Refereed Publications
A. Djogbenou, C. Gouriéroux, J. Jasiak, and M. Bandehali, "Composite Likelihood for Stochastic Migration Model with Unobserved Factor," Journal of Financial Econometrics, Volume 22, Issue 5, 1421-1455, 2024.
A. Djogbenou, "Identifying Oil Price Shocks with Global, Developed, and Emerging Latent Real Economy Activity Factors, ” Journal of Applied Econometrics, Volume 139, Issue 1, 128-149, 2024.
A. Djogbenou and R. Sufana, “Tests for Group-Specific Heterogeneity in High-Dimensional Factor Models,” Journal of Multivariate Analysis, Volume 199, Article 105233, January 2024.
A. Djogbenou, E. Inan and J. Jasiak, “Time-Varying Coefficient DAR Model and Stability Measures for Stablecoin Prices: An Application to Tether,” Journal of International Money and Finance, Volume 139, Article 102946, December 2023.
A. Djogbenou, C. Gouriéroux, J. Jasiak, P. Rilstone, and M. Bandehali, "Transition Model for Coronavirus Management," Canadian Journal of Economics, Volume 55, Issue S1, 665-704, March 2022.
C. Gouréroux, A. Djogbenou, and J. Jasiak, "Testing for Endogeneity of COVID-19 Patient Assignments," Journal of Financial Econometrics, Volume 20, Issue 5, 875-901, 2022.
A. Djogbenou, "Model Selection in Factor-Augmented Regressions with Estimated Factors," Econometric Reviews, Volume 40, Issue 5, 470-503, April 2021.
A. Djogbenou, "Comovements in the Real Activity of Developed and Emerging Economies: A Test of Global versus Specific International Factors," Journal of Applied Econometrics, Volume 35, Issue 3, 273-370, April 2020.
A. Djogbenou, J. MacKinnon and M. Nielsen, "Asymptotic Theory and Wild Bootstrap Inference with Clustered Errors," Journal of Econometrics, Volume 212, Issue 2, October 2019.
S. Gonçalves, B. Perron, and A. Djogbenou, "Bootstrap Prediction Intervals for Factor Models," Journal of Business and Economic Statistics, Volume 35, Issue 1, 53-69, January 2017.
A. Djogbenou, S. Gonçalves, and B. Perron, "Bootstrap Inference in Regressions with Estimated Factors and Serial Correlation," Journal of Time Series Analysis, Volume 36, Issue 3, 481-502, May 2015.
Working Papers
A. Djogbenou and U. Hounyo, "Misspecification-Robust Bootstrap t-Test for Irrelevant Factor in Linear Stochastic Discount Factor Models,” (PDF).
Dormant Working Papers
A. Djogbenou and M. Doukali, “Tikhonov Panel IV Approach with Measurement Error: An Application to Productivity and Institutions.”