Details about Atsushi Inoue
Access statistics for papers by Atsushi Inoue.
Last updated 2024-11-23. Update your information in the RePEc Author Service.
Short-id: pin18
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Working Papers
2024
- Has the Phillips Curve Flattened?
CEPR Discussion Papers, C.E.P.R. Discussion Papers 
Also in French Stata Users' Group Meetings 2024, Stata Users Group (2024)
- Inference for Local Projections
Working Paper Series, Federal Reserve Bank of San Francisco
Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2024)
Papers, arXiv.org (2024)
- When Is the Use of Gaussian-inverse Wishart-Haar Priors Appropriate?
CEPR Discussion Papers, C.E.P.R. Discussion Papers
Also in Working Papers, Federal Reserve Bank of Dallas (2024)
2023
- Significance Bands for Local Projections
CEPR Discussion Papers, C.E.P.R. Discussion Papers
Also in Working Paper Series, Federal Reserve Bank of San Francisco (2023)
2022
- Local Projections in Unstable Environments: How Effective is Fiscal Policy?
CEPR Discussion Papers, C.E.P.R. Discussion Papers
2021
- A new approach to measuring economic policy shocks, with an application to conventional and unconventional monetary policy
Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra View citations (35)
Also in Working Papers, Barcelona School of Economics (2019) View citations (9)
See also Journal Article A new approach to measuring economic policy shocks, with an application to conventional and unconventional monetary policy, Quantitative Economics, Econometric Society (2021) View citations (27) (2021)
- The role of the prior in estimating VAR models with sign restrictions
CFS Working Paper Series, Center for Financial Studies (CFS) View citations (8)
Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2020) View citations (23)
Working Papers, Federal Reserve Bank of Dallas (2020) View citations (14)
- Two Sample Unconditional Quantile Effect
Papers, arXiv.org View citations (3)
2020
- Joint Bayesian Inference about Impulse Responses in VAR Models
Working Papers, Federal Reserve Bank of Dallas View citations (7)
Also in CFS Working Paper Series, Center for Financial Studies (CFS) (2020) View citations (15)
See also Journal Article Joint Bayesian inference about impulse responses in VAR models, Journal of Econometrics, Elsevier (2022) View citations (25) (2022)
2019
- The Uniform Validity of Impulse Response Inference in Autoregressions
Working Papers, Federal Reserve Bank of Dallas View citations (2)
Also in Vanderbilt University Department of Economics Working Papers, Vanderbilt University Department of Economics (2019) View citations (3)
Vanderbilt University Department of Economics Working Papers, Vanderbilt University Department of Economics (2019) View citations (3)
See also Journal Article The uniform validity of impulse response inference in autoregressions, Journal of Econometrics, Elsevier (2020) View citations (10) (2020)
2018
- Confidence Intervals for Bias and Size Distortion in IV and Local Projections–IV Models
Working Papers, Barcelona School of Economics View citations (1)
Also in Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra (2018) View citations (5)
Working Papers, Banco de España (2018) View citations (4)
See also Journal Article Confidence Intervals for Bias and Size Distortion in IV and Local Projections-IV Models, Journal of Business & Economic Statistics, Taylor & Francis Journals (2021) View citations (5) (2021)
- Identifying the sources of model misspecification
Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra View citations (5)
Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2014) View citations (6)
Working Papers, Barcelona School of Economics (2015) View citations (9)
See also Journal Article Identifying the sources of model misspecification, Journal of Monetary Economics, Elsevier (2020) View citations (10) (2020)
- The Effects of Conventional and Unconventional Monetary Policy on Exchange Rates
Working Papers, Barcelona School of Economics View citations (19)
Also in NBER Working Papers, National Bureau of Economic Research, Inc (2018) View citations (19)
Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra (2018) View citations (19)
See also Chapter The Effects of Conventional and Unconventional Monetary Policy on Exchange Rates, NBER Chapters, National Bureau of Economic Research, Inc (2018) View citations (16) (2018)
Journal Article The effects of conventional and unconventional monetary policy on exchange rates, Journal of International Economics, Elsevier (2019) View citations (75) (2019)
2016
- Impulse Response Matching Estimators for DSGE Models
CESifo Working Paper Series, CESifo View citations (2)
Also in Vanderbilt University Department of Economics Working Papers, Vanderbilt University Department of Economics (2014) View citations (3)
CFS Working Paper Series, Center for Financial Studies (CFS) (2014) View citations (3)
CEPR Discussion Papers, C.E.P.R. Discussion Papers (2014) View citations (3)
Discussion paper series, Hitotsubashi Institute for Advanced Study, Hitotsubashi University (2016) View citations (2)
See also Journal Article Impulse response matching estimators for DSGE models, Journal of Econometrics, Elsevier (2017) View citations (36) (2017)
- Joint Confidence Sets for Structural Impulse Responses
CESifo Working Paper Series, CESifo View citations (36)
Also in Departmental Working Papers, Southern Methodist University, Department of Economics (2014) View citations (4)
CEPR Discussion Papers, C.E.P.R. Discussion Papers (2014) View citations (4)
See also Journal Article Joint confidence sets for structural impulse responses, Journal of Econometrics, Elsevier (2016) View citations (35) (2016)
- Rolling window selection for out-of-sample forecasting with time-varying parameters
Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra View citations (1)
Also in Working Papers, Barcelona School of Economics (2014) View citations (9)
See also Journal Article Rolling window selection for out-of-sample forecasting with time-varying parameters, Journal of Econometrics, Elsevier (2017) View citations (123) (2017)
2015
- Heterogeneous Consumers and Fiscal Policy Shocks
Working Papers, Barcelona School of Economics View citations (2)
Also in Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra (2015) View citations (2)
CEPR Discussion Papers, C.E.P.R. Discussion Papers (2013) View citations (15)
2012 Meeting Papers, Society for Economic Dynamics (2012) View citations (10)
See also Journal Article Heterogeneous Consumers and Fiscal Policy Shocks, Journal of Money, Credit and Banking, Blackwell Publishing (2016) View citations (44) (2016)
- Tests for the validity of portfolio or group choice in financial and panel regressions
Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra
2014
- Quasi-Bayesian Model Selection
Departmental Working Papers, Southern Methodist University, Department of Economics View citations (4)
See also Journal Article Quasi‐Bayesian model selection, Quantitative Economics, Econometric Society (2018) View citations (8) (2018)
- The Zero Lower Bound and Parameter Bias in an Estimated DSGE Model
IMES Discussion Paper Series, Institute for Monetary and Economic Studies, Bank of Japan View citations (3)
Also in UTokyo Price Project Working Paper Series, University of Tokyo, Graduate School of Economics (2013) View citations (6)
DSSR Discussion Papers, Graduate School of Economics and Management, Tohoku University (2013) View citations (6)
Vanderbilt University Department of Economics Working Papers, Vanderbilt University Department of Economics (2014) View citations (12)
TERG Discussion Papers, Graduate School of Economics and Management, Tohoku University (2013) View citations (6)
Departmental Working Papers, Southern Methodist University, Department of Economics (2013) View citations (12)
CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2013) View citations (5)
See also Journal Article The Zero Lower Bound and Parameter Bias in an Estimated DSGE Model, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2016) View citations (41) (2016)
- Window Selection for Out-of-Sample Forecasting with Time-Varying Parameters
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (9)
2013
- Inference on Impulse Response Functions in Structural VAR Models
DSSR Discussion Papers, Graduate School of Economics and Management, Tohoku University View citations (189)
Also in TERG Discussion Papers, Graduate School of Economics and Management, Tohoku University (2013) View citations (187)
CEPR Discussion Papers, C.E.P.R. Discussion Papers (2011) View citations (9)
See also Journal Article Inference on impulse response functions in structural VAR models, Journal of Econometrics, Elsevier (2013) View citations (182) (2013)
- Tests for Parameter Instability in Dynamic Factor Models
DSSR Discussion Papers, Graduate School of Economics and Management, Tohoku University View citations (3)
Also in TERG Discussion Papers, Graduate School of Economics and Management, Tohoku University (2013) View citations (6)
See also Journal Article TESTS FOR PARAMETER INSTABILITY IN DYNAMIC FACTOR MODELS, Econometric Theory, Cambridge University Press (2015) View citations (58) (2015)
2012
- Out-of-sample forecast tests robust to the choice of window size
Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra View citations (227)
Also in Working Papers, Federal Reserve Bank of Philadelphia (2011) View citations (8)
CEPR Discussion Papers, C.E.P.R. Discussion Papers (2011) View citations (11)
See also Journal Article Out-of-Sample Forecast Tests Robust to the Choice of Window Size, Journal of Business & Economic Statistics, Taylor & Francis Journals (2012) View citations (224) (2012)
2011
- Out-of-Sample Forecast Tests Robust to Window Size Choice
Working Papers, Duke University, Department of Economics View citations (10)
2010
- Information Criteria for Impulse Response Function Matching Estimation of DSGE Models
Working Papers, Duke University, Department of Economics View citations (3)
Also in Working Papers, Duke University, Department of Economics (2007) View citations (30)
Centre for Growth and Business Cycle Research Discussion Paper Series, Economics, The University of Manchester (2009) View citations (6)
FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta (2007) View citations (33)
See also Journal Article Information criteria for impulse response function matching estimation of DSGE models, Journal of Econometrics, Elsevier (2012) View citations (46) (2012)
- Testing for Weak Identification in Possibly Nonlinear Models
Working Papers, Duke University, Department of Economics
See also Journal Article Testing for weak identification in possibly nonlinear models, Journal of Econometrics, Elsevier (2011) View citations (16) (2011)
2009
- Frequentist Inference in Weakly Identified DSGE Models
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (7)
Also in Working Papers, Federal Reserve Bank of Philadelphia (2009) View citations (4)
2008
- Which Structural Parameters Are "Structural"? Identifying the Sources of Instabilities in Economic Models
Working Papers, Duke University, Department of Economics View citations (5)
2007
- Information Criteria for Impulse Response Function Matching Estimation
2007 Meeting Papers, Society for Economic Dynamics View citations (29)
2006
- Do Actions Speak Louder than Words? Household Expectations of Inflation Based on Micro Consumption Data
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (6)
Also in Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank (2006) View citations (1)
See also Journal Article Do Actions Speak Louder Than Words? Household Expectations of Inflation Based on Micro Consumption Data, Journal of Money, Credit and Banking, Blackwell Publishing (2009) View citations (1) (2009)
2005
- A Portmanteau Test for Serially Correlated Errors in Fixed Effects Models
NBER Technical Working Papers, National Bureau of Economic Research, Inc
See also Journal Article A PORTMANTEAU TEST FOR SERIALLY CORRELATED ERRORS IN FIXED EFFECTS MODELS, Econometric Theory, Cambridge University Press (2006) View citations (27) (2006)
- How Useful is Bagging in Forecasting Economic Time Series? A Case Study of US CPI Inflation
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (18)
- Monitoring and Forecasting Currency Crises
Working Papers, Duke University, Department of Economics View citations (2)
See also Journal Article Monitoring and Forecasting Currency Crises, Journal of Money, Credit and Banking, Blackwell Publishing (2008) View citations (1) (2008)
- The Large Sample Behaviour of the Generalized Method of Moments Estimator in Misspecified Models
Econometrics, University Library of Munich, Germany View citations (12)
See also Journal Article The large sample behaviour of the generalized method of moments estimator in misspecified models, Journal of Econometrics, Elsevier (2003) View citations (96) (2003)
- Two-Sample Instrumental Variables Estimators
NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations (9)
See also Journal Article Two-Sample Instrumental Variables Estimators, The Review of Economics and Statistics, MIT Press (2010) View citations (147) (2010)
2004
- Bagging Time Series Models
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (26)
Also in Econometric Society 2004 North American Summer Meetings, Econometric Society (2004) View citations (27)
2003
- Bootstrapping GMM Estimators for Time Series
Vanderbilt University Department of Economics Working Papers, Vanderbilt University Department of Economics View citations (6)
See also Journal Article Bootstrapping GMM estimators for time series, Journal of Econometrics, Elsevier (2006) View citations (52) (2006)
- On the Selection of Forecasting Models
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (32)
Also in Working Paper Series, European Central Bank (2003) View citations (15)
See also Journal Article On the selection of forecasting models, Journal of Econometrics, Elsevier (2006) View citations (95) (2006)
- Recursive Predictability Tests for Real-Time Data
Working Papers, Duke University, Department of Economics View citations (4)
See also Journal Article Recursive Predictability Tests for Real-Time Data, Journal of Business & Economic Statistics, American Statistical Association (2005) View citations (26) (2005)
2002
- In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use?
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (113)
Also in Working Paper Series, European Central Bank (2002) View citations (64)
See also Journal Article In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use?, Econometric Reviews, Taylor & Francis Journals (2005) View citations (141) (2005)
2001
- Testing and Comparing Value-at-Risk Measures
CIRANO Working Papers, CIRANO View citations (82)
See also Journal Article Testing and comparing Value-at-Risk measures, Journal of Empirical Finance, Elsevier (2001) View citations (84) (2001)
2000
- Bootstrapping Autoregressive Processes with Possible Unit Roots
Econometric Society World Congress 2000 Contributed Papers, Econometric Society View citations (6)
See also Journal Article Bootstrapping Autoregressive Processes with Possible Unit Roots, Econometrica, Econometric Society (2002) View citations (87) (2002)
- Long Memory and Regime Switching
NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations (44)
See also Journal Article Long memory and regime switching, Journal of Econometrics, Elsevier (2001) View citations (702) (2001)
1999
- Testing, Comparing, and Combining Value at Risk Measures
Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania View citations (9)
1997
- Converting 1-Day Volatility to h-Day Volatitlity: Scaling by Root-h is Worse Than You Think
Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania View citations (24)
Undated
- Stamp 5.0: A Review
Home Pages, University of Pennsylvania
- Testing Change in Time Series
Computing in Economics and Finance 1997, Society for Computational Economics View citations (35)
Journal Articles
2022
- INSTRUMENTAL VARIABLE ESTIMATION OF STRUCTURAL VAR MODELS ROBUST TO POSSIBLE NONSTATIONARITY
Econometric Theory, 2022, 38, (5), 845-874
- Joint Bayesian inference about impulse responses in VAR models
Journal of Econometrics, 2022, 231, (2), 457-476 View citations (25)
See also Working Paper Joint Bayesian Inference about Impulse Responses in VAR Models, Working Papers (2020) View citations (7) (2020)
2021
- A new approach to measuring economic policy shocks, with an application to conventional and unconventional monetary policy
Quantitative Economics, 2021, 12, (4), 1085-1138 View citations (27)
See also Working Paper A new approach to measuring economic policy shocks, with an application to conventional and unconventional monetary policy, Economics Working Papers (2021) View citations (35) (2021)
- Confidence Intervals for Bias and Size Distortion in IV and Local Projections-IV Models
Journal of Business & Economic Statistics, 2021, 39, (1), 307-324 View citations (5)
See also Working Paper Confidence Intervals for Bias and Size Distortion in IV and Local Projections–IV Models, Working Papers (2018) View citations (1) (2018)
- Local-Linear Estimation of Time-Varying-Parameter GARCH Models and Associated Risk Measures
(Modelling Volatility by Variance Decomposition)
Journal of Financial Econometrics, 2021, 19, (1), 202-234 View citations (3)
2020
- Identifying the sources of model misspecification
Journal of Monetary Economics, 2020, 110, (C), 1-18 View citations (10)
See also Working Paper Identifying the sources of model misspecification, Economics Working Papers (2018) View citations (5) (2018)
- The uniform validity of impulse response inference in autoregressions
Journal of Econometrics, 2020, 215, (2), 450-472 View citations (10)
See also Working Paper The Uniform Validity of Impulse Response Inference in Autoregressions, Working Papers (2019) View citations (2) (2019)
2019
- The effects of conventional and unconventional monetary policy on exchange rates
Journal of International Economics, 2019, 118, (C), 419-447 View citations (75)
See also Working Paper The Effects of Conventional and Unconventional Monetary Policy on Exchange Rates, Working Papers (2018) View citations (19) (2018)
Chapter The Effects of Conventional and Unconventional Monetary Policy on Exchange Rates, NBER Chapters, 2018, 419-447 (2018) View citations (16) (2018)
2018
- Quasi‐Bayesian model selection
Quantitative Economics, 2018, 9, (3), 1265-1297 View citations (8)
See also Working Paper Quasi-Bayesian Model Selection, Departmental Working Papers (2014) View citations (4) (2014)
2017
- Impulse response matching estimators for DSGE models
Journal of Econometrics, 2017, 196, (1), 144-155 View citations (36)
See also Working Paper Impulse Response Matching Estimators for DSGE Models, CESifo Working Paper Series (2016) View citations (2) (2016)
- Rolling window selection for out-of-sample forecasting with time-varying parameters
Journal of Econometrics, 2017, 196, (1), 55-67 View citations (123)
See also Working Paper Rolling window selection for out-of-sample forecasting with time-varying parameters, Economics Working Papers (2016) View citations (1) (2016)
2016
- Heterogeneous Consumers and Fiscal Policy Shocks
Journal of Money, Credit and Banking, 2016, 48, (8), 1877-1888 View citations (44)
See also Working Paper Heterogeneous Consumers and Fiscal Policy Shocks, Working Papers (2015) View citations (2) (2015)
- Joint confidence sets for structural impulse responses
Journal of Econometrics, 2016, 192, (2), 421-432 View citations (35)
See also Working Paper Joint Confidence Sets for Structural Impulse Responses, CESifo Working Paper Series (2016) View citations (36) (2016)
- The Zero Lower Bound and Parameter Bias in an Estimated DSGE Model
Journal of Applied Econometrics, 2016, 31, (4), 630-651 View citations (41)
See also Working Paper The Zero Lower Bound and Parameter Bias in an Estimated DSGE Model, IMES Discussion Paper Series (2014) View citations (3) (2014)
2015
- Comment
Journal of Business & Economic Statistics, 2015, 33, (1), 9-11
- TESTS FOR PARAMETER INSTABILITY IN DYNAMIC FACTOR MODELS
Econometric Theory, 2015, 31, (5), 1117-1152 View citations (58)
See also Working Paper Tests for Parameter Instability in Dynamic Factor Models, DSSR Discussion Papers (2013) View citations (3) (2013)
2013
- Frequentist inference in weakly identified dynamic stochastic general equilibrium models: Acronyms must be spelled out in titles for indexing purposes
Quantitative Economics, 2013, 4, (2), 197-229
- Inference on impulse response functions in structural VAR models
Journal of Econometrics, 2013, 177, (1), 1-13 View citations (182)
See also Working Paper Inference on Impulse Response Functions in Structural VAR Models, DSSR Discussion Papers (2013) View citations (189) (2013)
2012
- Information criteria for impulse response function matching estimation of DSGE models
Journal of Econometrics, 2012, 170, (2), 499-518 View citations (46)
See also Working Paper Information Criteria for Impulse Response Function Matching Estimation of DSGE Models, Working Papers (2010) View citations (3) (2010)
- MEAN-PLUS-NOISE FACTOR MODELS: AN EMPIRICAL EXPLORATION
The Japanese Economic Review, 2012, 63, (3), 289-309 View citations (1)
- Out-of-Sample Forecast Tests Robust to the Choice of Window Size
Journal of Business & Economic Statistics, 2012, 30, (3), 432-453 View citations (224)
See also Working Paper Out-of-sample forecast tests robust to the choice of window size, Economics Working Papers (2012) View citations (227) (2012)
2011
- Identifying the Sources of Instabilities in Macroeconomic Fluctuations
The Review of Economics and Statistics, 2011, 93, (4), 1186-1204 View citations (74)
- Testing for weak identification in possibly nonlinear models
Journal of Econometrics, 2011, 161, (2), 246-261 View citations (16)
See also Working Paper Testing for Weak Identification in Possibly Nonlinear Models, Working Papers (2010) (2010)
2010
- Two-Sample Instrumental Variables Estimators
The Review of Economics and Statistics, 2010, 92, (3), 557-561 View citations (147)
See also Working Paper Two-Sample Instrumental Variables Estimators, NBER Technical Working Papers (2005) View citations (9) (2005)
2009
- Do Actions Speak Louder Than Words? Household Expectations of Inflation Based on Micro Consumption Data
Journal of Money, Credit and Banking, 2009, 41, (7), 1331-1363 View citations (1)
Also in Journal of Money, Credit and Banking, 2009, 41, (7), 1331-1363 (2009) View citations (13)
See also Working Paper Do Actions Speak Louder than Words? Household Expectations of Inflation Based on Micro Consumption Data, CEPR Discussion Papers (2006) View citations (6) (2006)
2008
- Efficient estimation and inference in linear pseudo-panel data models
Journal of Econometrics, 2008, 142, (1), 449-466 View citations (13)
- Entropy-Based Moment Selection in the Presence of Weak Identification
Econometric Reviews, 2008, 27, (4-6), 398-427
- How Useful Is Bagging in Forecasting Economic Time Series? A Case Study of U.S. Consumer Price Inflation
Journal of the American Statistical Association, 2008, 103, 511-522 View citations (124)
- Monitoring and Forecasting Currency Crises
Journal of Money, Credit and Banking, 2008, 40, (2‐3), 523-534 View citations (1)
Also in Journal of Money, Credit and Banking, 2008, 40, (2-3), 523-534 (2008) View citations (7)
See also Working Paper Monitoring and Forecasting Currency Crises, Working Papers (2005) View citations (2) (2005)
2007
- Corrigendum to: "The large sample behaviour of the generalized method of moments estimator in misspecified models": [Journal of Econometrics 114 (2003) 361-394]
Journal of Econometrics, 2007, 141, (2), 1417-1418
- Information in generalized method of moments estimation and entropy-based moment selection
Journal of Econometrics, 2007, 138, (2), 488-512 View citations (52)
2006
- A PORTMANTEAU TEST FOR SERIALLY CORRELATED ERRORS IN FIXED EFFECTS MODELS
Econometric Theory, 2006, 22, (5), 835-851 View citations (27)
See also Working Paper A Portmanteau Test for Serially Correlated Errors in Fixed Effects Models, NBER Technical Working Papers (2005) (2005)
- A bootstrap approach to moment selection
Econometrics Journal, 2006, 9, (1), 48-75 View citations (8)
- Bootstrapping GMM estimators for time series
Journal of Econometrics, 2006, 133, (2), 531-555 View citations (52)
See also Working Paper Bootstrapping GMM Estimators for Time Series, Vanderbilt University Department of Economics Working Papers (2003) View citations (6) (2003)
- On the selection of forecasting models
Journal of Econometrics, 2006, 130, (2), 273-306 View citations (95)
See also Working Paper On the Selection of Forecasting Models, CEPR Discussion Papers (2003) View citations (32) (2003)
- Testing for the principal’s monopsony power in agency contracts
Empirical Economics, 2006, 31, (3), 717-734 View citations (1)
2005
- In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use?
Econometric Reviews, 2005, 23, (4), 371-402 View citations (141)
See also Working Paper In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use?, CEPR Discussion Papers (2002) View citations (113) (2002)
- Recursive Predictability Tests for Real-Time Data
Journal of Business & Economic Statistics, 2005, 23, 336-345 View citations (26)
See also Working Paper Recursive Predictability Tests for Real-Time Data, Working Papers (2003) View citations (4) (2003)
2003
- COVARIANCE MATRIX ESTIMATION AND THE LIMITING BEHAVIOR OF THE OVERIDENTIFYING RESTRICTIONS TEST IN THE PRESENCE OF NEGLECTED STRUCTURAL INSTABILITY
Econometric Theory, 2003, 19, (6), 962-983 View citations (8)
- THE CONTINUITY OF THE LIMIT DISTRIBUTION IN THE PARAMETER OF INTEREST IS NOT ESSENTIAL FOR THE VALIDITY OF THE BOOTSTRAP
Econometric Theory, 2003, 19, (6), 944-961 View citations (16)
- The large sample behaviour of the generalized method of moments estimator in misspecified models
Journal of Econometrics, 2003, 114, (2), 361-394 View citations (96)
See also Working Paper The Large Sample Behaviour of the Generalized Method of Moments Estimator in Misspecified Models, Econometrics (2005) View citations (12) (2005)
2002
- A MONTE CARLO COMPARISON OF VARIOUS ASYMPTOTIC APPROXIMATIONS TO THE DISTRIBUTION OF INSTRUMENTAL VARIABLES ESTIMATORS
Econometric Reviews, 2002, 21, (3), 309-336 View citations (32)
- Bootstrapping Autoregressive Processes with Possible Unit Roots
Econometrica, 2002, 70, (1), 377-391 View citations (87)
See also Working Paper Bootstrapping Autoregressive Processes with Possible Unit Roots, Econometric Society World Congress 2000 Contributed Papers (2000) View citations (6) (2000)
- Bootstrapping Smooth Functions of Slope Parameters and Innovation Variances in VAR (∞) Models
International Economic Review, 2002, 43, (2), 309-332 View citations (39)
- Identifying the sign of the slope of a monotonic function via OLS
Economics Letters, 2002, 75, (3), 419-424 View citations (1)
2001
- Long memory and regime switching
Journal of Econometrics, 2001, 105, (1), 131-159 View citations (702)
See also Working Paper Long Memory and Regime Switching, NBER Technical Working Papers (2000) View citations (44) (2000)
- TESTING FOR DISTRIBUTIONAL CHANGE IN TIME SERIES
Econometric Theory, 2001, 17, (1), 156-187 View citations (43)
- Testing and comparing Value-at-Risk measures
Journal of Empirical Finance, 2001, 8, (3), 325-342 View citations (84)
See also Working Paper Testing and Comparing Value-at-Risk Measures, CIRANO Working Papers (2001) View citations (82) (2001)
1999
- Tests of cointegrating rank with a trend-break
Journal of Econometrics, 1999, 90, (2), 215-237 View citations (57)
1996
- Software review
International Journal of Forecasting, 1996, 12, (2), 309-315 View citations (1)
1993
- The Stability of the Japanese Banking System: A Historical Perspective
Journal of the Japanese and International Economies, 1993, 7, (4), 387-407 View citations (16)
Chapters
2018
- The Effects of Conventional and Unconventional Monetary Policy on Exchange Rates
A chapter in NBER International Seminar on Macroeconomics 2018, 2018, pp 419-447 View citations (16)
See also Working Paper The Effects of Conventional and Unconventional Monetary Policy on Exchange Rates, Barcelona School of Economics (2018) View citations (19) (2018)
Journal Article The effects of conventional and unconventional monetary policy on exchange rates, Elsevier (2019) View citations (75) (2019)
Software Items
2024
- TVPREG: Stata module to perform parameter path estimation in unstable environments
Statistical Software Components, Boston College Department of Economics
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