Automatic Specification Testing for Vector Autoregressions and Multivariate Nonlinear Time Series Models
(With J. Carlos Escanciano and L.Zhu)
Journal of Business and Economic Statistics, 2013, 31:4, 426-437
Transformations of the State Variable and Learning Dynamics
(With Shurojit Chatterji)
International Journal of Economic Theory, 2010, Vol. 6, 385-403
An Automatic Portmanteau Test for Serial Correlation
(With J. Carlos Escanciano)
Journal of Econometrics, 2009, 151(2), 140-149
Testing the martingale hypothesis
(With J. Carlos Escanciano)
Palgrave Handbook of Applied Econometrics, 2009, Palgrave McMillan, NY, 972-1003
Power comparison of Tests for Fractional Unit Roots
(With C. Velasco)
Economics Letters, 2008, 99, 152-154
Efficient Wald Test for Fractional Unit Roots
(With C. Velasco)
Econometrica, 2007, 75, 575-589
Optimal Fractional Dickey-Fuller Tests for Unit Roots
(With C. Velasco)
Econometrics Journal, 2006, 9, 492-510
Bootstrapping the Box-Pierce Q test: a robust test of uncorrelatedness
(With Joel Horowitz, John Nankervis and N.E. Savin)
Journal of Econometrics, 2006, 133, 841-862
Consistent Estimation of Models Defined by Conditional Moment Restrictions
(With M.A. Domínguez)
Econometrica, 2004, 1601-1615
A simple test for normality for time series
(With C. Velasco)
Econometric Theory, 2004, 20, 671-689
Debt Composition and Balance Sheet Effects of Exchange Rate Volatility in Mexico: A Firm Level Analysis
(With S. Petrab and A. Somuano)
Emerging Markets Review, 2003, 4, 450-471
Testing the martingale difference hypothesis
(With M.A. Domínguez)
Econometric Reviews, 2003, 22, 351-377
Testing for nonlinear autoregression
Journal of Business and Economic Statistics, 2003, 21, 164-173
Testing for Zero Autocorrelation in the Presence of Statistical Dependence
(With John Nankervis and N.E. Savin )
Econometric Theory, 2002, 18, 730-743
Testing that a dependent process is uncorrelated
Journal of the American Statistical Association, 2001, 96, 1066-1076
Testing for Autocorrelation Using a Modified Box-Pierce Q test
(With John Nankervis and N.E. Savin )
International Economic Review, 2001, 42, 187-205
Long Memory in Stock Market Trading Volume
(With C. Velasco)
Journal of Business and Economic Statistics, 2000, 18, 410-427
Semiparametric Two-Step Estimator for a Multivariate Long Memory Model
Journal of Econometrics, 1999, 90, 129-153
A Nonparametric Test for I(0)
(With P.M. Robinson)
Review of Economic Studies, 1998, 65, 475-495
Reprinted in the Book Recent Developments in Time Series, eds. P. Newbold and S.J. Leybourne, Edward Elgar Publishing Ltd., UK
Real and Spurious Long Memory Properties of Stock Market Data
(With N.E. Savin )
Journal of Business and Economic Statistics, 16, 1998, 261-283 (including comments and reply)
Reprinted in the Book Recent Developments in Time Series, eds. P. Newbold and S.J. Leybourne, Edward Elgar Publishing Ltd., UK
Semiparametric Estimation of Seasonal Long Memory Models: Theory and an Application to Modeling of Exchange Rates
Investigaciones Económicas, 1997, 21(2), 273-295
Consistency of the Averaged Cross-Periodogram in Long Memory Series
Journal of Time Series Analysis, 1997, 18, 137-155
Averaged Periodogram Estimation of Long Memory
(With P.M. Robinson)
Journal of Econometrics, 1996, 73, 303-324
Work in Progress
Identification and Estimation of General ARMA models
(With C. Velasco)
A Consistent Specification Test for Models Defined by Conditional Moment Restrictions
(With M.A. Domínguez)
Consistent Inference in Models Defined by Conditional Moment Restrictions: an alternative to GMM
(With M.A. Domínguez)
Consistent Estimation of the Consumption-based Asset Pricing Model
(With J. Eduardo García Gómez-Tagle)
The Two Step Consistent Method of Moments Estimator in the Linear Weak Instrument Case
(With J. Eduardo García Gómez-Tagle)
Inference in Nonlinear Conditional Econometric Models
(With Noriko Amaño)
On Divergent Dynamics with Ordinary Least Squares Learning
(With Shurojit Chatterji)