Systemic Risk Surveillance

Authors: Timo Dimitriadis, Yannick Hoga

Abstract

Following several episodes of financial market turmoil in recent decades, changes in systemic risk have drawn growing attention. Therefore, we propose surveillance schemes for systemic risk, which allow to detect misspecified systemic risk forecasts in an “online” fashion. This enables daily monitoring of the forecasts while controlling for the accumulation of false test rejections. Such online schemes are vital in taking timely countermeasures to avoid financial distress. Our monitoring procedures allow multiple series at once to be monitored, thus increasing the likelihood and the speed at which early signs of trouble may be picked up. The tests hold size by construction, such that the null of correct systemic risk assessments is only rejected during the monitoring period with (at most) a pre-specified probability. Monte Carlo simulations illustrate the good finite-sample properties of our procedures. An empirical application to US banks during multiple crises demonstrates the usefulness of our surveillance schemes for both regulators and financial institutions.

Complexity vs Empirical Score

Math Complexity: 7.5/10
Empirical Rigor: 8.0/10
Quadrant: Holy Grail — high math complexity, high empirical rigor

Why this score: This paper tackles a critical gap in financial risk management by introducing non-asymptotic, online surveillance schemes for multivariate systemic risk measures (CoVaR, RCoVaR, CoES, MES). The theoretical framework relies on rigorous non-asymptotic identification functions, supported by Monte Carlo simulations and empirical validation on US banking data, with full replication code publicly provided.

Research Flowchart

  flowchart TD
    A[Goal: Develop Online Systemic Risk Surveillance Scheme] --> B[Input: Daily Multi-Series Financial Data from US Banks]
    B --> C[Methodology: Sequential Hypothesis Testing]
    C --> D[Process: Monte Carlo Simulations for Finite-Sample Properties]
    D --> E[Outcome: Online Detection of Misspecified Risk Forecasts]
    E --> F[Impact: Timely Countermeasures & Controlled False Rejections]

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A conditionally heteroskedastic time series model for speculative prices and rates of return (1987)
Estimating the tails of loss severity distributions using extreme value theory (1997)
Robust Monitoring of CAPM Portfolio Betas (2013)
Tail index of an AR(1) model with ARCH(1) errors (2013) — link
Test for Conditional Ellipticity in Multivariate GARCH Models (2017)
On the Empirical Characteristic Function Process of the Residuals in GARCH Models and Applications (2014)
Empirical Process of the Squared Residuals of an ARCH Sequence (2001)
Estimating a Quantile of a Symmetric Distribution (1985)
Symmetric Quantile Averages and Related Estimators (1981)
Tests of Symmetry based on C ram' e r-von- M ises Statistics (1977)
SEQUENTIAL TESTING FOR THE STABILITY OF HIGH-FREQUENCY PORTFOLIO BETAS (2012) — link
Generalized regular variation of second order (1996)
Asymptotics of the shorth plot (2010)
Statistics of Heteroscedastic Extremes (2016)
Testing for Change Points in Time Series (2010)
Diagnosing the Distribution of GARCH Innovations (2014)
Estimation of Tail-Related Risk Measures for Heteroscedastic Financial Time Series: An Extreme Value Approach (2000)
Estimation and Tests for Power-Transformed and Threshold GARCH Models (2008)
Tail Index Estimation for a Filtered Dependent Time Series (2015)
Conditional Value-at-Risk: Semiparametric Estimation and Inference (2016)
Expected Shortfall Estimation and G aussian Inference for Infinite Variance Time Series (2015)
Monitoring Structural Change (1996)
Some limit theorems for fractional L' e vy Brownian fields (1999)
Weak convergence of the tail empirical process for dependent sequences (2009)
A Note on Weak Convergence of the Sequential Multivariate Empirical Process Under Strong Mixing (2015) — link
Coherent Measures of Risk (1999)
Some aspects of extreme value statistics under serial dependence (2008)
Inference for the tail parameter of a linear process with heavy tail innovations (1998)
Convolutions of heavy-tailed random variables and application to portfolio diversification and MA (1) time series (2000)
Tail calculus with remainder, applications to tail expansions for infinite order moving averages, randomly stopped sums, and related topics (2004)
Misspecification Testing in a Class of Conditional Distributional Models (2013)
The variation of certain speculative prices (1963)
Extremes and local dependence in stationary sequences (1983)
On Extreme Values in Stationary Sequences (1974)
Testing for parameter constancy in GARCH(p,q) models (2004)
rugarch: Univariate GARCH models (2019)
rmgarch: Multivariate GARCH models (2022)
R: A Language and Environment for Statistical Computing (2018) — link
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Tail index estimation in small samples: Simulation results for independent and ARCH -type financial return models (2004)
Stationarity Changes in Long-Run Energy Commodity Prices (2016)
Exploiting Tail Shape Biases to Discriminate Between Stable and S tudent $t$ Alternatives (2018)
Are Output Growth-Rate Distributions Fat-Tailed? S ome Evidence from OECD Countries (2008)
Measuring Tail Thickness Under GARCH and an Application to Extreme Exchange Rate Changes (2005)
Testing for Changes in (Extreme) VaR (2017)
Change Point Tests for the Tail Index of $\beta$-Mixing Random Variables (2017)
Sequential Monitoring of the Tail Behavior of Dependent Data (2017)
Detection of Change in Persistence of a Linear Time Series (2000)
Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance (1994)
Asymptotic results for the empirical process of stationary sequences (2009)
Testing for structural change under non-stationary variances (2015)
The sample autocorrelatios of heavy-tailed processes with applications to ARCH (1998)
Circuit Breakers and the Tail Index of Equity Returns (2004)
From value at risk to stress testing: The extreme value approach (2000)
Variance Shifts, Structural Breaks, and Stationarity Tests (2003)
Extreme Value Theory and Value at Risk: Application to oil market (2009)
Time variation in the tail behavior of bund future returns (2004)
Change point analysis of extreme values (2010)
On some limit theorems similar to the arc-sine law (1965)
Burr Regression and Portfolio Segmentation (1999)
Burr Regression and Portfolio Segmentation (1998)
Statistics of Extremes (2004)
Strong Approximations in Probability and Statistics (1981)
Testing for Symmetry (1987)
Pitfalls and opportunities in the use of extreme value theory in risk management (2000)
Tail index and quantile estimation with very high frequency data (1997)
Nonparametric Tests for Conditional Symmetry in Dynamic Models (2007)
Financial Risk Forecasting (2011)
An Introduction to Probability Theory and its Applications (1966)
Estimation of parameters and large quantiles based on the $k$ largest observations (1978)
Fat tails, VaR and subadditivity (2013)
Non-Strong Mixing Autoregressive Processes (1984)
Extreme-quantile tracking for financial time series (2014)
Efficient Estimation in Semiparametric GARCH models (1997)
ARCH modeling in finance: A review of the theory and empirical evidence (1992)
Institutional Investors and Stock Market Volatility (2006)
Slow variation with remainder: Theory and applications (1987)
Inference for Heavy Tailed Stationary Time Series Based on Sliding Blocks (2018)
Threshold Heteroskedastic Models (1994)
A Long Memory Property of Stock Market Returns and a New Model (1993)
Dynamic Factor Models (2011)
Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)
Modelling Dependence with Copulas and Applications to Risk Management (2003)
Financial Risk and Heavy Tails (2003)
On Martingale Central Limit Theory (1986)
Basic Properties of Strong Mixing Conditions (1986)
Estimating the Tail Index (1998)
Probabilistic Properties of Stochastic Volatility Models (2009)
Evaluating Volatility and Correlation Forecasts (2009)
Different Kinds of Risk (2009)
Extremes of Stochastic Volatility Models (2009)
Dealing with Dependent Risks (2014)
Structural breaks in financial time series (2009)
Stationarity, Mixing, Distributional Properties and Moments of GARCH (p,q)-Processes (2009)
Complete Convergence and the Law of Large Numbers (1947)
Monitoring correlation change in a sequence of random variables (2013)
Comparison of tail index estimators (1998)
Change point test of tail index for autoregressive processes (2012)
The method of moments ratio estimator for the tail shape parameter (1996)
Implicit renewal theory and tails of solutions of random equations (1991)
Limit Theorems for Empirical Processes of Cluster Functionals (2010)
On asymptotic normality of Hill ’s estimator for the exponent of regular variation (1985)
Extreme quantile estimation for dependent data, with applications to finance (2003)
Refined Pickands Estimators for the Extreme Value Index (1995)
Efficiency of convex combinations of Pickands estimator of the extreme value index (1994)
A class of Pickands -type estimators for the extreme value index (2000)
A Location-Invariant H ill-Type Estimator (2001)
Estimation of the tail parameter in the domain of attraction of an extremal distribution (1995)
On a Generalized Pickands Estimator of the Extreme Value Index (2002)
Generalized Pickands Estimator for the extreme value index (2005)
Weak Convergence of Partial Sums of Absolutely Regular Sequences (1984)
Asymptotic Behavior of Hill ’s Estimator for Autoregressive Data (1997)
Smoothing the H ill Estimator (1997)
PORT H ill and Moment Estimators for Heavy-Tailed Models (2008)
How Can Non-Invariant Statistics Work in Our Benefit in the Semi-Parametric Estimation of Parameters of Rare Events (2003)
Convergence criteria for multiparameter stochastic processes and some applications (1971)
Statistical Inference Using Extreme Order Statistics (1975)
A moment estimator for the index of an extreme-value distribution (1989)
On the Construction of Almost Uniformly Convergent Random Variables with Given Weakly Convergent Image Laws (1970)
Weighted Approximations of Tail Processes for $\beta$-mixing Random Variables (2000)
A General Class of Estimators of the Extreme Value Index (1998)
On Smooth Statistical Tail Functionals (1998)
Functional central limit theorems for processes with positive drift and their inverses (1972)
The Extremal Index for GARCH (1,1) processes (2012)
Generic Uniform Convergence (1992)
Regular Variation and Extremal Dependence of GARCH Residuals with Application to Market Risk Measures (2008)
A sturdy reduced-bias extreme quantile (VaR) estimator (2007)
Testing That a Dependent Process Is Uncorrelated (2001)
The Tail Index of Exchange Rate Returns (1990)
Empirical Processes with Applications to Statistics (1986)
Value at Risk: the New Benchmark for Managing Financial Risk (2006)
Weak Convergence and Empirical Processes (1996)
An Introduction to High-Frequency Finance (2001)
Stationary and Related Stochastic Processes (1967)
Mixing. Properties and Examples (1994)
Introduction to Strong Mixing Conditions Vol. I (2007)
Convergence of Probability Measures (1968)
Probability and Measure (1995)
Probability and Measure (1979)
Regular Variation (1987)
Multiparameter Processes (2002)
Heavy-Tail Phenomena: Probabilistic and Statistical Modeling (2007)
Extreme Value Theory (2006)
Stochastic Limit Theory (1994)
Nonparametric Estimation of Tail Dependence (2006)
Nonparametric tests for constant tail dependence with an application to energy and finance (2015)
A new moment bound and weak laws for mixingale arrays without memory or heterogeneity restrictions, with applications to tail trimmed arrays (2010)
Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)
Tests of Conditional Predictive Ability (2006)
Volatility Forecast Comparison Using Imperfect Volatility Proxies (2011)
Asymptotic Inference About Predictive Accuracy Using High Frequency Data (2018)
CoVaR (2016)
SRISK : A Conditional Capital Shortfall Measure of Systemic Risk (2016)
Estimating the Stable Index $\alpha$ in Order to Measure Tail Thickness: A Critique (1983)
Modelling Asymmetric Exchange Rate Dependence (2006)
Diagnostics for Dependence within Time Series Extremes (2003)
Power Laws in Economics and Finance (2009)
Zipf’s Law for Cities: An Explanation (1999)
Power Laws in Economics: A n Introduction (2016)
A Theory of Power-Law Distributions in Financial Market Fluctuations (2003)
Tail and nontail memory with applications to extreme value and robust statistics (2011)
Estimation of the maximal moment exponent of a GARCH(1,1) sequence (2003)
MEAN AND VARIANCE CHANGE IN CLIMATE SCENARIOS: METHODS, AGRICULTURAL APPLICATIONS, AND MEASURES OF UNCERTAINTY (1997)
Regular variation of GARCH processes (2002)
Testing For and Dating Common Breaks in Multivariate Time Series (1998)
Structural Change Tests in Tail Behaviour and the Asian Crisis (2001)
Extreme Value Dependence in Financial Markets: Diagnostics, Models, and Financial Implications (2004)
Modeling Extreme Value Dependence in International Stock Markets (2003)
Non-Diversification Traps in Markets for Catastrophic Risk (2009)
Value at Risk and Efficiency under Dependence and Heavy-Tailedness: Models with Common Shocks (2011)
A New Approach to Measuring Financial Contagion (2003)
Dependence Structure and Risk Measure (2003)
Bivariate Extreme Statistics (1960)
Estimating the Extremal Index (1994)
A New Class of Models for Bivariate Joint Tails (2009)
Statistics for Near Independence in Multivariate Extreme Values (1996)
Hidden Regular Variation, Second Order Regular Variation and Asymptotic Independence (2002)
Characterizations and Examples of Hidden Regular Variation (2004)
Modelling Dependence within Joint Tail Regions (1997)
Tail risk and asset prices (2014)
Test for tail index change in stationary time series with Pareto-type marginal distribution (2009)
Change point test for tail index for dependent data (2011)
On Tail Index Estimation for Dependent, Heterogeneous Data (2010)
On the measurement and treatment of extremes in time series (2016)
On a minimum distance procedure for threshold selection in tail analysis (2018) — link
The Sample Autocorrelations of Heavy-Tailed Processes with Applications to ARCH (1998)
Estimation of Extreme Risk Regions Under Multivariate Regular Variation (2011)
On functional central limit theorems for dependent, heterogeneous arrays with applications to tail index and tail dependence estimation (2009)
On tail index estimation using dependent data (1991)
A simple general approach to inference about the tail of a distribution (1975)
Long-term health effects on the next generation of Ramadan fasting during pregnancy (2011)
Ruggedness: T he Blessing of Bad Geography in A frica (2012)
Adopting a New Religion: The Case of Protestantism in 16th Century G ermany (2012)
Violent Conflict and Behavior: A Field Experiment in B urundi (2012)
Getting More Work for Nothing? S ymbolic Awards and Worker Performance (2011)
Jackknife, bootstrap and other resampling methods in regression analysis (1986)
The power of bootstrap and asymptotic tests (2006)
Bootstrap Determination of the Co-integration Rank in VAR Models (forthcoming)
A Simple Nonstationary-Volatility Robust Panel Unit Root Test (201x)
Generalizations of the familywise error rate (2005)
Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility (2011)
Bootstrapping autoregression under non-stationary volatility (2008)
Data Mining Reconsidered: Encompassing and the General-to-Specific Approach to Specification Search (1999)
O n stepdown control of the false discovery proportion (2006)
Testing against a High Dimensional Alternative (2006)
Variable Selection in Nonparametric Additive Models (2010)
Estimating the Effect of a Variable in a High-Dimensional Linear Model (2012)
Explaining Growth: A Contest between Models (2002)
From Financial Crash to Debt Crisis (2011)
The spatial and temporal diffusion of house prices in the UK (2011)
Testing the null of a low dimensional growth model (2010)
Model selection via genetic algorithms illustrated with cross-country growth data (2007)
Asymptotic Inference on Cointegrating Rank in Partial Systems (1998)
Multiple Testing for Output Convergence (201x)
Recursive Mean Adjustment for Unit Root Tests (2001)
Testing for Unit Roots in Panel Time Series with Time-Varying Volatility (2012)
Money, income, and sunspots: Measuring economic relationships and the effects of differencing (1978)
A panel bootstrap cointegration test (2007)
Long-run trends in internal migrations in italy: a study in panel cointegration with dependent units (2007)
Residual based tests for cointegration in dependent panels (2011)
Modified Sequentially Rejective Multiple Test Procedures (1986)
The Performance of Panel Cointegration Methods: Results from a Large Scale Simulation Study (2010)
Estimating cointegrated systems using subspace algorithms (2002)
The geography of output volatility (2009)
Econometrics for Grumblers: A New Look at the Literature on Cross-Country Growth Empirics (2011)
Testing for General Fractional Integration in the Time Domain (2009)
Fractional Cointegration in the Presence of Linear Trends (2009)
Asymptotic Normal Tests for Integration in Panels with Cross-Dependent Units (2011)
Time series analysis and simultaneous equation econometric models (1974)
Forecasting Private Consumption: Survey-Based Indicators vs. Google Trends (2011)
Introductory Time Series with R (2009)
The Limiting Distribution of the t Ratio under a Unit Root (1995)
Notation in Econometrics: A Proposal for a Standard (2002)
Matrix Algebra (2005)
The Nonparametric Identification of Treatment Effects in Duration Models (2003)
Analyzing the effect of dynamically assigned treatments using duration models, binary treatment models, and panel data models (2004)
Adapting to Unknown Sparsity by Controlling the False Discovery Rate (2006)
The Equivalence of Two Estimators of the Fixed-Effects Logit Model (1997)
Estimating the Effect of Smoking on Birth Outcomes using a Matched Panel Data Approach (2006)
Purchasing Power Parity in the Long-Run (1990)
The Colonial Origins of Comparative Development: An Empirical Investigation (2001)
Stated Preference Approaches for Measuring Passive Use Values: Choice Experiments and Contingent Valuation (1998)
Deviations from Purchasing Power Parity in the Long Run (1983)
Efficient Estimation of Models for Dynamic Panel Data (1995)
Efficient Estimation of Dynamic Panel Data Models: Alternative Assumptions and Simplified Estimation (1997)
Estimation for Partially Nonstationary Multivariate Autoregressive Models (1990)
Maximum-Likelihood Estimation of Discretely-Sampled Diffusions: A Closed-Form Approximation Approach (2002)
Telling from Discrete Data Whether the Underlying Continuous-Time Model is a Diffusion (2002)
The Market for Lemons: Quality Uncertainty and the Market Mechanism (1970)
On Error Correction Models: Specification, Interpretation, Estimation (1991)
Symmetrically Normalized Instrumental-Variable Estimation Using Panel Data (1999)
Sectoral and Aggregate Inflation Dynamics in the Euro Area (2006)
Using Asset Prices to Measure the Cost of Business Cycles (2004)
The Time Series and Cross Section Asymptotics of Dynamic Panel Data Estimators (2003)
Selection of Regressors (1980)
Qualitative Response Models: A Survey (1981)
Tobit Models: A Survey (1984)
Asymptotic Properties of Conditional Maximum-Likelihood Estimators (1970)
The Uruguay Round and Welfare in Some Distorted Agricultural Economies (1998)
Domestic Distortions and International Trade (1995)
New Approach to Evaluating Trade Policy (1996)
Estimators of the Parameters of a Single Equation in a Complete Set of Stochastic Equations (1949)
Asymptotic Theory of Certain “Goodness of Fit” Criteria Based on Stochastic Processes (1952)
Estimation of Dynamic Models with Error Components (1981)
Formulation and Estimation of Dynamic Models Using Panel Data (1982)
Exactly Median-Unbiased Estimation of First Order Autoregressive/Unit Root Models (1993)
Asymptotic Size and a Problem with Subsampling and with the $m$ Out of $n$ Bootstrap (200x)
Exactly Median Unbiased Estimation of First-Order Autoregressive/Unit Root Models (1991)
Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)
Estimation When a Parameter is on the Boundary (1999)
An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator (1992)
Performance of Conditional Wald Tests in IV Regression with Weak Instruments (2007)
Best Median-Unbiased Estimation in Linear Regression with Bounded Asymmetric Loss Functions (1987)
Best Median-Unbiased Estimation in Linear Regression with Bounded Asymmetric Loss Functions (1987)
Rank Tests for Instrumental Variables Regression with Weak Instruments (2007)
Testing with Many Weak Instruments (2007)
Lifetime Earnings and the Vietnam Era Draft Lottery: Evidence from Social Security Administrative Records (1990)
Estimating the Labor Market Impact of Voluntary Military Service Using Social Security Data on Military Applicants (1998)
Children and Their Parents’ Labor Supply: E vidence from Exogenous Variation in Family Size (1998)
Identification of Causal Effects Using Instrumental Variables (1996)
Does Compulsory School Attendance Affect Schooling and Earnings? (1991)
Using M aimonides’ Rule to Estimate the Effect of Class Size on Scholastic Achievement (1999)
Evaluating the Dynamic Employment Effects of Training Programs in East Germany Using Conditional Difference�in�Differences (2004)
Spatial Econometrics: Methods and Models (1988)
Rao’s score test in spatial econometrics (2001)
Small sample properties of tests for spatial dependence in regression models: Some further results (1995)
On the Mean-Reverting Properties of Target Zone Exchange Rates: Some Evidence from the ERM (1998)
Exchange Rates and Interest Rates Prior to EMU: The Case of Greece (2003)
Inflation, output growth, volatility and causality: evidence from panel data and the G7 countries (2004)
Some Tests of Specification for Panel Data: M onte C arlo Evidence and an Application to Employment Equations (1991)
Computing Robust Standard Errors for Within-Group Estimators (1987)
A Note on the Anderson-Hsiao Estimator for Panel Data (1989)
Panel Data Econometrics (2003)
Stochastische Differentialgleichungen (1973)
Licensing the market for technology (2003)
Uncertainty and the Economics of Medical Care (1963)
Real Analysis and Probability (1972)
Estimating the Effect of Training Programs on Earnings (1978)
Estimates of the Economic Return to Schooling from a New Sample of Twins (1994)
On the Measurement of Poverty (1987)
Phonemic Diversity Supports a Serial Founder Effect Model of Language Expansion from Africa (2011)
Time-dependent versus State-dependent Pricing: A Panel Data Approach to the Determinants of Belgian Consumer Price Changes (2005)
"Okonometrie - Eine Einf"uhrung (2003)
Values of Markets with a Continuum of Traders (1975)
Multiperiod Probit Models and Orthogonality Condition Estimation (1983)
The Demand for M1 in the U.S.A., 1960-1988 (1992)
International Evidence of the Historical Properties of Business Cycles (1992)
Inferential Theory for Factor Models of Large Dimensions (2003)
Determining the Number of Factors in Approximate Factor Models (2002)
A New Look at Panel Testing of Stationarity and the PPP Hypothesis (2004)
A PANIC Attack on Unit Roots and Cointegration (2004)
Common Stochastic Trends in a System of Exchange Rates (1989)
Bond Price Dynamics and Options (1983)
Econometric Analysis of Panel Data (2001)
Econometrics (2002)
Forecasting with Panel Data (2008)
Panel Unit Root Tests and Spatial Dependence (2007)
Gasoline Demand in the OECD. An Application of Pooling and Testing Procedures (1983)
Pooled Estimators vs. Their Heterogeneous Counterparts in the Context of Dynamic Demand for Gasoline (1997)
Nonstationary Panels, Cointegration in Panels and Dynamic Panels: A Survey (2000)
Testing AR (1) against MA (1) Disturbances in an Error Component Model (1995)
Testing for serial correlation, spatial autocorrelation and random effects using panel data (2007)
Testing Panel Data Regression Models with Spatial Error Correlation (2003)
Testing for heteroskedasticity and spatial correlation in a random effects panel data model (2009)
On Instrumental Variable Estimation of Semiparametric Dynamic Panel Data Models (2002)
Fully Nonparametric Estimation of Scalar Diffusion Models (2003)
Panel Data Unit Roots and Cointegration: An Overview (1999)
Exploring Equilibrium Relationships in Econometrics Through Static Models: Some M onte C arlo Evidence (1986)
Error-Correction Mechanism Tests for Cointegration in a Single-Equation Framework (1998)
Some Cautions on the Use of Panel Methods for Integrated Series of Macroeconomic Data (2004)
Testing for PPP : Should We Use Panel Methods? (2005)
False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas (2010)
Foreign Direct Investment, Technological Change, and Economic Growth Within Europe (1997)
Economic Growth in a Cross-Section of Countries (1991)
Convergence (1992)
Bootstrapping Unstable First-Order Autoregressive Processes (1991)
Haben und nicht haben - Eine A nalyse der W ertsch" a tzung von W eihnachtsgeschenken in D eutschland (2009)
An Introduction to Modern Econometrics Using Stata (2006)
Productivity Growth, Convergence, and Welfare: What the Long-Run Data Show (1986)
Aggregate Investment Dynamics, when Firms Face Fixed Investment Costs and Capital Market Imperfections (2006)
A Comment on the Economics of Labor Adjustment: Mind the Gap? - E vidence from M onte C arlo Experiments (2009)
Is Double Trouble? H ow to Combine Cointegration Tests (2008)
Combining Non-Cointegration Tests (2009)
Combining Non-Cointegration Tests (2011)
Combining Non-Cointegration Tests (2011)
Combining Non-Cointegration Tests (2012)
Distribution-Free Statistical Inference with Lorenz Curves and Income Shares (1983)
Unit Root Testing with Unstable Volatility (2008)
What to do (and not to do) with Time-Series-Cross-Section Data in Comparative Politics (1995)
Finance and the Sources of Growth (2000)
A Theory of the Allocation of Time (1965)
Location Choice and Employment Decisions: A Comparison of German and Swedish Multinationals (2005)
Was W eber Wrong? A Human Capital Theory of Protestant Economic History (2009)
The effect of Protestantism on education before the industrialization: E vidence from 1816 Prussia (2010)
Intramarginal Interventions, Bands and the Pattern of EMS Exchange Rate Distributions (1994)
EMU: Getting the End-Game Right (1997)
Official Central Bank Interventions and Exchange Rate Volatility: Evidence from a Regime-Switching Analysis (2003)
Alternative Approximations to the Distributions of Instrumental Variable Estimators (1994)
Finite-Sample Instrumental Variables Inference Using an Asymptotically Pivotal Statistic (2003)
Euroisierung der Mittel- und Osteurop"aischen Beitrittskandidaten - ein Alternativer Weg in die W"ahrungsunion? (2003)
Labor-Force Participation Rates and the Supply of Labor (1973)
A Simple Forward Selection Procedure Based on False Discovery Rate Control (2009)
Controlling the False Discovery Rate: A Practical and Powerful Approach to Multiple Testing (1995)
Adaptive Linear Step-Up Procedures that control the false discovery rate (2006)
The Control of the False Discovery Rate in Multiple Testing under Dependency (2001)
Efficient Tests for Normality, Homoscedasticity and Serial Independence of Regression Residuals (1980)
Efficient Tests for Normality, Homoscedasticity and Serial Independence of Regression Residuals: M onte C arlo Evidence (1981)
Model Specification Tests: A Simultaneous Approach (1982)
Non-Recursive Models as Discrete Approximations to Systems of Stochastic Differential Equations (1966)
Gaussian Estimation of Structural Parameters in Higher Order Continuous Time Dynamic Models (1983)
The Estimation of Parameters in Nonstationary Higher-Order Continuous-Time Dynamic Models (1985)
The Estimation of Open Higher-Order Continuous-Time Dynamic Models with Mixed Stock and Flow Data (1986)
The History of Continuous-Time Econometric Models (1988)
Free Labor for Costly Journals? (2001)
Asymptotically Optimal Methods of Combining Tests (1979)
Measuring the Effects of Monetary Policy: A Factor-Augmented Vector Autoregressive (FAVAR) Approach (2004)
Interpreting Tests of the Convergence Hypothesis (1996)
Conflict Among Criteria for Testing Hypothesis in the Multivariate Linear Regression Model (1977)
Testosterone Changes During Vicarious Experiences of Winning and Losing Among Fans at Sporting Events (1998)
Continuous-time Models of Exchange Rates and Intervention (1994)
Target Zones and Realignments (1992)
Stochastic Devaluation Risk and the Empirical Fit of Target-Zone Models (1993)
Are E mily and G reg more Employable than L akisha and J amal? A Field Experiment on Labor Market Discrimination (2004)
Convenient Estimators for the Panel Probit Model (1998)
A New Approach to Decomposition of Economic Time Series into Permanent and Transitory Components with Particular Attention to Measurement of the `Business Cycle’ (1981)
Test for Cointegration Based on Canonical Correlation Analysis (1995)
On the Size and Power of System Tests for Cointegration (1999)
On the Theory of Testing for Unit Roots in Observed Time Series (1986)
Estimating Dynamic Random Effects Models from Panel Data Covering Short Time Periods (1983)
Mathematical Statistics (2001)
Sleep and the Allocation of Time (1990)
Nonparametric Cointegration Analysis (1997)
Introduction to the Mathematical and Statistical Foundations of Econometrics (2005)
Break in the Mean and Persistence of Inflation. A Sectoral Analysis of French CPI (2005)
The Monetary Approach to the Exchange Rate: Some Empirical Evidence (1978)
Stochastic Growth Models and Their Econometric Implications (1999)
Estimation and Inference in Short Panel Vector Autoregressions with Unit Roots and Cointegration (2003)
Unemployment and Mental Health: Some Evidence from Panel Data (1985)
The Pricing of Options and Corporate Liabilities (1973)
Output, the Stock Market and Interest Rates (1981)
The Dynamic Effects of Aggregate Demand and Supply Disturbances (1989)
The Long and Large Decline in U.S. Output Volatility (2001)
Well-being over time in Britain and the USA (2004)
BLIND (2011)
BLIND (to appear)
Nonparametric Estimation with Nonlinear Budget Sets (2002)
Initial Conditions and Moment Restrictions in Dynamic Panel Data Models (1998)
Consumer Behaviour: Theory and Empirical Evidence - A Survey (1988)
Is there a Third Way to EMU for the EU Accession Countries (2001)
ARCH Modelling in Finance: A Review of Theory and Empirical Evidence (1992)
Dynamic Panel Data Models: A Guide to Micro Data Methods and Practice (2002)
Handbook of Brownian Motion: Facts and Formulae (2002)
IGLU 2006. Lesekompetenzen von Grundschulkindern in Deutschland im internationalen Vergleich (2007)
Testing for an Unstable Root in Conditional and Unconditional Error Correction Models (1994)
Adaptive Testing for a Unit Root with Nonstationary Volatility (2005)
Problems with Instrumental Variables Estimation when the Correlation between the Instruments and the Endogenous Explanatory Variable is Weak (1995)
Estimating Dynamic Limited Dependent Variable Models From Panel Data (1997)
Testing for Unit Roots in Panel Data: Are Wages on Different Bargaining Levels Cointegrated? (1994)
Modified Stationarity Tests with Improved Power in Small Samples (1995)
The Local Power of Some Unit Root Tests for Panel Data (2000)
Rank Tests for Nonlinear Cointegration (2001)
Nonparametric Tests for Unit Roots and Cointegration (2002)
Nonparametric Tests for Unit Roots and Cointegration (2002)
Panel Unit Root Tests Under Cross Sectional Dependence (2005)
Testing for Unit Roots in Panels with a Factor Structure (2008)
Robust Inference in Dynamic Regression Models with Persistent Regressors (2011)
Rank Tests for Unit Roots (1997)
Unit Roots and Cointegration in Panels (2008)
Evaluating Natural Resource Investments (1985)
Misleading Inferences from Panel Unit Root Tests with an Illustration from Purchasing Power Parity (2001)
The Lagrange Multiplier Test and its Applications to Model Specification in Econometrics (1980)
Testing for Autocorrelation in Dynamic Linear Models (1978)
Efficient Estimation Using Panel Data (1989)
A Simple Test for Heteroscedasticity and Random Coefficient Variation (1979)
Time Series: Theory and Methods (1991)
Introduction to Time Series and Forecasting (2002)
Multivariate GARCH Models: Software Choice and Estimation Issues (2003)
National income inequality predicts women’s preferences for masculinized faces better than health does (2010)
General Equilibrium Evaluations of Tariff-Cutting Proposals in the Tokyo Round and Comparisons with More Extensive Liberalisation of World Trade (1980)
Robust Tests for the Equality of Variances (1974)
Population Size and Civil Conflict Risk: I s There a Causal Link? (2010)
Rain and the Democratic Window of Opportunity (2011)
Efficient Estimation of Simultaneous Equations by Instrumental Variables (1971)
An Empirical Comparison of Forward-Rate and Spot-Rate Models for Valuing Interest-Rate Options (1999)
Anchor, Float or Abandon Ship: Exchange Rate Regimes for the Accession Countries (2002)
The Simple Economics of Optimal Auctions (1989)
Powerful Trend Function Tests That Are Robust to Strong Serial Correlation, With an Application to the Prebisch�Singer Hypothesis (2005)
Progressive Taxation As A Means For Improving Competitive Balance (2005)
Aid, Policies, and Growth (2000)
The Likelihood Ratio, Wald, and Lagrange Multiplier Tests: An Expository Note (1982)
A Computationally Efficient Quadrature Procedure For The One-Factor Multinomial Probit Model (1982)
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Time Series and Dynamic Models (1997)
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Time Series Modelling and Interpretation (1976)
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Long Memory Relationships and the Aggregation of Dynamic Models (1980)
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The Behaviour of the Maximum Likelihood Estimator of limited Dependent Variable Models in the Presence of Fixed Effects (2004)
Residual-Based Tests for Cointegration in Models with Regime Shifts (1996)
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Mixed Signals Among Panel Cointegration Tests (2006)
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Large Sample Properties of Generalized Methods of Moments Estimators (1982)
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Instantaneous Control of Brownian Motion (1983)
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Testing for Unit Roots in the Presence of Uncertainty over Both the Trend and Initial Condition (2011)
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Exact Consumer’s Surplus and Deadweight Loss (1981)
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Efficient Estimation and Identification of Simultaneous Equation Models with Covariance Restrictions (1987)
Panel Data and Unobservable Individual Effects (1981)
Econometrics (2000)
On the Mark: Comment (1981)
A Life Cycle Model of Female Labor Supply (1980)
A Beta-Logistic Model for the Analysis of Sequential Labor Force Participation by Married Women (1977)
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Characterizing Selection Bias Using Experimental Data (1998)
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Four Parameters of Interest in the Evaluation of Social Programs (2001)
Simple Estimators for Treatment Parameters in a Latent-Variable Framework (2003)
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Econometric Modelling With Cointegrated Variables: An Overview (1991)
Dynamic Econometrics (1995)
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Penn World Table Version 6.3 (2009)
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Multiple Comparison Procedures (1987)
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Ridge Regression: Biased Estimation for Nonorthogonal Problems (1970)
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Efficient and Durable Decision Rules with Incomplete Information (1983)
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Nonlinear Models with Panel Data (2002)
Semiparametric Binary Choice Panel Data Models without Strictly Exogeneous Regressors (2002)
Bounds on Parameters in Panel Dynamic Discrete Choice Models (2006)
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Statistical Properties of the Two-Stage Least Squares Estimator under Cointegration (1997)
Analysis of Panel Data (2003)
Estimation of Censored Dynamic Panel Data Models (2002)
Nonstationary Discrete Choice (2004)
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Fundamentals Uncertainty, Bubbles, and Exchange Rate Dynamics (1995)
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Testing for Unit Roots in Heterogeneous Panels (2003)
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One Step Estimators for Over-Identified Generalized Methods of Moments Models (1997)
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The Accuracy of Normal Approximation in a Heterogeneous Panel Data Unit Root Test (2008)
Statistical Analysis of Cointegration Vectors (1988)
Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)
Testing Weak Exogeneity and the Order of Integration in UK Money Demand Data (1992)
Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)
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Numerical Methods in Economics (1998)
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Prospect Theory: An Analysis of Decision under Risk (1979)
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Testing for a unit root in the nonlinear STAR framework (2003)
Panel Data Models with Spatially Correlated Error Components (forthcoming)
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Brownian Motion and Stochastic Calculus (1999)
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A First Course in Stochastic Processes (1975)
A Second Course in Stochastic Processes (1981)
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On the Estimation of Panel-Data Models with Serial Correlation when Instruments are not Strictly Exogenous (1992)
A Generalized Moments Estimator for the Autoregressive Parameter in a Spatial Model (1999)
2SLS and OLS in a Spatial Autoregressive Model with Equal Spatial Weights (2002)
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Estimation Problems in Models with Spatial Weighting Matrices Which Have Blocks of Equal Elements (2006)
A suggested test for spatial autocorrelation and/or heteroskedasticity and corresponding M onte C arlo results (1998)
The Theory of Exchange Rate Target Zones (1999)
An Analytical Approximation of Target Zone Exchange Rate Functions: The Technique of Collocation (1997)
The Impacts of the EU banana market regulation on international competition, trade and welfare (1995)
Heteroskedasticity-Autocorrelation Robust Testing Using Bandwidth Equal to Sample Size (2002)
Small-Sample Confidence Intervals for Impulse Response Functions (1998)
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Large Sample Properties of Posterior Densities, Bayesian Information Criterion and the Likelihood Principle in Nonstationary Time Series Models (1998)
Unit root tests with a break in innovation variance (2002)
The Existence of Moments of k-class Estimators (1980)
Computer Generation of Normal Random Numbers (1976)
Locally Best Invariant Tests of the Error Covariance Matrix of the Linear Regression Model (1985)
Stochastic Trends and Economic Fluctuations (1991)
On Bias, Inconsistency, and Inefficiency of Various Estimators in Dynamic Panel Data Models (1995)
Exact Similar Tests for Unit Roots and Cointegration (1993)
Bias of $s^ 2 $ in the Linear Regression Model with Autocorrelated Errors (1992)
Long Swings in Exchange Rates: Are They Really in the Data? (2005)
Introduction to Stochastic Calculus with Applications (1998)
Pivotal Statistics for Testing Structural Parameters in Instrumental Variables Regression (2002)
Generalizing Weak Instrument Robust IV Statistics towards Multiple Parameters, Unrestricted Covariance Matrices and Identification Statistics (2007)
Playing with the Band: Dynamic Effects of Target Zones in an Open Economy (1990)
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First-Order Serial Correlation in Seemingly Unrelated Regressions (2004)
The Pendulum of Exchange Rate Economics (1998)
The Re-Emergence of PPP in the 1990s (1998)
Analysis 2 (2002)
Goodness of Fit and Related Inference Processes for Quantile Regression (1999)
GMM inference when the number of moment conditions is large (1999)
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A Comparison of Different Latex Programs (2001)
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Bayesian Econometrics (2003)
A Multicountry Characterization of the Nonstationarity of Aggregate Output (1990)
The Exchange Rate and the Balance of Payments in the Short Run and in the Long Run: A Monetary Approach (1976)
The Asymptotic Unbiasedness of $S^2$ in the Linear Regression Model with AR (1)-Disturbances (1991)
Consistency of $s^2$ in the Linear Regression Model with Correlated Errors (1991)
Spatial Autocorrelation Among Errors and the Relative Efficiency of OLS in the Linear Regression Model (1987)
OLS -based Estimation of the Disturbance Variance under Spatial Autocorrelation (2008)
More on the F -test under Nonspherical Disturbances (2009)
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The Linear Regression Model under Test (1986)
Unemployment and the Separation of Married Couples (2001)
The Power of Cointegration Tests (1992)
Computer Automation of General-to-Specific Model Selection Procedures (2001)
Experimental Estimates of Education Production Functions (1999)
Exchange Rate Targets and Currency Bands (1992)
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Target Zones and Exchange Rate Dynamics (1991)
A New Unit Root Test against ESTAR Based on a Class of Modified Statistics (2011)
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Stationary Markov equilibria for overlapping generations (2004)
The Jackknife and the Bootstrap for General Stationary Observations (1989)
Constructing Optimal Instruments by First-Stage Prediction Averaging (2010)
The General Instability of a Class of Competitive Growth Processes (1968)
Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root (1992)
Rules Rather than Discretion (1977)
Time to Build and Aggregate Fluctuations (1982)
The Computational Experiment: An Econometric Tool (1996)
Obtaining Any Wald Statistic You Want (1986)
On the Estimation of Triangular Structural Systems (1978)
Evaluating the Econometric Evaluations of Training Programs with Experimental Data (1986)
A New Approach to Consumer Theory (1966)
The New Open Macroeconomics: A Survey (2001)
Likelihood-Based Cointegration Tests in Heterogeneous Panels (2001)
The finite-sample effects of VAR dimensions on OLS bias, OLS variance, and minimum MSE estimators (2009)
Let’s Take the Con out of Econometrics (1983)
Some Specification Tests for Probit Models Estimated on Panel Data (1995)
A well-conditioned estimator for large-dimensional covariance matrices (2004)
Simulation Estimation of Time-Series Models (1991)
Randomized Experiments from Non-Random Selection in U.S. House Elections (2008)
Mean Reversion of Inflation Rates: Evidence from 13 OECD Countries (2001)
Growth and Convergence in a Multi-Country Empirical Stochastic Solow Model (1997)
Growth Empirics: A Panel Data Approach-A Comment (1998)
Efficient GMM Estimation of High Order Spatial Autoregressive Models with Autoregressive Disturbances (2009)
Estimation of Spatial Autoregressive Panel Data Models with Fixed Effects (2010)
Consistency and Efficiency of Least Squares Estimation for Mixed Regressive, Spatial Autoregressive Models (2002)
Asymptotic Distributions of Quasi-Maximum Likelihood Estimators for Spatial Autoregressive Models (2004)
Growth Convergence: Some Panel Data Evidence (1998)
Model Selection and Inference: F acts and Fiction (2005)
Testing Statistical Hypotheses (2005)
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A Note on the L asso and Related Procedures in Model Selection (2006)
Optimal Control Theory and Static Optimization in Economics (1992)
Unit Root Tests in Panel Data: Asymptotic and Finite-Sample Properties (1992)
Unit Root Tests in Panel Data: New Results (1993)
Unit Root Tests in Panel Data: Asymptotic and Finite-Sample Properties (2002)
The Effect of Prison Population Size on Crime Rates: Evidence from Prison Overcrowding Litigation (1996)
Testting for Unit Roots Using Forward and Reverse D ickey- F uller Regressions (1995)
On the Distribution of Some Test Statistics for Coefficient Constancy (1989)
A Simple Test for Cointegration (1993)
A Simple Test for Cointegration (1993)
Testing for Unit Roots Using Forward and Reverse Dickey-Fuller Regressions (1995)
Bootstrapping Time Series Models (1996)
Bootstrapping Cointegrating Regressions (1997)
Mixtures of $g$ Priors for B ayesian Variable Selection (2008)
Longitudinal Data Analysis Using Generalized Linear Models (1986)
Econometric Software Reliability and Nonlinear Estimation in EViews: A Comment (2000)
Intervention Policy and Mean Reversion in Exchange Rate Target Zones: The Swedish Case (1994)
Testing the Basic Target Zone Model on Swedish Data 1982-1990 (1994)
Asymptotic Optimality of F isher’s Method of Combining Independent Tests (1971)
Asymptotic Optimality of Fisher’s Method of Combining Independent Tests II (1973)
On a Measure of Lack of Fit in Time Series Models (1978)
Stock Prices Do Not Follow Random Walks: Evidence from Simple Specification Tests (1988)
Long-Term Memory in Stock Market Prices (1991)
State of the Art Unit Root Tests and Purchasing Power Parity (forthcoming)
R&D spillovers and productivity: Evidence from U.S. manufacturing microdata (2000)
Some New Stylized Facts of Floating Exchange Rates (1998)
International Financial Relations Under the Current Float: Evidence from Panel Data (1998)
Real Exchange Rate Behavior: The Recent Float from the Perspective of the Past Two Centuries (1996)
Real Exchange Rate Behavior (1997)
Data Mining (1983)
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Comparison of Tests for the Cointegrating Rank of a VAR Process with a Structural Shift (2003)
A Note on the Asymptotic Distribution of Impulse Response Functions of Estimated VAR Models with Orthogonal Residuals (1989)
Asymptotic Distributions of Impulse Response Functions and Forecast Error Variance Decompositions of Vector Autoregressive Models (1990)
Introduction to Multiple Time Series Analysis (1993)
Handbook of Matrices (1996)
Statistische Modellierung von Volatilit"aten (1997)
New Introduction to Multiple Time Series Analysis (2005)
A Model for Studying the Effect of EMU on European Yield Curves (1999)
Comparing Income Mobility in Germany and the United States Using Generalized Entropy Measures (2001)
Panel Unit Root Tests and Real Exchange Rates (1996)
Exchange Rate Economics: A Survey (1992)
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The Crime Reducing Effect of Education (2011)
Critical Values for Cointegration Tests (1991)
Approximate Asymptotic Distribution Functions for Unit-Root and Cointegration Tests (1994)
Numerical Distribution Functions for Unit Root and Cointegration Tests (1996)
Numerical Distribution Functions of Likelihood Ratio Tests for Cointegration (1999)
Some Heteroskedasticity-Consistent Covariance Matrix Estimators with Improved Finite Sample Properties (1985)
The Use of Variance Components Models in Pooling Cross Section and Time Series Data (1971)
Limited Dependent and Qualitative Variables in Econometrics (1983)
Limited Dependent Variable Models Using Panel Data (1987)
Introduction to Econometrics (1988)
On the Use of Panel Data Methods with Cross-Country Data (1999)
Cross-Country Growth Regressions: Problems of Heterogeneity, Stability and Interpretation (2000)
A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test (1999)
Matrix Differential Calculus with its Applications in Statistics and Econometrics (1999)
Maximum Likelihood Estimation of The GLS Model With Unknown Parameters In The Disturbance Covariance Matrix (1978)
Matrix Differential Calculus with Applications in Statistics and Econometrics (1988)
A Comparison of Two Model Averaging Techniques with an Application to Growth Empirics (2010)
Stochastic Methods in Economics and Finance (1981)
Recent Developments in Macroeconomics: A Very Quick Refresher Course (1988)
A Quick Refresher Course in Macroeconomics (1990)
A Contribution to the Empirics of Economic Growth (1992)
On the Statistical Treatment of Linear Stochastic Difference Equations (1943)
Health Insurance and the Demand for Medical Care: Evidence from a Randomized Experiment (1987)
Maximum Score Estimation of the Stochastic Utility Model of Choice (1975)
Semiparametric Analysis of Discrete Response (1985)
Semiparametric Analysis of Random Effects Linear Models from Binary Data (1987)
Nominal Exchange Rates and Monetary Fundamentals: Evidence from a Small Post-Bretton Woods Panel (2001)
Cointegration Vector Estimation by Panel DOLS and Long-Run Money Demand (2003)
Dynamic Seemingly Unrelated Cointegrating Regression (2005)
Dividend Variability and Variance Bounds Tests for the Rationality of Stock Market Prices (1986)
A Threshold Error-Correction Model for Intraday Futures and Index Returns (1998)
On the Equilibrium Price Set of an Exchange Economy (1977)
Monopoly with Incomplete Information (1984)
Auctions and Bidding (1987)
The Loss Function Has Been Mislaid: The Rhetoric of Significance Tests (1985)
Output Fluctuations in the U nited S tates: What Has Changed Since the Early 1980’s? (2000)
A Residual Based Test of the Null of Cointegration in Panel Data (1998)
Econometric Software Reliability: EViews LIMDEP, Shazam and TSP (1999)
Conditional Logit Analysis of Qualitative Choice Behavior (1974)
A Method of Simulated Moments for Estimation of Discrete Response Models Without Numerical Integration (1989)
Rationality for Economists? (1999)
Consumers’ Evaluation of New Products: Learning from Self and Others (1996)
Probit with Spatial Autocorrelation (1992)
Empirical Exchange Rate Models of the Seventies: Do They Fit Out of Sample? (1983)
Was It Real? The Exchange Rate-Interest Differential Relation over the Modern Floating-Rate Period (1988)
Nonlinear, Nonparametric, Nonessential Exchange Rate Estimation (1990)
An Empirical Assessment of Non-Linearities in Models of Exchange Rate Determination (1991)
On Unit Roots and the Empirical Modeling of Exchange Rates (1982)
Stochastic Convergence across U.S. States (2011)
In Honor of Nobel Laurate, Franco Modigliani (1987)
On Market Timing and Investment Performance. I. An Equilibrium Theory of Market Value for Forecasts (1981)
A Functional Perspective of Financial Intermediation (1995)
Influence of Mathematical Models in Finance on Practice: Past, Present, and Future (1995)
Applications of Options-Pricing Theory: Twenty-five Years Later (1998)
Wachstumstheorie (1998)
Workers’ Compensation and Injury Duration: E vidence from a Natural Experiment (1995)
Do political variables affect fiscal policy adjustment decisions? (2007)
Economic Shocks and Civil Conflict: An Instrumental Variables Approach (2004)
Elementary Stochastic Calculus with Finance in View (1998)
Estimating the Effect of A merica’s Most Wanted: A Duration Analysis of Wanted Fugitives (2005)
Speculative Anticipations of Sterling’s Return to Gold: Was Keynes Wrong? (1994)
Currency Bubbles Which Affect Fundamentals: A Qualitative Treatment (1990)
Currency Bands, Target Zones, and Price Flexibility (1991)
Exchange Rate Bands with Price Inertia (1991)
Stochastic Saddlepoint Systems: Stabilization Policy and the Stock Market (1995)
The Evaluation of Economic Forecasts (1969)
An Exploration in the Theory of Optimum Income Taxation (1971)
Information and Incentives: The Economics of Carrots and Sticks (1987)
Econometric Foundations (2000)
A Simple Message for Autocorrelation Correctors: Don’t (1995)
Target Zone Models with Stochastic Realignments: An Econometric Evaluation (1995)
The Cost of Capital, Corporation Finance and the Theory of Investment (1958)
Profiles of Fertility, Labour Supply and Wages of Married Women: A Complete Life-Cycle Model (1984)
Comparing cointegrating regression estimators: Some additional Monte Carlo results (1995)
Beyond Panel Unit Root Tests: Using Multiple Testing to Determine the Non Stationarity Properties of Individual Series in a Panel (2009)
Beyond Panel Unit Root Tests: Using Multiple Testing to Determine the Nonstationarity Properties of Individual Series in a Panel (2012)
Testing for a Unit Root in Panels with Dynamic Factors (2004)
Incidental trends and the power of panel unit root tests (2007)
Maximum Likelihood Estimation In Panels With Incidental Trends (1999)
GMM Estimation of Autoregressive Roots Near Unity with Panel Data (2004)
A Conditional Likelihood Ratio Test for Structural Models (2003)
Comment on ` U nit Root Testing in Practice: Dealing with Uncertainty over the Trend and Initial Condition’ (2009)
Tests for Unit Roots and the Initial Condition (2003)
Heterogeneity, Excess Zeros, and the Structure of Count Data Models (1997)
Employment, unemployment, and problem drinking (1996)
Progress in International Reading Literacy Study (2007)
Flexible Exchange Rates and Employment Policy (1961)
Currency Areas, Common Currencies, and EMU (1997)
On the Pooling of Time Series and Cross Section Data (1978)
Mortgage Lending in Boston: Interpreting HMDA Data (1996)
The Uncertain Trend in U.S. GDP (2000)
The Purchasing Power Parity Persistence Paradigm (2002)
Do Panels Help Solve the Purchasing Power Parity Puzzle? (2005)
The Exchange Rate, the Balance of Payments and Monetary and Fiscal Policy under a Regime of Controlled Floating (1976)
Rational Expectations and the Theory of Price Movements (1961)
Incentive Compatibility and the Bargaining Problem (1979)
Asymptotic Theory of a Test for the Constancy of Regression Coefficients Against the Random Walk Alternative (1988)
A General Approach to the Limiting Distribution for Estimators in Time Series Regressions with Nonstable Autoregressive Errors (1990)
Endogenous Realignments in a Target Zone (2003)
Trends and Random Walks in Macroeconomic Time Series (1982)
Short-Term Interest Rates as Predictors of Inflation: On Testing the Hypothesis that the Real Rate of Interest is Constant (1977)
Some Further Results on the Exact Small Sample Properties of the Instrumental Variable Estimator (1990)
Bounds for the Bias of the Least Squares Estimator of $\sigma^ 2 $ in the Case of a First-Order Autoregressive Process (Positive Autocorrelation) (1977)
Bounds for the Bias of the LS Estimator in the Case of a First-Order (positive) Autoregressive Process where the Regression contains a Constant Term (1978)
A Comparison of Cluster-Specific and Population-Averaged Approaches for Analyzing Correlated Binary Data (1991)
Manufacturing Growth and Financial Development: Evidence from OECD Countries (1998)
A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix (1987)
Automatic Lag Selection in Covariance Matrix Estimation (1994)
Large Sample Estimation and Hypothesis Testing (1994)
Consistent Estimates Based on Partially Consistent Observations (1948)
A Simple Test for Nonstationarity in Mixed Panels (2008)
Unit Root Tests in ARMA Models With Data Dependent Methods for Selection of the Truncation Lag (1995)
Lag Length Selection and the Construction of Unit Root Tests with Good Size and Power (2001)
Bayesian Estimates for Vector Autoregressive Models (2005)
Biases in Dynamic Models with Fixed Effects (1981)
A New Technique for Simulating the Likelihood of Stochastic Differential Equations (2002)
Cointegration analysis in the presence of outliers (2004)
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The Overvaluation of Purchasing Power Parity (1998)
Exchange Rate Dynamics Redux (1995)
New Directions for Stochastic Open Economy Models (2000)
Balance-of-Payment Crisis and Devaluation (1984)
A Strategy for Launching the Euro (1998)
Purchasing Power Parity and Unit Root Tests Using Panel Data (1996)
Stochastic Differential Equations: An Introduction with Applications (2000)
The optimal choice of moments in dynamic panel data models (2009)
The Rise and Decline of Nations (1982)
Determining the Number of Factors from Empirical Distribution of Eigenvalues (2010)
Estimation Methods for Models of Spatial Interaction (1975)
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Priceless: T he Nonpecuniary Benefits of Schooling (2011)
A Note With Quantiles of The Asymptotic Distribution of The Maximum Likelihood Cointegration Rank Test Statistics (1992)
A Note on the Performance of B over- A rellano Discrete Choice Dynamic Estimators (2006)
The Econometrics of Financial Markets (1996)
Simulation and the Asymptotics of Optimization Estimators (1989)
Bootstrap Unit-Root Tests: Comparison and Extensions (2008)
A Sieve Bootstrap Test for Cointegration in a Conditional Error Correction Model (2009)
A Sieve Bootstrap Test for Cointegration in a Conditional Error Correction Model (2010)
Cross-Sectional Dependence Robust Block Bootstrap Panel Unit Root Tests (2011)
On the Dynamics of Basic Growth Models: Ratio Stability vs. Convergence and Divergence in State Space (2009)
A Comparison of Unit-Root Test Criteria (1994)
Residual-Based Block Bootstrap for Unit Root Testing (2003)
Searching for Stationarity: Purchasing Power Parity Under the Current Float (1997)
The Great Appreciation, the Great Depreciation, and the Purchasing Power Parity Hypothesis (2002)
The Panel Purchasing Power Parity Puzzle (forthcoming)
Increasing Evidence of Purchasing Power Parity over the Current Float (1998)
The Choice of Numeraire Currency in Panel Tests of Purchasing Power Parity (2001)
Testing for Unit Roots and Cointegration by Variable Addition (1990)
Canonical Cointegrating Regressions (1992)
Nonstationary Binary Choice (2000)
Efficient Estimation of a System of Regression Equations When Disturbances are Both Serially and Contemporaneously Correlated (1967)
Overinsurance and Public Provision of Insurance: The Roles of Moral Hazard and Adverse Selection (1974)
Panel Cointegration; Asymptotic and Finite Sample Properties of Pooled Time Series Tests, with an Application to the PPP Hypothesis: New Results (1997)
Critical Values for Cointegration Tests in Heterogeneous Panels with Multiple Regressors (1999)
Fully Modified OLS for Heterogeneous Cointegrated Panels (2000)
Purchasing Power Parity Tests in Cointegrated Panels (2001)
Purchasing Parity Power Tests in Cointegrated Panels (2001)
Panel Cointegration: Asymptotic and Finite Sample Properties of Pooled Time Series Tests with an Application to the PPP Hypothesis (2004)
An Evaluation of Consumer Protection Legislation: The 1962 Drug Amendments (1973)
Econometrics (2001)
Trends and Random Walks in Macroeconomic Time Series–Further Evidence from a New Approach (1988)
The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)
Further Evidence on Breaking Trend Functions in Macroeconometric Variables (1997)
Useful Modifications to some Unit Root Tests with Dependent Errors and their Local Asymptotic Properties (1996)
Consequences of Constitutions (2004)
The Size and Scope of Politics: Comparative Politics with Rational Politicians (1999)
The Role of Theory in Econometrics (1995)
Estimation and Inference in Large Heterogeneous Panels With a Multifactor Error Structure (2006)
A pair-wise approach to testing for output and growth convergence (2007)
A Simple Panel Unit Root Test in the Presence of Cross Section Dependence (2007)
Pooled Mean Group Estimation of Dynamic Heterogeneous Panels (1999)
Pairwise Tests of Purchasing Power Parity (2009)
A Bias-Adjusted LM Test of Error Cross Section Independence (2008)
A Simple Panel Unit Root Test in the Presence of Cross Section Dependence (2003)
Structural Analysis of Vector Error Correction Models With Exogenous I(1) Variables (2000)
Estimating Long-Run Relationships from Dynamic Heterogeneous Panels (1995)
Analytical Evaluation of the Power of Tests for the Absence of Cointegration (2004)
Residuals-Based Tests for the Null of No-Cointegration: An Analytical Comparison (2007)
Resource Booms with Competitive Equilibria and Decreasing Returns to Scale (1995)
Comment on Recent Developments in Macroeconomics: A Very Quick Refresher Course (1988)
The Relation between Unemployment and the Rate of Change of Money Wages in the United Kingdom, 1861-1957 (1958)
The Structural Estimation of a Stochastic Differential Equation System (1972)
Exact Small Sample Theory in the Simultaneous Equations Model (1983)
Understanding Spurious Regressions in Econometrics (1986)
Time Series Regression with a Unit Root (1987)
Towards a Unified Asymptotic Theory for Autoregression (1987)
Multiple Regression with Integrated Time Series (1988)
Optimal Inference in Cointegrated Systems (1991)
Impulse response and forecast error variance asymptotics in nonstationary VARs (1998)
Multiple Time Series Regression with Integrated Processes (1986)
Statistical Inference in Instrumental Variables Regression with I(1) Processes (1990)
Estimating Long-Run Economic Equilibria (1991)
Linear Regression Limit Theory for Nonstationary Panel Data (1999)
Nonstationary Panel Data Analysis: An Overview of Some Recent Developments (2000)
Asymptotic Properties of Residual Based Tests for Cointegration (1990)
On the Formulation of Wald Tests of Nonlinear Restrictions (1988)
Testing for Unit Roots in Time Series Regression (1988)
Asymptotics for Linear Processes (1992)
Dynamic Panel Estimation and Homogeneity Testing under Cross Section Dependence (2003)
Transition Modeling and Econometric Convergence Tests (2007)
A Primer on Unit Root Testing (1998)
Evaluating Target Zone Models in EMS Data (1996)
Irreversibility, Uncertainty and Investment (1991)
Econometric Models and Economic Forecasts (1998)
Exchange Rate Forecasting: Results from a Threshold Autoregressive Model (1998)
A trend-resistant test for structural change based on OLS residuals (1996)
A New Test for Structural Stability in the Linear Regression Model (1989)
Understanding Real Business Cycles (1989)
A User’s Guide to Measure Theoretic Probability (2001)
Galton’s Fallacy and Tests of the Convergence Hypothesis (1993)
Empirical Cross-Section Dynamics in Economic Growth (1993)
Twin Peaks: Growth and Convergence in Models of Distribution Dynamics (1996)
Empirics for Economic Growth and Convergence (1996)
Using R To Teach Econometrics (2002)
Linear Statistical Inference and Its Applications (1973)
Testing the Monetary Model of Exchange Rate Determination: New Evidence from a Century of Data (2002)
Are Real GDP Levels Nonstationary? Evidence from Panel Data Tests (2002)
The out-of-sample forecasting performance of nonlinear models of real exchange rate behavior (2006)
Modeling overlapping generations in a complementarity format (2004)
Confluence Analysis by Means of Lag Moments and Other Methods of Confluence Analysis (1941)
FDR Control by the BH Procedure for Two-Sided Correlated Tests with Implications to Gene Expression Data Analysis (2007)
Down to Ten: E stimating the Effect of a Red Card in Soccer (1994)
Incentive Effects In The Demand For Health Care: A Bivariate Panel Count Data Estimation (2003)
Some International Evidence on Output-Inflation Tradeoffs (1973)
Some strange Properties of Panel Data Estimators (1992)
Semiparametric Econometrics: A Survey (1988)
Modified Lagrange Multiplier Tests for Problems with One-Sided Alternatives (1986)
The Purchasing Power Parity Puzzle (1996)
Formalized Data Snooping Based on Generalized Error Rates (2008)
Exact and Approximate Stepdown Methods for Multiple Hypothesis Testing (2005)
Stepwise Multiple Testing as Formalized Data Snooping (2005)
Balanced Control of Generalized Error Rates (2010)
Increasing Returns and Long-Run Growth (1986)
Endogenous Technological Change (1990)
The Origins of Endogenous Growth (1994)
The hypothesis of a unit root in OECD inflation revisited (2009)
Mikro"okonometrie (1991)
Mikro"okonometrie (1991)
Expected and Predicted Realignments: The FF/DM Exchange Rate During the EMS (1991)
Is the Real Interest Rate Stable? (1988)
The Relative Rigidity of Monopoly Pricing (1987)
Collusive Price Leadership (1990)
Equilibrium in Competitive Insurance Markets: An Essay on the Economics of Imperfect Information (1976)
Democratization or Diversion? The Effect of Community Colleges on Educational Attainment (1995)
Least Median of Squares Regression (1984)
Economic Conditions and Alcohol Problems (1995)
An Introduction to Classical Econometric Theory (2000)
How Large are the Effects from Changes in Family Environment? A Study of K orean A merican Adoptees (2007)
Direct or indirect tax instruments for redistribution: short-run versus long-run (2004)
Testing for Unit Roots in Autoregressive-Moving Average Models of Unknown Order (1984)
Asymptotically Efficient Estimation of Cointegration Regressions (1991)
Determinants of Economic Growth: A Bayesian Averaging of Classical Estimates (BACE) Approach (2004)
Regional Cohesion: Evidence and Theories of Regional Growth and Convergence (1996)
I Just Ran Two Million Regressions (1997)
Theoretical Notes on Trade Problems (1964)
Is the consumption�-income ratio stationary? Evidence from panel unit root tests (1999)
The Estimation of Economic Relationships Using Instrumental Variables (1958)
Testing Residuals from Least Squares Regression for Being Generated by the Gaussian RandomWalk (1983)
Maximum Likelihood Estimation of Regression Models with First Order Moving Average Errors when the Root Lies on the Unit Circle (1983)
��Rational" Expectations, the Optimal Monetary Instrument and the Optimal Money Supply Rule (1975)
Probability Inequalities for Ordered $\text MTP _2$ Random Variables: A Proof of the S imes Conjecture (1998)
False Discovery and False Nondiscovery Rates in Single-Step Multiple Testing Procedures (2006)
The S imes Method for Multiple Hypothesis Testing with Positively Dependent Test Statistics (1997)
Bounds on the Variance of Regression Coefficients due to Heteroscedastic or Autoregressive Errors (1974)
Multiple Hypothesis Testing (1984)
Zeitreihenanalyse (2001)
Zeitreihenanalyse (2001)
Econometrics (1976)
LM Tests for a Unit Root in the Presence of Deterministic Trends (1992)
Catching Growth Determinants with the Adaptive Lasso (2011)
Tests for Unit Roots: A M onte C arlo Investigation (1989)
Poverty: An Ordinal Approach to Measurement (1976)
On the Distribution of D ickey�- F uller Unit Root Statistics When There is a Break in the Innovation Variance (2007)
The Return of The Prince of Denmark: A Survey On Recent Developments In The Economics of Innovation (2004)
Einf"uhrung in die numerische Berechnung von Finanz-Derivaten (2000)
An Instrumental Variable Approach for Panel Unit Root Tests under Cross-Sectional Dependence (2006)
A Residual-Based Test of the Null of Cointegration against the Alternative of No Cointegration (1994)
Probability (1996)
Modelling Expectations of Bounded Prices: An Application to the Market for Corn (1985)
Dynamic Linear Models with Switching (1991)
Time Series Analysis and Its Applications. With R Examples (2006)
An Analysis of the Health and Retirement Status of the Elderly (1986)
Kernel Density Estimation Using the Fast Fourier Transform (1982)
An Improved B onferroni Procedure for Multiple Tests of Significance (1986)
Macroeconomics and Reality (1980)
Zeitkontinuierliche dynamische Systeme (1992)
Continuous-Time Dynamical Systems with Sampled Data, Errors of Measurement and Unobserved Components (1993)
Analytical Score Function for Irregularly Sampled Continuous Time Stochastic Processes with Control Variables and Missing Values (1995)
Continuous-Time Dynamic Models for Panel Data (1996)
Continuous Panel Models with Time Dependent Parameters (1998)
A M onte C arlo investigation of the sampling behavior of conditional moment tests in Tobit and Probit models (1999)
Confluent Hypergeometric Functions (1972)
Detrending Bootstrap Unit Root Tests (2009)
Detrending Bootstrap Unit Root Tests (2011)
Solution to a Problem of Stochastic Process Switching (1991)
Stochastic Process Switching and the Return to Gold (1990)
More Powerful Panel Data Unit Root Tests with an Application to Mean Reversion in Real Exchange Rates (2004)
U.S. dollar real exchange rates: Nonlinearity revisited (2008)
A Contribution to the Theory of Economic Growth (1956)
A note on $S^2$ in a spatially correlated error components regression model for panel data (2008)
Statistical Foundations of Econometric Modelling (1986)
Statistical Adequacy and the Trustworthiness of Empirical Evidence: S tatistical vs. Substantive Information (2010)
Entry, Capacity, Investment and Oligopolistic Pricing (1977)
Investment Strategy and Growth in a New Market (1979)
Job Market Signaling (1973)
Instrumental Variables Regressions with Weak Instruments (1997)
Comment on Recent Developments in Macroeconomics: A Very Quick Refresher Course (1988)
A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems (1993)
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Spectral backtests of forecast distributions with application to risk management (2020)
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On the conditional distribution of the multivariate t distribution (2016)
Game-theoretic statistics and safe anytime-valid inference (2023)
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Sequential monitoring for changes in dynamic semiparametric risk models (2025)
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Abstract

Complexity vs Empirical Score

Research Flowchart

Cited References (1925)