|
2025
|
Comparing external and internal instruments for vector autoregressions
|
Journal of Economic Dynamics and Control
|
B
|
2
|
|
2025
|
Avoiding Unintentionally Correlated Shocks in Proxy Vector Autoregressive Analysis
|
Journal of Business & Economic Statistics
|
A
|
3
|
|
2024
|
Heteroskedastic proxy vector autoregressions: An identification-robust test for time-varying impulse responses in the presence of multiple proxies
|
Journal of Economic Dynamics and Control
|
B
|
2
|
|
2023
|
Have the effects of shocks to oil price expectations changed?
|
Economics Letters
|
C
|
2
|
|
2022
|
Comparison of local projection estimators for proxy vector autoregressions
|
Journal of Economic Dynamics and Control
|
B
|
2
|
|
2022
|
Heteroscedastic Proxy Vector Autoregressions
|
Journal of Business & Economic Statistics
|
A
|
2
|
|
2021
|
Qualitative versus quantitative external information for proxy vector autoregressive analysis
|
Journal of Economic Dynamics and Control
|
B
|
2
|
|
2021
|
Testing identification via heteroskedasticity in structural vector autoregressive models
|
The Econometrics Journal
|
B
|
4
|
|
2020
|
Bayesian inference for structural vector autoregressions identified by Markov-switching heteroskedasticity
|
Journal of Economic Dynamics and Control
|
B
|
2
|
|
2020
|
Structural vector autoregressive models with more shocks than variables identified via heteroskedasticity
|
Economics Letters
|
C
|
1
|
|
2020
|
Inference in partially identified heteroskedastic simultaneous equations models
|
Journal of Econometrics
|
A
|
3
|
|
2019
|
Bootstrapping impulse responses of structural vector autoregressive models identified through GARCH
|
Journal of Economic Dynamics and Control
|
B
|
2
|
|
2018
|
Choosing Between Different Time‐Varying Volatility Models for Structural Vector Autoregressive Analysis
|
Oxford Bulletin of Economics and Statistics
|
B
|
2
|
|
2017
|
Structural vector autoregressions with smooth transition in variances
|
Journal of Economic Dynamics and Control
|
B
|
2
|
|
2016
|
STRUCTURAL VECTOR AUTOREGRESSIONS: CHECKING IDENTIFYING LONG-RUN RESTRICTIONS VIA HETEROSKEDASTICITY
|
Journal of Economic Surveys
|
C
|
2
|
|
2016
|
Testing for identification in SVAR-GARCH models
|
Journal of Economic Dynamics and Control
|
B
|
2
|
|
2015
|
Confidence Bands for Impulse Responses: Bonferroni vs. Wald
|
Oxford Bulletin of Economics and Statistics
|
B
|
3
|
|
2015
|
Comparison of methods for constructing joint confidence bands for impulse response functions
|
International Journal of Forecasting
|
B
|
3
|
|
2014
|
Structural vector autoregressions with Markov switching: Combining conventional with statistical identification of shocks
|
Journal of Econometrics
|
A
|
2
|
|
2014
|
DISENTANGLING DEMAND AND SUPPLY SHOCKS IN THE CRUDE OIL MARKET: HOW TO CHECK SIGN RESTRICTIONS IN STRUCTURAL VARS
|
Journal of Applied Econometrics
|
B
|
2
|
|
2013
|
Forecasting contemporaneous aggregates with stochastic aggregation weights
|
International Journal of Forecasting
|
B
|
2
|
|
2013
|
Does the Box–Cox transformation help in forecasting macroeconomic time series?
|
International Journal of Forecasting
|
B
|
2
|
|
2011
|
Forecasting levels of log variables in vector autoregressions
|
International Journal of Forecasting
|
B
|
2
|
|
2010
|
Structural vector autoregressions with Markov switching
|
Journal of Economic Dynamics and Control
|
B
|
3
|
|
2008
|
Identifying Monetary Policy Shocks via Changes in Volatility
|
Journal of Money, Credit, and Banking
|
B
|
2
|
|
2008
|
Problems related to over-identifying restrictions for structural vector error correction models
|
Economics Letters
|
C
|
1
|
|
2007
|
General-to-specific or specific-to-general modelling? An opinion on current econometric terminology
|
Journal of Econometrics
|
A
|
1
|
|
2006
|
Residual autocorrelation testing for vector error correction models
|
Journal of Econometrics
|
A
|
3
|
|
2006
|
BREAK DATE ESTIMATION FOR VAR PROCESSES WITH LEVEL SHIFT WITH AN APPLICATION TO COINTEGRATION TESTING
|
Econometric Theory
|
B
|
3
|
|
2006
|
A small monetary system for the euro area based on German data
|
Journal of Applied Econometrics
|
B
|
2
|
|
2005
|
Practical Problems with Reduced‐rank ML Estimators for Cointegration Parameters and a Simple Alternative
|
Oxford Bulletin of Economics and Statistics
|
B
|
2
|
|
2005
|
A NOTE ON TESTING RESTRICTIONS FOR THE COINTEGRATION PARAMETERS OF A VAR WITH I(2) VARIABLES
|
Econometric Theory
|
B
|
2
|
|
2004
|
On unit root tests in the presence of transitional growth
|
Economics Letters
|
C
|
2
|
|
2003
|
Test Procedures for Unit Roots in Time Series with Level Shifts at Unknown Time
|
Oxford Bulletin of Economics and Statistics
|
B
|
3
|
|
2003
|
Comparison of tests for the cointegrating rank of a VAR process with a structural shift
|
Journal of Econometrics
|
A
|
3
|
|
2002
|
Unit root tests for time series with level shifts: a comparison of different proposals
|
Economics Letters
|
C
|
2
|
|
2002
|
TESTING FOR A UNIT ROOT IN A TIME SERIES WITH A LEVEL SHIFT AT UNKNOWN TIME
|
Econometric Theory
|
B
|
2
|
|
2001
|
On the reliability of Chow-type tests for parameter constancy in multivariate dynamic models
|
Economics Letters
|
C
|
2
|
|
2001
|
Comment on essays on current state and future challenges of econometrics
|
Journal of Econometrics
|
A
|
1
|
|
2000
|
TESTING FOR THE COINTEGRATING RANK OF A VAR PROCESS WITH AN INTERCEPT
|
Econometric Theory
|
B
|
2
|
|
2000
|
Testing for the cointegrating rank of a VAR process with a time trend
|
Journal of Econometrics
|
A
|
2
|
|
1999
|
LOCAL POWER OF LIKELIHOOD RATIO TESTS FOR THE COINTEGRATING RANK OF A VAR PROCESS
|
Econometric Theory
|
B
|
2
|
|
1999
|
A lag augmentation test for the cointegrating rank of a VAR process
|
Economics Letters
|
C
|
2
|
|
1998
|
Modeling The Demand For M3 In The Unified Germany
|
Review of Economics and Statistics
|
A
|
3
|
|
1997
|
Modified Wald tests under nonregular conditions
|
Journal of Econometrics
|
A
|
2
|
|
1997
|
Analysis of cointegrated VARMA processes
|
Journal of Econometrics
|
A
|
2
|
|
1997
|
Nonparametric dynamic modelling
|
Journal of Econometrics
|
A
|
1
|
|
1997
|
Impulse response analysis in infinite order cointegrated vector autoregressive processes
|
Journal of Econometrics
|
A
|
2
|
|
1996
|
Testing for Causation Using Infinite Order Vector Autoregressive Processes
|
Econometric Theory
|
B
|
2
|
|
1996
|
Infinite-Order Cointegrated Vector Autoregressive Processes
|
Econometric Theory
|
B
|
2
|
|
1996
|
Specification of varying coefficient time series models via generalized flexible least squares
|
Journal of Econometrics
|
A
|
2
|
|
1992
|
Impulse response analysis of cointegrated systems
|
Journal of Economic Dynamics and Control
|
B
|
2
|
|
1992
|
Granger-causality in cointegrated VAR processes The case of the term structure
|
Economics Letters
|
C
|
2
|
|
1991
|
Estimating Orthogonal Impulse Responses via Vector Autoregressive Models
|
Econometric Theory
|
B
|
2
|
|
1990
|
Asymptotic Distributions of Impulse Response Functions and Forecast Error Variance Decompositions of Vector Autoregressive Models.
|
Review of Economics and Statistics
|
A
|
1
|
|
1989
|
A note on the asymptotic distribution of impulse response functions of estimated var models with orthogonal residuals
|
Journal of Econometrics
|
A
|
1
|
|
1988
|
Asymptotic Distribution of the Moving Average Coefficients of an Estimated Vector Autoregressive Process
|
Econometric Theory
|
B
|
1
|
|
1988
|
Prediction tests for structural stability
|
Journal of Econometrics
|
A
|
1
|
|
1985
|
The joint asymptotic distribution of multistep prediction errors of estimated vector autoregressions
|
Economics Letters
|
C
|
1
|
|
1984
|
Linear aggregation of vector autoregressive moving average processes
|
Economics Letters
|
C
|
1
|
|
1984
|
Linear transformations of vector ARMA processes
|
Journal of Econometrics
|
A
|
1
|
|
1983
|
Non-linear least squares estimation under non-linear equality constraints
|
Economics Letters
|
C
|
1
|
|
1982
|
Non-causality due to omitted variables
|
Journal of Econometrics
|
A
|
1
|
|
1981
|
A model for non-negative and non-positive distributed lag functions
|
Journal of Econometrics
|
A
|
1
|