Journal ArticleJournal of Econometrics · April 1, 2024
This paper considers highly persistent time series that are subject to nonlinearities in the form of censoring or an occasionally binding constraint, such as are regularly encountered in macroeconomics. A tractable candidate model for such series is the dy ...
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Journal ArticleAnnals of Statistics · June 1, 2022
The paper analyzes cointegration in vector autoregressive processes (VARs) for the cases when both the number of coordinates, N, and the number of time periods, T, are large and of the same order. We propose a way to examine a VAR of order 1 for the presen ...
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Journal ArticleJournal of Business and Economic Statistics · January 1, 2022
The article analyzes nonnegative multivariate time series which we interpret as weighted networks. We introduce a model where each coordinate of the time series represents a given edge across time. The number of time periods is treated as large compared to ...
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Journal ArticleJournal of Econometrics · December 1, 2020
Limit theory for regressions involving local to unit roots (LURs) is now used extensively in time series econometric work, establishing power properties for unit root and cointegration tests, assisting the construction of uniform confidence intervals for a ...
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Journal ArticleGames and Economic Behavior · July 1, 2020
The paper investigates conditions which guarantee the existence of a stable outcome in a school matching in the presence of peer effects. We consider an economy where students are characterized by their type and schools are characterized by their quality a ...
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Journal ArticleJournal of Time Series Analysis · July 1, 2018
This article studies functional local unit root models (FLURs) in which the autoregressive coefficient may vary with time in the vicinity of unity. We extend conventional local to unity (LUR) models by allowing the localizing coefficient to be a function w ...
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