41
H index
77
i10 index
22876
Citations
Boston University | 41 H index 77 i10 index 22876 Citations RESEARCH PRODUCTION: 107 Articles 182 Papers 2 Chapters EDITOR: Series edited RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
|
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Pierre Perron. | Is cited by: | Cites to: |
Year | Title of citing document | |
---|---|---|
2021 | Inflation and Economic Growth in Kenya: An Empirical Examination. (2021). Odhiambo, Nicholas M ; Saungweme, Talknice. In: Advances in Decision Sciences. RePEc:aag:wpaper:v:25:y:2021:i:3:p:1-25. Full description at Econpapers || Download paper | |
2021 | Is U.S. real output growth really non-normal? Testing distributional assumptions in time-varying location-scale models. (2021). Kruse-Becher, Robinson ; Demetrescu, Matei. In: CREATES Research Papers. RePEc:aah:create:2021-07. Full description at Econpapers || Download paper | |
2022 | Fractional integration and cointegration. (2022). Nielsen, Morten ; Haulde, Javier. In: CREATES Research Papers. RePEc:aah:create:2022-02. Full description at Econpapers || Download paper | |
2022 | . Full description at Econpapers || Download paper | |
2022 | . Full description at Econpapers || Download paper | |
2021 | Has Knowledge Improved Economic Growth? Evidence from Nigeria and South Africa. (2021). Shobande, Olatunji ; Asongu, Simplice. In: Research Africa Network Working Papers. RePEc:abh:wpaper:21/059. Full description at Econpapers || Download paper | |
2022 | Policy Coordination and the Effectiveness of Fiscal Stimulus. (2022). Kim, Hyeongwoo ; Zhang, Shuwei. In: Auburn Economics Working Paper Series. RePEc:abn:wpaper:auwp2022-01. Full description at Econpapers || Download paper | |
2022 | Policy Coordination and the Effectiveness of Fiscal Stimulus. (2022). Zhang, Shuwei ; Shao, Peng ; Kim, Hyeongwoo. In: Auburn Economics Working Paper Series. RePEc:abn:wpaper:auwp2022-04. Full description at Econpapers || Download paper | |
2021 | . Full description at Econpapers || Download paper | |
2021 | . Full description at Econpapers || Download paper | |
2023 | British slave emancipation and the demand for Brazilian sugar. (2023). Absell, Christopher David. In: Cliometrica, Journal of Historical Economics and Econometric History. RePEc:afc:cliome:v:17:y:2023:i:1:p:125-154. Full description at Econpapers || Download paper | |
2021 | Trend, Cycles and Chance. (2021). DIEBOLT, Claude. In: Working Papers. RePEc:afc:wpaper:05-21. Full description at Econpapers || Download paper | |
2021 | Has Knowledge Improved Economic Growth? Evidence from Nigeria and South Africa. (2021). Shobande, Olatunji ; Asongu, Simplice. In: Working Papers of the African Governance and Development Institute.. RePEc:agd:wpaper:21/059. Full description at Econpapers || Download paper | |
2022 | Female Unemployment and Economic Growth in Cameroon: An Estimation of a Nonlinear Okuns Law Specification by the ARDL Cointegration Model. (2022). Asongu, Simplice A ; Kouam, Jean C. In: Working Papers of the African Governance and Development Institute.. RePEc:agd:wpaper:22/078. Full description at Econpapers || Download paper | |
2022 | Gender Analysis of Labor Force Outcomes: Evidence from Cameroon. (2022). Foretia, Denis ; Nantchouang, Robert ; Asongu, Simplice A ; Kouam, Jean C. In: Working Papers of the African Governance and Development Institute.. RePEc:agd:wpaper:22/079. Full description at Econpapers || Download paper | |
2022 | Whether high frequency intraday data behave randomly: Evidence from NIFTY 50. (2022). Roy, Subrata. In: Theoretical and Applied Economics. RePEc:agr:journl:v:2(631):y:2022:i:2(631):p:65-80. Full description at Econpapers || Download paper | |
2021 | . Full description at Econpapers || Download paper | |
2022 | . Full description at Econpapers || Download paper | |
2022 | . Full description at Econpapers || Download paper | |
2021 | Are coffee farmers worse off in the long run?. (2021). Ghoshray, Atanu. In: 94th Annual Conference, March 29-30, 2021, Warwick, UK (Hybrid). RePEc:ags:aesc21:311084. Full description at Econpapers || Download paper | |
2022 | . Full description at Econpapers || Download paper | |
2021 | Growth Effects of Foreign Direct Investments in Zimbabwe: Do Sources Matter?. (2021). Regret, Sunge ; Kudakwashe, Chinyanganya. In: African Journal of Economic Review. RePEc:ags:afjecr:315818. Full description at Econpapers || Download paper | |
2021 | . Full description at Econpapers || Download paper | |
2021 | . Full description at Econpapers || Download paper | |
2021 | Packer Procurement, Structural Change, and Moving Average Basis Forecasts: Lessons from the Fed Dairy Cattle Industry. (2020). Schulz, Lee L ; Pudenz, Christopher C. In: Journal of Agricultural and Resource Economics. RePEc:ags:jlaare:304769. Full description at Econpapers || Download paper | |
2022 | Disentangling Short-Run COVID-19 Price Impact Pathways in the U.S. Corn Market. (2022). , Gao. In: Journal of Agricultural and Resource Economics. RePEc:ags:jlaare:322846. Full description at Econpapers || Download paper | |
2021 | Trends and Structural Changes in Japanese Post-2011 Agri-Food Trade Flows. (2021). Dadakas, Dimitrios ; Tatsi, Stevi ; Karpetis, Christos. In: Japanese Journal of Agricultural Economics (formerly Japanese Journal of Rural Economics). RePEc:ags:jpjjre:314905. Full description at Econpapers || Download paper | |
2023 | Distortionary Agricultural Policies: Their Productivity, Location and Climate Variability Implications for South Africa During the 20th Century. (2023). Senay, Senait ; Pardey, Philip G ; Greyling, Jan. In: Staff Papers. RePEc:ags:umaesp:330158. Full description at Econpapers || Download paper | |
2022 | Plane to see? Empirical Analysis of the 1999-2006 Air Cargo Cartel. (2022). Laulederkind, Zoe ; Nolan, James. In: Miscellaneous Publications. RePEc:ags:uskbpm:329694. Full description at Econpapers || Download paper | |
2022 | Export Boom and Re-Primarisation in Latin America (1994-2019): Determining Factors of Agri-Food Product Exports. (2022). Ayuda, Maria-Isabel ; Belloc, Ignacio ; Pinilla, Vicente. In: Documentos de Trabajo (DT-AEHE). RePEc:ahe:dtaehe:2206. Full description at Econpapers || Download paper | |
2021 | The Relationship between Non-Renewable Energy Consumption and Economic Growth: A Regional Analysis of European Continent. (2021). Komuryakan, Fulden ; Korkmaz, Suna ; Yilgor, Metehan. In: Journal of Research in Economics, Politics & Finance. RePEc:ahs:journl:v:6:y:2021:i:3:p:587-607. Full description at Econpapers || Download paper | |
2022 | Borsa ?stanbul Alt Endekslerinde Etkin Piyasa Hipotezinin Test Edilmesi: Fourier K?r?lmal? ve Do?rusal Olmayan Birim Kök Testlerinden Kan?tlar. (2022). Umut, Alican ; Pazarci, Evket ; Kili, Emre ; Altunta, Mehmet. In: Journal of Research in Economics, Politics & Finance. RePEc:ahs:journl:v:7:y:2022:i:1:p:169-185. Full description at Econpapers || Download paper | |
2021 | Response surfaces for DF-GLS p-values. (2021). Cottrell, Allin. In: gretl working papers. RePEc:anc:wgretl:8. Full description at Econpapers || Download paper | |
2021 | Prices, Money Supply and Output Nexus in Pakistan – A Macro Econometric Model. (2021). Hussain, Altaf ; Ahmad, Hafiz Khalil ; Awan, Asma ; Khan, Muhammad Yousuf. In: iRASD Journal of Economics. RePEc:ani:irdjoe:v:3:y:2021:i:2:p:106-118. Full description at Econpapers || Download paper | |
2021 | A revisit of the unemployment rate, interest rate, GDP growth and Inflation of Pakistan: Whether Structural break or unit root?. (2021). Urooj, Amena ; Khan, Faridoon ; Muhammadullah, Sara. In: iRASD Journal of Economics. RePEc:ani:irdjoe:v:3:y:2021:i:2:p:80-92. Full description at Econpapers || Download paper | |
2021 | “Detecting multiple level shifts in bounded time seriesâ€. (2021). Carrion-i-Silvestre, Josep ; Gadea, Maria Dolores. In: AQR Working Papers. RePEc:aqr:wpaper:202106. Full description at Econpapers || Download paper | |
2021 | On LASSO for Predictive Regression. (2018). Lee, Ji Hyung ; Gao, Zhan ; Shi, Zhentao ; Hyung, JI. In: Papers. RePEc:arx:papers:1810.03140. Full description at Econpapers || Download paper | |
2022 | Measuring the Time-Varying Market Efficiency in the Prewar Japanese Stock Market. (2019). Noda, Akihiko. In: Papers. RePEc:arx:papers:1911.04059. Full description at Econpapers || Download paper | |
2021 | Structural stability of infinite-order regression. (2019). SEO, MYUNG HWAN ; Gupta, Abhimanyu. In: Papers. RePEc:arx:papers:1911.08637. Full description at Econpapers || Download paper | |
2021 | Oracle Efficient Estimation of Structural Breaks in Cointegrating Regressions. (2020). Schweikert, Karsten. In: Papers. RePEc:arx:papers:2001.07949. Full description at Econpapers || Download paper | |
2021 | Unit-root test within a threshold ARMA framework. (2020). Tong, Howell ; Goracci, Greta ; Giannerini, Simone ; Chan, Kung-Sik. In: Papers. RePEc:arx:papers:2002.09968. Full description at Econpapers || Download paper | |
2021 | Revealing Cluster Structures Based on Mixed Sampling Frequencies. (2020). Ahn, Hie Joo ; Liu, Yun ; Rho, Yeonwoo. In: Papers. RePEc:arx:papers:2004.09770. Full description at Econpapers || Download paper | |
2021 | New robust inference for predictive regressions. (2020). Skrobotov, Anton ; Kim, Jihyun ; Ibragimov, Rustam. In: Papers. RePEc:arx:papers:2006.01191. Full description at Econpapers || Download paper | |
2022 | Permutation-based tests for discontinuities in event studies. (2020). Li, Jia ; Bugni, Federico A. In: Papers. RePEc:arx:papers:2007.09837. Full description at Econpapers || Download paper | |
2021 | Testing Semi-Strong Form Efficiency of the Prewar Japanese Stock Market. (2020). Noda, Akihiko ; Hirayama, Kenichi. In: Papers. RePEc:arx:papers:2008.00860. Full description at Econpapers || Download paper | |
2023 | A Novel Approach to Predictive Accuracy Testing in Nested Environments. (2020). Pitarakis, Jean-Yves. In: Papers. RePEc:arx:papers:2008.08387. Full description at Econpapers || Download paper | |
2021 | Cointegrating Polynomial Regressions with Power Law Trends: A New Angle on the Environmental Kuznets Curve. (2020). Reuvers, Hanno ; Lin, Yicong. In: Papers. RePEc:arx:papers:2009.02262. Full description at Econpapers || Download paper | |
2021 | COVID-19: Tail Risk and Predictive Regressions. (2020). Skrobotov, Anton ; Semenov, Alexander ; Ibragimov, Rustam ; Distaso, Walter. In: Papers. RePEc:arx:papers:2009.02486. Full description at Econpapers || Download paper | |
2021 | Bayesian analysis of seasonally cointegrated VAR model. (2020). Wr, Justyna. In: Papers. RePEc:arx:papers:2012.14820. Full description at Econpapers || Download paper | |
2021 | Forecasting Commodity Prices Using Long Short-Term Memory Neural Networks. (2021). Dia, Khadim ; Traore, Fousseini ; Ly, Racine. In: Papers. RePEc:arx:papers:2101.03087. Full description at Econpapers || Download paper | |
2021 | Bootstrapping Non-Stationary Stochastic Volatility. (2021). Georgiev, Iliyan ; Rahbek, Anders ; Cavaliere, Giuseppe ; Boswijk, Peter H. In: Papers. RePEc:arx:papers:2101.03562. Full description at Econpapers || Download paper | |
2021 | Rapid detection of fast innovation under the pressure of COVID-19. (2021). Bonaccorsi, Andrea ; Melluso, Nicola ; Chiarello, Filippo ; Fantoni, Gualtiero. In: Papers. RePEc:arx:papers:2102.00197. Full description at Econpapers || Download paper | |
2021 | Approximate Bayes factors for unit root testing. (2021). Alexandros, Iosifidis ; Martin, Magris. In: Papers. RePEc:arx:papers:2102.10048. Full description at Econpapers || Download paper | |
2021 | Quasi-maximum likelihood estimation of break point in high-dimensional factor models. (2021). Han, XU ; Bai, Jushan ; Duan, Jiangtao. In: Papers. RePEc:arx:papers:2102.12666. Full description at Econpapers || Download paper | |
2021 | Standing on the Shoulders of Machine Learning: Can We Improve Hypothesis Testing?. (2021). Cornwall, Gary ; Sauley, Beau ; Chen, Jeff . In: Papers. RePEc:arx:papers:2103.01368. Full description at Econpapers || Download paper | |
2021 | Theory of Evolutionary Spectra for Heteroskedasticity and Autocorrelation Robust Inference in Possibly Misspecified and Nonstationary Models. (2021). Casini, Alessandro. In: Papers. RePEc:arx:papers:2103.02981. Full description at Econpapers || Download paper | |
2021 | On Spurious Causality, CO2, and Global Temperature. (2021). Gobel, Maximilian ; Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2103.10605. Full description at Econpapers || Download paper | |
2021 | Time Varying Risk in U.S. Housing Sector and Real Estate Investment Trusts Equity Return. (2021). Alam, Masud. In: Papers. RePEc:arx:papers:2107.10455. Full description at Econpapers || Download paper | |
2021 | Inference in heavy-tailed non-stationary multivariate time series. (2021). Cavaliere, Giuseppe ; Barigozzi, Matteo ; Trapani, Lorenzo. In: Papers. RePEc:arx:papers:2107.13894. Full description at Econpapers || Download paper | |
2021 | A Wavelet Method for Panel Models with Jump Discontinuities in the Parameters. (2021). Kneip, Alois ; Bada, Oualid ; Sickles, Robin C ; Gualtieri, James ; Mensinger, Tim ; Liebl, Dominik. In: Papers. RePEc:arx:papers:2109.10950. Full description at Econpapers || Download paper | |
2022 | On the asymptotic behavior of bubble date estimators. (2021). Skrobotov, Anton ; Kurozumi, Eiji. In: Papers. RePEc:arx:papers:2110.04500. Full description at Econpapers || Download paper | |
2022 | Testing for long-range dependence in non-stationary time series time-varying regression. (2021). Wu, Weichi ; Bai, Lujia. In: Papers. RePEc:arx:papers:2110.08089. Full description at Econpapers || Download paper | |
2021 | Testing and Estimating Structural Breaks in Time Series and Panel Data in Stata. (2021). , Joakimwesterlund ; Karavias, Yiannis ; Ditzen, Jan ; Westerlund, Joakim. In: Papers. RePEc:arx:papers:2110.14550. Full description at Econpapers || Download paper | |
2021 | The Fixed-b Limiting Distribution and the ERP of HAR Tests Under Nonstationarity. (2021). Casini, Alessandro. In: Papers. RePEc:arx:papers:2111.14590. Full description at Econpapers || Download paper | |
2022 | Efficiently Detecting Multiple Structural Breaks in Systems of Linear Regression Equations with Integrated and Stationary Regressors. (2022). Schweikert, Karsten. In: Papers. RePEc:arx:papers:2201.05430. Full description at Econpapers || Download paper | |
2022 | Asymptotic properties of Bayesian inference in linear regression with a structural break. (2022). Shimizu, Kenichi. In: Papers. RePEc:arx:papers:2201.07319. Full description at Econpapers || Download paper | |
2022 | Partial Sum Processes of Residual-Based and Wald-type Break-Point Statistics in Time Series Regression Models. (2022). Katsouris, Christis. In: Papers. RePEc:arx:papers:2202.00141. Full description at Econpapers || Download paper | |
2022 | Are all Credit Default Swap Databases equal?. (2022). Mayordomo, Sergio ; Schwartz, Eduardo S ; Pena, Juan Ignacio. In: Papers. RePEc:arx:papers:2202.02273. Full description at Econpapers || Download paper | |
2022 | Measuring Systemic Risk: Common Factor Exposures and Tail Dependence Effects. (2022). Chiu, Wan-Chien ; Wang, Chih-Wei ; Pena, Juan Ignacio. In: Papers. RePEc:arx:papers:2202.02276. Full description at Econpapers || Download paper | |
2022 | On the dependence structure of the trade/no trade sequence of illiquid assets. (2022). Raissi, Hamdi. In: Papers. RePEc:arx:papers:2203.08223. Full description at Econpapers || Download paper | |
2022 | Asymptotic Theory for Moderate Deviations from the Unit Boundary in Quantile Autoregressive Time Series. (2022). Katsouris, Christis. In: Papers. RePEc:arx:papers:2204.02073. Full description at Econpapers || Download paper | |
2022 | Economic activity and climate change. (2022). Ruiz, Esther ; Rodr, Vladimir ; Poncela, Pilar ; de Juan, Ar'Anzazu. In: Papers. RePEc:arx:papers:2206.03187. Full description at Econpapers || Download paper | |
2022 | Cointegration and ARDL specification between the Dubai crude oil and the US natural gas market. (2022). Stavroyiannis, Stavros. In: Papers. RePEc:arx:papers:2206.03278. Full description at Econpapers || Download paper | |
2022 | Likelihood ratio test for structural changes in factor models. (2022). Han, XU ; Duan, Jiangtao ; Bai, Jushan. In: Papers. RePEc:arx:papers:2206.08052. Full description at Econpapers || Download paper | |
2022 | $u^* = \sqrt{uv}$. (2022). Saez, Emmanuel ; Michaillat, Pascal. In: Papers. RePEc:arx:papers:2206.13012. Full description at Econpapers || Download paper | |
2022 | Does DeFi remove the need for trust? Evidence from a natural experiment in stablecoin lending. (2022). Samphantharak, Krislert ; Putnicnvs, Talis ; Saengchote, Kanis. In: Papers. RePEc:arx:papers:2207.06285. Full description at Econpapers || Download paper | |
2022 | Testing for a Threshold in Models with Endogenous Regressors. (2022). Boldea, Otilia ; Rothfelder, Mario P. In: Papers. RePEc:arx:papers:2207.10076. Full description at Econpapers || Download paper | |
2022 | A Generalized Argmax Theorem with Applications. (2022). Cox, Gregory. In: Papers. RePEc:arx:papers:2209.08793. Full description at Econpapers || Download paper | |
2022 | The boosted HP filter is more general than you might think. (2022). Shi, Zhentao ; PEter, ; Mei, Ziwei. In: Papers. RePEc:arx:papers:2209.09810. Full description at Econpapers || Download paper | |
2022 | The Local to Unity Dynamic Tobit Model. (2022). Duffy, James A ; Bykhovskaya, Anna. In: Papers. RePEc:arx:papers:2210.02599. Full description at Econpapers || Download paper | |
2022 | A Residuals-Based Nonparametric Variance Ratio Test for Cointegration. (2022). Reichold, Karsten. In: Papers. RePEc:arx:papers:2211.06288. Full description at Econpapers || Download paper | |
2023 | Multiple Structural Breaks in Interactive Effects Panel Data and the Impact of Quantitative Easing on Bank Lending. (2022). Westerlund, Joakim ; Karavias, Yiannis ; Ditzen, Jan. In: Papers. RePEc:arx:papers:2211.06707. Full description at Econpapers || Download paper | |
2022 | Fractional integration and cointegration. (2022). Nielsen, Morten ; Hualde, Javier. In: Papers. RePEc:arx:papers:2211.10235. Full description at Econpapers || Download paper | |
2022 | Unified Container Shipping Industry Data From 1966: Freight Rate, Shipping Quantity, Newbuilding, Secondhand, and Scrap Price. (2022). Otani, Suguru ; Matsuda, Takuma. In: Papers. RePEc:arx:papers:2211.16292. Full description at Econpapers || Download paper | |
2022 | On LASSO for High Dimensional Predictive Regression. (2022). Shi, Zhentao ; Mei, Ziwei. In: Papers. RePEc:arx:papers:2212.07052. Full description at Econpapers || Download paper | |
2023 | Testing for Structural Change under Nonstationarity. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2302.02370. Full description at Econpapers || Download paper | |
2023 | Adaptive local VAR for dynamic economic policy uncertainty spillover. (2023). Okhrin, Ostap ; Gillmann, Niels. In: Papers. RePEc:arx:papers:2302.02808. Full description at Econpapers || Download paper | |
2023 | Out of Sample Predictability in Predictive Regressions with Many Predictor Candidates. (2023). Pitarakis, Jean-Yves ; Gonzalo, Jesus. In: Papers. RePEc:arx:papers:2302.02866. Full description at Econpapers || Download paper | |
2023 | Structural Break Detection in Quantile Predictive Regression Models with Persistent Covariates. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2302.05193. Full description at Econpapers || Download paper | |
2021 | What lowered inflation in India: Monetary policy or commodity prices?. (2021). Parameswaran, M ; Balakrishnan, Pulapre. In: Working Papers. RePEc:ash:wpaper:66. Full description at Econpapers || Download paper | |
2021 | Labor Productivity in France: Is the Slowdown of its Growth Inevitable or are there Levers to fight it?. (2021). Girard, Pierre-Luis ; Bruneau, Catherine. In: Athens Journal of Business & Economics. RePEc:ate:journl:ajbev7i1-1. Full description at Econpapers || Download paper | |
2022 | Wealth and income inequality in the long run. (2022). Vermeulen, Philip ; Lieberknecht, Philipp. In: Working Papers. RePEc:aut:wpaper:202202. Full description at Econpapers || Download paper | |
2021 | . Full description at Econpapers || Download paper | |
2022 | Announcement Effect of COVID-19 on Cryptocurrencies. (2022). , Nduka ; Nwanneka, Kodili ; Usman, Nuruddeen. In: Asian Economics Letters. RePEc:ayb:jrnael:57. Full description at Econpapers || Download paper | |
2022 | Announcement Effect of COVID-19 on Cryptocurrencies. (2022). Nduka, Kodili Nwanneka ; Usman, Nuruddeen. In: Asian Economics Letters. RePEc:ayb:jrnael:61. Full description at Econpapers || Download paper | |
2022 | Testing for Structural Breaks in the Growth of the Services Sector in India: A Reassessment. (2022). Shergill, Amrita. In: Economic Studies journal. RePEc:bas:econst:y:2022:i:5:p:71-85. Full description at Econpapers || Download paper | |
2021 | Debt-Secular Economic Changes and Bond Yields. (2021). Fontaine, Jean-Sebastien ; Feunou, Bruno. In: Staff Working Papers. RePEc:bca:bocawp:21-14. Full description at Econpapers || Download paper | |
2022 | What Drives Bitcoin Fees? Using Segwit to Assess Bitcoins Long-Run Sustainability. (2022). Koeppl, Thorsten ; Chiu, Jonathan ; Brown, Colin. In: Staff Working Papers. RePEc:bca:bocawp:22-2. Full description at Econpapers || Download paper | |
2022 | Causal Impulse Responses for Time Series. (2022). Marinho, Leonardo . In: Working Papers Series. RePEc:bcb:wpaper:570. Full description at Econpapers || Download paper | |
2021 | Are neutral and investment-specific technology shocks correlated?. (2021). Moura, Alban. In: BCL working papers. RePEc:bcl:bclwop:bclwp152. Full description at Econpapers || Download paper | |
2022 | . Full description at Econpapers || Download paper | |
More than 100 citations found, this list is not complete... |
Journal | |
---|---|
Econometrics Journal | |
Econometrics Journal |
Year | Title | Type | Cited |
---|---|---|---|
2011 | Combining Long Memory and Level Shifts in Modeling and Forecasting the Volatility of Asset Returns In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 18 |
2011 | Combining Long Memory and Level Shifts in Modeling and Forecasting the Volatility of Asset Returns.(2011) In: Boston University - Department of Economics - Working Papers Series. [Citation analysis] This paper has another version. Agregated cites: 18 | paper | |
2015 | Combining Long Memory and Level Shifts in Modeling and Forecasting the Volatility of Asset Returns.(2015) In: Boston University - Department of Economics - Working Papers Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 18 | paper | |
2017 | Combining Long Memory and Level Shifts in Modeling and Forecasting the Volatility of Asset Returns.(2017) In: Boston University - Department of Economics - Working Papers Series. [Citation analysis] This paper has another version. Agregated cites: 18 | paper | |
2018 | Combining long memory and level shifts in modelling and forecasting the volatility of asset returns.(2018) In: Quantitative Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 18 | article | |
1992 | Racines unitaires en macroéconomie : le cas multidimensionnel In: Annals of Economics and Statistics. [Full Text][Citation analysis] | article | 4 |
2018 | Testing for Common Breaks in a Multiple Equations System In: Papers. [Full Text][Citation analysis] | paper | 13 |
2011 | Testing for Common Breaks in a Multiple Equations System.(2011) In: Boston University - Department of Economics - Working Papers Series. [Citation analysis] This paper has another version. Agregated cites: 13 | paper | |
2018 | Testing for common breaks in a multiple equations system.(2018) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 13 | article | |
2018 | Testing for common breaks in a multiple equations system.(2018) In: Monash Econometrics and Business Statistics Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 13 | paper | |
2021 | Generalized Laplace Inference in Multiple Change-Points Models In: Papers. [Full Text][Citation analysis] | paper | 2 |
2020 | Generalized Laplace Inference in Multiple Change-Points Models.(2020) In: Boston University - Department of Economics - Working Papers Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
2022 | GENERALIZED LAPLACE INFERENCE IN MULTIPLE CHANGE-POINTS MODELS.(2022) In: Econometric Theory. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | article | |
2021 | Continuous Record Asymptotics for Change-Points Models In: Papers. [Full Text][Citation analysis] | paper | 2 |
2020 | Continuous Record Asymptotics for Change-Point Models.(2020) In: Boston University - Department of Economics - Working Papers Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
2020 | Continuous Record Laplace-based Inference about the Break Date in Structural Change Models In: Papers. [Full Text][Citation analysis] | paper | 5 |
2020 | Continuous Record Laplace-based Inference about the Break Date in Structural Change Models.(2020) In: Boston University - Department of Economics - Working Papers Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 5 | paper | |
2021 | Continuous record Laplace-based inference about the break date in structural change models.(2021) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 5 | article | |
2018 | Structural Breaks in Time Series In: Papers. [Full Text][Citation analysis] | paper | 22 |
2018 | Structural Breaks in Time Series.(2018) In: Boston University - Department of Economics - Working Papers Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 22 | paper | |
2018 | Inference Related to Common Breaks in a Multivariate System with Joined Segmented Trends with Applications to Global and Hemispheric Temperatures In: Papers. [Full Text][Citation analysis] | paper | 4 |
2018 | Inference Related to Common Breaks in a Multivariate System with Joined Segmented Trends with Applications to Global and Hemispheric Temperatures.(2018) In: Boston University - Department of Economics - Working Papers Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 4 | paper | |
2020 | Inference related to common breaks in a multivariate system with joined segmented trends with applications to global and hemispheric temperatures.(2020) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 4 | article | |
2021 | Simultaneous Bandwidths Determination for DK-HAC Estimators and Long-Run Variance Estimation in Nonparametric Settings In: Papers. [Full Text][Citation analysis] | paper | 0 |
2021 | Theory of Low Frequency Contamination from Nonstationarity and Misspecification: Consequences for HAR Inference In: Papers. [Full Text][Citation analysis] | paper | 3 |
2021 | Prewhitened Long-Run Variance Estimation Robust to Nonstationarity In: Papers. [Full Text][Citation analysis] | paper | 2 |
2021 | Change-Point Analysis of Time Series with Evolutionary Spectra In: Papers. [Full Text][Citation analysis] | paper | 0 |
1992 | Nonstationarity and Level Shifts with an Application to Purchasing Power Parity. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 626 |
1991 | Nonstationary and Level Shifts With An Application To Purchasing Power Parity..(1991) In: Princeton, Department of Economics - Econometric Research Program. [Citation analysis] This paper has another version. Agregated cites: 626 | paper | |
1992 | Testing for a Unit Root in a Time Series with a Changing Mean: Corrections and Extensions. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 148 |
2009 | Testing for Shifts in Trend With an Integrated or Stationary Noise Component In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 183 |
2005 | Testing for Shifts in Trend with an Integrated or Stationary Noise Component.(2005) In: Boston University - Department of Economics - Working Papers Series. [Citation analysis] This paper has another version. Agregated cites: 183 | paper | |
2007 | Testing for Shifts in Trend with an Integrated or Stationary Noise Component.(2007) In: Boston University - Department of Economics - Working Papers Series. [Citation analysis] This paper has another version. Agregated cites: 183 | paper | |
2010 | Long-Memory and Level Shifts in the Volatility of Stock Market Return Indices In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 109 |
2008 | Long-Memory and Level Shifts in the Volatility of Stock Market Return Indices.(2008) In: Boston University - Department of Economics - Working Papers Series. [Citation analysis] This paper has another version. Agregated cites: 109 | paper | |
2010 | Testing for Multiple Structural Changes in Cointegrated Regression Models In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 162 |
2006 | Testing for Multiple Structural Changes in Cointegrated Regression Models.(2006) In: Boston University - Department of Economics - Working Papers Series. [Citation analysis] This paper has another version. Agregated cites: 162 | paper | |
2008 | Testing for Multiple Structural Changes in Cointegrated Regression Models.(2008) In: Boston University - Department of Economics - Working Papers Series. [Citation analysis] This paper has another version. Agregated cites: 162 | paper | |
2008 | Testing for Multiple Structural Changes in Cointegrated Regression Models.(2008) In: Purdue University Economics Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 162 | paper | |
1990 | Testing for a Unit Root in a Time Series with a Changing Mean. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 568 |
1989 | TESTING FOR A UNIT ROOT IN A TIME SERIES WITH A CHANGING MEAN..(1989) In: Princeton, Department of Economics - Econometric Research Program. [Citation analysis] This paper has another version. Agregated cites: 568 | paper | |
1996 | THE EXACT ERROR IN ESTIMATING THE SPECTRAL DENSITY AT THE ORIGIN In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 8 |
1995 | The Exact Error in Estimating the Special Density at the Origin..(1995) In: Cahiers de recherche. [Full Text][Citation analysis] This paper has another version. Agregated cites: 8 | paper | |
1995 | The Exact Error in Estimating the Special Density at the Origin..(1995) In: Cahiers de recherche. [Citation analysis] This paper has another version. Agregated cites: 8 | paper | |
2003 | SEARCHING FOR ADDITIVE OUTLIERS IN NONSTATIONARY TIME SERIES In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 54 |
2000 | Seraching for Additive Outliers in Nonstationary Time Series..(2000) In: Working Papers. [Citation analysis] This paper has another version. Agregated cites: 54 | paper | |
2010 | A sequential procedure to determine the number of breaks in trend with an integrated or stationary noise component In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 89 |
2009 | A Sequential Procedure to Determine the Number of Breaks in Trend with an Integrated or Stationary Noise Component.(2009) In: Boston University - Department of Economics - Working Papers Series. [Citation analysis] This paper has another version. Agregated cites: 89 | paper | |
2009 | A Sequential Procedure to Determine the Number of Breaks in Trend with an Integrated or Stationary Noise Component.(2009) In: Purdue University Economics Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 89 | paper | |
2016 | Inference on a Structural Break in Trend with Fractionally Integrated Errors In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 5 |
2013 | Inference on a Structural Break in Trend with Fractionally Integrated Errors.(2013) In: Boston University - Department of Economics - Working Papers Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 5 | paper | |
2015 | Inference on a Structural Break in Trend with Fractionally Integrated Errors.(2015) In: Boston University - Department of Economics - Working Papers Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 5 | paper | |
2016 | Improved Tests for Forecast Comparisons in the Presence of Instabilities In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 5 |
2014 | Improved Tests for Forecast Comparisons in the Presence of Instabilities.(2014) In: Boston University - Department of Economics - Working Papers Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 5 | paper | |
2015 | Improved Tests for Forecast Comparisons in the Presence of Instabilities.(2015) In: Boston University - Department of Economics - Working Papers Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 5 | paper | |
2017 | Time Series Methods Applied to Climate Change In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 0 |
2017 | Extracting and Analyzing the Warming Trend in Global and Hemispheric Temperatures In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 13 |
2017 | Extracting and analyzing the warming trend in global and hemispheric temperatures.(2017) In: Boston University - Department of Economics - Working Papers Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 13 | paper | |
2020 | Bootstrap procedures for detecting multiple persistence shifts in heteroskedastic time series In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 1 |
2020 | Bootstrap Procedures for Detecting Multiple Persistence Shifts in Heteroskedastic Time Series.(2020) In: Boston University - Department of Economics - Working Papers Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
2022 | A two?step procedure for testing partial parameter stability in cointegrated regression models In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 0 |
2020 | A Two Step Procedure for Testing Partial Parameter Stability in Cointegrated Regression Models.(2020) In: Boston University - Department of Economics - Working Papers Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
2022 | Structural change tests under heteroskedasticity: Joint estimation versus two?steps methods In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 0 |
2005 | A Note on the Selection of Time Series Models In: Oxford Bulletin of Economics and Statistics. [Full Text][Citation analysis] | article | 41 |
2001 | A Note on the Selection of Time Series Models.(2001) In: Boston College Working Papers in Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 41 | paper | |
2017 | Testing for Flexible Nonlinear Trends with an Integrated or Stationary Noise Component In: Oxford Bulletin of Economics and Statistics. [Full Text][Citation analysis] | article | 15 |
2015 | Testing for Flexible Nonlinear Trends with an Integrated or Stationary Noise Component.(2015) In: Boston University - Department of Economics - Working Papers Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 15 | paper | |
2015 | Testing for Flexible Nonlinear Trends with an Integrated or Stationary Noise Component.(2015) In: Vanderbilt University Department of Economics Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 15 | paper | |
Level Shifts and Purchasing Power Parity In: Instructional Stata datasets for econometrics. [Full Text][Citation analysis] | paper | 512 | |
2000 | Lag Length Selection and the Construction of Unit Root Tests with Good Size and Power In: Boston College Working Papers in Economics. [Full Text][Citation analysis] | paper | 2338 |
2001 | LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power.(2001) In: Econometrica. [Citation analysis] This paper has another version. Agregated cites: 2338 | article | |
2005 | Estimating and testing structural changes in multivariate regressions In: Boston University - Department of Economics - Working Papers Series. [Citation analysis] | paper | 253 |
2007 | Estimating and Testing Structural Changes in Multivariate Regressions.(2007) In: Econometrica. [Full Text][Citation analysis] This paper has another version. Agregated cites: 253 | article | |
2005 | Dealing with Structural Breaks In: Boston University - Department of Economics - Working Papers Series. [Citation analysis] | paper | 66 |
2005 | A Comparison of Alternative Asymptotic Frameworks to Analyze a Structural Change in a Linear Time Trend In: Boston University - Department of Economics - Working Papers Series. [Citation analysis] | paper | 6 |
2006 | A comparison of alternative asymptotic frameworks to analyse a structural change in a linear time trend.(2006) In: Econometrics Journal. [Full Text][Citation analysis] This paper has another version. Agregated cites: 6 | article | |
2005 | Let’s Take a Break: Trends and Cycles in US Real GDP? In: Boston University - Department of Economics - Working Papers Series. [Citation analysis] | paper | 90 |
2009 | Let’s Take a Break: Trends and Cycles in US Real GDP.(2009) In: Boston University - Department of Economics - Working Papers Series. [Citation analysis] This paper has another version. Agregated cites: 90 | paper | |
2009 | Lets take a break: Trends and cycles in US real GDP.(2009) In: Journal of Monetary Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 90 | article | |
2005 | Estimating Deterministric Trends with an Integrated or Stationary Noise Component In: Boston University - Department of Economics - Working Papers Series. [Citation analysis] | paper | 88 |
2006 | Estimating Deterministic Trends with an Integrated or Stationary Noise Component.(2006) In: Boston University - Department of Economics - Working Papers Series. [Citation analysis] This paper has another version. Agregated cites: 88 | paper | |
2007 | Estimating Deterministic Trend with an Integrated or Stationary Noise Component.(2007) In: Boston University - Department of Economics - Working Papers Series. [Citation analysis] This paper has another version. Agregated cites: 88 | paper | |
2009 | Estimating deterministic trends with an integrated or stationary noise component.(2009) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 88 | article | |
2005 | The Limit Distribution of the CUSUM of Square Test Under Genreal MIxing Conditions* In: Boston University - Department of Economics - Working Papers Series. [Citation analysis] | paper | 0 |
2005 | A Non-local Perspective on the Power Properties of the CUSUM and CUSUM of Squares Tests for Structural Change In: Boston University - Department of Economics - Working Papers Series. [Citation analysis] | paper | 28 |
2007 | A Non-local Perspective on the Power Properties of the CUSUM and CUSUM of Squares Tests for Structural Change*.(2007) In: Boston University - Department of Economics - Working Papers Series. [Citation analysis] This paper has another version. Agregated cites: 28 | paper | |
2008 | A non-local perspective on the power properties of the CUSUM and CUSUM of squares tests for structural change.(2008) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 28 | article | |
2005 | An Alternative Trend-Cycle Decomposition using a State Space Model with Mixtures of Normals: Specifications and Applications to International Data In: Boston University - Department of Economics - Working Papers Series. [Citation analysis] | paper | 7 |
2005 | An Alternative Trend-Cycle Decomposition using a State Space Model with Mixtures of Normals: Specifications and Applications to International Data.(2005) In: Boston University - Department of Economics - Working Papers Series. [Citation analysis] This paper has another version. Agregated cites: 7 | paper | |
2006 | The Limit Distribution of the CUSUM of Squares Test Under General Mixing Conditions In: Boston University - Department of Economics - Working Papers Series. [Citation analysis] | paper | 29 |
2008 | THE LIMIT DISTRIBUTION OF THE CUSUM OF SQUARES TEST UNDER GENERAL MIXING CONDITIONS.(2008) In: Econometric Theory. [Full Text][Citation analysis] This paper has another version. Agregated cites: 29 | article | |
2006 | A Simple Modification to Improve the Finite Sample Properties of Ng and Perron’s Unit Root Tests In: Boston University - Department of Economics - Working Papers Series. [Citation analysis] | paper | 130 |
2007 | A simple modification to improve the finite sample properties of Ng and Perrons unit root tests.(2007) In: Economics Letters. [Full Text][Citation analysis] This paper has another version. Agregated cites: 130 | article | |
2006 | A Modified Information Criterion for Cointegration Tests based on a VAR Approximation In: Boston University - Department of Economics - Working Papers Series. [Citation analysis] | paper | 17 |
2007 | A MODIFIED INFORMATION CRITERION FOR COINTEGRATION TESTS BASED ON A VAR APPROXIMATION.(2007) In: Econometric Theory. [Full Text][Citation analysis] This paper has another version. Agregated cites: 17 | article | |
2006 | An Analytical Evaluation of the Log-periodogram Estimate in the Presence of Level Shifts and its Implications for Stock Returns Volatility* In: Boston University - Department of Economics - Working Papers Series. [Citation analysis] | paper | 7 |
2006 | State Space Model with Mixtures of Normals: Specifications and Applications to International Data In: Boston University - Department of Economics - Working Papers Series. [Citation analysis] | paper | 10 |
2006 | Data Dependent Rules for the Selection of the Number of Leads and Lags in the Dynamic OLS Cointegrating Regression In: Boston University - Department of Economics - Working Papers Series. [Citation analysis] | paper | 30 |
2007 | Data Dependent Rules for the Selection of the Number of Leads and Lags in the Dynamic OLS Cointegrating Regression*.(2007) In: Boston University - Department of Economics - Working Papers Series. [Citation analysis] This paper has another version. Agregated cites: 30 | paper | |
2008 | DATA DEPENDENT RULES FOR SELECTION OF THE NUMBER OF LEADS AND LAGS IN THE DYNAMIC OLS COINTEGRATING REGRESSION.(2008) In: Econometric Theory. [Full Text][Citation analysis] This paper has another version. Agregated cites: 30 | article | |
2006 | Unit Root Tests Allowing for a Break in the Trend Function at an Unknown Time Under Both the Null and Alternative Hypotheses In: Boston University - Department of Economics - Working Papers Series. [Citation analysis] | paper | 207 |
2009 | Unit root tests allowing for a break in the trend function at an unknown time under both the null and alternative hypotheses.(2009) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 207 | article | |
2006 | Assessing the Relative Power of Structural Break Tests Using a Framework Based on the Approximate Bahadur Slope In: Boston University - Department of Economics - Working Papers Series. [Citation analysis] | paper | 11 |
2009 | Assessing the relative power of structural break tests using a framework based on the approximate Bahadur slope.(2009) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 11 | article | |
2006 | The Limit Distribution of the Estimates in Cointegrated Regression Models with Multiple Structural Changes In: Boston University - Department of Economics - Working Papers Series. [Citation analysis] | paper | 71 |
2008 | The limit distribution of the estimates in cointegrated regression models with multiple structural changes.(2008) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 71 | article | |
2007 | An Analytical Evaluation of the Log-periodogram Estimate in the Presence of Level Shifts In: Boston University - Department of Economics - Working Papers Series. [Citation analysis] | paper | 33 |
2008 | On the Usefulness or Lack Thereof of Optimality Criteria for Structural Change Tests In: Boston University - Department of Economics - Working Papers Series. [Citation analysis] | paper | 6 |
2001 | On the Usefulness or Lack Thereof of Optimality Criteria for Structural Change Tests.(2001) In: Boston University - Department of Economics - Working Papers Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 6 | paper | |
2012 | On the Usefulness or Lack Thereof of Optimality Criteria for Structural Change Tests.(2012) In: Global COE Hi-Stat Discussion Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 6 | paper | |
2016 | On the Usefulness or Lack Thereof of Optimality Criteria for Structural Change Tests.(2016) In: Econometric Reviews. [Full Text][Citation analysis] This paper has another version. Agregated cites: 6 | article | |
2008 | A Stochastic Volatility Model with Random Level Shifts: Theory and Applications to S&P 500 and NASDAQ Return Indices In: Boston University - Department of Economics - Working Papers Series. [Citation analysis] | paper | 0 |
2008 | Testing for Breaks in Coefficients and Error Variance: Simulations and Applications In: Boston University - Department of Economics - Working Papers Series. [Citation analysis] | paper | 6 |
2008 | Testing Jointly for Structural Changes in the Error Variance and Coefficients of a Linear Regression Model In: Boston University - Department of Economics - Working Papers Series. [Citation analysis] | paper | 12 |
2019 | Testing Jointly for Structural Changes in the Error Variance and Coefficients of a Linear Regression Model.(2019) In: Discussion paper series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 12 | paper | |
2020 | Testing jointly for structural changes in the error variance and coefficients of a linear regression model.(2020) In: Quantitative Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 12 | article | |
2008 | Modeling and Forecasting Stock Return Volatility Using a Random Level Shift Model In: Boston University - Department of Economics - Working Papers Series. [Citation analysis] | paper | 50 |
2010 | Modeling and forecasting stock return volatility using a random level shift model.(2010) In: Journal of Empirical Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 50 | article | |
2008 | Estimating and Testing Multiple Structural Changes in Models with Endogenous Regressors In: Boston University - Department of Economics - Working Papers Series. [Citation analysis] | paper | 5 |
2007 | GLS-based unit root tests with multiple structural breaks both under the null and the alternative hypotheses In: Boston University - Department of Economics - Working Papers Series. [Citation analysis] | paper | 12 |
2010 | Memory Parameter Estimation in the Presence of Level Shifts and Deterministic Trends In: Boston University - Department of Economics - Working Papers Series. [Citation analysis] | paper | 35 |
2012 | Memory Parameter Estimation in the Presence of Level Shifts and Deterministic Trends.(2012) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 35 | paper | |
2013 | MEMORY PARAMETER ESTIMATION IN THE PRESENCE OF LEVEL SHIFTS AND DETERMINISTIC TRENDS.(2013) In: Econometric Theory. [Full Text][Citation analysis] This paper has another version. Agregated cites: 35 | article | |
2010 | On the Irrelevance of Impossibility Theorems: The Case of the Long-run Variance In: Boston University - Department of Economics - Working Papers Series. [Citation analysis] | paper | 1 |
2011 | On the Irrelevance of Impossibility Theorems: The Case of the Long-run Variance.(2011) In: Journal of Time Series Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | article | |
2011 | Estimating and Testing Multiple Structural Changes in Linear Models Using Band Spectral Regressions In: Boston University - Department of Economics - Working Papers Series. [Citation analysis] | paper | 6 |
2012 | Estimating and Testing Multiple Structural Changes in Linear Models Using Band Spectral Regressions.(2012) In: Global COE Hi-Stat Discussion Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 6 | paper | |
2013 | Estimating and testing multiple structural changes in linear models using band spectral regressions.(2013) In: Econometrics Journal. [Full Text][Citation analysis] This paper has another version. Agregated cites: 6 | article | |
2011 | A time-series analysis of the 20th century climate simulations produced for the IPCC’s AR4 In: Boston University - Department of Economics - Working Papers Series. [Citation analysis] | paper | 7 |
2011 | Testing for Trend in the Presence of Autoregressive Error: A Comment In: Boston University - Department of Economics - Working Papers Series. [Citation analysis] | paper | 1 |
2011 | Testing for Trend in the Presence of Autoregressive Error: A Comment.(2011) In: Keio/Kyoto Joint Global COE Discussion Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
2012 | Testing for Trend in the Presence of Autoregressive Error: A Comment.(2012) In: Journal of the American Statistical Association. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | article | |
2011 | Using OLS to Estimate and Test for Structural Changes in Models with Endogenous Regressors In: Boston University - Department of Economics - Working Papers Series. [Citation analysis] | paper | 28 |
2015 | Using OLS to Estimate and Test for Structural Changes in Models with Endogenous Regressors.(2015) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 28 | article | |
2011 | A Note on Estimating and Testing for Multiple Structural Changes in Models with Endogenous Regressors via 2SLS In: Boston University - Department of Economics - Working Papers Series. [Citation analysis] | paper | 14 |
2014 | A NOTE ON ESTIMATING AND TESTING FOR MULTIPLE STRUCTURAL CHANGES IN MODELS WITH ENDOGENOUS REGRESSORS VIA 2SLS.(2014) In: Econometric Theory. [Full Text][Citation analysis] This paper has another version. Agregated cites: 14 | article | |
2011 | Sampling Interval and Estimated Betas: Implications for the Presence of Transitory Components in Stock Prices In: Boston University - Department of Economics - Working Papers Series. [Citation analysis] | paper | 4 |
2013 | Sampling interval and estimated betas: Implications for the presence of transitory components in stock prices.(2013) In: Journal of Empirical Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 4 | article | |
1998 | Sampling Interval and estimated Betas : Implications for the Presence of Transitory Components in Stock Prices.(1998) In: Cahiers de recherche. [Full Text][Citation analysis] This paper has another version. Agregated cites: 4 | paper | |
2011 | Comparisons of Robust Tests for Shifts in Trend with an Application to Trend Deviations of Real Exchange Rates in the Long Run In: Boston University - Department of Economics - Working Papers Series. [Citation analysis] | paper | 5 |
2013 | Comparisons of robust tests for shifts in trend with an application to trend deviations of real exchange rates in the long run.(2013) In: Applied Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 5 | article | |
2012 | Statistical evidence about human influence on the climate system In: Boston University - Department of Economics - Working Papers Series. [Full Text][Citation analysis] | paper | 1 |
2012 | Breaks, trends and the attribution of climate change: a time-series analysis In: Boston University - Department of Economics - Working Papers Series. [Full Text][Citation analysis] | paper | 7 |
2013 | Robust testing of time trend and mean with unknown integration order errors Frequency (and Other) Contaminations In: Boston University - Department of Economics - Working Papers Series. [Full Text][Citation analysis] | paper | 0 |
2013 | Inference Related to Locally Ordered and Common Breaks in a Multivariate System with Joined Segmented Trends In: Boston University - Department of Economics - Working Papers Series. [Full Text][Citation analysis] | paper | 0 |
2001 | Detection and attribution of climate change through econometric methods In: Boston University - Department of Economics - Working Papers Series. [Full Text][Citation analysis] | paper | 8 |
2013 | Single-equation tests for Cointegration with GLS Detrended Data In: Boston University - Department of Economics - Working Papers Series. [Full Text][Citation analysis] | paper | 0 |
2013 | Statistically-derived contributions of diverse human influences to 20th century temperature changes In: Boston University - Department of Economics - Working Papers Series. [Full Text][Citation analysis] | paper | 31 |
2013 | Forecasting Return Volatility: Level Shifts with Varying Jump Probability and Mean Reversion In: Boston University - Department of Economics - Working Papers Series. [Full Text][Citation analysis] | paper | 25 |
2014 | Forecasting return volatility: Level shifts with varying jump probability and mean reversion.(2014) In: International Journal of Forecasting. [Full Text][Citation analysis] This paper has another version. Agregated cites: 25 | article | |
2013 | A Comparison of Alternative Methods to Construct to Confidence Intervals for the Estimate of a Break Date in Linear Regression Models In: Boston University - Department of Economics - Working Papers Series. [Full Text][Citation analysis] | paper | 9 |
2015 | A Comparison of Alternative Methods to Construct Confidence Intervals for the Estimate of a Break Date in Linear Regression Models.(2015) In: Boston University - Department of Economics - Working Papers Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 9 | paper | |
2018 | A comparison of alternative methods to construct confidence intervals for the estimate of a break date in linear regression models.(2018) In: Econometric Reviews. [Full Text][Citation analysis] This paper has another version. Agregated cites: 9 | article | |
2014 | Measuring Business Cycles with Structural Breaks and Outliers: Applications to International Data In: Boston University - Department of Economics - Working Papers Series. [Full Text][Citation analysis] | paper | 13 |
2015 | Measuring Business Cycles with Structural Breaks and Outliers: Applications to International Data.(2015) In: Boston University - Department of Economics - Working Papers Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 13 | paper | |
2016 | Measuring business cycles with structural breaks and outliers: Applications to international data.(2016) In: Research in Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 13 | article | |
2014 | Temporal Aggregation, Bandwidth Selection and Long Memory for Volatility Models In: Boston University - Department of Economics - Working Papers Series. [Full Text][Citation analysis] | paper | 1 |
2015 | Forecasting in the presence of in and out of sample breaks In: Boston University - Department of Economics - Working Papers Series. [Full Text][Citation analysis] | paper | 0 |
2018 | Forecasting in the presence of in and out of sample breaks.(2018) In: Boston University - Department of Economics - Working Papers Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
2015 | Inference on Locally Ordered Breaks in Multiple Regressions In: Boston University - Department of Economics - Working Papers Series. [Full Text][Citation analysis] | paper | 6 |
2017 | Inference on locally ordered breaks in multiple regressions.(2017) In: Econometric Reviews. [Full Text][Citation analysis] This paper has another version. Agregated cites: 6 | article | |
2015 | Residuals-based Tests for Cointegration with GLS Detrended Data In: Boston University - Department of Economics - Working Papers Series. [Full Text][Citation analysis] | paper | 31 |
2000 | Residual Based Tests for Cointegration with GLS Detrended Data..(2000) In: Working Papers. [Citation analysis] This paper has another version. Agregated cites: 31 | paper | |
2017 | Characterizing and attributing the warming trend in sea and land surface temperatures In: Boston University - Department of Economics - Working Papers Series. [Full Text][Citation analysis] | paper | 2 |
2018 | Testing for Changes in Forecasting Performance In: Boston University - Department of Economics - Working Papers Series. [Full Text][Citation analysis] | paper | 3 |
2019 | Testing for Changes in Forecasting Performance.(2019) In: Boston University - Department of Economics - Working Papers Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | paper | |
2018 | Testing for Changes in Forecasting Performance.(2018) In: Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | paper | |
2021 | Testing for Changes in Forecasting Performance.(2021) In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | article | |
2020 | The Great Moderation: Updated Evidence with Joint Tests for Multiple Structural Changes in Variance and Persistence In: Boston University - Department of Economics - Working Papers Series. [Full Text][Citation analysis] | paper | 1 |
2019 | The Great Moderation: Updated Evidence with Joint Tests for Multiple Structural Changes in Variance and Persistence.(2019) In: Discussion paper series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
2022 | The great moderation: updated evidence with joint tests for multiple structural changes in variance and persistence.(2022) In: Empirical Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | article | |
2020 | Testing jointly for structural changes in the error variance and coe¢ cients of a linear regression model In: Boston University - Department of Economics - Working Papers Series. [Full Text][Citation analysis] | paper | 9 |
2020 | Trigonometric Trend Regressions of Unknown Frequencies with Stationary or Integrated Noise In: Boston University - Department of Economics - Working Papers Series. [Full Text][Citation analysis] | paper | 0 |
1995 | An Analysis of the Real Interest Rate Under Regime Shifts In: CIRANO Working Papers. [Full Text][Citation analysis] | paper | 439 |
1990 | AN ANLYSIS OF THE REAL INTEREST RATE UNDER REGIME SHIFTS..(1990) In: Princeton, Department of Economics - Econometric Research Program. [Citation analysis] This paper has another version. Agregated cites: 439 | paper | |
1991 | An analysis of Real Interest Rate Under Regime Shifts..(1991) In: Cahiers de recherche. [Citation analysis] This paper has another version. Agregated cites: 439 | paper | |
1994 | An Analysis of the Real Interest rate Under Regime Shifts..(1994) In: Cahiers de recherche. [Full Text][Citation analysis] This paper has another version. Agregated cites: 439 | paper | |
1991 | An analysis of Real Interest Rate Under Regime Shifts..(1991) In: Cahiers de recherche. [Citation analysis] This paper has another version. Agregated cites: 439 | paper | |
1994 | An Analysis of the Real Interest rate Under Regime Shifts..(1994) In: Cahiers de recherche. [Citation analysis] This paper has another version. Agregated cites: 439 | paper | |
1996 | An Analysis of the Real Interest Rate under Regime Shifts..(1996) In: The Review of Economics and Statistics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 439 | article | |
2002 | PPP May not Hold Afterall: A Further Investigation In: Annals of Economics and Finance. [Full Text][Citation analysis] | article | 20 |
2002 | PPP May not Hold Afterall: A Further Investigation.(2002) In: CEMA Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 20 | paper | |
2001 | PPP May not Hold After all: A Further Investigation.(2001) In: Economics Working Paper Archive. [Citation analysis] This paper has another version. Agregated cites: 20 | paper | |
1998 | AN AUTOREGRESSIVE SPECTRAL DENSITY ESTIMATOR AT FREQUENCY ZERO FOR NONSTATIONARITY TESTS In: Econometric Theory. [Full Text][Citation analysis] | article | 37 |
1996 | An Autoregressive Spectral Density Estimator at Frequency Zero for Nonstationarity Tests..(1996) In: Cahiers de recherche. [Full Text][Citation analysis] This paper has another version. Agregated cites: 37 | paper | |
1996 | An Autoregressive Spectral Density Estimator at Frequency Zero for Nonstationarity Tests..(1996) In: Cahiers de recherche. [Citation analysis] This paper has another version. Agregated cites: 37 | paper | |
2005 | THE VARIANCE RATIO TEST: AN ANALYSIS OF SIZE AND POWER BASED ON A CONTINUOUS-TIME ASYMPTOTIC FRAMEWORK In: Econometric Theory. [Full Text][Citation analysis] | article | 7 |
2009 | GLS-BASED UNIT ROOT TESTS WITH MULTIPLE STRUCTURAL BREAKS UNDER BOTH THE NULL AND THE ALTERNATIVE HYPOTHESES In: Econometric Theory. [Full Text][Citation analysis] | article | 224 |
2013 | WALD TESTS FOR DETECTING MULTIPLE STRUCTURAL CHANGES IN PERSISTENCE In: Econometric Theory. [Full Text][Citation analysis] | article | 27 |
2009 | Wald Tests for Detecting Multiple Structural Changes in Persistence.(2009) In: Purdue University Economics Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 27 | paper | |
1989 | The Calculation of the Limiting Distribution of the Least-Squares Estimator in a Near-Integrated Model In: Econometric Theory. [Full Text][Citation analysis] | article | 20 |
1987 | The Calculation of the Limiting Distribution of the Least Squares Estimator in Near-Integrated Model..(1987) In: Cahiers de recherche. [Citation analysis] This paper has another version. Agregated cites: 20 | paper | |
1991 | A Continuous Time Approximation to the Stationary First-Order Autoregressive Model In: Econometric Theory. [Full Text][Citation analysis] | article | 4 |
1991 | Test Consistency with Varying Sampling Frequency In: Econometric Theory. [Full Text][Citation analysis] | article | 39 |
1989 | TEST CONSISTENCY WITH VARYING SAMPLING FREQUENCY..(1989) In: Princeton, Department of Economics - Econometric Research Program. [Citation analysis] This paper has another version. Agregated cites: 39 | paper | |
1987 | Test Consistency with Varying Sampling Frequency..(1987) In: Cahiers de recherche. [Citation analysis] This paper has another version. Agregated cites: 39 | paper | |
1984 | Testing the Random Walk Hypothesis: Power Versus Frequency of Observation In: Cowles Foundation Discussion Papers. [Full Text][Citation analysis] | paper | 303 |
1985 | Testing the random walk hypothesis : Power versus frequency of observation.(1985) In: Economics Letters. [Full Text][Citation analysis] This paper has another version. Agregated cites: 303 | article | |
1985 | Testing the Random Walk Hypothesis: Power versus Frequency of Observation.(1985) In: NBER Technical Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 303 | paper | |
1987 | Testing for a Unit Root in Time Series Regression In: Cowles Foundation Discussion Papers. [Full Text][Citation analysis] | paper | 1493 |
1989 | The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis. In: Econometrica. [Full Text][Citation analysis] | article | 3653 |
1988 | THE GREAT CRASH, THE OIL PRICE SHOCK AND THE UNIT ROOT HYPOTHESIS..(1988) In: Princeton, Department of Economics - Econometric Research Program. [Citation analysis] This paper has another version. Agregated cites: 3653 | paper | |
1991 | A Continuous Time Approximation to the Unstable First-Order Autoregressive Process: The Case without an Intercept. In: Econometrica. [Full Text][Citation analysis] | article | 25 |
1988 | A CONTINUOUS TIME APPROXIMATION TO THE UNSTABLE FIRST- ORDER AUTOREGRESSIVE PROCESS: THE CASE WITHOUT AN INTERCEPT..(1988) In: Princeton, Department of Economics - Econometric Research Program. [Citation analysis] This paper has another version. Agregated cites: 25 | paper | |
1993 | Erratum [The Great Crash, the Oil Price Shock and the Unit Root Hypothesis]. In: Econometrica. [Full Text][Citation analysis] | article | 48 |
1998 | Estimating and Testing Linear Models with Multiple Structural Changes In: Econometrica. [Citation analysis] | article | 3041 |
1995 | Estimating and Testing Linear Models with Multiple Structural Changes..(1995) In: Cahiers de recherche. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3041 | paper | |
1995 | Estimating and Testing Linear Models with Multiple Structural Changes..(1995) In: Cahiers de recherche. [Citation analysis] This paper has another version. Agregated cites: 3041 | paper | |
2001 | Asymptotic approximations in the near-integrated model with a non-zero initial condition In: Econometrics Journal. [Citation analysis] | article | 2 |
1998 | Asymptotic Approximations in the Near-Integrated Model with a Non-Zero Initial Condition.(1998) In: Cahiers de recherche. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
2003 | Critical values for multiple structural change tests In: Econometrics Journal. [Full Text][Citation analysis] | article | 347 |
1988 | Trends and random walks in macroeconomic time series : Further evidence from a new approach In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 400 |
1986 | Trends and Random Walks in Macroeconomic Time Series: Further Evidence From a New Approach.(1986) In: Cahiers de recherche. [Citation analysis] This paper has another version. Agregated cites: 400 | paper | |
2012 | A note on estimating a structural change in persistence In: Economics Letters. [Full Text][Citation analysis] | article | 4 |
1987 | Does GNP have a unit root? : A re-evaluation In: Economics Letters. [Full Text][Citation analysis] | article | 47 |
1986 | Does Gnp Have a Unit Root? a Reevaluation.(1986) In: Cahiers de recherche. [Citation analysis] This paper has another version. Agregated cites: 47 | paper | |
2000 | A look at the quality of the approximation of the functional central limit theorem In: Economics Letters. [Full Text][Citation analysis] | article | 0 |
2003 | GLS detrending, efficient unit root tests and structural change In: Journal of Econometrics. [Full Text][Citation analysis] | article | 106 |
1998 | GLS Detrending, Efficient Unit Root Tests and Structural Change.(1998) In: Cahiers de recherche. [Full Text][Citation analysis] This paper has another version. Agregated cites: 106 | paper | |
2005 | Structural breaks with deterministic and stochastic trends In: Journal of Econometrics. [Full Text][Citation analysis] | article | 108 |
2006 | Estimating restricted structural change models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 53 |
2014 | Modified local Whittle estimator for long memory processes in the presence of low frequency (and other) contaminations In: Journal of Econometrics. [Full Text][Citation analysis] | article | 32 |
1993 | The effect of seasonal adjustment filters on tests for a unit root In: Journal of Econometrics. [Full Text][Citation analysis] | article | 90 |
1990 | THE EFFECT OF SEASONAL ADJUSTMENT FILTERS ON TESTS FOR A UNIT ROOT..(1990) In: Princeton, Department of Economics - Econometric Research Program. [Citation analysis] This paper has another version. Agregated cites: 90 | paper | |
1990 | The Effect of Seasonal Adjustment Filters on Test for Unit Root..(1990) In: Cahiers de recherche. [Citation analysis] This paper has another version. Agregated cites: 90 | paper | |
1990 | THE EFFECT OF SEASONAL ADJUSTMENT FILTERS ON TEST FOR UNIT ROOT..(1990) In: Cahiers de recherche. [Citation analysis] This paper has another version. Agregated cites: 90 | paper | |
1994 | Local asymptotic distribution related to the AR(1) model with dependent errors In: Journal of Econometrics. [Full Text][Citation analysis] | article | 24 |
1991 | Local Asymtotic Distributions Related to the AR(1) MOdel with Dependent Errors..(1991) In: Princeton, Department of Economics - Econometric Research Program. [Citation analysis] This paper has another version. Agregated cites: 24 | paper | |
1996 | The effect of linear filters on dynamic time series with structural change In: Journal of Econometrics. [Full Text][Citation analysis] | article | 26 |
1994 | The Effect of Linear Filters on Dynamic Time series with Structural Change..(1994) In: Cahiers de recherche. [Full Text][Citation analysis] This paper has another version. Agregated cites: 26 | paper | |
1994 | The Effect of Linear Filters on Dynamic Time series with Structural Change..(1994) In: Cahiers de recherche. [Citation analysis] This paper has another version. Agregated cites: 26 | paper | |
1996 | The adequacy of asymptotic approximations in the near-integrated autoregressive model with dependent errors In: Journal of Econometrics. [Full Text][Citation analysis] | article | 5 |
1994 | The Adequacy of Asymptotic Approximations in the Near-Integrated Autoregressive Model with Dependent Errors..(1994) In: Cahiers de recherche. [Full Text][Citation analysis] This paper has another version. Agregated cites: 5 | paper | |
1994 | The Adequacy of Asymptotic Approximations in the Near- Integrated Autoregressive Model with Dependent Errors..(1994) In: Cahiers de recherche. [Citation analysis] This paper has another version. Agregated cites: 5 | paper | |
1997 | Estimation and inference in nearly unbalanced nearly cointegrated systems In: Journal of Econometrics. [Full Text][Citation analysis] | article | 43 |
1995 | Estimation and Inference in Nearly Unbalanced, Nearly Cointegrated Systems..(1995) In: Cahiers de recherche. [Full Text][Citation analysis] This paper has another version. Agregated cites: 43 | paper | |
1995 | Estimation and Inference in Nearly Unbalanced, Nearly Cointegrated Systems..(1995) In: Cahiers de recherche. [Citation analysis] This paper has another version. Agregated cites: 43 | paper | |
1997 | Further evidence on breaking trend functions in macroeconomic variables In: Journal of Econometrics. [Full Text][Citation analysis] | article | 1061 |
1990 | FURTHER EVIDENCE ON BREAKING TREND FUNCTIONS IN MACROECONOMICS VARIABLES..(1990) In: Princeton, Department of Economics - Econometric Research Program. [Citation analysis] This paper has another version. Agregated cites: 1061 | paper | |
1994 | Further Evidence on Breaking Trend Functions in Macroeconomic Variables..(1994) In: Cahiers de recherche. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1061 | paper | |
1994 | Further Evidence on Breaking Trend Functions in Macroeconomic Variables..(1994) In: Cahiers de recherche. [Citation analysis] This paper has another version. Agregated cites: 1061 | paper | |
2004 | Tests of return predictability: an analysis of their properties based on a continuous time asymptotic framework In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 1 |
1988 | TESTING FOR A RANDOM WALK: A SIMULATION EXPERIMENT OF POWER WHEN THE SIMPLING INTERVAL IS VARIED. In: Princeton, Department of Economics - Econometric Research Program. [Citation analysis] | paper | 8 |
1990 | THE ADEQUACY OF LIMITING DISTRIBUTIONS IN THE AR(1) MODEL WITH DEPENDENT ERRORS. In: Princeton, Department of Economics - Econometric Research Program. [Citation analysis] | paper | 0 |
1990 | THE LIMITING DISTRIBUTION OF THE LEAST SQUARES ESTIMATOR IN NEARLY INTEGRATED SEASONAL MODELS. In: Princeton, Department of Economics - Econometric Research Program. [Citation analysis] | paper | 1 |
1991 | Pitfalls and Opportunities: What Macroeconomics should know about unit roots. In: Princeton, Department of Economics - Econometric Research Program. [Citation analysis] | paper | 1060 |
1991 | Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots.(1991) In: Scholarly Articles. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1060 | paper | |
1991 | Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots.(1991) In: NBER Chapters. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1060 | chapter | |
1991 | Pitfalls and Opportunities: What Macroeconomists Should Know About Unit Roots.(1991) In: NBER Technical Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1060 | paper | |
1991 | A Test for Changes in a Polynomial Trend Functions for a Dynamioc Time Series. In: Princeton, Department of Economics - Econometric Research Program. [Citation analysis] | paper | 9 |
2017 | Fractional Unit Root Tests Allowing for a Structural Change in Trend under Both the Null and Alternative Hypotheses In: Econometrics. [Full Text][Citation analysis] | article | 5 |
2017 | Unit Roots and Structural Breaks In: Econometrics. [Full Text][Citation analysis] | article | 4 |
2019 | Pitfalls of Two-Step Testing for Changes in the Error Variance and Coefficients of a Linear Regression Model In: Econometrics. [Full Text][Citation analysis] | article | 3 |
2019 | Pitfalls of Two Step Testing for Changes in the Error Variance and Coefficients of a Linear Regression Model.(2019) In: Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | paper | |
2020 | Temporal Aggregation and Long Memory for Asset Price Volatility In: JRFM. [Full Text][Citation analysis] | article | 1 |
1998 | Additional Tests for a Unit Root Allowing for a Break in the Trend Function at an Unknown Time. In: International Economic Review. [Citation analysis] | article | 301 |
1994 | Additional Tests for a Unit Root Allowing for a Break in the Trend Function at an Unknown Time..(1994) In: Cahiers de recherche. [Full Text][Citation analysis] This paper has another version. Agregated cites: 301 | paper | |
1994 | Additional Tests for a Unit Root Allowing for a Break in the Trend Function at an Unknown Time..(1994) In: Cahiers de recherche. [Citation analysis] This paper has another version. Agregated cites: 301 | paper | |
1999 | Unit Roots in the Presence of Abrupt Governmental Interventions with an Application to Brazilian Data. In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 60 |
2003 | Computation and analysis of multiple structural change models In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 2585 |
1998 | Computation and Analysis of Multiple Structural-Change Models.(1998) In: Cahiers de recherche. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2585 | paper | |
1995 | Estimating & Testing Linear Models with Multiple Structural Changes In: Working papers. [Citation analysis] | paper | 10 |
1985 | Methodology in Economics: the Logic of Appraisal In: Cahiers de recherche. [Full Text][Citation analysis] | paper | 0 |
1986 | Tests of Joint Hypotheses for Time Series Regression with a Unit Root In: Cahiers de recherche. [Full Text][Citation analysis] | paper | 2 |
1987 | The Great Crash, the Oil Prices and the Unit Root Hypothesis. In: Cahiers de recherche. [Citation analysis] | paper | 17 |
1994 | Approximations to Some Exact Distributions in the First Order Autogressive Model with Dependent Errors. In: Cahiers de recherche. [Full Text][Citation analysis] | paper | 1 |
1994 | Approximations to Some Exact Distributions in the First Order Autogressive Model with Dependent Errors..(1994) In: Cahiers de recherche. [Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
1994 | Unit Root Tests ARMA Models with Data Dependent Methods for the Selection of the Truncation Lag. In: Cahiers de recherche. [Full Text][Citation analysis] | paper | 116 |
1994 | Unit Root Tests ARMA Models with Data Dependent Methods for the Selection of the Truncation Lag..(1994) In: Cahiers de recherche. [Citation analysis] This paper has another version. Agregated cites: 116 | paper | |
1994 | Useful Modifications to Some Unit Root Tests with Dependent Errors and Their Local Asymptotic Properties. In: Cahiers de recherche. [Full Text][Citation analysis] | paper | 379 |
1994 | Useful Modifications to Some Unit Root Tests with Dependent Errors and Their Local Asymptotic Properties..(1994) In: Cahiers de recherche. [Citation analysis] This paper has another version. Agregated cites: 379 | paper | |
1996 | Useful Modifications to some Unit Root Tests with Dependent Errors and their Local Asymptotic Properties.(1996) In: Review of Economic Studies. [Full Text][Citation analysis] This paper has another version. Agregated cites: 379 | article | |
1998 | The FCLT with Dependent Errors: an Helicopter Tour of the Quality of the Approximation In: Cahiers de recherche. [Full Text][Citation analysis] | paper | 0 |
1994 | Trend, Unit Root and Structural Change in Macroeconomic Time Series In: Palgrave Macmillan Books. [Citation analysis] | chapter | 103 |
2012 | GLS para eliminar los componentes determinÃÂsticos, estadÃÂsticos de raÃÂz unitaria eficientes y cambio estructural In: Revista EconomÃa. [Full Text][Citation analysis] | article | 1 |
2019 | Saltos, tendencias y la atribución del cambio climático: un análisis de series de tiempo In: Revista EconomÃa. [Full Text][Citation analysis] | article | 0 |
2012 | Residual test for cointegration with GLS detrended data In: Documentos de Trabajo / Working Papers. [Full Text][Citation analysis] | paper | 0 |
2013 | A Time-Series Analysis of the 20th Century Climate Simulations Produced for the IPCC’s Fourth Assessment Report In: PLOS ONE. [Full Text][Citation analysis] | article | 4 |
1995 | Unit roots in the presence of abrupt governmental interventions with an application to Brazilian to Brazilian data In: Textos para discussão. [Full Text][Citation analysis] | paper | 2 |
2020 | Lestimation de modèles avec changements structurels multiples In: L'Actualité Economique. [Full Text][Citation analysis] | article | 6 |
1997 | L’estimation de modèles avec changements structurels multiples.(1997) In: L'Actualité Economique. [Full Text][Citation analysis] This paper has another version. Agregated cites: 6 | article | |
1992 | Racines unitaires en macroéconomie : le cas d’une variable In: L'Actualité Economique. [Full Text][Citation analysis] | article | 3 |
1993 | A Note on the Asymptotic Distributions of Unit Root Tests in the Additive Outlier Model With Breaks In: Brazilian Review of Econometrics. [Full Text][Citation analysis] | article | 7 |
2005 | Trend and Cycles: A New Approach and Explanations of Some Old Puzzles In: Computing in Economics and Finance 2005. [Full Text][Citation analysis] | paper | 8 |
1993 | The HUMP-Shaped Behavior of Macroeconomic Fluctuations. In: Empirical Economics. [Citation analysis] | article | 10 |
1993 | A Note on Johansens Cointegration Procedure When Trends Are Present. In: Empirical Economics. [Citation analysis] | article | 35 |
2017 | Modelling exchange rate volatility with random level shifts In: Applied Economics. [Full Text][Citation analysis] | article | 4 |
2003 | Comment on Statistical Adequacy and the Testing of Trend Versus Difference Stationarity by Andreou and Spanos (Number 1) In: Econometric Reviews. [Full Text][Citation analysis] | article | 1 |
2011 | Royal Economic Society Annual Conference 2009 Special Issue on Factor Models: Theoretical and Applied Perspectives In: Econometrics Journal. [Full Text][Citation analysis] | article | 0 |
2013 | A stochastic volatility model with random level shifts and its applications to S&P 500 and NASDAQ return indices In: Econometrics Journal. [Full Text][Citation analysis] | article | 23 |
2016 | Residuals?based tests for cointegration with generalized least?squares detrended data In: Econometrics Journal. [Full Text][Citation analysis] | article | 4 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated March, 2 2023. Contact: CitEc Team