| ``Cointegration and Aggregation", Review of Economics, (1993) 47, 281-291. Informal Abstract: This paper analyzes the conditions under which cointegration at the micro level implies cointegation at the macro level and vice versa. The latter has not been studied much in the aggregation literature when it is in fact the macro level the one we observe more often. |
| ``Five Alternative Methods of Estimating Long Run Equilibrium Relationships", Journal of Econometrics (1994), 60, 1-31. Informal Abstract: This is the first paper to study the asymptotic distribution of principal components and canonical correlation methods (between Xt and Xt-1) to estimate the cointegrating vector. These methods are compared theoretically with OLS, NLS and ML. The paper concludes with a simulation exercise comparing the finite sample performance of these five methods to conclude that in the IQR metric ML is superior to the other ones. To show how relevant is the estimation method in practice, the paper starts with an application of the term structure of the interest rates showing that the cointegrating vector varies depending on the method used. |
``Estimation of Common Long Memory Components in Cointegrated Systems" (with C. Granger), Journal of Business & Economic Statistics (1995), 13, 27-36. Informal Abstract: This papers proposes a simple way of finding why a set of variables is cointegrated. As a by-product proposes a new Permanent and Transitory multivariate decomposition. |
| ``No Lack of Relative Power of the DF Type Tests" (with T.Lee), Journal of Time Series Analysis (1996), 17, 37-47. Informal Abstract: All the tests have a lack of power in finite samples. This paper shows that the power of the DF test for testing rho=1 versus rho<1 is NOT smaller than the power the Wald test for testing rho=.5 versus rho<.5. Of course the consequences are different; but this is a different issue. |
| ``P-values of Non-Standard Distributions: The DF Case" (with J. Adda), Economic Letters (1996), 50, 155-160. Informal Abstract: |
``Testing for Multicointegration" (with Tom Engsted and Niels Haldrup), Economics Letters (1997), 56, 259-266. Informal Abstract: |
``On the Exact Moments of Non-Standard Asymptotic Distributions in Non-Stationary Autoregressions with Dependent Errors'' (with J-Y Pitarakis), International Economic Review (1998), 39, 71-88. Informal Abstract: |
| "Pitfalls in Testing for Long Run relationships" (con Tae Lee), Journal of Econometrics (1998), 86, 129-154. In the Most Requested Articles of the JEC (unto and including Nov'99). Informal Abstract: |
| ``Specification via Model Selection in Vector Error Correction Models" (with J-Y Pitarakis), Economics Letters (1998), 60, 321-328. Informal Abstract: |
| ``Dimensionality Effect in Cointegration Analysis" (with J-Y Pitarakis), Festschrift in Honour of Clive Granger, edited by R. Engle and H. White (1999), 212-229.Oxford University Press. Informal Abstract: |
| "A Systematic Framework for Analyzing the Dynamic Effects of Permanent and Transitory Shocks" (with Serena Ng), Journal of Economic Dynamics & Control, (2001), 25, 1527-1546. Informal Abstract: |
| "A Primer in Cointegration" (with Juan Jose Dolado and Francesc Marmol), chapter 30 in Baltagui, A Companion to Theoretical Econometrics, 2001, edited by B.H. Baltagui, Blackwell, New York. Informal Abstract: |
| "On the Robutness of Cointegration Tests when Series are Fractionally Integrated" (with Tae Lee), Journal of Applied Statistics (2000),vol 27, No 7, 821-827. Informal Abstract: |
"Lag Lenth Estimation in Large Dimensional Systems" (with Jean-Yves Pitarakis), Journal of Time Series Analysis (2002), Vol 23, No. 4, 401-423. Informal Abstract: |
"Estimation and Model Selection Based Inference in Single and Multiple Threshold Models" (with Jean-Yves Pitarakis), Journal of Econometrics (2002), 110, 319-352. Informal Abstract: |
| "A Fractional Dickey-Fuller Test" (with Juan Jose Dolado and Laura Mayoral), Econometrica (2002), vol 70, No5, 1963-2006. Informal Abstract: |
| "Long Memory in the Spanish Political Opinion Polls" (with Juan J. Dolado and Laura Mayoral), Journal of Applied Econometrics (2003), vol 18, No. 2, 137-155. Informal Abstract: |
| "Which Extreme
Values Are
Really Extremes?" (with Jose Olmo), Journal of Financial
Econometrics (2004), Vol 2, No 3, 349-369. Informal Abstract: |
"Subsampling Inference in Threshold Autoregressive Models" (with Michael Wolf), Journal of Econometrics (2005), 127, 201-224. Informal Abstract: |
| "Threshold Effects
in Multivariate
Error Correction Models" (with Jean-Yves Pitarakis), Palgrave Handbook of
Econometrics, 2006, Vol I, Chapter 15. Informal Abstract: |
"Large versus small Shocks (or Does Size Matter? Maybe so)" (with Oscar Martinez), Journal of Econometrics (2006), 135, 311-347. Informal Abstract: |
| "Threshold Effects in
Cointegrating Regressions" (with Jean-Yves
Pitarakis), Oxford
Bulletin of Economics and Statistics (2006), 813-833. Informal Abstract: |
"Permanent and Transitory Components of GDP and Stock Prices: Further Analysis" (with Tae-Hwy Lee and Weiping Yang), Macroeconomics and Finance in Emerging Market Economies, (2008), Vol 1, 105-120. Informal Abstract: |
"WALD Tests of I(1) Against I(d) Alternatives: Some New Properties and Extension to Processes with Trending Components" (with Juan J. Dolado and Laura Mayoral). Studies in Nonlinear Dynamics and Econometrics, (2008), vol 12, Article 1 (pages 1-32). Informal Abstract: |
| "Simple
WALD
Tests of the Fractional Integration Parameter: An Overview of New
Results" (with
Juan J. Dolado and Laura
Mayoral), in The Methodology and
Practice of Econometrics, edited by J. Castle and N. Shephard, .Oxford University Press
(2009), pages 300-321. Informal Abstract: |
| "Modelling and Measuring Price Discovery
in
Commodity Markets" (with
Isabel Figuerola-Ferreti), Journal of Econometrics 158 (2010), 95-107. Informal Abstract: |
“The Making of Estimation of Common Long Memory Components in Cointegrated Systems”, Journal of Financial Econometrics (2010), Vol 8, No. 2, 174-176. |
"Regime Specific Predictability in Predictive Regressions" (with Jean-Yves Pitarakis), Journal of Business and Economic Statistics (forthcoming 2011)  Informal Abstract: |
| WORKING PAPERS |