Paper |
Bootstrap Unit-Root Tests: Comparison and Extensions
Journal of Time Series Analysis | 2008-03-01 | Paper |
