Kenneth D. West : Citation Profile

Are you Kenneth D. West?

University of Wisconsin-Madison (95% share)
National Bureau of Economic Research (NBER) (05% share)

33

H index

56

i10 index

15893

Citations

RESEARCH PRODUCTION:

81

Articles

73

Papers

7

Books

15

Chapters

EDITOR:

1

Books edited

2

Series edited

RESEARCH ACTIVITY:

   39 years (1983 - 2022). See details.
   Cites by year: 407
   Journals where Kenneth D. West has often published
   Relations with other researchers
   Recent citing documents: 1547.    Total self citations: 65 (0.41 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pwe16
   Updated: 2023-03-02    RAS profile: 2021-01-01    
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Relations with other researchers

Works with:

Lunsford, Kurt (3)

Authors registered in RePEc who have co-authored more than one work in the last five years with Kenneth D. West.

Is cited by:

GUPTA, RANGAN (186)

Pincheira, Pablo (176)

Rossi, Barbara (135)

Sarno, Lucio (103)

McCracken, Michael (96)

Clark, Todd (91)

Byrne, Joseph (76)

Hardy, Nicolas (73)

Korobilis, Dimitris (72)

Bekaert, Geert (64)

Wohar, Mark (62)

Cites to:

McCracken, Michael (35)

Chinn, Menzie (32)

Hansen, Lars (30)

Clark, Todd (29)

Cheung, Yin-Wong (27)

Engel, Charles (25)

Rogoff, Kenneth (24)

Meese, Richard (20)

Mark, Nelson (19)

Campbell, John (15)

Kilian, Lutz (15)

Main data

Where Kenneth D. West has published?

Journals with more than one article published# docs
Journal of Econometrics9
Journal of Money, Credit and Banking8
Journal of Monetary Economics5
Journal of Money, Credit and Banking5
Econometrica4
International Economic Review4
NBER International Seminar on Macroeconomics4
American Economic Review3
Economics Letters3
Journal of Business & Economic Statistics3
Econometric Reviews2
The Quarterly Journal of Economics2
Journal of Political Economy2
Journal of International Economics2
Proceedings2
Review2
Journal of Business & Economic Statistics2

Working Papers Series with more than one paper published# docs
NBER Working Papers / National Bureau of Economic Research, Inc32
Macroeconomics / University Library of Munich, Germany3
Research Working Paper / Federal Reserve Bank of Kansas City2
Working Paper Series / European Central Bank2

Recent works citing Kenneth D. West (2022 and 2021)

YearTitle of citing document
2021Now- and Backcasting Initial Claims with High-Dimensional Daily Internet Search-Volume Data. (2021). Montes, Erik Christian ; Rapach, David E ; Borup, Daniel. In: CREATES Research Papers. RePEc:aah:create:2021-02.

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2021Semiparametric Tests for the Order of Integration in the Possible Presence of Level Breaks. (2021). Taylor, Robert ; Nielsen, Morten ; Iacone, Fabrizio. In: CREATES Research Papers. RePEc:aah:create:2021-04.

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2021Asset Pricing Using Block-Cholesky GARCH and Time-Varying Betas. (2021). Violante, Francesco ; Grassi, Stefano. In: CREATES Research Papers. RePEc:aah:create:2021-05.

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2021Is 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.

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2021The incremental information in the yield curve about future interest rate risk. (2021). Veliyev, Bezirgen ; Kjar, Mads Markvart ; Christensen, Bent Jesper. In: CREATES Research Papers. RePEc:aah:create:2021-11.

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2021The terrorism-finance nexus contingent on globalisation and governance dynamics in Africa. (2021). Nchofoung, Tii ; Asongu, Simplice. In: Research Africa Network Working Papers. RePEc:abh:wpaper:21/016.

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2021Dating business cycles in France: A reference chronology. (2021). DIEBOLT, Claude ; Pionnier, Pierre-Alain ; Mignon, Valrie ; Heyer, Eric ; Ferrara, Laurent ; Doz, Catherine ; BEC, Frdrique ; Aviat, Antonin. In: Working Papers. RePEc:afc:wpaper:08-21.

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2021The terrorism-finance nexus contingent on globalisation and governance dynamics in Africa. (2021). Nchofoung, Tii ; Asongu, Simplice. In: Working Papers of the African Governance and Development Institute.. RePEc:agd:wpaper:21/016.

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2021Volatility Forecasting, Market Efficiency and Effect of Recession of SRI Indices. (2021). Roy, Subrata. In: Theoretical and Applied Economics. RePEc:agr:journl:v:2(627):y:2021:i:2(627):p:259-284.

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2022Assessing the performance of mutual funds. (2022). Radu, Iulian ; Iacob, Tefan Virgil ; Anghel, Mdlina-Gabriela ; Anghelache, Constantin. In: Theoretical and Applied Economics. RePEc:agr:journl:v:2(631):y:2022:i:2(631):p:175-186.

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2022Model for estimating the profitability of placing asset portfolios on the capital market. (2022). Grigorescu, Dana Luiza ; Iacob, Tefan Virgil ; Anghel, Mdlina-Gabriela ; Anghelache, Constantin. In: Theoretical and Applied Economics. RePEc:agr:journl:v:2(631):y:2022:i:2(631):p:187-195.

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2022.

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2021.

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2022Forecasting total energy’s CO2 emissions. (2022). Leccadito, Arturo ; Algieri, Bernardina ; Iania, Leonardo. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2022003.

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2022Should we care about ECB inflation expectations?. (2022). Candelon, Bertrand ; Roccazzella, Francesco. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2022004.

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2021Why Are Fiscal Multipliers Moderate Even Under Monetary Accommodation?. (2021). Schabert, Andreas ; Juessen, Falko ; Bredemeier, Christian. In: ECONtribute Discussion Papers Series. RePEc:ajk:ajkdps:074.

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2022THE COVID-19 GREEN CERTIFICATES EFFECT ON VACCINE UPTAKE IN ITALIAN REGIONS. (2022). SANTOLINI, RAFFAELLA. In: Working Papers. RePEc:anc:wpaper:468.

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2022Out of Sync: Dispersed Short Selling and the Correction of Mispricing. (2022). Verwijmeren, Patrick ; Sotes-Paladino, Juan ; Gargano, Antonio. In: Working Papers. RePEc:aoz:wpaper:108.

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2022Medición de Incertidumbre Económica en Redes Sociales en Base a Modelos de Procesamiento de Lenguaje Natural. (2022). Aromi, Daniel J. In: Working Papers. RePEc:aoz:wpaper:179.

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2022Scrambling for Dollars: International Liquidity, Banks and Exchange Rates. (2022). Engel, Charles ; Bigio, Saki ; Bianchi, Javier. In: Working Papers. RePEc:apc:wpaper:182.

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2022News Co-Occurrence, Attention Spillover and Return Predictability. (2018). Tao, Yubo ; Guo, LI. In: Papers. RePEc:arx:papers:1703.02715.

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2021Limit Theorems for Network Dependent Random Variables. (2019). Marmer, Vadim ; Song, Kyungchul ; Kojevnikov, Denis. In: Papers. RePEc:arx:papers:1903.01059.

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2022ICT Capital-Skill Complementarity and Wage Inequality: Evidence from OECD Countries. (2019). Yamada, Ken ; Taniguchi, Hiroya. In: Papers. RePEc:arx:papers:1904.09857.

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2021Forward-Selected Panel Data Approach for Program Evaluation. (2019). Huang, Jingyi ; Shi, Zhentao. In: Papers. RePEc:arx:papers:1908.05894.

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2022Weekly idiosyncratic risk metrics and idiosyncratic momentum: Evidence from the Chinese stock market. (2019). Zhou, Wei-Xing ; Shi, Huai-Long . In: Papers. RePEc:arx:papers:1910.13115.

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2022Measuring the Time-Varying Market Efficiency in the Prewar Japanese Stock Market. (2019). Noda, Akihiko. In: Papers. RePEc:arx:papers:1911.04059.

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2021Estimation and HAC-based Inference for Machine Learning Time Series Regressions. (2019). Striaukas, Jonas ; Ghysels, Eric ; Babii, Andrii. In: Papers. RePEc:arx:papers:1912.06307.

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2022A Higher-Order Correct Fast Moving-Average Bootstrap for Dependent Data. (2020). Scaillet, Olivier ; Moor, Alban ; la Vecchia, Davide. In: Papers. RePEc:arx:papers:2001.04867.

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2023Equal Predictive Ability Tests for Panel Data with an Application to OECD and IMF Forecasts. (2020). Yang, Zhenlin ; Urga, Giovanni ; Pirotte, Alain ; Akgun, Oguzhan. In: Papers. RePEc:arx:papers:2003.02803.

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2022Bayesian Optimization of Hyperparameters when the Marginal Likelihood is Estimated by MCMC. (2020). Stockhammar, Par ; Villani, Mattias ; Gustafsson, Oskar. In: Papers. RePEc:arx:papers:2004.10092.

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2021New Approaches to Robust Inference on Market (Non-)Efficiency, Volatility Clustering and Nonlinear Dependence. (2020). Skrobotov, Anton ; Pedersen, Rasmus ; Ibragimov, Rustam. In: Papers. RePEc:arx:papers:2006.01212.

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2022Lasso Inference for High-Dimensional Time Series. (2020). Smeekes, Stephan ; Wilms, Ines ; Adamek, Robert. In: Papers. RePEc:arx:papers:2007.10952.

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2021On the Size Control of the Hybrid Test for Predictive Ability. (2020). Kim, Deborah. In: Papers. RePEc:arx:papers:2008.02318.

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2023A Novel Approach to Predictive Accuracy Testing in Nested Environments. (2020). Pitarakis, Jean-Yves. In: Papers. RePEc:arx:papers:2008.08387.

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2021Efficiency Loss of Asymptotically Efficient Tests in an Instrumental Variables Regression. (2020). Ridder, Geert ; Moreira, Marcelo J. In: Papers. RePEc:arx:papers:2008.13042.

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2021Deep Learning, Predictability, and Optimal Portfolio Returns. (2020). Baruník, Jozef ; Babiak, Mykola. In: Papers. RePEc:arx:papers:2009.03394.

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2022Roughness in spot variance? A GMM approach for estimation of fractional log-normal stochastic volatility models using realized measures. (2020). Veliyev, Bezirgen ; Pakkanen, Mikko S ; Christensen, Kim ; Bolko, Anine E. In: Papers. RePEc:arx:papers:2010.04610.

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2022A Test for Kronecker Product Structure Covariance Matrix. (2020). Mavroeidis, Sophocles ; Kleibergen, Frank ; Guggenberger, Patrik. In: Papers. RePEc:arx:papers:2010.10961.

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2021Inference on the New Keynesian Phillips Curve with Very Many Instrumental Variables. (2021). Dovi, Max-Sebastian. In: Papers. RePEc:arx:papers:2101.09543.

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2021Uncertainty Network Risk and Currency Returns. (2021). Baruník, Jozef ; Babiak, Mykola. In: Papers. RePEc:arx:papers:2101.09738.

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2021Spatial Correlation Robust Inference. (2021). Watson, Mark W ; Muller, Ulrich K. In: Papers. RePEc:arx:papers:2102.09353.

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2021Simultaneous Bandwidths Determination for DK-HAC Estimators and Long-Run Variance Estimation in Nonparametric Settings. (2021). Perron, Pierre ; Grassi, Stefano ; Catania, Leopoldo ; Casini, Alessandro ; Belotti, Federico. In: Papers. RePEc:arx:papers:2103.00060.

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2021Theory of Low Frequency Contamination from Nonstationarity and Misspecification: Consequences for HAR Inference. (2021). Perron, Pierre ; Deng, Taosong ; Casini, Alessandro. In: Papers. RePEc:arx:papers:2103.01604.

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2022Causal Reinforcement Learning: An Instrumental Variable Approach. (2021). Zhang, Xiaowei ; Luo, YE ; Li, Jin. In: Papers. RePEc:arx:papers:2103.04021.

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2021Statistical Arbitrage Risk Premium by Machine Learning. (2021). Tam, Yu-Man. In: Papers. RePEc:arx:papers:2103.09987.

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2022A Powerful Subvector Anderson Rubin Test in Linear Instrumental Variables Regression with Conditional Heteroskedasticity. (2021). Mavroeidis, Sophocles ; Kleibergen, Frank ; Guggenberger, Patrik. In: Papers. RePEc:arx:papers:2103.11371.

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2022Backtesting Systemic Risk Forecasts using Multi-Objective Elicitability. (2021). Fissler, Tobias ; Hoga, Yannick. In: Papers. RePEc:arx:papers:2104.10673.

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2021Climate, Agriculture and Food. (2021). Ortiz-Bobea, Ariel. In: Papers. RePEc:arx:papers:2105.12044.

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2022Empirical evidence on the Euler equation for investment in the US. (2021). Haque, Qazi ; Mavroeidis, Sophocles ; Magnusson, Leandro M ; Ascari, Guido. In: Papers. RePEc:arx:papers:2107.08713.

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2021Time Varying Risk in U.S. Housing Sector and Real Estate Investment Trusts Equity Return. (2021). Alam, Masud. In: Papers. RePEc:arx:papers:2107.10455.

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2021Machine Learning and Factor-Based Portfolio Optimization. (2021). Kynigakis, Iason ; Cotter, John ; Conlon, Thomas. In: Papers. RePEc:arx:papers:2107.13866.

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2021A Unified Frequency Domain Cross-Validatory Approach to HAC Standard Error Estimation. (2021). Hurvich, Clifford M ; Xu, Zhihao. In: Papers. RePEc:arx:papers:2108.06093.

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2021Crypto Wash Trading. (2021). Yang, Yang ; Tang, KE ; Li, XI ; Cong, Lin William. In: Papers. RePEc:arx:papers:2108.10984.

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2021Composite Likelihood for Stochastic Migration Model with Unobserved Factor. (2021). Djogbenou, Antoine ; Gouri, Christian ; Bandehali, Maygol ; Jasiak, Joann. In: Papers. RePEc:arx:papers:2109.09043.

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2021Evolution of topics in central bank speech communication. (2021). Hansson, Magnus. In: Papers. RePEc:arx:papers:2109.10058.

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2021Marginals Versus Copulas: Which Account For More Model Risk In Multivariate Risk Forecasting?. (2021). Timphus, Maike ; Fritzsch, Simon ; Weiss, Gregor. In: Papers. RePEc:arx:papers:2109.10946.

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2021A 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.

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2021Autoregressive conditional duration modelling of high frequency data. (2021). Yan, Xiufeng. In: Papers. RePEc:arx:papers:2111.02300.

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2021Multiplicative Component GARCH Model of Intraday Volatility. (2021). Yan, Xiufeng. In: Papers. RePEc:arx:papers:2111.02376.

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2021Optimal Pairs Trading with Time-Varying Volatility. (2021). Tourin, A ; Li, T N. In: Papers. RePEc:arx:papers:2111.02834.

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2022Robust Estimation of Average Treatment Effects from Panel Data. (2021). Ghosh, Abhik ; Ganguly, Indrila ; Roychowdhury, Sayoni. In: Papers. RePEc:arx:papers:2112.13228.

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2022Standard errors for two-way clustering with serially correlated time effects. (2022). Sasaki, Yuya ; Hansen, Bruce E ; Chiang, Harold D. In: Papers. RePEc:arx:papers:2201.11304.

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2022Can LSTM outperform volatility-econometric models?. (2022). Rodikov, German ; Antulov-Fantulin, Nino. In: Papers. RePEc:arx:papers:2202.11581.

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2022A Classifier-Lasso Approach for Estimating Production Functions with Latent Group Structures. (2022). Czarnowske, Daniel. In: Papers. RePEc:arx:papers:2203.02220.

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2022Weighted-average quantile regression. (2022). Chetverikov, Denis ; Tsyvinski, Aleh ; Liu, Yukun. In: Papers. RePEc:arx:papers:2203.03032.

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2022On Robust Inference in Time Series Regression. (2022). Baillie, Richard T ; Ho, Kun ; Kapetanios, George ; Diebold, Francis X. In: Papers. RePEc:arx:papers:2203.04080.

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2022Improving Macroeconomic Model Validity and Forecasting Performance with Pooled Country Data using Structural, Reduced Form, and Neural Network Model. (2022). Fen, Cameron ; Undavia, Samir. In: Papers. RePEc:arx:papers:2203.06540.

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2022The echo chamber effect resounds on financial markets: a social media alert system for meme stocks. (2022). Riccaboni, Massimo ; Longo, Luigi ; Gianstefani, Ilaria. In: Papers. RePEc:arx:papers:2203.13790.

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2022A Simple Bootstrap Method for Panel Data Inferences. (2022). GAO, Jiti ; Yan, Yayi ; Peng, Bin. In: Papers. RePEc:arx:papers:2205.00577.

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2022Likelihood ratio test for structural changes in factor models. (2022). Han, XU ; Duan, Jiangtao ; Bai, Jushan. In: Papers. RePEc:arx:papers:2206.08052.

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2022Dissecting the dot-com bubble in the 1990s NASDAQ. (2022). Fan, Yuchao. In: Papers. RePEc:arx:papers:2206.14130.

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2022Anatomy of a Stablecoins failure: the Terra-Luna case. (2022). Aste, Tomaso ; Wang, Yuanrong ; Vidal-Tom, David ; Briola, Antonio. In: Papers. RePEc:arx:papers:2207.13914.

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2022What Impulse Response Do Instrumental Variables Identify?. (2022). Seo, Myung Hwan ; Lee, Seojeong ; Koo, Bonsoo. In: Papers. RePEc:arx:papers:2208.11828.

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2022150 Years of Return Predictability Around the World: A Holistic View. (2022). Bai, Yang. In: Papers. RePEc:arx:papers:2209.00121.

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2022Trade Co-occurrence, Trade Flow Decomposition, and Conditional Order Imbalance in Equity Markets. (2022). Cucuringu, Mihai ; Reinert, Gesine ; Lu, Yutong. In: Papers. RePEc:arx:papers:2209.10334.

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2022Forecasting Cryptocurrencies Log-Returns: a LASSO-VAR and Sentiment Approach. (2022). Ciganovic, Milos ; D'Amario, Federico. In: Papers. RePEc:arx:papers:2210.00883.

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2022From Rules to Regs: A Structural Topic Model of Collusion Research. (2022). Schmal, Benedikt W. In: Papers. RePEc:arx:papers:2210.02957.

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2022A New Test for Market Efficiency and Uncovered Interest Parity. (2022). Ho, Kun ; Kapetanios, George ; Diebold, Francis X ; Baillie, Richard T. In: Papers. RePEc:arx:papers:2211.01344.

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2022Institutional ownership and liquidity commonality: evidence from Australia. (2022). Wu, Winston ; Elliott, Robert ; Bradrania, Reza. In: Papers. RePEc:arx:papers:2211.03287.

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2022Robust Inference for Dynamic Panel Threshold Models. (2022). Seo, Myung Hwan ; Gong, Woosik. In: Papers. RePEc:arx:papers:2211.04027.

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2022A Residuals-Based Nonparametric Variance Ratio Test for Cointegration. (2022). Reichold, Karsten. In: Papers. RePEc:arx:papers:2211.06288.

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2022Score-based calibration testing for multivariate forecast distributions. (2022). Pohle, Marc-Oliver ; Kruger, Fabian ; Knuppel, Malte. In: Papers. RePEc:arx:papers:2211.16362.

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2022Efficient Sampling for Realized Variance Estimation in Time-Changed Diffusion Models. (2022). Streicher, Sina ; Polivka, Jeannine ; Halbleib, Roxana ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2212.11833.

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2023Inference on Time Series Nonparametric Conditional Moment Restrictions Using General Sieves. (2023). Wang, Weichen ; Liao, Yuan ; Chen, Xiaohong. In: Papers. RePEc:arx:papers:2301.00092.

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2023Climate change heterogeneity: A new quantitative approach. (2023). Gonzalo, Jesus ; Gadea, Maria Dolores. In: Papers. RePEc:arx:papers:2301.02648.

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2023Statistical inference for the logarithmic spatial heteroskedasticity model with exogenous variables. (2023). Zhu, KE ; Su, Bing. In: Papers. RePEc:arx:papers:2301.06658.

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2023An MCMC Approach to Classical Estimation. (2023). Chernozhukov, Victor ; Hong, Han. In: Papers. RePEc:arx:papers:2301.07782.

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2023Testing Quantile Forecast Optimality. (2023). Pohle, Marc-Oliver ; Gutknecht, Daniel ; Fosten, Jack. In: Papers. RePEc:arx:papers:2302.02747.

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2023Out of Sample Predictability in Predictive Regressions with Many Predictor Candidates. (2023). Pitarakis, Jean-Yves ; Gonzalo, Jesus. In: Papers. RePEc:arx:papers:2302.02866.

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2021Dynamics of Relationship Between Macroeconomic Fundamentals and Exchange Rate: A Comparison of Advanced and Least Developed Countries. (2021). Fakher, Amjad ; Ali, Rana Ejaz ; Akbar, Muhammad. In: Asian Journal of Economic Modelling. RePEc:asi:ajemod:2021:p:166-178.

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2022.

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2021.

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2021Tail Risks and Stock Return Predictability - Evidence From Asia-Pacific. (2021). Ogbonna, Ahamuefula ; Olubusoye, Olusanya E. In: Asian Economics Letters. RePEc:ayb:jrnael:40.

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2021Do Epidemics and Pandemics Have Predictive Content for Exchange Rate Movements? Evidence for Asian Economies. (2021). Salisu, Afees ; Olaniran, Abeeb ; Lasisi, Lukman. In: Asian Economics Letters. RePEc:ayb:jrnael:41.

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2021Can Tail Risk Predict Asia-Pacific Exchange Rates Out of Sample?. (2021). Adediran, Idris A. In: Asian Economics Letters. RePEc:ayb:jrnael:42.

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2021Pandemics and the Asia-Pacific Islamic Stocks. (2021). Salisu, Afees ; Sikiru, Abdulsalam Abidemi. In: Asian Economics Letters. RePEc:ayb:jrnael:8.

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2021Option-Implied Network Measures of Tail Contagion and Stock Return Predictability. (2021). Pedio, Manuela. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp20154.

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2021Option-Implied Network Measures of Tail Contagion and Stock Return Predictability. (2021). Pedio, Manuela. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp21154.

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2022Real Exchange Rate Decompositions. (2022). Fontaine, Jean-Sebastien ; Feunou, Bruno ; Krohn, Ingomar. In: Discussion Papers. RePEc:bca:bocadp:22-6.

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2021Evolving Temperature Dynamics in Canada: Preliminary Evidence Based on 60 Years of Data. (2021). Amano, Robert ; McDonald-Guimond, Julien ; Gosselin, Marc-Andre. In: Staff Working Papers. RePEc:bca:bocawp:21-22.

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2022Behavioral Learning Equilibria in New Keynesian Models. (2022). Zhu, Mei ; Ozden, Tolga ; Mavromatis, Kostas ; Hommes, Cars. In: Staff Working Papers. RePEc:bca:bocawp:22-42.

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More than 100 citations found, this list is not complete...

Kenneth D. West is editor of

Journal
Journal of Money, Credit and Banking
Journal of Money, Credit and Banking

Kenneth D. West has edited the books:

YearTitleTypeCited

Works by Kenneth D. West:

YearTitleTypeCited
2010Global Interest Rates, Currency Returns, and the Real Value of the Dollar In: American Economic Review.
[Full Text][Citation analysis]		article34
1988On the Interpretation of Near Random-walk Behavior in GNP. In: American Economic Review.
[Full Text][Citation analysis]		article29
1987On the Interpretation of Near Random-Walk Behavior in GNP.(1987) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 29		paper
2004Accounting for Exchange-Rate Variability in Present-Value Models When the Discount Factor Is Near 1 In: American Economic Review.
[Full Text][Citation analysis]		article56
2019Some Evidence on Secular Drivers of US Safe Real Rates In: American Economic Journal: Macroeconomics.
[Full Text][Citation analysis]		article54
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1994Asymptotic Inference About Predictive Ability: Additional Appendix. In: Working papers.
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1987A Simple, Positive Semi-definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix. In: Econometrica.
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1994Comments : Rational bubbles during Polands hyperinflation: Implications and empirical evidence by M. Funke, S. Hall and M. Sola In: European Economic Review.
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1988Integrated regressors and tests of the permanent-income hypothesis In: Journal of Monetary Economics.
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2008Introduction to NBER International Seminar on Macroeconomics 2006 In: NBER Chapters.
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2004Monetary Policy and the Volatility of Real Exchange Rates in New Zealand In: NBER Working Papers.
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2018Discussion of Lazarus, Lewis, Stock, and Watson, “HAR Inference: Recommendations for Practice” In: Journal of Business & Economic Statistics.
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