Igor L. Kheifets
Personal Details
First Name: | Igor |
Middle Name: | |
Last Name: | Kheifets |
Suffix: | |
RePEc Short-ID: | pkh119 |
[This author has chosen not to make the email address public] | |
https://kheifets.github.io/ | |
Terminal Degree: | 2012 Departamento de Economía; Universidad Carlos III de Madrid (from RePEc Genealogy) |
Affiliation
Centro de Investigación Económica (CIE)
Departamento Académico de Economía
Instituto Tecnólogico Autónomo de México (ITAM)
México, Mexicohttp://cie.itam.mx/
RePEc:edi:ciitamx (more details at EDIRC)
Research output
Jump to: Working papers ArticlesWorking papers
- Igor Kheifets & Peter C.B. Phillips, 2019. "Fully Modified Least Squares for Multicointegrated Systems," Cowles Foundation Discussion Papers 2210, Cowles Foundation for Research in Economics, Yale University.
- Igor L. Kheifets & Pentti J. Saikkonen, 2018.
"Stationarity and ergodicity of vector STAR models,"
Papers
1805.11311, arXiv.org, revised Aug 2019.
- Igor L. Kheifets & Pentti J. Saikkonen, 2020. "Stationarity and ergodicity of vector STAR models," Econometric Reviews, Taylor & Francis Journals, vol. 39(4), pages 407-414, April.
- Igor Kheifets, 2014.
"Specification Tests for Nonlinear Dynamic Models,"
Working Papers
w0209, New Economic School (NES).
- Igor L. Kheifets, 2015. "Specification tests for nonlinear dynamic models," Econometrics Journal, Royal Economic Society, vol. 18(1), pages 67-94, February.
- Igor Kheifets, 2014. "Specification Tests for Nonlinear Dynamic Models," Cowles Foundation Discussion Papers 1937, Cowles Foundation for Research in Economics, Yale University, revised Oct 2014.
- Igor Kheifets, 2014. "Specification Tests for Nonlinear Dynamic Models," Working Papers w0209, Center for Economic and Financial Research (CEFIR).
- Igor Kheifets & Carlos Velasco, 2013.
"New Goodness-of-fit Diagnostics for Conditional Discrete Response Models,"
Cowles Foundation Discussion Papers
1924, Cowles Foundation for Research in Economics, Yale University.
- Kheifets, Igor & Velasco, Carlos, 2017. "New goodness-of-fit diagnostics for conditional discrete response models," Journal of Econometrics, Elsevier, vol. 200(1), pages 135-149.
- Igor Kheifets & Carlos Velasco, 2017. "New Goodness-of-fit Diagnostics for Conditional Discrete Response Models," Cowles Foundation Discussion Papers 1924R, Cowles Foundation for Research in Economics, Yale University.
- Igor Kheifets & Carlos Velasco, 2012.
"Model Adequacy Checks for Discrete Choice Dynamic Models,"
Working Papers
w0170, New Economic School (NES).
- Igor Kheifets & Carlos Velasco, 2012. "Model Adequacy Checks for Discrete Choice Dynamic Models," Working Papers w0170, Center for Economic and Financial Research (CEFIR).
Articles
- Igor L. Kheifets & Pentti J. Saikkonen, 2020.
"Stationarity and ergodicity of vector STAR models,"
Econometric Reviews, Taylor & Francis Journals, vol. 39(4), pages 407-414, April.
- Igor L. Kheifets & Pentti J. Saikkonen, 2018. "Stationarity and ergodicity of vector STAR models," Papers 1805.11311, arXiv.org, revised Aug 2019.
- Kheifets, Igor & Velasco, Carlos, 2017.
"New goodness-of-fit diagnostics for conditional discrete response models,"
Journal of Econometrics, Elsevier, vol. 200(1), pages 135-149.
- Igor Kheifets & Carlos Velasco, 2017. "New Goodness-of-fit Diagnostics for Conditional Discrete Response Models," Cowles Foundation Discussion Papers 1924R, Cowles Foundation for Research in Economics, Yale University.
- Igor Kheifets & Carlos Velasco, 2013. "New Goodness-of-fit Diagnostics for Conditional Discrete Response Models," Cowles Foundation Discussion Papers 1924, Cowles Foundation for Research in Economics, Yale University.
- Igor L. Kheifets, 2015.
"Specification tests for nonlinear dynamic models,"
Econometrics Journal, Royal Economic Society, vol. 18(1), pages 67-94, February.
- Igor Kheifets, 2014. "Specification Tests for Nonlinear Dynamic Models," Cowles Foundation Discussion Papers 1937, Cowles Foundation for Research in Economics, Yale University, revised Oct 2014.
- Igor Kheifets, 2014. "Specification Tests for Nonlinear Dynamic Models," Working Papers w0209, Center for Economic and Financial Research (CEFIR).
- Igor Kheifets, 2014. "Specification Tests for Nonlinear Dynamic Models," Working Papers w0209, New Economic School (NES).
- Igor Kheifets, 2011. "Goodness-of-fit testing (in Russian)," Quantile, Quantile, issue 9, pages 25-34, July.
Citations
Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.Working papers
- Igor Kheifets & Peter C.B. Phillips, 2019.
"Fully Modified Least Squares for Multicointegrated Systems,"
Cowles Foundation Discussion Papers
2210, Cowles Foundation for Research in Economics, Yale University.
Cited by:
- Kheifets, Igor L. & Phillips, Peter C.B., 2023.
"Fully modified least squares cointegrating parameter estimation in multicointegrated systems,"
Journal of Econometrics, Elsevier, vol. 232(2), pages 300-319.
- Igor L. Kheifets & Peter C. B. Phillips, 2021. "Fully Modified Least Squares Cointegrating Parameter Estimation in Multicointegrated Systems," Papers 2108.03486, arXiv.org.
- Peter C.B. Phillips & Igor Kheifets, 2021. "On Multicointegration," Cowles Foundation Discussion Papers 2306, Cowles Foundation for Research in Economics, Yale University.
- Kheifets, Igor L. & Phillips, Peter C.B., 2023.
"Fully modified least squares cointegrating parameter estimation in multicointegrated systems,"
Journal of Econometrics, Elsevier, vol. 232(2), pages 300-319.
- Igor L. Kheifets & Pentti J. Saikkonen, 2018.
"Stationarity and ergodicity of vector STAR models,"
Papers
1805.11311, arXiv.org, revised Aug 2019.
- Igor L. Kheifets & Pentti J. Saikkonen, 2020. "Stationarity and ergodicity of vector STAR models," Econometric Reviews, Taylor & Francis Journals, vol. 39(4), pages 407-414, April.
Cited by:
- Andrea Bucci, 2024. "A sequential test procedure for the choice of the number of regimes in multivariate nonlinear models," Papers 2406.02152, arXiv.org.
- James A. Duffy & Sophocles Mavroeidis & Sam Wycherley, 2022. "Cointegration with Occasionally Binding Constraints," Papers 2211.09604, arXiv.org, revised Jul 2023.
- Bucci, Andrea & Sanmarchi, Francesco & Santi, Luca & Golinelli, Davide, 2024. "Evaluating the nonlinear association between PM10 and emergency department visits," Socio-Economic Planning Sciences, Elsevier, vol. 93(C).
- Igor Kheifets, 2014.
"Specification Tests for Nonlinear Dynamic Models,"
Working Papers
w0209, New Economic School (NES).
- Igor L. Kheifets, 2015. "Specification tests for nonlinear dynamic models," Econometrics Journal, Royal Economic Society, vol. 18(1), pages 67-94, February.
- Igor Kheifets, 2014. "Specification Tests for Nonlinear Dynamic Models," Cowles Foundation Discussion Papers 1937, Cowles Foundation for Research in Economics, Yale University, revised Oct 2014.
- Igor Kheifets, 2014. "Specification Tests for Nonlinear Dynamic Models," Working Papers w0209, Center for Economic and Financial Research (CEFIR).
Cited by:
- Giovanni Angelini & Luca De Angelis, 2017.
"PARX model for football match predictions,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 36(7), pages 795-807, November.
- Giovanni Angelini & Luca De Angelis, 2016. "PARX model for football matches predictions," Quaderni di Dipartimento 2, Department of Statistics, University of Bologna.
- Igor Kheifets & Carlos Velasco, 2013.
"New Goodness-of-fit Diagnostics for Conditional Discrete Response Models,"
Cowles Foundation Discussion Papers
1924, Cowles Foundation for Research in Economics, Yale University.
- Igor Kheifets & Carlos Velasco, 2017. "New Goodness-of-fit Diagnostics for Conditional Discrete Response Models," Cowles Foundation Discussion Papers 1924R, Cowles Foundation for Research in Economics, Yale University.
- Kheifets, Igor & Velasco, Carlos, 2017. "New goodness-of-fit diagnostics for conditional discrete response models," Journal of Econometrics, Elsevier, vol. 200(1), pages 135-149.
- Igor Kheifets, 2011. "Goodness-of-fit testing (in Russian)," Quantile, Quantile, issue 9, pages 25-34, July.
- Carlos Velasco, 2013. "Comments on: Model-free model-fitting and predictive distributions," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 22(2), pages 237-239, June.
- Kheifets, Igor L., 2018. "Multivariate specification tests based on a dynamic Rosenblatt transform," Computational Statistics & Data Analysis, Elsevier, vol. 124(C), pages 1-14.
- Igor Kheifets & Carlos Velasco, 2013.
"New Goodness-of-fit Diagnostics for Conditional Discrete Response Models,"
Cowles Foundation Discussion Papers
1924, Cowles Foundation for Research in Economics, Yale University.
- Kheifets, Igor & Velasco, Carlos, 2017. "New goodness-of-fit diagnostics for conditional discrete response models," Journal of Econometrics, Elsevier, vol. 200(1), pages 135-149.
- Igor Kheifets & Carlos Velasco, 2017. "New Goodness-of-fit Diagnostics for Conditional Discrete Response Models," Cowles Foundation Discussion Papers 1924R, Cowles Foundation for Research in Economics, Yale University.
Cited by:
- Gergely Ganics & Barbara Rossi & Tatevik Sekhposyan, 2019.
"From fixed-event to fixed-horizon density forecasts: Obtaining measures of multi-horizon uncertainty from survey density forecasts,"
Economics Working Papers
1689, Department of Economics and Business, Universitat Pompeu Fabra.
- Gergely Ganics & Barbara Rossi & Tatevik Sekhposyan, 2020. "From Fixed-Event to Fixed-Horizon Density Forecasts: Obtaining Measures of Multi-Horizon Uncertainty from Survey Density Forecasts," Working Papers 1142, Barcelona School of Economics.
- Gergely Ganics & Barbara Rossi & Tatevik Sekhposyan, 2019. "From fixed-event to fixed-horizon density forecasts: obtaining measures of multi-horizon uncertainty from survey density forecasts," Working Papers 1947, Banco de España.
- Rossi, Barbara & Ganics, Gergely & Sekhposyan, Tatevik, 2020. "From Fixed-event to Fixed-horizon Density Forecasts: Obtaining Measures of Multi-horizon Uncertainty from Survey Density Foreca," CEPR Discussion Papers 14267, C.E.P.R. Discussion Papers.
- Kheifets, Igor L., 2018. "Multivariate specification tests based on a dynamic Rosenblatt transform," Computational Statistics & Data Analysis, Elsevier, vol. 124(C), pages 1-14.
- Igor Kheifets & Carlos Velasco, 2012.
"Model Adequacy Checks for Discrete Choice Dynamic Models,"
Working Papers
w0170, New Economic School (NES).
- Igor Kheifets & Carlos Velasco, 2012. "Model Adequacy Checks for Discrete Choice Dynamic Models," Working Papers w0170, Center for Economic and Financial Research (CEFIR).
Cited by:
- Igor Kheifets & Carlos Velasco, 2013.
"New Goodness-of-fit Diagnostics for Conditional Discrete Response Models,"
Cowles Foundation Discussion Papers
1924, Cowles Foundation for Research in Economics, Yale University.
- Igor Kheifets & Carlos Velasco, 2017. "New Goodness-of-fit Diagnostics for Conditional Discrete Response Models," Cowles Foundation Discussion Papers 1924R, Cowles Foundation for Research in Economics, Yale University.
- Kheifets, Igor & Velasco, Carlos, 2017. "New goodness-of-fit diagnostics for conditional discrete response models," Journal of Econometrics, Elsevier, vol. 200(1), pages 135-149.
Articles
- Igor L. Kheifets & Pentti J. Saikkonen, 2020.
"Stationarity and ergodicity of vector STAR models,"
Econometric Reviews, Taylor & Francis Journals, vol. 39(4), pages 407-414, April.
See citations under working paper version above.
- Igor L. Kheifets & Pentti J. Saikkonen, 2018. "Stationarity and ergodicity of vector STAR models," Papers 1805.11311, arXiv.org, revised Aug 2019.
- Kheifets, Igor & Velasco, Carlos, 2017.
"New goodness-of-fit diagnostics for conditional discrete response models,"
Journal of Econometrics, Elsevier, vol. 200(1), pages 135-149.
See citations under working paper version above.
- Igor Kheifets & Carlos Velasco, 2017. "New Goodness-of-fit Diagnostics for Conditional Discrete Response Models," Cowles Foundation Discussion Papers 1924R, Cowles Foundation for Research in Economics, Yale University.
- Igor Kheifets & Carlos Velasco, 2013. "New Goodness-of-fit Diagnostics for Conditional Discrete Response Models," Cowles Foundation Discussion Papers 1924, Cowles Foundation for Research in Economics, Yale University.
- Igor L. Kheifets, 2015.
"Specification tests for nonlinear dynamic models,"
Econometrics Journal, Royal Economic Society, vol. 18(1), pages 67-94, February.
See citations under working paper version above.Sorry, no citations of articles recorded.
- Igor Kheifets, 2014. "Specification Tests for Nonlinear Dynamic Models," Cowles Foundation Discussion Papers 1937, Cowles Foundation for Research in Economics, Yale University, revised Oct 2014.
- Igor Kheifets, 2014. "Specification Tests for Nonlinear Dynamic Models," Working Papers w0209, Center for Economic and Financial Research (CEFIR).
- Igor Kheifets, 2014. "Specification Tests for Nonlinear Dynamic Models," Working Papers w0209, New Economic School (NES).
More information
Research fields, statistics, top rankings, if available.Statistics
Access and download statistics for all items
Co-authorship network on CollEc
Featured entries
This author is featured on the following reading lists, publication compilations, Wikipedia, or ReplicationWiki entries:NEP Fields
NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 7 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.- NEP-ECM: Econometrics (5) 2012-03-28 2013-11-09 2014-03-15 2018-06-25 2019-12-23. Author is listed
- NEP-ETS: Econometric Time Series (4) 2014-03-15 2014-11-07 2018-06-25 2019-12-23
- NEP-DCM: Discrete Choice Models (3) 2012-03-28 2013-11-09 2017-06-11
- NEP-ORE: Operations Research (2) 2014-03-15 2019-12-23
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