On robust inference in time-series regression.
- Published in:
- Econometrics Journal, 2025, v. 28, n. 2, p. 131, doi. 10.1093/ectj/utae019
- By:
- Publication type:
- Article
Works matching AU Kapetanios, George
Results: 68
1
2
ELUSIVE PERSISTENCE: WAGE AND PRICE RIGIDITIES, THE NEW KEYNESIAN PHILLIPS CURVE AND INFLATION DYNAMICS.
- Published in:
- Journal of Economic Surveys, 2011, v. 25, n. 4, p. 737, doi. 10.1111/j.1467-6419.2009.00622.x
- By:
- Publication type:
- Article
3
Threshold models for trended time series.
- Published in:
- Empirical Economics, 2003, v. 28, n. 4, p. 687, doi. 10.1007/s00181-003-0154-8
- By:
- Publication type:
- Article
4
Robust Forecast Methods and Monitoring during Structural Change.
- Published in:
- Manchester School (1463-6786), 2013, v. 81, p. 3, doi. 10.1111/manc.12011
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- Publication type:
- Article
5
An LM Test for the Conditional Independence between Regressors and Factor Loadings in Panel Data Models with Interactive Effects.
- Published in:
- Journal of Business & Economic Statistics, 2024, v. 42, n. 2, p. 743, doi. 10.1080/07350015.2023.2238774
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- Publication type:
- Article
6
A State Space Approach to Extracting the Signal From Uncertain Data.
- Published in:
- Journal of Business & Economic Statistics, 2012, v. 30, n. 2, p. 173, doi. 10.1198/jbes.2009.08171
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- Publication type:
- Article
7
A Testing Procedure for Determining the Number of Factors in Approximate Factor Models With Large Datasets.
- Published in:
- Journal of Business & Economic Statistics, 2010, v. 28, n. 3, p. 397, doi. 10.1198/jbes.2009.07239
- By:
- Publication type:
- Article
8
Forecasting Using Bayesian and Information-Theoretic Model Averaging: An Application to U.K. Inflation.
- Published in:
- Journal of Business & Economic Statistics, 2008, v. 26, n. 1, p. 33, doi. 10.1198/073500107000000232
- By:
- Publication type:
- Article
9
Testing for Neglected Nonlinearity in Long-Memory Models.
- Published in:
- Journal of Business & Economic Statistics, 2007, v. 25, n. 4, p. 447, doi. 10.1198/073500106000000305
- By:
- Publication type:
- Article
10
A New PC-Based Test for Varian's Weak Separability Conditions.
- Published in:
- Journal of Business & Economic Statistics, 2003, v. 21, n. 1, p. 133, doi. 10.1198/073500102298618847
- By:
- Publication type:
- Article
11
Resuscitating real interest rate parity: new evidence from panels.
- Published in:
- European Journal of Finance, 2018, v. 24, n. 14, p. 1176, doi. 10.1080/1351847X.2017.1406383
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- Publication type:
- Article
12
On the estimation of short memory components in long memory time series models.
- Published in:
- Studies in Nonlinear Dynamics & Econometrics, 2016, v. 20, n. 4, p. 365, doi. 10.1515/snde-2015-0120
- By:
- Publication type:
- Article
13
An Investigation of Current Account Solvency in Latin America Using Non Linear Nonstationarity Tests.
- Published in:
- Studies in Nonlinear Dynamics & Econometrics, 2004, v. 8, n. 1, p. 0, doi. 10.2202/1558-3708.1200
- By:
- Publication type:
- Article
14
Erratum.
- Published in:
- 2003
- By:
- Publication type:
- Correction Notice
15
A SHRINKAGE INSTRUMENTAL VARIABLE ESTIMATOR FOR LARGE DATASETS.
- Published in:
- Actualité économique - Revue d'analyse économique, 2015, v. 91, n. 1/2, p. 67, doi. 10.7202/1036914ar
- By:
- Publication type:
- Article
16
Forecasting euro area inflation using dynamic factor measures of underlying inflation.
- Published in:
- Journal of Forecasting, 2005, v. 24, n. 7, p. 491, doi. 10.1002/for.964
- By:
- Publication type:
- Article
17
Making text count: Economic forecasting using newspaper text.
- Published in:
- Journal of Applied Econometrics, 2022, v. 37, n. 5, p. 896, doi. 10.1002/jae.2907
- By:
- Publication type:
- Article
18
Measurement of factor strength: Theory and practice.
- Published in:
- Journal of Applied Econometrics, 2021, v. 36, n. 5, p. 587, doi. 10.1002/jae.2830
- By:
- Publication type:
- Article
19
Common correlated effect cross‐sectional dependence corrections for nonlinear conditional mean panel models.
- Published in:
- Journal of Applied Econometrics, 2021, v. 36, n. 1, p. 125, doi. 10.1002/jae.2799
- By:
- Publication type:
- Article
20
Large time‐varying parameter VARs: A nonparametric approach.
- Published in:
- Journal of Applied Econometrics, 2019, v. 34, n. 7, p. 1027, doi. 10.1002/jae.2722
- By:
- Publication type:
- Article
21
Exponent of Cross-Sectional Dependence: Estimation and Inference.
- Published in:
- Journal of Applied Econometrics, 2016, v. 31, n. 6, p. 929, doi. 10.1002/jae.2476
- By:
- Publication type:
- Article
22
Estimating the Dynamics and Persistence of Financial Networks, with an Application to the Sterling Money Market.
- Published in:
- Journal of Applied Econometrics, 2016, v. 31, n. 1, p. 58, doi. 10.1002/jae.2457
- By:
- Publication type:
- Article
23
HOW PUZZLING IS THE PPP PUZZLE? AN ALTERNATIVE HALF-LIFE MEASURE OF CONVERGENCE TO PPP.
- Published in:
- Journal of Applied Econometrics, 2013, v. 28, n. 3, p. 435, doi. 10.1002/jae.2261
- By:
- Publication type:
- Article
24
MULTIVARIATE METHODS FOR MONITORING STRUCTURAL CHANGE MULTIVARIATE METHODS FOR MONITORING STRUCTURAL CHANGE.
- Published in:
- Journal of Applied Econometrics, 2013, v. 28, n. 2, p. 250, doi. 10.1002/jae.1272
- By:
- Publication type:
- Article
25
Forecasting large datasets with Bayesian reduced rank multivariate models.
- Published in:
- Journal of Applied Econometrics, 2011, v. 26, n. 5, p. 735, doi. 10.1002/jae.1150
- By:
- Publication type:
- Article
26
Estimating time variation in measurement error from data revisions: an application to backcasting and forecasting in dynamic models.
- Published in:
- Journal of Applied Econometrics, 2010, v. 25, n. 5, p. 869, doi. 10.1002/jae.1121
- By:
- Publication type:
- Article
27
Dynamic factor extraction of cross-sectional dependence in panel unit root tests.
- Published in:
- Journal of Applied Econometrics, 2007, v. 22, n. 2, p. 313, doi. 10.1002/jae.943
- By:
- Publication type:
- Article
28
Hierarchical Time-Varying Estimation of Asset Pricing Models.
- Published in:
- Journal of Risk & Financial Management, 2022, v. 15, n. 1, p. 14, doi. 10.3390/jrfm15010014
- By:
- Publication type:
- Article
29
Testing for correlation between the regressors and factor loadings in heterogeneous panels with interactive effects.
- Published in:
- Empirical Economics, 2023, v. 64, n. 6, p. 2611, doi. 10.1007/s00181-023-02390-1
- By:
- Publication type:
- Article
30
Evolving UK and US macroeconomic dynamics through the lens of a model of deterministic structural change.
- Published in:
- Empirical Economics, 2014, v. 47, n. 1, p. 305, doi. 10.1007/s00181-013-0743-0
- By:
- Publication type:
- Article
31
Corrigendum to "A Generalised Fractional Differencing Bootstrap for Long Memory Processes" Journal of Time Series Analysis 40: 467‐492 (2019) DOI: 10.1111/jtsa.12460.
- Published in:
- Journal of Time Series Analysis, 2021, v. 42, n. 4, p. 492, doi. 10.1111/jtsa.12591
- By:
- Publication type:
- Article
32
A Generalised Fractional Differencing Bootstrap for Long Memory Processes.
- Published in:
- Journal of Time Series Analysis, 2019, v. 40, n. 4, p. 467, doi. 10.1111/jtsa.12460
- By:
- Publication type:
- Article
33
Inference on Multivariate Heteroscedastic Time Varying Random Coefficient Models.
- Published in:
- Journal of Time Series Analysis, 2018, v. 39, n. 2, p. 129, doi. 10.1111/jtsa.12271
- By:
- Publication type:
- Article
34
A parametric estimation method for dynamic factor models of large dimensions.
- Published in:
- Journal of Time Series Analysis, 2009, v. 30, n. 2, p. 208, doi. 10.1111/j.1467-9892.2009.00607.x
- By:
- Publication type:
- Article
35
Testing for Neglected Nonlinearity in Cointegrating Relationships.
- Published in:
- Journal of Time Series Analysis, 2007, v. 28, n. 6, p. 807, doi. 10.1111/j.1467-9892.2007.00532.x
- By:
- Publication type:
- Article
36
Estimating the Rank of the Spectral Density Matrix.
- Published in:
- Journal of Time Series Analysis, 2005, v. 26, n. 1, p. 37, doi. 10.1111/j.1467-9892.2005.00389.x
- By:
- Publication type:
- Article
37
Unit-root testing against the alternative hypothesis of up tomstructural breaks.
- Published in:
- Journal of Time Series Analysis, 2005, v. 26, n. 1, p. 123, doi. 10.1111/j.1467-9892.2005.00393.x
- By:
- Publication type:
- Article
38
Pure Significance Tests of the Unit Root Hypothesis Against Nonlinear Alternatives.
- Published in:
- Journal of Time Series Analysis, 2003, v. 24, n. 3, p. 253, doi. 10.1111/1467-9892.00306
- By:
- Publication type:
- Article
39
PURE SIGNIFICANCE TESTS F THE UNIT ROOT HYPOTHESIS AGAINST NONLINEAR ALTERNATIVES.
- Published in:
- Journal of Time Series Analysis, 2003, v. 24, n. 3, p. 253, doi. 10.1111/1467-9892.00306
- By:
- Publication type:
- Article
40
Model Selection in Threshold Models.
- Published in:
- Journal of Time Series Analysis, 2001, v. 22, n. 6, p. 733, doi. 10.1111/1467-9892.00251
- By:
- Publication type:
- Article
41
Assessing the economy-wide effects of quantitative easing.
- Published in:
- Bank of England Quarterly Bulletin, 2012, v. 52, n. 1, p. 71
- By:
- Publication type:
- Article
42
Evolving UK and US macroeconomic dynamics through the lens of a model of deterministic structural change.
- Published in:
- Bank of England Quarterly Bulletin, 2011, v. 51, n. 3, p. 255
- By:
- Publication type:
- Article
43
A state space approach to extracting the signal from uncertain data.
- Published in:
- Bank of England Quarterly Bulletin, 2007, v. 47, n. 4, p. 546
- By:
- Publication type:
- Article
44
The yen real exchange rate may be stationary after all: evidence from non-linear unit root tests.
- Published in:
- Bank of England Quarterly Bulletin, 2006, v. 46, n. 4, p. 417
- By:
- Publication type:
- Article
45
Forecasting using bayesian and information theoretic model averaging: an application to UK inflation.
- Published in:
- Bank of England Quarterly Bulletin, 2005, v. 45, n. 3, p. 375
- By:
- Publication type:
- Article
46
Estimating time-variation in measurement error from data revisions; an application to forecasting in dynamic models.
- Published in:
- Bank of England Quarterly Bulletin, 2004, v. 44, n. 4, p. 462
- By:
- Publication type:
- Article
47
Forecasting with measurement errors in dynamic models.
- Published in:
- Bank of England Quarterly Bulletin, 2004, v. 44, n. 4, p. 461
- By:
- Publication type:
- Article
48
Import prices and exchange rate pass-through: theory and evidence from the United Kingdom.
- Published in:
- Bank of England Quarterly Bulletin, 2003, v. 43, n. 2, p. 217
- By:
- Publication type:
- Article
49
Rational expectations and fixed-event forecasts: an application to UK inflation.
- Published in:
- Bank of England Quarterly Bulletin, 2003, v. 43, n. 1, p. 54
- By:
- Publication type:
- Article
50
Forecasting Value-at-Risk Using Deep Neural Network Quantile Regression*.
- Published in:
- Journal of Financial Econometrics, 2024, v. 22, n. 3, p. 636, doi. 10.1093/jjfinec/nbad014
- By:
- Publication type:
- Article