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Nonstationarity and level shifts with an application to purchasing power parity

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P Perron… - Journal of Business & Economic Statistics, 1992 - JSTOR
Page 1. Journal of Business & Economic Statistics, July 1992, Vol. 10, No. 3
Nonstationarity and Level Shifts With an Application to Purchasing Power Parity Pierre
Perron Department of Economics, Princeton University, Princeton ...
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Additional tests for a unit root allowing for a break in the trend function at an unknown time

[PDF] from umontreal.ca
TJ Vogelsang… - International Economic Review, 1998 - JSTOR
Page 1. INTERNATIONAL ECONOMIC REVIEW Vol. 39, No. 4, November 1998 ADDITIONAL
TESTS FOR A UNIT ROOT ALLOWING FOR A BREAK IN THE TREND FUNCTION AT AN
UNKNOWN TIME* BY TIMOTHY J. VOGELSANG AND PIERRE PERRON 11 ...
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Trend function hypothesis testing in the presence of serial correlation

TJ Vogelsang - Econometrica, 1998 - JSTOR
Page 1. Econometrica, Vol. 66, No. t (January, 1998), 123-148 TREND FUNCTION
HYPOTHESIS TESTING IN THE PRESENCE OF SERIAL CORRELATION BY TIMOTHY
J. VOGELSANG1 In this paper test statistics are proposed ...
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Testing for a unit root in a time series with a changing mean: corrections and extensions

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P Perron… - Journal of Business & Economic Statistics, 1992 - JSTOR
Page 1. Journal of Business & Economic Statistics, October 1992, Vol. 10, No. 4
Short Communications Testing for a Unit Root in a Time Series With a Changing
Mean: Corrections and Extensions Pierre Perron D6partement ...
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Wald-type tests for detecting breaks in the trend function of a dynamic time series

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TJ Vogelsang - Econometric Theory, 1997 - Cambridge Univ Press
Page 1. Econometric Theory, 13,1997, 818-849. Printed in the United States of America.
WALD-TYPE TESTS FOR DETECTING BREAKS IN THE TREND FUNCTION OF A
DYNAMIC TIME SERIES TIMOTHY J. VOGELSANG Cornet! University ...
Cited by 160 - Related articles - BL Direct - All 10 versions

Simple robust testing of regression hypotheses

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NM Kiefer, TJ Vogelsang… - Econometrica, 2000 - Wiley Online Library
Page 1. Ž . Econometrica, Vol. 68, No. 3 May, 2000 , 695714 SIMPLE ROBUST
TESTING OF REGRESSION HYPOTHESES BY NICHOLAS M. KIEFER, TIMOTHY
J. VOGELSANG, AND HELLE BUNZEL 1 1. INTRODUCTION ...
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A new asymptotic theory for heteroskedasticity-autocorrelation robust tests

[PDF] from cornell.edu
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NM Kiefer… - Econometric Theory, 2005 - Cambridge Univ Press
Page 1. A NEW ASYMPTOTIC THEORY FOR HETEROSKEDASTICITY- AUTOCORRELATION
ROBUST TESTS NICHOLAS M. KIEFER AND TIMOTHY J. VOGELSANG Cornell University A
new first-order asymptotic theory for heteroskedasticity-autocorrelation ~HAC! ...
Cited by 108 - Related articles - BL Direct - All 15 versions

Heteroskedasticity-autocorrelation robust standard errors using the Bartlett kernel without truncation

[PDF] from wisc.edu
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NM Kiefer… - Econometrica, 2002 - JSTOR
Page 1. Econometrica, Vol. 70, No. 5 (September, 2002), 2093-2095 HETEROSKEDASTICITY-
AUTOCORRELATION ROBUST STANDARD ERRORS USING THE BARTLETT KERNEL
WITHOUT TRUNCATION BY NICHOLAS M. KIEFER AND TIMOTHY J. VOGELSANG1 ...
Cited by 82 - Related articles - BL Direct - All 20 versions

Heteroskedasticity-autocorrelation robust testing using bandwidth equal to sample size

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NM Kiefer… - Econometric Theory, 2002 - Cambridge Univ Press
Page 1. HETEROSKEDASTICITY- AUTOCORRELATION ROBUST TESTING USING
BANDWIDTH EQUAL TO SAMPLE SIZE NICHOLAS M. KIEFER University of Aarhus
and Cornell University TIMOTHY J. VOGELSANG Cornell University ...
Cited by 71 - Related articles - BL Direct - All 11 versions

On seasonal cycles, unit roots, and mean shifts

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PH Franses… - Review of Economics and Statistics, 1998 - MIT Press
Page 1. ON SEASONAL CYCLES, UNIT ROOTS, AND MEAN SHIFTS Philip Hans
Franses and Timothy J. Vogelsang* Abstract—The interpretation of seasonality in terms
of economic behavior depends on the form of the econometric ...
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Are US regions converging? Using new econometric methods to examine old issues

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M Tomljanovich… - Empirical Economics, 2002 - Springer
Page 1. Empirical Economics (2002) 27:49±62 EMPIRICAL ECONOMICS (
Springer-Verlag 2002 Are US regions converging? Using new econometric methods
to examine old issues Marc Tomljanovich1, Timothy J. Vogelsang2 ...
Cited by 55 - Related articles - BL Direct - All 7 versions

[PDF] Powerful trend function tests that are robust to strong serial correlation, with an application to the Prebisch-Singer hypothesis

[PDF] from amstat.org
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H Bunzel, TJ Vogelsang - Journal of Business and Economic Statistics, 2005 - ASA
Page 1. Powerful Trend Function Tests That Are Robust to Strong Serial Correlation, With
an Application to the Prebisch–Singer Hypothesis Helle BUNZEL Department of Economics,
Iowa State University, Ames, IA 50011-1070 (hbunzel@iastate.edu) ...
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Projection bias in catalog orders

[PDF] from indiana.edu
M Conlin, T O'Donoghue… - The American Economic Review, 2007 - JSTOR
Page 1. Projection Bias in Catalog Orders By MICHAEL CONLIN, TED O'DONOGHUE,
AND TIMOTHY J. VOGELSANG* Evidence suggests that people understand qualitatively
how tastes change over time, but underestimate the magnitudes. ...
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Testing for a shift in mean without having to estimate serial-correlation parameters

TJ Vogelsang - Journal of Business & Economic Statistics, 1998 - JSTOR
Page 1. Testing for a Shift in Mean Without Having to Estimate Serial-Correlation
Parameters Timothy J. VOGELSANG Department of Economics, Cornell University,
Ithaca, NY 14853-7601 (tjv2@cornell.edu) Tests for detecting ...
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Sources of nonmonotonic power when testing for a shift in mean of a dynamic time series

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TJ Vogelsang - Journal of Econometrics, 1999 - Elsevier
Cited by 31 - Related articles - All 7 versions

Block bootstrap HAC robust tests: the sophistication of the naive bootstrap

[PDF] from umontreal.ca
S Gon? alves… - Econometric Theory, 2011 - Cambridge Univ Press
Page 1. Econometric Theory, 27, 2011, 745–791. doi:10.1017/S0266466610000496
BLOCK BOOTSTRAP HAC ROBUST TESTS: THE SOPHISTICATION OF THE NAIVE
BOOTSTRAP SI´LVIA GONC¸ALVES Universit ´e de ...
Cited by 25 - Related articles - Get it from MIT Libraries - All 33 versions

[CITATION] Real exchange rates and purchasing power parity

R Dornbusch… - Trade Theory and Economic Reform: North, South and …, 1991
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Testing for common deterministic trend slopes

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TJ Vogelsang… - Journal of Econometrics, 2005 - Elsevier
Cited by 21 - Related articles - All 9 versions

Testing in GMM models without truncation

[PDF] from cornell.edu
TJ Vogelsang - 2003 - emeraldinsight.com
This paper proposes a new approach to testing in the generalized method of moments (GMM)
framework. The new tests are constructed using heteroskedasticity autocorrelation (HAC) robust
standard errors computed using nonparametric spectral density estimators without truncation ...
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A note on the asymptotic distributions of unit root tests in the additive outlier model with breaks

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P Perron… - Brazilian Review of Econometrics, 1993 - bibliotecadigital.fgv.br
Page 1. A NOTE ON THE ASYMPTOTIC DISTRIBUTIONS OF UNIT ROOT TESTS
IN THE ADDITIVE OUTLIER MODEL WITH BREAKS* Pierre Perron** Timothy J.
Vogelsang*** Resumo Este artigo discute testes para uma rafz ...
Cited by 20 - Related articles - All 2 versions

Analysis of vector autoregressions in the presence of shifts in mean

[PDF] from bc.edu
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S Ng… - Econometric Reviews, 2002 - Taylor & Francis
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[CITATION] Testing for seasonal unit roots in the presence of changing seasonal means

PH Franses… - 1995 - Econometric Institute, Erasmus …
Cited by 16 - Related articles - Get it from MIT Libraries - Library Search

[CITATION] Testing for a unit root with a changing mean: Corrections and extensions

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P Perron… - Journal of Business & Economic Statistics, 1992
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[PDF] Some properties of likelihood ratio tests in linear mixed models

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CM Crainiceanu, D Ruppert… - Avaialble at www. orie. …, 2003 - legacy.orie.cornell.edu
Page 1. Some properties of Likelihood Ratio Tests in Linear Mixed Models Ciprian
M. Crainiceanu∗ David Ruppert† Timothy J. Vogelsang‡ September 19, 2003 Abstract
We calculate the finite sample probability mass-at-zero ...
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[PDF] Fixed-b asymptotics for spatially dependent robust nonparametric covariance matrix estimators

[PDF] from wisc.edu
CA Bester, TG Conley, CB Hansen… - 2009 - ssc.wisc.edu
Page 1. Fixed-b Asymptotics for Spatially Dependent Robust Nonparametric
Covariance Matrix Estimators∗ C. Alan Bester,∗ Timothy G. Conley,∗ Christian B.
Hansen,† and Timothy J. Vogelsang‡ August 2008 Abstract. This ...
Cited by 9 - Related articles - View as HTML - All 29 versions

[PDF] Spectral density bandwidth choice: source of nonmonotonic power for tests of a mean shift in a time series

[PDF] from cornell.edu
CM Crainiceanu, TJ Vogelsang - … Department of Economics …, 2001 - economics.cornell.edu
CAE Working Paper #01-14 Spectral Density Bandwith Choice: Source of Nonmonotonic Power
for Tests of a Mean Shift in a Time Series by Ciprian Crainiceanu and Timothy Vogelsang February
2001 . Page 2. Spectral Density Bandwidth Choice: Source of Nonmonotonic ...
Cited by 7 - Related articles - View as HTML - All 8 versions

Forecasting autoregressive time series in the presence of deterministic components

[PDF] from columbia.edu
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S Ng… - The Econometrics Journal, 2002 - Wiley Online Library
1 We would expect to obtain similar results for more general ARMA models. Clearly,
generalization of our results to ARMA models is worth considering in future work, though
economic forecasting exercises tend to favor simple, low order, autoregressive models, ...
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[CITATION] Additional tests for a unit root allowing for a break in the trend function at an unknown time

P Perron… - 1994 - … de Montréal, Centre de recherche et …
Cited by 6 - Related articles - Get it from MIT Libraries

Heteroskedasticity, autocorrelation, and spatial correlation robust inference in linear panel models with fixed-effects

[PDF] from umontreal.ca
TJ Vogelsang - Journal of Econometrics, 2011 - Elsevier
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[PDF] Testing For A Shift In Trend At An Unknown Date: A Fixed-B Analysis Of Heteroskedasticity Autocorrelation Robust Ols-Based Tests

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Ö Sayginsoy… - Econometric Theory, 2011 - faculty.smu.edu
Page 1. Testing for a Shift in Trend at an Unknown Date: A Fixed-b Analysis of Heteroskedasticity
Autocorrelation Robust OLS Based Tests ¨Ozgen Saygınsoy Department of Economics, SUNY
Albany Timothy J. Vogelsang* Department of Economics, Michigan State University ...
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Testing in gmm models without truncation

TJ Vogelsang - Working Papers, 2001 - ideas.repec.org
... Author Info. Vogelsang, Timothy J. (Cornell U). Additional information is available for the
following registered author(s): Timothy Vogelsang. Abstract. This paper proposes a new
approach to testing in the generalized method of moments (GMM) framework. ...
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[CITATION] Essays on testing for nonstationarities and structural change in time series models

TJ Vogelsang - 1993 - Princeton University
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[PDF] A New Approach to the Asymptotics of Heteroskedasticity-Autocorrelation Robust Testing

[PDF] from virginia.edu
NM Kiefer… - 2000 - people.virginia.edu
Page 1. A New Approach to the Asymptotics of Heteroskedasticity-Autocorrelation
Robust Testing Nicholas M. Kiefer* Timothy J. Vogelsang† August, 2000 Abstract
Asymptotic theory for heteroskedasticity autocorrelation consistent ...
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A simple test of the law of demand for the United States

[PDF] from calpoly.edu
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E Zambrano… - Econometrica, 2000 - Wiley Online Library
Page 1. Ž . Econometrica, Vol. 68, No. 4 July, 2000 , 10111020 A SIMPLE TEST OF
THE LAW OF DEMAND FOR THE UNITED STATES BY EDUARDO ZAMBRANO
AND TIMOTHY J. VOGELSANG 1 1. INTRODUCTION Ž . ONE ...
Cited by 3 - Related articles - BL Direct - All 11 versions

[CITATION] T., 2007:" Projection Bias in Catalog Orders,"

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M Conlin, T O'Donoghue… - American Economic Review
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[CITATION] The Great Crash, the oil shock and the unit root hypothesis: Corrections and extensions of some asymptotic results

P Perron… - Unpublished paper, Princeton University, 1991
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[PDF] A New Asymptotic Theory for Heteroskedasticity-Autocorrelation Robust Tests

[PDF] from cornell.edu
NM Kiefer… - Center for Analytic Economics, Cornell …, 2002 - arts.cornell.edu
Page 1. A New Asymptotic Theory for Heteroskedasticity-Autocorrelation Robust
Tests Nicholas M. Kiefer and Timothy J. Vogelsang* Departments of Economics
and Statistical Science, Cornell University March 2002 Abstract ...
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[CITATION] Change and involution in sugar production in Cultivation System Java, 1996

S Chandra… - Center for Analytic Economics Working Paper
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[CITATION] Testing for a Unit Root in a Time Series With a Chancing Mean: Corrections and Extentions

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P Peron… - Journal of Business and Economic Statistics, 1992
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The KPSS test using fixed-b critical values: size and power in highly autocorrelated time series

C Amsler, P Schmidt… - Journal of Time Series …, 2009 - ideas.repec.org
Downloadable! <p>In this paper we consider the KPSS test. We derive the asymptotic distribution
of the statistic under the null of stationarity and under the unit root alternative under the
"fixed-b" assumption that the ratio of the number of lags in the long run variance estimate to the ...
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[CITATION] Projection Bias in Catalogue Orders

M Colin, T O'Donoghue… - Unpublished working paper, Cornell …, 2004
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[CITATION] Projection Bias in Catalog Orders

C Mike, T O'Donoghue… - American Economic Review, forthcoming, 2007
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[PDF] A Fixed-b Perspective on the Phillips-Perron Unit Root Tests

[PDF] from ihs.ac.at
TJ Vogelsang… - Economics Series, 2011 - ihs.ac.at
Page 1. A Fixed-b Perspective on the Phillips-Perron Unit Root Tests ∗ Timothy
J. Vogelsang Department of Economics Michigan State University Martin Wagner
Department of Economics and Finance Institute for Advanced ...
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[PDF] Forecasting Dynamic Time Series in the Presence of Deterministic Components

[PDF] from bc.edu
S Ng… - Boston College Working Papers in Economics, 1999 - fmwww.bc.edu
Abstract This paper studies the error in forecasting a dynamic time series with a deterministic
component. We show that when the data are strongly serially correlated, forecasts based on
a model which detrends the data before estimating the dynamic parameters are much less ...
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Journal article by Timothy J. Vogelsang; Journal of the American Statistical Association, Vol. 94, 1999

TJ Vogelsang - Journal article by Timothy J. Vogelsang; Journal of the …, 1999 - questia.com
Econometrics. by Timothy J. Vogelsang Badi H. BALTAGI. New York: Springer-Verlag, 1998.
ISBN 3-54063617-X. xiv + 396 pp. $42 (P). This econometrics textbook is intended for a
first-year graduate course in econometrics. It aims to strike a balan.
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[PDF] Block Bootstrap Puzzles in HAC Robust Testing: The Sophistication of the Naive Bootstrap Note: Preliminary and Incomplete

[PDF] from eea-esem.com
S Gonçalves… - 2004 - eea-esem.com
Page 1. Block Bootstrap Puzzles in HAC Robust Testing: The Sophistication of the Naive
Bootstrap Note: Preliminary and Incomplete Sılvia Gonçalves Département de sciences
économiques, CIREQ and CIRANO, Université de Montréal and ...
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Level Shifts and Purchasing Power Parity

P Perron… - Instructional Stata datasets for econometrics - ideas.repec.org
Level Shifts and Purchasing Power Parity. Author info | Abstract | Publisher info | Download info |
Related research | Statistics. Author Info. Perron, Pierre Vogelsang, Timothy J. Additional
information is available for the following registered author(s): Timothy Vogelsang. Abstract. ...
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[PDF] Unit Roots, Cointegration, and Structural Change

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TJ Vogelsang - Journal of the American Statistical Association, 2001 - ASA
Page 1. 346 Book Reviews useful to students and practitioners interested in studying
dynamics in mul- tivariate systems, and Mills provides a number of interesting examples
from the fi nance literature, including present value models. ...
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[PDF] Nonparametric Rank Tests for Non-stationary Panels

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P Pedroni, TJ Vogelsang, M Wagner… - Economics Series, 2011 - msu.edu
Page 1. Nonparametric Rank Tests for Non-stationary Panels ∗ Peter Pedroni Williams College
Williamstown Timothy J. Vogelsang Michigan State University East Lansing Martin Wagner Institute
for Advanced Studies Vienna and Frisch Centre for Economic Research Oslo ...
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[CITATION] A New Approach to the Asymptotics of HAC Robust Testing in Econometrics

NM Kiefer… - Working Papers, 2000 - econpapers.repec.org
By Nicholas M. Kiefer and Timothy Vogelsang; A New Approach to the
Asymptotics of HAC Robust Testing in Econometrics.
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[PDF] MULTIVARIATE TREND COMPARISONS BETWEEN AUTOCORRELATED CLIMATE SERIES WITH POSSIBLE INTERCEPT SHIFTS

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R McKitrick… - 2011 - arts.cornell.edu
Page 1. 1 MULTIVARIATE TREND COMPARISONS BETWEEN AUTOCORRELATED CLIMATE
SERIES WITH POSSIBLE INTERCEPT SHIFTS Ross McKitrick Department of Economics
University of Guelph Guelph ON Canada N1G 2W1 rmckitri@uoguelph.ca ...
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[PDF] Multivariate trend comparisons between autocorrelated climate series with general trend regressors

[PDF] from rossmckitrick.com
R McKitrick… - Working Papers, 2011 - rossmckitrick.com
Page 1. 1 Multivariate trend comparisons between autocorrelated climate series with
general trend regressors Ross McKitrick Department of Economics University of Guelph
rmckitri@uoguelph.ca Timothy J. Vogelsang Department ...
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Economic Forecasting

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TJ Vogelsang - Journal of the American Statistical …, 2001 - amstat.tandfonline.com
Page 1. 354 Book Reviews be replaced by what the authors call semifunctional convergence.
Chap- ters 8 and 9 focus on limit theorems for point processes and strong martingales, respectively.
Analogs of the convergence to a Poisson process and the CLT are established. ...

OZGEN SAYGINSOY

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TJ VOGELSANG - Econometric Theory, 2011 - Cambridge Univ Press
Page 1. Econometric Theory, 27, 2011, 992–1025. doi:10.1017/S0266466610000617 TESTING
FOR A SHIFT IN TREND AT AN UNKNOWN DATE: A FIXED-B ANALYSIS OF
HETEROSKEDASTICITY AUTOCORRELATION ROBUST OLS-BASED TESTS .. ...
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Fixed‐b analysis of LM‐type tests for a shift in mean

[PDF] from res.org.uk
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J Yang… - The Econometrics Journal, 2011 - Wiley Online Library
Skip to Main Content. ...
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Nonlinear Econometric Modeling in Time Series Analysis: Proceedings of the Eleventh International Symposium in Economic Theory

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TJ Vogelsang - Journal of the American Statistical Association, 2001 - ASA
Page 1. 354 Book Reviews be replaced by what the authors call semifunctional convergence.
Chap- ters 8 and 9 focus on limit theorems for point processes and strong martingales, respectively.
Analogs of the convergence to a Poisson process and the CLT are established. ...
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[PDF] Challenging Time Series: Limits to Knowledge, Inertia and Caprice

[PDF] from amstat.org
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TJ Vogelsang - Journal of the American Statistical Association, 2001 - ASA
Page 1. Book Reviews 345 Azzalini, A., and Bowman, AW (1997), Applied Smoothing
Techniques for Data Analysis: The Kernel Approach With S-Plus Illustrations, New
York: Oxford University Press. Barnett, W., Powell, J., and ...
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[PDF] Estimating Cointegration Relationships: A Tuning Parameter Free Approach Preliminary and Incomplete

[PDF] from umontreal.ca
TJ Vogelsang… - 2010 - cireq.umontreal.ca
Page 1. Estimating Cointegration Relationships: A Tuning Parameter Free Approach
Preliminary and Incomplete Timothy J. Vogelsang* Department of Economics Michigan
State University Martin Wagner Department of Economics ...
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[BOOK] Integrated Modified OLS estimation and fixed-b inference for cointegrating regressions

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TJ Vogelsang… - 2011 - eea-esem.com
Page 1. Integrated Modified OLS Estimation and Fixed-b Inference for Cointegrating
Regressions Timothy J. Vogelsang Department of Economics Michigan State
University Martin Wagner Department of Economics and Finance ...
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The KPSS Test Using Fixed-b Critical Values: Size and Power in Highly Autocorrelated Time Series

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C Amsler, P Schmidt… - Journal of Time Series …, 2010 - degruyter.com
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