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Demetrescu, Matei and Rodrigues, Paulo MM and Taylor, AM Robert (2025) Predictive Quantile Regressions with Persistent and Heteroskedastic Predictors: A Powerful 2SLS Testing Approach. Journal of Econometrics, 249 (B). p. 106002. DOI https://doi.org/10.1016/j.jeconom.2025.106002
Gupta, Abhimanyu (2023) Efficient closed-form estimation of large spatial autoregressions. Journal of Econometrics, 232 (1). pp. 148-167. DOI https://doi.org/10.1016/j.jeconom.2021.05.005
Delavande, Adeline and Del Bono, Emilia and Holford, Angus (2022) Academic and non-Academic Investments at University: the Role of Expectations, Preferences and Constraints. Journal of Econometrics, 231 (1). pp. 74-97. DOI https://doi.org/10.1016/j.jeconom.2020.03.019
Demetrescu, Matei and Rodrigues, Paulo MM and Taylor, AM Robert (2022) Transformed regression-based long-horizon predictability tests. Journal of Econometrics, 237 (2). p. 105316. DOI https://doi.org/10.1016/j.jeconom.2022.06.006
Demetrescu, Matei and Georgiev, Iliyan and Rodrigues, Paulo MM and Taylor, AM Robert (2022) Extensions to IVX methods of inference for return predictability. Journal of Econometrics, 237 (2). p. 105271. DOI https://doi.org/10.1016/j.jeconom.2022.02.007
Demetrescu, Matei and Georgiev, Iliyan and Rodrigues, Paulo MM and Taylor, AM Robert (2022) Testing for Episodic Predictability in Stock Returns. Journal of Econometrics, 227 (1). pp. 85-113. DOI https://doi.org/10.1016/j.jeconom.2020.01.001
Harvey, David I and Leybourne, Stephen J and Taylor, AM Robert (2021) Simple tests for stock return predictability with good size and power properties. Journal of Econometrics, 224 (1). pp. 198-214. DOI https://doi.org/10.1016/j.jeconom.2021.01.004
Harris, David and Kew, Hsein and Taylor, AM Robert (2020) Level Shift Estimation in the Presence of Non-stationary Volatility with an Application to the Unit Root Testing Problem. Journal of Econometrics, 219 (2). pp. 354-388. DOI https://doi.org/10.1016/j.jeconom.2020.03.008
Chambers, Marcus (2020) Frequency Domain Estimation of Cointegrating Vectors with Mixed Frequency and Mixed Sample Data. Journal of Econometrics, 217 (1). pp. 140-160. DOI https://doi.org/10.1016/j.jeconom.2019.10.010
Korobilis, Dimitris and Pettenuzzo, Davide (2019) Adaptive Hierarchical Priors for High-Dimensional Vector Autoregressions. Journal of Econometrics, 212 (1). pp. 241-271. DOI https://doi.org/10.1016/j.jeconom.2019.04.029
Koop, G and Korobilis, D and Pettenuzzo, D (2019) Bayesian Compressed Vector Autoregressions. Journal of Econometrics, 210 (1). pp. 135-154. DOI https://doi.org/10.1016/j.jeconom.2018.11.009
Georgiev, Iliyan and Harvey, David I and Leybourne, Stephen J and Taylor, AM Robert (2018) Testing for parameter instability in predictive regression models. Journal of Econometrics, 204 (1). pp. 101-118. DOI https://doi.org/10.1016/j.jeconom.2018.01.005
Gupta, Abhimanyu (2018) Autoregressive spatial spectral estimates. Journal of Econometrics, 203 (1). pp. 80-95. DOI https://doi.org/10.1016/j.jeconom.2017.10.006
Gupta, Abhimanyu (2018) Nonparametric specification testing via the trinity of tests. Journal of Econometrics, 203 (1). pp. 169-185. DOI https://doi.org/10.1016/j.jeconom.2017.11.008
Gupta, Abhimanyu and Robinson, Peter M (2018) Pseudo maximum likelihood estimation of spatial autoregressive models with increasing dimension. Journal of Econometrics, 202 (1). pp. 92-107. DOI https://doi.org/10.1016/j.jeconom.2017.05.019
Cavaliere, Giuseppe and Nielsen, Morten Ărregaard and Taylor, AM Robert (2017) Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form. Journal of Econometrics, 198 (1). pp. 165-188. DOI https://doi.org/10.1016/j.jeconom.2017.01.008
Chambers, Marcus J (2016) The estimation of continuous time models with mixed frequency data. Journal of Econometrics, 193 (2). pp. 390-404. DOI https://doi.org/10.1016/j.jeconom.2016.04.013
Harris, D and Leybourne, SJ and Taylor, AMR (2016) Tests of the co-integration rank in VAR models in the presence of a possible break in trend at an unknown point. Journal of Econometrics, 192 (2). pp. 451-467. DOI https://doi.org/10.1016/j.jeconom.2016.02.010
Boswijk, H Peter and Cavaliere, Giuseppe and Rahbek, Anders and Taylor, AM Robert (2016) Inference on co-integration parameters in heteroskedastic vector autoregressions. Journal of Econometrics, 192 (1). pp. 64-85. DOI https://doi.org/10.1016/j.jeconom.2015.07.005
Kapetanios, G and Mitchell, J and Price, S and Fawcett, N (2015) Generalised density forecast combinations. Journal of Econometrics, 188 (1). pp. 150-165. DOI https://doi.org/10.1016/j.jeconom.2015.02.047
Cavaliere, Giuseppe and Nielsen, Morten Ărregaard and Taylor, AM Robert (2015) Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets. Journal of Econometrics, 187 (2). pp. 557-579. DOI https://doi.org/10.1016/j.jeconom.2015.02.039
Gupta, Abhimanyu and Robinson, Peter M (2015) Inference on higher-order spatial autoregressive models with increasingly many parameters. Journal of Econometrics, 186 (1). pp. 19-31. DOI https://doi.org/10.1016/j.jeconom.2014.12.008
Elliott, Graham and Taylor, AM Robert (2014) Annals issue of Journal of Econometrics âRecent Advances in Time Series Econometricsâ Guest Editorsâ introduction. In: UNSPECIFIED, ? - ?.
Chambers, Marcus J and Ercolani, Joanne S and Taylor, AM Robert (2014) Testing for seasonal unit roots by frequency domain regression. Journal of Econometrics, 178 (Pt 2). pp. 243-258. DOI https://doi.org/10.1016/j.jeconom.2013.08.025
Chambers, Marcus J and Ercolani, Joanne S and Taylor, AM Robert (2014) Testing for seasonal unit roots by frequency domain regression. Journal of Econometrics, 178 (PART 2). pp. 243-258. DOI https://doi.org/10.1016/j.jeconom.2013.08.025
Harvey, David I and Leybourne, Stephen J and Taylor, AM Robert (2013) Testing for unit roots in the possible presence of multiple trend breaks using minimum DickeyâFuller statistics. Journal of Econometrics, 177 (2). pp. 265-284. DOI https://doi.org/10.1016/j.jeconom.2013.04.012
Iacone, Fabrizio and Leybourne, Stephen J and Robert Taylor, AM (2013) Testing for a break in trend when the order of integration is unknown. Journal of Econometrics, 176 (1). pp. 30-45. DOI https://doi.org/10.1016/j.jeconom.2013.03.008
Chambers, Marcus J (2013) Jackknife estimation of stationary autoregressive models. Journal of Econometrics, 172 (1). pp. 142-157. DOI https://doi.org/10.1016/j.jeconom.2012.09.003
Koop, G and Korobilis, D (2013) Large Time-Varying Parameter VARs. Journal of Econometrics, 177 (2). pp. 185-198. DOI https://doi.org/10.1016/j.jeconom.2013.04.007
Kemp, Gordon CR and Santos Silva, JMC (2012) Regression towards the mode. Journal of Econometrics, 170 (1). pp. 92-101. DOI https://doi.org/10.1016/j.jeconom.2012.03.002
Harvey, David I and Leybourne, Stephen J and Taylor, AM Robert (2012) Unit root testing under a local break in trend. Journal of Econometrics, 167 (1). pp. 140-167. DOI https://doi.org/10.1016/j.jeconom.2011.10.006
Atak, Alev and Linton, Oliver and Xiao, Zhijie (2011) A semiparametric panel model for unbalanced data with application to climate change in the United Kingdom. Journal of Econometrics, 164 (1). pp. 92-115. DOI https://doi.org/10.1016/j.jeconom.2011.02.008
Cavaliere, Giuseppe and Rahbek, Anders and Taylor, AM Robert (2010) Testing for co-integration in vector autoregressions with non-stationary volatility. Journal of Econometrics, 158 (1). pp. 7-24. DOI https://doi.org/10.1016/j.jeconom.2010.03.003
Harvey, David I and Leybourne, Stephen J and Taylor, AM Robert (2010) Robust methods for detecting multiple level breaks in autocorrelated time series. Journal of Econometrics, 157 (2). pp. 342-358. DOI https://doi.org/10.1016/j.jeconom.2010.02.003
Browning, Martin and Crossley, Thomas F (2008) The long-run cost of job loss as measured by consumption changes. Journal of Econometrics, 145 (1-2). pp. 109-120. DOI https://doi.org/10.1016/j.jeconom.2008.05.005
Chambers, MJ (2008) Corrigendum to: "Testing for unit roots with flow data and varying sampling frequency" [J. Econom. 119 (1) (2004) 1-18] (DOI:10.1016/S0304-4076(03)00152-0). Journal of Econometrics, 144 (2). pp. 524-525. DOI https://doi.org/10.1016/j.jeconom.2008.04.001
Chambers, Marcus J and Roderick McCrorie, J (2007) Frequency domain estimation of temporally aggregated Gaussian cointegrated systems. Journal of Econometrics, 136 (1). pp. 1-29. DOI https://doi.org/10.1016/j.jeconom.2006.03.005
McCrorie, J Roderick and Chambers, Marcus J (2006) Granger causality and the sampling of economic processes. In: UNSPECIFIED, ? - ?.
Chambers, Marcus J (2004) Testing for unit roots with flow data and varying sampling frequency. Journal of Econometrics, 119 (1). pp. 1-18. DOI https://doi.org/10.1016/s0304-4076(03)00152-0
Kemp, Gordon CR (2001) Invariance and the Wald test. Journal of Econometrics, 104 (2). pp. 209-217. DOI https://doi.org/10.1016/s0304-4076(01)00048-3
Santos Silva, Joao M C and Windmeijer, Frank (2001) Two-part multiple spell models for health care demand. Journal of Econometrics, 104 (1). pp. 67-89.
Machado, Jose A F and Santos Silva, Joao M C (2000) Glejser's test revisited. Journal of Econometrics, 97 (1). pp. 189-202.
Chambers, Marcus J (1998) The estimation of systems of joint differential-difference equations. Journal of Econometrics, 85 (1). pp. 1-31. DOI https://doi.org/10.1016/s0304-4076(97)00091-2
Chambers, Marcus J (1993) A nonnested approach to testing continuous time models against discrete alternatives. Journal of Econometrics, 57 (1-3). pp. 319-343. DOI https://doi.org/10.1016/0304-4076(93)90069-h
Kemp, Gordon CR (1992) The potential for efficiency gains in estimation from the use of additional moment restrictions. Journal of Econometrics, 53 (1-3). pp. 387-399. DOI https://doi.org/10.1016/0304-4076(92)90093-7
Kemp, Gordon CR (1991) On Wald tests for globally and locally quadratic restrictions. Journal of Econometrics, 50 (3). pp. 257-272. DOI https://doi.org/10.1016/0304-4076(91)90021-5
Chambers, Marcus J (1990) Forecasting with demand systems. Journal of Econometrics, 44 (3). pp. 363-376. DOI https://doi.org/10.1016/0304-4076(90)90064-z