Research

Publications

Kasparis, I. (2008) 'Detection of Functional Form Misspecification in Cointegrating Relations', Econometric Theory, 24, p.1373-1403.

Kasparis, I. (2010) 'The Bierens Test for Certain Nonstationary Models', Journal of Econometrics, 158, p. 221-230. 

Kasparis, I. (2011) 'Functional Form Misspecification in Regressions with a Unit Root', Econometric Theory, 27, p. 285-311. 

Kasparis, I. and P.C.B. Phillips (2012) 'Dynamic Misspecification in Nonparametric Cointegrating Regression', Journal of Econometrics, 168, p. 270-284.

Kasparis, I., Phillips, P.C.B. & T. Magdalinos (2014) 'Non-linearity Induced Weak Instrumentation', Econometric Reviews, 33, p. 676-712.

Kasparis, I., E. Andreou & P.C.B. Phillips (2015) 'Nonparametric Predictive Regression', Journal of Econometrics, 185 p. 468-494. 

Wang, Q., Phillips P.C.B. and I. Kasparis (2020) 'Latent Variable Nonparametric Cointegrating Regression', Econometric Theory (accepted)

Duffy, J.A. and I. Kasparis (2020) 'Estimation and Inference in the Presence of Fractional d=1/2 and Weakly Nonstationary Processes', Annals of Statistics (accepted)

Hu, Z., Kasparis, I. & Q. Wang (2022)  'Time Varying Parameter  Regressions with Stationary Persistent Data' Econometric Theory (accepted) 

Working Papers

Duffy, J.A. and I. Kasparis (2018) 'Regressions with Fractional d=1/2 and Weakly Nonstationary Processes'

Hu, Z., Kasparis, I. & Q. Wang (2021) 'Chronological  Trimming Methods for Nonlinear Predictive Regressions with Persistent Data'