Inference in heavy-tailed non-stationary multivariate time series*

Cointegration in large VARs

(2022) Anna Bykhovskaya et al.   ANNALS OF STATISTICS

Testing for common trends in non-stationary large datasets*

(2021) Matteo Barigozzi et al.   JOURNAL OF BUSINESS & ECONOMIC STATISTICS

Large-Dimensional Factor Analysis Without Moment Constraints

(2020) Yong He et al.   JOURNAL OF BUSINESS & ECONOMIC STATISTICS

Testing for randomness in a random coefficient autoregression model

(2019) Lajos Horváth et al.   JOURNAL OF ECONOMETRICS

Inference in heavy-tailed vector error correction models

(2019) Rui She et al.   JOURNAL OF ECONOMETRICS

Robust factor number specification for large-dimensional elliptical factor model

(2019) Long Yu et al.   JOURNAL OF MULTIVARIATE ANALYSIS

Large covariance estimation through elliptical factor models

(2018) Jianqing Fan et al.   ANNALS OF STATISTICS

Identifying Cointegration by Eigenanalysis

(2018) Rongmao Zhang et al.   JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION

Alternative Asymptotics for Cointegration Tests in Large VARs

(2018) Alexei Onatski et al.   ECONOMETRICA

Determination of vector error correction models in high dimensions

(2018) Chong Liang et al.   JOURNAL OF ECONOMETRICS

Testing for (in)finite moments

(2016) Lorenzo Trapani   JOURNAL OF ECONOMETRICS

Semiparametric error-correction models for cointegration with trends: Pseudo-Gaussian and optimal rank-based tests of the cointegration rank

(2016) Marc Hallin et al.   JOURNAL OF ECONOMETRICS

UNIT ROOT INFERENCE FOR NON-STATIONARY LINEAR PROCESSES DRIVEN BY INFINITE VARIANCE INNOVATIONS

(2016) Giuseppe Cavaliere et al.   ECONOMETRIC THEORY

Self-Normalization for Time Series: A Review of Recent Developments

(2015) Xiaofeng Shao   JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION

Chover-type laws of the k-iterated logarithm for weighted sums of strongly mixing sequences

(2014) Lorenzo Trapani   JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS

Testing Second-Order Dynamics for Autoregressive Processes in Presence of Time-Varying Variance

(2014) Valentin Patilea et al.   JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION

Eigenvalue Ratio Test for the Number of Factors

(2013)   ECONOMETRICA

Limit theory for the largest eigenvalues of sample covariance matrices with heavy-tails

(2013) Richard A. Davis et al.   STOCHASTIC PROCESSES AND THEIR APPLICATIONS

NONPARAMETRIC NONSTATIONARITY TESTS

(2013) Federico M. Bandi et al.   ECONOMETRIC THEORY

Factor modeling for high-dimensional time series: Inference for the number of factors

(2012) Clifford Lam et al.   ANNALS OF STATISTICS

Bootstrap Determination of the Co-Integration Rank in Vector Autoregressive Models

(2012)   ECONOMETRICA

Non-stationary autoregressive processes with infinite variance

(2012) Ngai Hang Chan et al.   JOURNAL OF TIME SERIES ANALYSIS

TIME SERIES REGRESSION ON INTEGRATED CONTINUOUS-TIME PROCESSES WITH HEAVY AND LIGHT TAILS

(2012) Vicky Fasen   ECONOMETRIC THEORY

A class of simple distribution-free rank-based unit root tests

(2011) Marc Hallin et al.   JOURNAL OF ECONOMETRICS

Nonparametric cointegration analysis of fractional systems with unknown integration orders

(2009) Morten Ørregaard Nielsen   JOURNAL OF ECONOMETRICS

Power-Law Distributions in Empirical Data

(2009) Aaron Clauset et al.   SIAM REVIEW

HETEROSKEDASTIC TIME SERIES WITH A UNIT ROOT

(2009) Giuseppe Cavaliere et al.   ECONOMETRIC THEORY