1. Asymptotics for empirical eigenvalue processes in high-dimensional linear factor models. (2019). Horvath, Lajos ; Rice, Gregory.
   In: Journal of Multivariate Analysis.
   RePEc:eee:jmvana:v:169:y:2019:i:c:p:138-165.

   Full description at Econpapers || Download paper

2. Structural breaks in panel data: Large number of panels and short length time series. (2017). Wang, Shixuan ; Horvath, Lajos ; Hanousek, Jan ; Huskova, Marie ; Antoch, Jaromir.
   In: CEPR Discussion Papers.
   RePEc:cpr:ceprdp:11891.

   Full description at Econpapers || Download paper

3. Comments on: Extensions of some classical methods in change point analysis. (2014). Trapani, Lorenzo.
   In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research.
   RePEc:spr:testjl:v:23:y:2014:i:2:p:283-286.

   Full description at Econpapers || Download paper

1. Andrews, D. W. K., 1991. Heteroskedasticity and autocorrelation consistent covariance matrix estimation. Econometrica 59, 817-858.

2. Andrews, D. W. K., 1993. Tests for parameter instability and structural changes with unknown change point. Econometrica 61, 821-856.

3. Andrews, D. W. K., Ploberger, W., 1994. Optimal tests when a nuisance parameter is present only under the alternative. Econometrica 62, 1383-1414.

4. Bai, J., 2003. Inferential theory for structural models of large dimensions. Econometrica 71, 135-171.
   Paper not yet in RePEc: Add citation now
   

5. Bai, J., 2010. Common breaks in means and variances for panel data. Journal of Econometrics 157, 78-92.

6. Bai, J., Lumsdaine, R. L., Stock, J. H., 1998. Testing for and dating common breaks in multivariate time series. Review of Economic Studies 65, 395-432.

7. Bai, J., Perron, P., 1998. Estimating and testing linear models with multiple structural changes. Econometrica 66, 47-78.

8. Baltagi, B.H., Kao, C., Liu, L., 2008. Asymptotic properties of estimators for the linear panel regression model with individual eects and serially correlated errors: the case of stationary and non-stationary regressors and residuals. Econometrics Journal, 11, 554-572.

9. Banerjee, A., Urga, G., 2005. Modelling structural breaks, long memory and stock market volatility: an overview. Journal of Econometrics 129, 1-34.

10. Breitung, J., Eickmeier, S., 2011. Testing for structural breaks in dynamic factor models. Journal of Econometrics 163, 71-84.

11. Chen, L., Dolado, J.J., Gonzalo, J., 2011. Detecting big structural breaks in large factor models. Mimeo.

12. Csorgo, M., Horvath, L., 1997. Limit theorems in change-point analysis. Wiley, Chichester.
    Paper not yet in RePEc: Add citation now
    
13. Davidson, J., 2002. Stochastic Limit Theory. Oxford University Press, Oxford.
    Paper not yet in RePEc: Add citation now
    
14. Feng, Q., Kao, C., Lazarova, S., 2008. Estimation and identi…cation of change points in panel models. Mimeo, Center for Policy Research, Syracuse University.
    Paper not yet in RePEc: Add citation now
    
15. Hall, P., Heyde, C.C., 1980. Martingale limit theory and its applications. New York, University Press.
    Paper not yet in RePEc: Add citation now
    
16. Han, X., Inoue, A., 2011. Tests for parameter instability in dynamic factor models. Mimeo.
    Paper not yet in RePEc: Add citation now
    
17. Hansen, B.H., 1992. Testing for parameter instability in regressions with I(1) processes. Journal of Business and Economic Statistics 10, 321-335.
    Paper not yet in RePEc: Add citation now
    

18. Kao, C., 1999. Spurious regression and residual-based tests for cointegration in panel data. Journal of Econometrics 90, 1-44.

19. Kao, C., Trapani, L., Urga, G., 2011a. Testing for breaks in cointegrated panels with common and idiosyncratic stochastic trends. Working Paper N. WP-CEA-02-2011, Centre for Econometric Analysis, Cass Business School.

20. Kao, C., Trapani, L., Urga, G., 2011b. Asymptotics for panel models with common shocks. Econometric Reviews (forthcoming).

21. Kejriwal, M., Perron, P., 2008. The limiting distribution of the estimates in cointegrated regressions models with multiple structural changes. Journal of Econometrics 146, 59-73.

22. Kejriwal, M., Perron, P., 2010. Testing for multiple structural changes in cointegrated regression models. Journal of Business and Economic Statistics 28, 503-522.

23. Kim, D., 2010. Common local breaks in time trends for large panel data. Mimeo. Department of Economics, University of Virginia.
    Paper not yet in RePEc: Add citation now
    
24. nT (;#)(0;0)(0:7;0)(0;0:7)(0:7;0:7) AveWSupWExpW 0:1020:0530:081 0:0890:0570:071 0:0600:0400:042 AveWSupWExpW 0:1350:0600:104 0:1190:0470:094 0:0620:0420:058 AveWSupWExpW 0:0790:0410:062 0:0580:0330:053 0:0450:0370:045 AveWSupWExpW 0:1280:0490:100 0:1110:0430:076 0:0620:0490:046 AveWSupWExpW 0:1120:0500:094 0:0970:0550:067 0:0560:0380:044 AveWSupWExpW 0:1590:0690:122 0:1010:0420:070 0:0800:0500:052 AveWSupWExpW 0:1000:0350:065 0:0650:0270:046 0:0430:0350:043 AveWSupWExpW 0:1620:0560:117 0:0930:0380:061 0:0700:0460:048 AveWSupWExpW 0:1080:0660:095 0:0950:0550:075 0:0570:0370:043 AveWSupWExpW 0:1450:0640:116 0:1170:0570:090 0:0650:0360:056 AveWSupWExpW 0:0870:0360:066 0:0640:0330:052 0:0400:0350:036 AveWSupWExpW 0:1380:0520:108 0:1070:0520:082 0:0650:0350:053
    Paper not yet in RePEc: Add citation now
    

25. Park, J.Y., Phillips, P.C.B., 1999. Asymptotics for nonlinear transformations of integrated time series. Econometric Theory 15, 269-298.

26. Perron, P., 1989. The great crash, the oil price shock and the unit root hypothesis. Econometrica 57, 1361-1401.

27. Phillips, P. C. B., Moon, H. R., 1999. Linear regression limit theory for nonstationary panel data. Econometrica 67, 1057-1112.

28. Phillips, P.C.B., 1988. Weak convergence of sample covariance matrices to stochastic integrals via martingale approximations. Econometric Theory 4, 528-533.

29. Pollard, D., 1984. Convergence of probability measures. Springer-Verlag, New York.
    Paper not yet in RePEc: Add citation now
    

30. Qu, Z., Perron, P., 2007. Estimating and testing structural changes in multivariate regressions. Econometrica 75, 459-502.

31. Rappoport, P., Reichlin, L., 1989. Segmented trends and non-stationary time series. Economic Journal 99, 168-77.

1. The impact of oil shocks on the Spanish economy. (2011). Montañés, Antonio ; Gómez-Loscos, Ana ; Gadea, María ; Montas, Antonio ; Gmez-Loscos, Ana .
   In: Energy Economics.
   RePEc:eee:eneeco:v:33:y:2011:i:6:p:1070-1081.

   Full description at Econpapers || Download paper

2. Long-term memories of developed and emerging markets: Using the scaling analysis to characterize their stage of development. (2005). Dacorogna, Michel ; Di Matteo, T. ; Aste, T..
   In: Econometrics.
   RePEc:wpa:wuwpem:0503004.

   Full description at Econpapers || Download paper

3. A Non-local Perspective on the Power Properties of the CUSUM and CUSUM of Squares Tests for Structural Change. (2005). Perron, Pierre ; Deng, Ai.
   In: Boston University - Department of Economics - Working Papers Series.
   RePEc:bos:wpaper:wp2005-047.

   Full description at Econpapers || Download paper

4. Tests of Conditional Predictive Ability. (2003). Giacomini, Raffaella.
   In: Econometrics.
   RePEc:wpa:wuwpem:0308001.

   Full description at Econpapers || Download paper

5. Fixed-B Asymptotics in Single Equation Cointegration Models with Endogenous Regressors. (2003). Bunzel, Helle.
   In: Staff General Research Papers Archive.
   RePEc:isu:genres:10685.

   Full description at Econpapers || Download paper

6. Short Run and Long Run Causality in Time Series: Inference. (2003). Renault, Eric ; Pelletier, Denis ; Dufour, Jean-Marie.
   In: CIRANO Working Papers.
   RePEc:cir:cirwor:2003s-61.

   Full description at Econpapers || Download paper

7. Tests of conditional predictive ability. (2003). Giacomini, Raffaella.
   In: Boston College Working Papers in Economics.
   RePEc:boc:bocoec:572.

   Full description at Econpapers || Download paper

8. Improved nonparametric confidence intervals in time series regressions. (2002). Wolf, Michael ; Romano, Joseph P..
   In: Economics Working Papers.
   RePEc:upf:upfgen:635.

   Full description at Econpapers || Download paper

9. Empirical Exchange Rate Models of the Nineties: Are Any Fit to Survive?. (2002). Garcia Pascual, Antonio ; Cheung, Yin-Wong ; Chinn, Menzie.
   In: NBER Working Papers.
   RePEc:nbr:nberwo:9393.

   Full description at Econpapers || Download paper

10. Testing for a Unit Root in Panels with Dynamic Factors. (2002). Perron, Benoit ; Moon, Hyungsik.
    In: Cahiers de recherche.
    RePEc:mtl:montde:2002-18.

    Full description at Econpapers || Download paper

11. Efficient Regression in Time Series Partial Linear Models. (2002). Xiao, Zhijie ; Phillips, Peter ; Guo, Binbin.
    In: Cowles Foundation Discussion Papers.
    RePEc:cwl:cwldpp:1363.

    Full description at Econpapers || Download paper

12. Dynamic Panel Estimation and Homogeneity Testing Under Cross Section Dependence. (2002). Sul, Donggyu ; Phillips, Peter.
    In: Cowles Foundation Discussion Papers.
    RePEc:cwl:cwldpp:1362.

    Full description at Econpapers || Download paper

13. Maximum Likelihood and the Bootstrap for Nonlinear Dynamic Models. (2002). Goncalves, Silvia.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2002s-41.

    Full description at Econpapers || Download paper

14. The Out-of-Sample Success of Term Structure Models as Exchange Rate Predictors: A Step Beyond. (2001). Valente, Giorgio ; Taylor, Mark ; Sarno, Lucio ; Clarida, Richard.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:8601.

    Full description at Econpapers || Download paper

15. Will the valuation ratios revert to their historical means? Some evidence from breakpoint tests. (2001). Wohar, Mark ; Carlson, John ; Pelz, Eduard A..
    In: Working Papers (Old Series).
    RePEc:fip:fedcwp:0113.

    Full description at Econpapers || Download paper

16. Improved nonparametric confidence intervals in time series regressions. (2001). Wolf, Michael ; Romano, Joseph P..
    In: DES - Working Papers. Statistics and Econometrics. WS.
    RePEc:cte:wsrepe:ws010201.

    Full description at Econpapers || Download paper

17. A Dynamic Analysis of the Market for Wide-Bodied Commercial Aircraft. (2000). Benkard, Lanier C..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:7710.

    Full description at Econpapers || Download paper

18. The Pseudo-True Score Encompassing Test for Non-Nested Hypothesis. (2000). Kuan, Chung-Ming ; Chen, Yi-Ting.
    In: Econometric Society World Congress 2000 Contributed Papers.
    RePEc:ecm:wc2000:1723.

    Full description at Econpapers || Download paper

19. One-Sided Testing for ARCH Effect Using Wavelets. (2000). Lee, Jin.
    In: Econometric Society World Congress 2000 Contributed Papers.
    RePEc:ecm:wc2000:1214.

    Full description at Econpapers || Download paper

20. Wavelet-based Estimation for Heteroskedasticity and Autocorrelation Consistent Variance-Covariance Matrices. (2000). Hong, Yongmiao ; Lee, Jin.
    In: Econometric Society World Congress 2000 Contributed Papers.
    RePEc:ecm:wc2000:1211.

    Full description at Econpapers || Download paper

21. Long Memory or Structural Change: Testing Method and Empirical Examination. (2000). Hsu, Chih-Chiang.
    In: Econometric Society World Congress 2000 Contributed Papers.
    RePEc:ecm:wc2000:0867.

    Full description at Econpapers || Download paper

22. Corruption and Resource Allocation Under Chinas Dual Track System. (2000). Li, Wei.
    In: Econometric Society World Congress 2000 Contributed Papers.
    RePEc:ecm:wc2000:0179.

    Full description at Econpapers || Download paper

23. Agency Costs, Credit Constraints and Corporate Investment. (1999). Hansen, Sten .
    In: Working Paper Series.
    RePEc:hhs:rbnkwp:0079.

    Full description at Econpapers || Download paper

24. On the finite-sample accuracy of nonparametric resampling algorithms for economic time series. (1999). Kilian, Lutz ; Berkowitz, Jeremy ; Birgean, Ionel.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:1999-04.

    Full description at Econpapers || Download paper

25. Emerging Markets and Trading Costs. (1999). Ghysels, Eric ; Cherkaoui, Mouna .
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:99s-04.

    Full description at Econpapers || Download paper

26. Cyclicality and Durability: Evidence from U.S. Consumers Expediture.. (1999). Cook, Steven.
    In: Journal of Applied Economics.
    RePEc:cem:jaecon:v:2:y:1999:n:2:p:299-310.

    Full description at Econpapers || Download paper

27. Regression-Based Tests of Predictive Ability. (1998). West, Kenneth ; McCracken, Michael.
    In: NBER Technical Working Papers.
    RePEc:nbr:nberte:0226.

    Full description at Econpapers || Download paper

28. The Uncertain Trend in U.S. GDP. (1998). Nelson, Charles ; Murray, Chris.
    In: Discussion Papers in Economics at the University of Washington.
    RePEc:fth:washer:0074.

    Full description at Econpapers || Download paper

29. Long-Run PPP May Not Hold After All. (1998). Engel, Charles.
    In: Discussion Papers in Economics at the University of Washington.
    RePEc:fth:washer:0050.

    Full description at Econpapers || Download paper

30. Consistent covariance matrix estimation in probit models with autocorrelated errors. (1998). Rodrigues, Anthony ; Estrella, Arturo.
    In: Staff Reports.
    RePEc:fip:fednsr:39.

    Full description at Econpapers || Download paper

31. A multivariate cointegration analysis of the role of energy in the U.S. macroeconomy.. (1998). Stern, David.
    In: Working Papers in Ecological Economics.
    RePEc:anu:wpieep:9803.

    Full description at Econpapers || Download paper

32. The Uncertain Trend in U.S. GDP. (1997). Nelson, Charles ; Murray, Christian.
    In: Computational Economics.
    RePEc:wpa:wuwpco:9702001.

    Full description at Econpapers || Download paper

33. Bootstrap Testing for Fractional Integration. (1997). Gredenhoff, Mikael P. ; Andersson, Michael K..
    In: SSE/EFI Working Paper Series in Economics and Finance.
    RePEc:hhs:hastef:0188.

    Full description at Econpapers || Download paper

34. The determinants of UK business cycles. (1997). Scott, Andrew ; Holland, Allison .
    In: Bank of England working papers.
    RePEc:boe:boeewp:58.

    Full description at Econpapers || Download paper

35. Time series properties of global climate variables: detection and attribution of climate change. (1997). Stern, David ; Kaufmann, Robert.
    In: Working Papers in Ecological Economics.
    RePEc:anu:wpieep:9702.

    Full description at Econpapers || Download paper

36. The Power of Single Equation Tests for Cointegration when the Cointegrating Vector is Prespecified.. (1996). Zivot, Eric.
    In: Econometrics.
    RePEc:wpa:wuwpem:9612001.

    Full description at Econpapers || Download paper

37. Bootstrap Methods in Econometrics: Theory and Numerical Performance. (1996). Horowitz, Joel.
    In: Econometrics.
    RePEc:wpa:wuwpem:9602009.

    Full description at Econpapers || Download paper

38. Shortages, interest rates, and money demand in Poland, 1969-1995,. (1996). Sterken, Elmer ; Nijsse, Erwin.
    In: Working Papers.
    RePEc:wop:ccsowp:0025.

    Full description at Econpapers || Download paper

39. Long-Run PPP May Not Hold After All. (1996). Engel, Charles.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:5646.

    Full description at Econpapers || Download paper

40. Recent developments in bootstrapping time series. (1996). Kilian, Lutz ; Berkowitz, Jeremy.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:96-45.

    Full description at Econpapers || Download paper

41. Unit Root Tests and the Burden of Proof. (1995). van Norden, Simon ; Amano, Robert.
    In: Econometrics.
    RePEc:wpa:wuwpem:9502005.

    Full description at Econpapers || Download paper

42. Likelihood analysis of non-Gaussian parameter driven models. (1995). Shephard, Neil ; Pitt, Michael K.
    In: Economics Papers.
    RePEc:nuf:econwp:0015.

    Full description at Econpapers || Download paper

43. Sampling Errors and Confidence Intervals for Order Statistics: Implementing the Family Support Act. (1995). Schmidt, Peter ; Horrace, William ; Witte, Ann Dryden .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:5387.

    Full description at Econpapers || Download paper

44. An Analysis of the Real Interest Rate Under Regime Shifts. (1995). Perron, Pierre ; Garcia, René.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:95s-05.

    Full description at Econpapers || Download paper

45. ASYMPTOTIC INFERENCE ABOUT PREDICTIVE ABILITY. (1994). West, Kenneth.
    In: Macroeconomics.
    RePEc:wpa:wuwpma:9410002.

    Full description at Econpapers || Download paper

46. A Comparison of Alternative Instrumental Variables Estimators of Dynamic Linear Model. (1994). Wilcox, David ; West, Kenneth.
    In: Macroeconomics.
    RePEc:wpa:wuwpma:9410001.

    Full description at Econpapers || Download paper

47. A Further Analysis of Exchange Rate Targeting in Canada. (1994). Wirjanto, Tony ; Amano, Robert.
    In: Econometrics.
    RePEc:wpa:wuwpem:9406001.

    Full description at Econpapers || Download paper

48. A Further Analysis of Exchange Rate Targeting in Canada. (1994). Wirjanto, Tony ; Amano, Robert.
    In: Staff Working Papers.
    RePEc:bca:bocawp:94-2.

    Full description at Econpapers || Download paper

49. Soft Landing of a Stock Market Bubble, An Experimental Study. (). Fischbacher, Urs ; Hens, Thorsten.
    In: IEW - Working Papers.
    RePEc:zur:iewwpx:090.

    Full description at Econpapers || Download paper

50. Specification Tests in the Efficient Method of Moments Framework with Application to the Stochastic Volatility Models. (). Zhang, Harold ; Liu, Ming.
    In: Computing in Economics and Finance 1997.
    RePEc:sce:scecf7:93.

    Full description at Econpapers || Download paper

Report date: 2025-09-07 06:32:15 || Missing content? Let us know