Forecasting Financial Crises and Contagion in Asia Using Dynamic Factor Analysis
A Test of M Structural Breaks Under the Unit Root Hypothesis
Testing for a Unit Root Against Nonlinear STAR Models
The Elusive Persistence
Exponent of Cross-sectional Dependence
Forecasting Exchange Rates with a Large Bayesian VAR
Forecasting Exchange Rates with a Large Bayesian VAR
Measuring Conditional Persistence in Nonlinear Time Series
Panels with Nonstationary Multifactor Error Structures
Model Selection Uncertainty and Dynamic Models
The Yen Real Exchange Rate May be Stationary After All
A Nonlinear Panel Model of Cross-sectional Dependence
Information Criteria, Model Selection Uncertainty and the Determination of Cointegration Rank
Block Bootstrap and Long Memory
A Radial Basis Function Artificial Neural Network Test for Neglected Nonlinearity
Dynamic Factor Extraction of Cross-sectional Dependence in Panel Unit Root Tests
The Forecasting Performance of the OECD Composite Leading Indicators for France, Germany, Italy and the UK.
Cointegrating VAR models with endogenous
GLS Detrending for Nonlinear Unit Root Tests
Non-nested Models and the Likelihood Ratio Statistic