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Mehmet Caner

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.

Wikipedia or ReplicationWiki mentions

(Only mentions on Wikipedia that link back to a page on a RePEc service)
  1. Basci Erdem & Caner Mehmet & Yoon Gawon, 2006. "Corrigendum to "Are Real Exchange Rates Nonlinear or Non-Stationary? Evidence from a New Threshold Unit Root Test"," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 10(2), pages 1-6, May.

    Mentioned in:

    1. Corrigendum to "Are Real Exchange Rates Nonlinear or Non-Stationary? Evidence from a New Threshold Unit Root Test" (Studies in Nonlinear Dynamics & Econometrics 2006) in ReplicationWiki ()
  2. Basci Erdem & Caner Mehmet, 2005. "Are Real Exchange Rates Nonlinear or Nonstationary? Evidence from a New Threshold Unit Root Test," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 9(4), pages 1-21, December.

    Mentioned in:

    1. Are Real Exchange Rates Nonlinear or Nonstationary? Evidence from a New Threshold Unit Root Test (Studies in Nonlinear Dynamics & Econometrics 2005) in ReplicationWiki ()

Working papers

  1. Mehmet Caner & Kfir Eliaz, 2021. "Shoiuld Humans Lie to Machines: The Incentive Compatibility of Lasso and General Weighted Lasso," Papers 2101.01144, arXiv.org, revised Sep 2021.

    Cited by:

    1. Eliaz, Kfir & Spiegler, Ran, 2022. "On incentive-compatible estimators," Games and Economic Behavior, Elsevier, vol. 132(C), pages 204-220.

  2. Mehmet Caner & Marcelo Medeiros & Gabriel Vasconcelos, 2020. "Sharpe Ratio Analysis in High Dimensions: Residual-Based Nodewise Regression in Factor Models," Papers 2002.01800, arXiv.org, revised Feb 2022.

    Cited by:

    1. Christis Katsouris, 2023. "High Dimensional Time Series Regression Models: Applications to Statistical Learning Methods," Papers 2308.16192, arXiv.org.
    2. Nektarios Gavrilakis & Christos Floros, 2023. "ESG performance, herding behavior and stock market returns: evidence from Europe," Operational Research, Springer, vol. 23(1), pages 1-21, March.
    3. Christis Katsouris, 2023. "Statistical Estimation for Covariance Structures with Tail Estimates using Nodewise Quantile Predictive Regression Models," Papers 2305.11282, arXiv.org, revised Jul 2023.
    4. Qingliang Fan & Ruike Wu & Yanrong Yang, 2024. "Shocks-adaptive Robust Minimum Variance Portfolio for a Large Universe of Assets," Papers 2410.01826, arXiv.org.
    5. Mehmet Caner & Qingliang Fan & Yingying Li, 2024. "Navigating Complexity: Constrained Portfolio Analysis in High Dimensions with Tracking Error and Weight Constraints," Papers 2402.17523, arXiv.org.

  3. Federico A. Bugni & Mehmet Caner & Anders Bredahl Kock & Soumendra Lahiri, 2016. "Inference in partially identified models with many moment inequalities using Lasso," CREATES Research Papers 2016-12, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Andrew Chesher & Adam Rosen, 2019. "Generalized Instrumental Variable Models, Methods, and Applications," CeMMAP working papers CWP41/19, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    2. Allen, Roy, 2018. "Testing moment inequalities: Selection versus recentering," Economics Letters, Elsevier, vol. 162(C), pages 124-126.
    3. Nick Koning & Paul Bekker, 2019. "Exact Testing of Many Moment Inequalities Against Multiple Violations," Papers 1904.12775, arXiv.org, revised Jun 2020.

  4. Laurent Callot & Mehmet Caner & Anders Bredahl Kock & Juan Andres Riquelme, 2015. "Sharp Threshold Detection Based on Sup-norm Error rates in High-dimensional Models," CREATES Research Papers 2015-10, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Sokbae Lee & Yuan Liao & Myung Hwan Seo & Youngki Shin, 2018. "Oracle Estimation of a Change Point in High-Dimensional Quantile Regression," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 113(523), pages 1184-1194, July.
    2. Lixiong Yang, 2023. "Variable selection in threshold model with a covariate-dependent threshold," Empirical Economics, Springer, vol. 65(1), pages 189-202, July.

  5. Yoonseok Lee & Mehmet Caner & Xu Han, 2015. "Adaptive Elastic Net GMM Estimation with Many Invalid Moment Conditions: Simultaneous Model and Moment Selection," Center for Policy Research Working Papers 177, Center for Policy Research, Maxwell School, Syracuse University.

    Cited by:

    1. Áureo de Paula & Imran Rasul & Pedro CL Souza, 2023. "Identifying network ties from panel data: Theory and an application to tax competition," CeMMAP working papers 21/23, Institute for Fiscal Studies.
    2. Caner, Mehmet & Fan, Qingliang & Grennes, Thomas, 2021. "Partners in debt: An endogenous non-linear analysis of the effects of public and private debt on growth," International Review of Economics & Finance, Elsevier, vol. 76(C), pages 694-711.
    3. Gyuhyeong Goh & Jisang Yu, 2022. "Causal inference with some invalid instrumental variables: A quasi‐Bayesian approach," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 84(6), pages 1432-1451, December.
    4. Battaglini, Marco & Crawford, Forrest & Patacchini, Eleonora & Peng, Sida, 2020. "A Graphical Lasso Approach to Estimating Network Connections: The Case of U.S. Lawmakers," CEPR Discussion Papers 15041, C.E.P.R. Discussion Papers.
    5. Joseph Fry, 2023. "A Method of Moments Approach to Asymptotically Unbiased Synthetic Controls," Papers 2312.01209, arXiv.org, revised Mar 2024.
    6. Nicolas Apfel, 2019. "Relaxing the Exclusion Restriction in Shift-Share Instrumental Variable Estimation," Papers 1907.00222, arXiv.org, revised Jul 2022.
    7. Jinyuan Chang & Zhentao Shi & Jia Zhang, 2021. "Culling the herd of moments with penalized empirical likelihood," Papers 2108.03382, arXiv.org, revised May 2022.
    8. Qingliang Fan & Yaqian Wu, 2020. "Endogenous Treatment Effect Estimation with some Invalid and Irrelevant Instruments," Papers 2006.14998, arXiv.org.
    9. Tae-Hwy Lee & Tao Wang, 2023. "Estimation and Testing of Forecast Rationality with Many Moments," Working Papers 202307, University of California at Riverside, Department of Economics.
    10. Byunghoon Kang, 2018. "Higher Order Approximation of IV Estimators with Invalid Instruments," Working Papers 257105320, Lancaster University Management School, Economics Department.
    11. Qingliang Fan & Zijian Guo & Ziwei Mei, 2022. "A Heteroskedasticity-Robust Overidentifying Restriction Test with High-Dimensional Covariates," Papers 2205.00171, arXiv.org, revised May 2024.
    12. Yoonseok Lee & Yu Zhou, 2015. "Averaged Instrumental Variables Estimators," Center for Policy Research Working Papers 180, Center for Policy Research, Maxwell School, Syracuse University.
    13. DiTraglia, Francis J., 2016. "Using invalid instruments on purpose: Focused moment selection and averaging for GMM," Journal of Econometrics, Elsevier, vol. 195(2), pages 187-208.
    14. Mehmet Caner & Xu Han, 2021. "An upper bound for functions of estimators in high dimensions," Econometric Reviews, Taylor & Francis Journals, vol. 40(1), pages 1-13, January.
    15. Chiang, Harold D. & Rodrigue, Joel & Sasaki, Yuya, 2023. "Post-Selection Inference In Three-Dimensional Panel Data," Econometric Theory, Cambridge University Press, vol. 39(3), pages 623-658, June.
    16. Belloni, Alexandre & Hansen, Christian & Newey, Whitney, 2022. "High-dimensional linear models with many endogenous variables," Journal of Econometrics, Elsevier, vol. 228(1), pages 4-26.
    17. Mehmet Caner, 2021. "A Starting Note: A Historical Perspective in Lasso," International Econometric Review (IER), Econometric Research Association, vol. 13(1), pages 1-3, March.

  6. Mehmet Caner & Anders Bredahl Kock, 2014. "Asymptotically Honest Confidence Regions for High Dimensional Parameters by the Desparsified Conservative Lasso," CREATES Research Papers 2014-36, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Andrii Babii & Eric Ghysels & Jonas Striaukas, 2022. "Machine Learning Time Series Regressions With an Application to Nowcasting," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 40(3), pages 1094-1106, June.
    2. Kaspar Wuthrich & Ying Zhu, 2019. "Omitted variable bias of Lasso-based inference methods: A finite sample analysis," Papers 1903.08704, arXiv.org, revised Sep 2021.
    3. Andrii Babii & Eric Ghysels & Jonas Striaukas, 2024. "High-Dimensional Granger Causality Tests with an Application to VIX and News," Journal of Financial Econometrics, Oxford University Press, vol. 22(3), pages 605-635.
    4. Miao, Ke & Phillips, Peter C.B. & Su, Liangjun, 2023. "High-dimensional VARs with common factors," Journal of Econometrics, Elsevier, vol. 233(1), pages 155-183.
    5. Peter C. B. Phillips & Zhentao Shi, 2021. "Boosting: Why You Can Use The Hp Filter," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 62(2), pages 521-570, May.
    6. Anders Bredahl Kock & Haihan Tang, 2014. "Inference in High-dimensional Dynamic Panel Data Models," CREATES Research Papers 2014-58, Department of Economics and Business Economics, Aarhus University.
    7. Ziwei Mei & Zhentao Shi, 2022. "On LASSO for High Dimensional Predictive Regression," Papers 2212.07052, arXiv.org, revised Jan 2024.
    8. Peter C.B. Phillips & Zhentao Shi, 2019. "Boosting the Hodrick-Prescott Filter," Cowles Foundation Discussion Papers 2192, Cowles Foundation for Research in Economics, Yale University.
    9. Ekaterina Seregina, 2020. "A Basket Half Full: Sparse Portfolios," Papers 2011.04278, arXiv.org, revised Apr 2021.
    10. Saulius Jokubaitis & Remigijus Leipus, 2022. "Asymptotic Normality in Linear Regression with Approximately Sparse Structure," Mathematics, MDPI, vol. 10(10), pages 1-28, May.
    11. Harold D. Chiang, 2019. "Many Average Partial Effects: with an Application to Text Regression," 2019 Papers pch1836, Job Market Papers.
    12. Caner, Mehmet, 2023. "Generalized linear models with structured sparsity estimators," Journal of Econometrics, Elsevier, vol. 236(2).
    13. Honda, Toshio & 本田, 敏雄, 2019. "The de-biased group Lasso estimation for varying coefficient models," Discussion Papers 2018-04, Graduate School of Economics, Hitotsubashi University.
    14. Toshio Honda, 2021. "The de-biased group Lasso estimation for varying coefficient models," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 73(1), pages 3-29, February.
    15. Gold, David & Lederer, Johannes & Tao, Jing, 2020. "Inference for high-dimensional instrumental variables regression," Journal of Econometrics, Elsevier, vol. 217(1), pages 79-111.
    16. Yang Ning & Sida Peng & Jing Tao, 2020. "Doubly Robust Semiparametric Difference-in-Differences Estimators with High-Dimensional Data," Papers 2009.03151, arXiv.org.
    17. Mehmet Caner & Qingliang Fan & Yingying Li, 2024. "Navigating Complexity: Constrained Portfolio Analysis in High Dimensions with Tracking Error and Weight Constraints," Papers 2402.17523, arXiv.org.
    18. Carlos Lamarche & Thomas Parker, 2022. "Wild Bootstrap Inference For Penalized Quantile Regression For Longitudinal Data," Working Papers 22003 Classification-C15,, University of Waterloo, Department of Economics.
    19. Tom Boot & Didier Nibbering, 2017. "Inference in high-dimensional linear regression models," Tinbergen Institute Discussion Papers 17-032/III, Tinbergen Institute, revised 05 Jul 2017.
    20. Lorenza Rossi & Emilio Zanetti Chini, 2019. "Temporal Disaggregation of Business Dynamics: New Evidence for U.S. Economy," Working Papers in Public Economics 188, University of Rome La Sapienza, Department of Economics and Law.
    21. Mehmet Caner & Kfir Eliaz, 2021. "Shoiuld Humans Lie to Machines: The Incentive Compatibility of Lasso and General Weighted Lasso," Papers 2101.01144, arXiv.org, revised Sep 2021.
    22. Ziwei Mei & Zhentao Shi & Peter C. B. Phillips, 2022. "The boosted HP filter is more general than you might think," Cowles Foundation Discussion Papers 2348, Cowles Foundation for Research in Economics, Yale University.
    23. Jiti Gao & Bin Peng & Yayi Yan, 2024. "Robust Inference for High-Dimensional Panel Data Models," Papers 2405.07420, arXiv.org, revised Aug 2024.
    24. Kock, Anders Bredahl, 2016. "Oracle inequalities, variable selection and uniform inference in high-dimensional correlated random effects panel data models," Journal of Econometrics, Elsevier, vol. 195(1), pages 71-85.
    25. Caner, Mehmet & Medeiros, Marcelo & Vasconcelos, Gabriel F.R., 2023. "Sharpe Ratio analysis in high dimensions: Residual-based nodewise regression in factor models," Journal of Econometrics, Elsevier, vol. 235(2), pages 393-417.
    26. Mehmet Caner & Xu Han, 2021. "An upper bound for functions of estimators in high dimensions," Econometric Reviews, Taylor & Francis Journals, vol. 40(1), pages 1-13, January.
    27. Geonwoo Kim & Suyong Song, 2024. "Double/Debiased CoCoLASSO of Treatment Effects with Mismeasured High-Dimensional Control Variables," Papers 2408.14671, arXiv.org.
    28. Chiang, Harold D. & Rodrigue, Joel & Sasaki, Yuya, 2023. "Post-Selection Inference In Three-Dimensional Panel Data," Econometric Theory, Cambridge University Press, vol. 39(3), pages 623-658, June.
    29. Zhan Gao & Ji Hyung Lee & Ziwei Mei & Zhentao Shi, 2024. "Econometric Inference for High Dimensional Predictive Regressions," Papers 2409.10030, arXiv.org, revised Nov 2024.
    30. Mehmet Caner, 2021. "A Starting Note: A Historical Perspective in Lasso," International Econometric Review (IER), Econometric Research Association, vol. 13(1), pages 1-3, March.

  7. Mehmet Caner & Anders Bredahl Kock, 2013. "Oracle Inequalities for Convex Loss Functions with Non-Linear Targets," CREATES Research Papers 2013-51, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Koike, Yuta & Tanoue, Yuta, 2019. "Oracle inequalities for sign constrained generalized linear models," Econometrics and Statistics, Elsevier, vol. 11(C), pages 145-157.

  8. Daniel Berkowitz & Mehmet Caner & Ying Fang, 2013. "The Validity of Instruments Revisited," Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.

    Cited by:

    1. Andr'es Riquelme & Marcela Parada, 2016. "The Value of A Statistical Life in Absence of Panel Data: What can we do?," Papers 1603.00568, arXiv.org.
    2. Caner, Mehmet, 2014. "Near exogeneity and weak identification in generalized empirical likelihood estimators: Many moment asymptotics," Journal of Econometrics, Elsevier, vol. 182(2), pages 247-268.
    3. Vu, Trung V., 2021. "Statehood experience and income inequality: A historical perspective," Economic Modelling, Elsevier, vol. 94(C), pages 415-429.
    4. Firmin Doko Tchatoka, 2014. "Specification Tests with Weak and Invalid Instruments," School of Economics and Public Policy Working Papers 2014-05, University of Adelaide, School of Economics and Public Policy.
    5. Cheng, Xu & Liao, Zhipeng, 2015. "Select the valid and relevant moments: An information-based LASSO for GMM with many moments," Journal of Econometrics, Elsevier, vol. 186(2), pages 443-464.
    6. Dang, Duc Anh, 2013. "How foreign direct investment promote institutional quality: Evidence from Vietnam," Journal of Comparative Economics, Elsevier, vol. 41(4), pages 1054-1072.
    7. Fabio Santeramo, 2015. "A cursory review of the identification strategies," Agricultural and Food Economics, Springer;Italian Society of Agricultural Economics (SIDEA), vol. 3(1), pages 1-8, December.
    8. Jakob Brochner Madsen & MD. Rabiul Islam & Hristos Doucouliagos, 2016. "Inequality, Financial Development and Economic Growth in the OECD, 1870-2011," Monash Economics Working Papers 18-16, Monash University, Department of Economics.
    9. Chiara Falco & Marzio Galeotti & Alessandro Olper, 2018. "Climate change and Migration: Is Agriculture the Main Channel?," IEFE Working Papers 100, IEFE, Center for Research on Energy and Environmental Economics and Policy, Universita' Bocconi, Milano, Italy.
    10. Qingliang Fan & Yaqian Wu, 2020. "Endogenous Treatment Effect Estimation with some Invalid and Irrelevant Instruments," Papers 2006.14998, arXiv.org.
    11. Timothy B. Armstrong & Michal Kolesár, 2020. "Sensitivity Analysis using Approximate Moment Condition Models," Working Papers 2020-28, Princeton University. Economics Department..
    12. Volpe Martincus, Christian & Carballo, Jerónimo & Cusolito, Ana, 2017. "Roads, exports and employment: Evidence from a developing country," Journal of Development Economics, Elsevier, vol. 125(C), pages 21-39.
    13. Urbain Thierry Yogo, 2015. "Terrorism and Fiscal Policy Volatility in Developing Countries: Evidence from cross-country and Panel Data," CERDI Working papers halshs-01161601, HAL.
    14. Zongwu Cai & Ying Fang, 2013. "Reducing the Asymptotic Bias of Weak Instruments Estimation Using Independently Repeated Cross-sectional Information," Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
    15. Caner, Mehmet & Morrill, Melinda, 2009. "A New Paradigm: A Joint Test of Structural and Correlation Parameters in Instrumental Variables Regression When Perfect Exogeneity is Violated," MPRA Paper 16790, University Library of Munich, Germany.
    16. Francis J. DiTraglia, 2011. "Using Invalid Instruments on Purpose: Focused Moment Selection and Averaging for GMM, Second Version," PIER Working Paper Archive 14-045, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 09 Dec 2014.
    17. Buonanno, Paolo & Vargas, Juan F., 2019. "Inequality, crime, and the long run legacy of slavery," Journal of Economic Behavior & Organization, Elsevier, vol. 159(C), pages 539-552.
    18. Md. Rabiul Islam & Jakob Brochner Madsen & Hristos Doucouliagos, 2016. "Does Inequality Constrain the Power to Tax? Evidence from the OECD," Monash Economics Working Papers 29-16, Monash University, Department of Economics.
    19. Santeramo, Fabio Gaetano, 2014. "On the estimation of supply and demand elasticities of agricultural commodites," AGRODEP technical notes TN-10, International Food Policy Research Institute (IFPRI).
    20. Byunghoon Kang, 2018. "Higher Order Approximation of IV Estimators with Invalid Instruments," Working Papers 257105320, Lancaster University Management School, Economics Department.
    21. Chen, Tao, 2015. "Institutions, board structure, and corporate performance: Evidence from Chinese firms," Journal of Corporate Finance, Elsevier, vol. 32(C), pages 217-237.
    22. James B. ANG & Per G. Fredriksson, 2016. "Statehood Experience, Legal Traditions and Climate Change Policies," Economic Growth Centre Working Paper Series 1610, Nanyang Technological University, School of Social Sciences, Economic Growth Centre.
    23. Jan F. KIVIET & Jerzy NIEMCZYK, 2013. "On the limiting and empirical distributions of IV estimators when some of the instruments are actually endogenous," Economic Growth Centre Working Paper Series 1311, Nanyang Technological University, School of Social Sciences, Economic Growth Centre.
    24. Miao, Shuchao & Chi, Jing & Liao, Jing & Qian, Long, 2021. "How does religious belief promote farmer entrepreneurship in rural China?," Economic Modelling, Elsevier, vol. 97(C), pages 95-104.
    25. Doko Tchatoka, Firmin & Wang, Wenjie, 2021. "Uniform Inference after Pretesting for Exogeneity with Heteroskedastic Data," MPRA Paper 106408, University Library of Munich, Germany.
    26. Firmin Doko Tchatoka & Wenjie Wang, 2020. "Uniform Inference after Pretesting for Exogeneity," School of Economics and Public Policy Working Papers 2020-05, University of Adelaide, School of Economics and Public Policy.
    27. Hans (J.L.W.) van Kippersluis & Niels (C.A.) Rietveld, 2017. "Beyond Plausibly Exogenous," Tinbergen Institute Discussion Papers 17-096/V, Tinbergen Institute.
    28. DiTraglia, Francis J., 2016. "Using invalid instruments on purpose: Focused moment selection and averaging for GMM," Journal of Econometrics, Elsevier, vol. 195(2), pages 187-208.
    29. Seojeong Lee, 2015. "A Consistent Variance Estimator for 2SLS When Instruments Identify Different LATEs," Discussion Papers 2015-01, School of Economics, The University of New South Wales.
    30. Urbain Thierry Yogo, 2015. "Terrorism and Fiscal Policy Volatility in Developing Countries: Evidence from cross-country and Panel Data," Working Papers halshs-01161601, HAL.
    31. Shi, Xing & Zhang, Ya & Wu, Yanrui & Wu, Huaqing, 2023. "Political turnover and firm innovation in China: The moderating role of innovation and entrepreneurship environment," Journal of Asian Economics, Elsevier, vol. 88(C).
    32. Mark L. Hoekstra & Daniel Berkowitz, 2010. "Does High School Quality Matter? Evidence from Admissions Data," Working Paper 364, Department of Economics, University of Pittsburgh, revised Jun 2010.
    33. Seojeong Lee, 2013. "Asymptotic Refinements of a Misspecification-Robust Bootstrap for Generalized Method of Moments Estimators," Discussion Papers 2013-09, School of Economics, The University of New South Wales.
    34. Bertocchi, Graziella & Dimico, Arcangelo, 2012. "The racial gap in education and the legacy of slavery," Journal of Comparative Economics, Elsevier, vol. 40(4), pages 581-595.
    35. Olper, A. & Falco, C. & Galeotti, M., 2018. "Climate Change, Agriculture and Migration: Is there a Causal Relationship ?," 2018 Conference, July 28-August 2, 2018, Vancouver, British Columbia 277488, International Association of Agricultural Economists.
    36. Xing Shi & Ya Zhang & Yanrui Wu & Huaqing Wu, 2023. "Political Turnover and Firm Innovation in China: The Moderating Role of Innovation and Entrepreneurship Environment," Economics Discussion / Working Papers 23-08, The University of Western Australia, Department of Economics.
    37. Firmin Doko Tchatoka & Wenjie Wang, 2015. "On Bootstrap Validity for Subset Anderson-Rubin Test in IV Regressions," School of Economics and Public Policy Working Papers 2015-01, University of Adelaide, School of Economics and Public Policy.
    38. Iyer, Lakshmi & Meng, Xin & Qian, Nancy & Zhao, Xiaoxue, 2019. "Economic transition and private-sector labor: Evidence from urban China," Journal of Comparative Economics, Elsevier, vol. 47(3), pages 579-600.
    39. Daniel L. Bennett & Hugo J. Faria & James D. Gwartney & Hugo M. Montesinos-Yufa & Daniel R. Morales & Carlos E. Navarro, 2017. "Evidence on economic versus political institutions as determinants of development," Working Papers 2017-04, University of Miami, Department of Economics.
    40. Zhou, Lixing & Takane, Yoshio & Hwang, Heungsun, 2016. "Dynamic GSCANO (Generalized Structured Canonical Correlation Analysis) with applications to the analysis of effective connectivity in functional neuroimaging data," Computational Statistics & Data Analysis, Elsevier, vol. 101(C), pages 93-109.
    41. Brückner, Markus & Gradstein, Mark, 2015. "Income growth, ethnic polarization, and political risk: Evidence from international oil price shocks," Journal of Comparative Economics, Elsevier, vol. 43(3), pages 575-594.
    42. Vu, Trung V., 2019. "Does institutional quality foster economic complexity?," MPRA Paper 97843, University Library of Munich, Germany.
    43. Francis DiTraglia, 2011. "Using Invalid Instruments on Purpose: Focused Moment Selection and Averaging for GMM, Second Version," PIER Working Paper Archive 15-027, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 10 Aug 2015.
    44. Berkowitz, Daniel & Hoekstra, Mark, 2011. "Does high school quality matter? Evidence from admissions data," Economics of Education Review, Elsevier, vol. 30(2), pages 280-288, April.
    45. Zongwu Cai & Linna Chen & Ying Fang, 2015. "Semiparametric Estimation of Partially Varying-Coefficient Dynamic Panel Data Models," Econometric Reviews, Taylor & Francis Journals, vol. 34(6-10), pages 695-719, December.
    46. Ruoyao Shi & Zhipeng Liao, 2018. "An Averaging GMM Estimator Robust to Misspecification," Working Papers 201803, University of California at Riverside, Department of Economics.
    47. Faria, Hugo J. & Montesinos-Yufa, Hugo M. & Morales, Daniel R. & Navarro, Carlos E., 2016. "Unbundling the roles of human capital and institutions in economic development," European Journal of Political Economy, Elsevier, vol. 45(S), pages 108-128.
    48. Xu Cheng & Zhipeng Liao, 2012. "Select the Valid and Relevant Moments: A One-Step Procedure for GMM with Many Moments," PIER Working Paper Archive 12-045, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.

  9. Daniel Berkowitz & Mehmet Caner & Ying Fang, 2013. "Are "Nearly Exogenous" Instruments Reliable?," Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.

    Cited by:

    1. Berkowitz, Daniel & DeJong, David N., 2011. "Growth in post-Soviet Russia: A tale of two transitions," Journal of Economic Behavior & Organization, Elsevier, vol. 79(1-2), pages 133-143, June.
    2. Caner, Mehmet, 2014. "Near exogeneity and weak identification in generalized empirical likelihood estimators: Many moment asymptotics," Journal of Econometrics, Elsevier, vol. 182(2), pages 247-268.
    3. Firmin Doko Tchatoka, 2014. "Specification Tests with Weak and Invalid Instruments," School of Economics and Public Policy Working Papers 2014-05, University of Adelaide, School of Economics and Public Policy.
    4. Dang, Duc Anh, 2013. "How foreign direct investment promote institutional quality: Evidence from Vietnam," Journal of Comparative Economics, Elsevier, vol. 41(4), pages 1054-1072.
    5. Lavergne, Pascal, 2015. "Assessing the Approximate Validity of Moment Restrictions," TSE Working Papers 15-562, Toulouse School of Economics (TSE), revised May 2020.
    6. Hugo J. Faria & Hugo M. Montesinos-Yufa, 2017. "Is the Effect of Income on Democracy Heterogeneous?," Working Papers 2017-05, University of Miami, Department of Economics.
    7. David N. DeJong & Daniel Berkowitz, 2008. "Growth in Post-Soviet Russia: A Tale of Two Transitions," Working Paper 369, Department of Economics, University of Pittsburgh, revised Sep 2008.
    8. Marcellino, Massimiliano & Kapetanios, George & Khalaf, Lynda, 2015. "Factor based identification-robust inference in IV regressions," CEPR Discussion Papers 10390, C.E.P.R. Discussion Papers.
    9. Isaiah Andrews & Matthew Gentzkow & Jesse M. Shapiro, 2018. "On the Informativeness of Descriptive Statistics for Structural Estimates," NBER Working Papers 25217, National Bureau of Economic Research, Inc.
    10. Zongwu Cai & Ying Fang, 2013. "Reducing the Asymptotic Bias of Weak Instruments Estimation Using Independently Repeated Cross-sectional Information," Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
    11. Michal Kolesár & Raj Chetty & John N. Friedman & Edward L. Glaeser & Guido W. Imbens, 2011. "Identification and Inference with Many Invalid Instruments," NBER Working Papers 17519, National Bureau of Economic Research, Inc.
    12. Caner, Mehmet & Morrill, Melinda, 2009. "A New Paradigm: A Joint Test of Structural and Correlation Parameters in Instrumental Variables Regression When Perfect Exogeneity is Violated," MPRA Paper 16790, University Library of Munich, Germany.
    13. Byunghoon Kang, 2018. "Higher Order Approximation of IV Estimators with Invalid Instruments," Working Papers 257105320, Lancaster University Management School, Economics Department.
    14. Jan F. KIVIET & Jerzy NIEMCZYK, 2013. "On the limiting and empirical distributions of IV estimators when some of the instruments are actually endogenous," Economic Growth Centre Working Paper Series 1311, Nanyang Technological University, School of Social Sciences, Economic Growth Centre.
    15. Isaiah Andrews & Matthew Gentzkow & Jesse M. Shapiro, 2014. "Measuring the Sensitivity of Parameter Estimates to Estimation Moments," NBER Working Papers 20673, National Bureau of Economic Research, Inc.
    16. Rietveld, Cornelius A. & Webbink, Dinand, 2016. "On the genetic bias of the quarter of birth instrument," Economics & Human Biology, Elsevier, vol. 21(C), pages 137-146.
    17. Doko Tchatoka, Firmin & Wang, Wenjie, 2021. "Uniform Inference after Pretesting for Exogeneity with Heteroskedastic Data," MPRA Paper 106408, University Library of Munich, Germany.
    18. Firmin Doko Tchatoka & Wenjie Wang, 2020. "Uniform Inference after Pretesting for Exogeneity," School of Economics and Public Policy Working Papers 2020-05, University of Adelaide, School of Economics and Public Policy.
    19. DiTraglia, Francis J., 2016. "Using invalid instruments on purpose: Focused moment selection and averaging for GMM," Journal of Econometrics, Elsevier, vol. 195(2), pages 187-208.
    20. Kraay, Aart, 2008. "Instrumental variables regressions with honestly uncertain exclusion restrictions," Policy Research Working Paper Series 4632, The World Bank.
    21. Seojeong Lee, 2015. "A Consistent Variance Estimator for 2SLS When Instruments Identify Different LATEs," Discussion Papers 2015-01, School of Economics, The University of New South Wales.
    22. Seojeong Lee, 2013. "Asymptotic Refinements of a Misspecification-Robust Bootstrap for Generalized Method of Moments Estimators," Discussion Papers 2013-09, School of Economics, The University of New South Wales.
    23. Daniel Berkowitz & Mehmet Caner & Ying Fang, 2013. "The Validity of Instruments Revisited," Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
    24. Daniel L. Bennett & Hugo J. Faria & James D. Gwartney & Hugo M. Montesinos-Yufa & Daniel R. Morales & Carlos E. Navarro, 2017. "Evidence on economic versus political institutions as determinants of development," Working Papers 2017-04, University of Miami, Department of Economics.
    25. Francis DiTraglia, 2011. "Using Invalid Instruments on Purpose: Focused Moment Selection and Averaging for GMM, Second Version," PIER Working Paper Archive 15-027, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 10 Aug 2015.
    26. Faria, Hugo J. & Montesinos-Yufa, Hugo M. & Morales, Daniel R. & Navarro, Carlos E., 2016. "Unbundling the roles of human capital and institutions in economic development," European Journal of Political Economy, Elsevier, vol. 45(S), pages 108-128.
    27. Abadie, Alberto & Gu, Jiaying & Shen, Shu, 2024. "Instrumental variable estimation with first-stage heterogeneity," Journal of Econometrics, Elsevier, vol. 240(2).

  10. Caner, Mehmet & Grennes,Thomas & Koehler-Geib, Fritzi, 2010. "Finding the tipping point -- when sovereign debt turns bad," Policy Research Working Paper Series 5391, The World Bank.

    Cited by:

    1. Ibrahim Ari & Muammer Koc, 2018. "Sustainable Financing for Sustainable Development: Understanding the Interrelations between Public Investment and Sovereign Debt," Sustainability, MDPI, vol. 10(11), pages 1-25, October.
    2. Séverine MENGUY, 2019. "Does public indebtedness constrain or can it favor economic growth? A simple analytical modeling," Bulletin of Applied Economics, Risk Market Journals, vol. 6(2), pages 1-29.
    3. Kelbesa Abdisa Megersa, 2015. "The laffer curve and the debt-growth link in low-income Sub-Saharan African economies," Journal of Economic Studies, Emerald Group Publishing Limited, vol. 42(5), pages 878-892, October.
    4. Yener, Haluk & Soybilgen, Barış & Stengos, Thanasis, 2020. "A general model for financial crises: An application to eurozone crisis," International Review of Economics & Finance, Elsevier, vol. 70(C), pages 202-229.
    5. Robert A Buckle & Amy A Cruickshank, 2013. "The Requirements for Long-Run Fiscal Sustainability," Treasury Working Paper Series 13/20, New Zealand Treasury.
    6. Kelbesa Megersa & Danny Cassimon, 2015. "Public Debt, Economic Growth, and Public Sector Management in Developing Countries: Is There a Link?," Public Administration & Development, Blackwell Publishing, vol. 35(5), pages 329-346, December.
    7. Freytag , Andreas & Pettersson, Jonatan & Schmied, Julian, 2016. "Debt Relief and Good Governance: New Evidence," VfS Annual Conference 2016 (Augsburg): Demographic Change 145914, Verein für Socialpolitik / German Economic Association.
    8. Maria Manuel Campos & Cristina Checherita-Westphal, 2019. "Economic consequences of high public debt and challenges ahead for the euro area," Working Papers o201904, Banco de Portugal, Economics and Research Department.
    9. Chirwa, Themba G. & Odhiambo, Nicholas M., 2017. "Public debt and economic growth nexus in the Euro area: A dynamic panel ARDL approach," Working Papers 23477, University of South Africa, Department of Economics.
    10. Vicente Esteve & Cecilio Tamarit, 2018. "Public debt and economic growth in Spain, 1851–2013," Cliometrica, Springer;Cliometric Society (Association Francaise de Cliométrie), vol. 12(2), pages 219-249, May.
    11. Łukasz Rawdanowicz, 2014. "Choosing the pace of fiscal consolidation," OECD Journal: Economic Studies, OECD Publishing, vol. 2013(1), pages 91-119.
    12. M. Nautet & L. Van Meensel, 2011. "Economic impact of the public debt," Economic Review, National Bank of Belgium, issue ii, pages 7-19, September.
    13. Balázs Égert, 2015. "Public debt, economic growth and nonlinear effects: Myth or reality?," Journal of Macroeconomics, Elsevier, vol. 43(C), pages 226-238.
    14. Mohammed Daher Alshammary & Zulkefly Abdul Karim & Norlin Khalid & Riayati Ahmad, 2020. "Debt-Growth Nexus in the MENA Region: Evidence from a Panel Threshold Analysis," Economies, MDPI, vol. 8(4), pages 1-12, November.
    15. Sagire, Lucas & Muriu, Peter W., 2021. "Economic Growth and Public Debt Threshold: New Evidence from An Emerging Economy," Journal of Economic Development, The Economic Research Institute, Chung-Ang University, vol. 46(4), pages 105-120, December.
    16. Fauziah ZEN & Michael REGAN, . "Financing ASEAN Connectivity," Books, Economic Research Institute for ASEAN and East Asia (ERIA), number 2013-rpr-15 edited by Fauziah ZEN & Michael REGAN, October.
    17. Blessy Augustine & O.P.C. Muhammed Rafi, 2021. "Public Debt - Economic Growth: Evidence of a Non-linear Relationship," BASE University Working Papers 11/2021, BASE University, Bengaluru, India.
    18. Mr. Geoffrey J Bannister & Mr. Luis D Barrot, 2011. "A Debt Intolerance Framework Applied to Central America, Panama and the Dominican Republic," IMF Working Papers 2011/220, International Monetary Fund.
    19. Randall S. Jones & Satoshi Urasawa, 2013. "Restoring Japan's Fiscal Sustainability," OECD Economics Department Working Papers 1050, OECD Publishing.
    20. Christian Dreger & Hans-Eggert Reimers, 2012. "Does Euro Area Membership Affect the Relation between GDP Growth and Public Debt?," Discussion Papers of DIW Berlin 1249, DIW Berlin, German Institute for Economic Research.
    21. Andrea Filippo Presbitero, 2010. "Total public debt and growth in developing countries," Mo.Fi.R. Working Papers 44, Money and Finance Research group (Mo.Fi.R.) - Univ. Politecnica Marche - Dept. Economic and Social Sciences.
    22. Chong Choy Yoke, 2018. "Non-linear Effect of Debt on the Economic Performance of Trans-Pacific Partnership Countries," GATR Journals jfbr147, Global Academy of Training and Research (GATR) Enterprise.
    23. Furceri, Davide & Zdzienicka, Aleksandra, 2012. "How costly are debt crises?," Journal of International Money and Finance, Elsevier, vol. 31(4), pages 726-742.
    24. Kummer-Noormamode, Sabina, 2018. "The Relationship between Public Debt and Economic Growth: Nonlinearity and Country-Specificity," MPRA Paper 98075, University Library of Munich, Germany.
    25. Haluk Yener & Thanasis Stengos & M. Ege Yazgan, 2017. "Analysis of the seeds of the debt crisis in Europe," The European Journal of Finance, Taylor & Francis Journals, vol. 23(15), pages 1589-1610, December.
    26. Douglas Sutherland & Peter Hoeller & Rossana Merola & Volker Ziemann, 2012. "Debt and Macroeconomic Stability," OECD Economics Department Working Papers 1003, OECD Publishing.
    27. Mr. Markus Eberhardt & Mr. Andrea F Presbitero, 2013. "This Time They Are Different: Heterogeneity and Nonlinearity in the Relationship Between Debt and Growth," IMF Working Papers 2013/248, International Monetary Fund.
    28. Boukhatem, Jamel & Kaabi, Malèk, 2015. "Dette publique, qualité institutionnelle et croissance économique dans les pays de la région MENA : analyse par la méthode des moments généralisés [Public debt, institutional quality and economic g," MPRA Paper 65756, University Library of Munich, Germany, revised 23 Jul 2015.
    29. Rossana Merola & Douglas Sutherland, 2013. "Fiscal Consolidation and the Implications of Social Spending for Long-Term Fiscal Sustainability," Review of Economics and Institutions, Università di Perugia, vol. 4(3).
    30. Michele Fratianni, 2011. "Riflessioni sulla politica economica italiana in occasione del 150esimo anniversario dell'Unita'," Mo.Fi.R. Working Papers 53, Money and Finance Research group (Mo.Fi.R.) - Univ. Politecnica Marche - Dept. Economic and Social Sciences.
    31. Haytham Y.M. Ewaida, 2017. "The Impact of Sovereign Debt on Growth: An Empirical Study on GIIPS versus JUUSD Countries," European Research Studies Journal, European Research Studies Journal, vol. 0(2A), pages 607-633.
    32. Laurent Callot & Mehmet Caner & Anders Bredahl Kock & Juan Andres Riquelme, 2015. "Sharp Threshold Detection Based on Sup-norm Error rates in High-dimensional Models," CREATES Research Papers 2015-10, Department of Economics and Business Economics, Aarhus University.
    33. Koffi, Siméon, 2019. "Nonlinear Impact of Public Debt on Economic Growth: Evidence from Sub-Saharan African Countries," MPRA Paper 96067, University Library of Munich, Germany, revised 17 Sep 2019.
    34. Augustine, Blessy & Rafi, O.P.C. Muhammed, 2023. "Public debt - economic growth nexus in emerging and developing economies: Exploring nonlinearity," Finance Research Letters, Elsevier, vol. 52(C).
    35. Christopher Loewald & David Faulkner & Konstantin Makrelov, 2020. "Time consistency and economic growth: A case study of South African macroeconomic policy," Working Papers 842, Economic Research Southern Africa.
    36. Haluk Yener & Thanasis Stengos & M. Ege Yazgan, 2015. "Survival Maximizing Leverage of an Economy: The Case of Greece," Working Paper series 15-17, Rimini Centre for Economic Analysis.
    37. Rossana Merola & Douglas Sutherland, 2012. "Fiscal Consolidation: Part 3. Long-Run Projections and Fiscal Gap Calculations," OECD Economics Department Working Papers 934, OECD Publishing.
    38. Andros Kourtellos & Thanasis Stengos & Chih Ming Tan, 2012. "The Effect of Public Debt on Growth in Multiple Regimes," Working Paper series 60_12, Rimini Centre for Economic Analysis.
    39. Gale, William G., 2019. "Fiscal policy with high debt and low interest rates," MPRA Paper 99207, University Library of Munich, Germany.
    40. Duong Thi NHI, . "Vietnam Country Report," Chapters, in: Fauziah ZEN & Michael REGAN (ed.), Financing ASEAN Connectivity, chapter 10, pages 401-429, Economic Research Institute for ASEAN and East Asia (ERIA).
    41. Bettina Fincke & Alfred Greiner, 2015. "On the relation between public debt and economic growth: an empirical investigation," Economics and Business Letters, Oviedo University Press, vol. 4(4), pages 137-150.
    42. guo, Min & zhao, jizhi & huang, yixuan, 2014. "国家债务适度规模研究 —基于因子增强阈值模型 [a Study of Moderate Scale of Public Debt - Based on Factor-Augmented Threshold Model]," MPRA Paper 56067, University Library of Munich, Germany.
    43. Ahmed MAAROUFI & Ghazi BOULILA, 2021. "Non-linear effect of public debt on economic growth: The case of Tunisia," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania / Editura Economica, vol. 0(4(629), W), pages 121-134, Winter.
    44. Douglas Sutherland & Peter Hoeller & Rossana Merola, 2012. "Fiscal Consolidation: Part 1. How Much is Needed and How to Reduce Debt to a Prudent Level?," OECD Economics Department Working Papers 932, OECD Publishing.
    45. Christian Richter & Sara El Asy, 2019. "Is Public Debt Always Harmful to Economic Growth," Working Papers 52, The German University in Cairo, Faculty of Management Technology.
    46. Nikolay Velichkov, 2016. "Effects of Government Debt on Macroeconomic Activity (The Case of Bulgaria)," Economic Alternatives, University of National and World Economy, Sofia, Bulgaria, issue 1, pages 24-32, March.
    47. Yun Jung Kim & Jing Zhang, 2020. "The Relationship between Debt and Output," Working Paper Series WP-2020-30, Federal Reserve Bank of Chicago.
    48. Antoniades, Andreas, 2013. "Recasting the Power Politics of Debt: Structural Power, Hegemonic Stabilisers and Change," MPRA Paper 47015, University Library of Munich, Germany.
    49. Sokbae (Simon) Lee & Hyunmin Park & Myung Hwan Seo & Youngki Shin, 2014. "A contribution to the Reinhart and Rogoff debate: not 90 percent but maybe 30 percent," CeMMAP working papers 39/14, Institute for Fiscal Studies.
    50. Yannis Dafermos, 2015. "The ‘other half’ of the public debt–economic growth relationship: a note on Reinhart and Rogoff," European Journal of Economics and Economic Policies: Intervention, Edward Elgar Publishing, vol. 12(1), pages 20-28, April.
    51. Ms. Lisa Drakes & Ms. Chrystol Thomas & Roland Craigwell & Kevin Greenidge, 2012. "Threshold Effects of Sovereign Debt: Evidence From the Caribbean," IMF Working Papers 2012/157, International Monetary Fund.
    52. Kazakova, Maria & Nesterova, Kristina, 2015. "Long-Term Forecast of the Main Parameters of the Budgetary System of Russia," Published Papers 2309, Russian Presidential Academy of National Economy and Public Administration.
    53. Xu, Jianguo & Zhang, Xun, 2014. "China's sovereign debt: A balance-sheet perspective," China Economic Review, Elsevier, vol. 31(C), pages 55-73.
    54. Alfonso Mendoza-Velazquez & Heidi J. Smith & Diego Mendoza-Martinez, 2022. "Subnational Regional Growth, Debt Thresholds and Sustainability," Working Paper Series Sobre México 2022001, Sobre México. Temas en economía.
    55. Anis Chowdhury & Iyanatul Islam, 2012. "The Debate on Expansionary Fiscal Consolidation: How Robust is the Evidence?," The Economic and Labour Relations Review, , vol. 23(3), pages 13-38, September.
    56. Michele Fratianni & Antonio Maria Rinaldi & Paolo Savona, 2013. "Una proposta per ridurre il fardello del debito pubblico italiano," Mo.Fi.R. Working Papers 81, Money and Finance Research group (Mo.Fi.R.) - Univ. Politecnica Marche - Dept. Economic and Social Sciences.
    57. Wissem Khanfir, 2019. "Threshold Effect of Public Debt on Economic Growth: An Empirical Investigation for Selected North African Countries," Economic Alternatives, University of National and World Economy, Sofia, Bulgaria, issue 3, pages 429-436, September.
    58. María del Carmen Ramos-Herrera & Simón Sosvilla-Rivero, 2016. "Public debt and economic growth: An empirical evaluation," Working Papers 16-06, Asociación Española de Economía y Finanzas Internacionales.
    59. Islam, Iyanatul, & Ahmed, Ishraq. & Roy, Rathin. & Ramos, Raquel., 2012. "Macroeconomic policy advice and the Article IV consultations a development perspective," ILO Working Papers 994783713402676, International Labour Organization.
    60. Markus Eberhardt, 2013. "Nonlinearities in the Relationship between Debt and Growth: Evidence from Co-Summability Testing," Discussion Papers 2013/06, University of Nottingham, Centre for Finance, Credit and Macroeconomics (CFCM).
    61. Mindaugas Butkus & Diana Cibulskiene & Lina Garsviene & Janina Seputiene, 2022. "Role of Uncertainty in Debt-Growth Nexus," Prague Economic Papers, Prague University of Economics and Business, vol. 2022(1), pages 58-78.
    62. Rutayisire, J.Musoni, 2021. "Public debt dynamics and nonlinear effects on economic growth : evidence from Rwanda," MPRA Paper 110931, University Library of Munich, Germany.
    63. Chuku Chuku & Lin Lang & King Yoong Lim, 2021. "Working Paper 355 - Public debt, Chinese loans and optimal exploration-extraction in Africa," Working Paper Series 2481, African Development Bank.
    64. Dammann, Felix & Rodosthenous, Néofytos & Villeneuve, Stéphane, 2023. "Debt management game and debt ceiling," TSE Working Papers 23-1430, Toulouse School of Economics (TSE).
    65. Andrew Hodge & Sriram Shankar, 2016. "Single-Variable Threshold Effects in Ordered Response Models With an Application to Estimating the Income-Happiness Gradient," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 34(1), pages 42-52, January.
    66. Evgeny Goryunov & Sergey Sinelnikov-Murylev & Laurence J. Kotlikoff, 2015. "Theoretical foundations of fiscal gap as a long-term fiscal sustainability indicator and its estimates for Russia," Working Papers 0113, Gaidar Institute for Economic Policy, revised 2015.
    67. Mindaugas Butkus & Diana Cibulskiene & Lina Garsviene & Janina Seputiene, 2021. "The Heterogeneous Public Debt–Growth Relationship: The Role of the Expenditure Multiplier," Sustainability, MDPI, vol. 13(9), pages 1-22, April.
    68. Eunji Kim & Yoonhee Ha & Sangheon Kim, 2017. "Public Debt, Corruption and Sustainable Economic Growth," Sustainability, MDPI, vol. 9(3), pages 1-30, March.
    69. Thien Hao Van & Van Cuong Hoang, 2018. "Determine the External Debt Threshold of the Southeast Asian Countries: Analysis Using Laffer Curve?," Economy of region, Centre for Economic Security, Institute of Economics of Ural Branch of Russian Academy of Sciences, vol. 1(3), pages 1038-1045.
    70. Hidalgo, Javier & Lee, Jungyoon & Seo, Myung Hwan, 2019. "Robust inference for threshold regression models," LSE Research Online Documents on Economics 100333, London School of Economics and Political Science, LSE Library.
    71. Konstantin Makrelov & Channing Arndt & Rob Davies & Laurence Harris, 2018. "Fiscal multipliers in South Africa: The importance of financial sector dynamics," WIDER Working Paper Series wp-2018-6, World Institute for Development Economic Research (UNU-WIDER).
    72. Diptes C. P. Bhimjee, 2023. "The euro area sovereign debt crisis and the sovereign debt Laffer curve: a historic assessment for 1999–2014," Palgrave Communications, Palgrave Macmillan, vol. 10(1), pages 1-12, December.
    73. Goryunov, Yevgeniy (Горюнов, Евгений), 2016. "Theoretical foundations, properties and interpretation of the budget gap indicators [Теоретические Основы, Свойства И Интерпретация Индикаторов Бюджетного Разрыва]," Ekonomicheskaya Politika / Economic Policy, Russian Presidential Academy of National Economy and Public Administration, vol. 2, pages 112-132, April.
    74. M. P. Afanas’ev & N. N. Shash, 2021. "From Surplus to Deficit Fiscal Policy," Studies on Russian Economic Development, Springer, vol. 32(5), pages 476-484, September.
    75. Jae Young Jang & Erdal Atukeren, 2019. "Sustainable Local Currency Debt: An Analysis of Foreigners’ Korea Treasury Bonds Investments Using a LA-VARX Model," Sustainability, MDPI, vol. 11(13), pages 1-23, June.
    76. Walid BENAYED & Foued Badr GABSI & Samia OMRANE BELGUITH, 2015. "Threshold Effect of Public Debt on Domestic Investment: Evidence from Selected African Countries," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania / Editura Economica, vol. 0(4(605), W), pages 189-198, Winter.
    77. Mstislav Afanasyev & Nataliya Shash, 2016. "Microeconomic Effects Of Growing Public Debt On The Russian Economy," Public administration issues, Higher School of Economics, issue 5, pages 46-59.
    78. Bodrova, Vera & Gvozdeva, Margarita & Kazakova, Maria, 2015. "Methods of Long-term Forecasting: Comparative Analysis and Foreign Experience of Applying," Published Papers 2310, Russian Presidential Academy of National Economy and Public Administration.
    79. Shvets, Serhii, 2017. "Internal public debt and economic growth: a case study of Ukraine," MPRA Paper 103873, University Library of Munich, Germany, revised 2017.
    80. Chaoyi Chen & Yiguo Sun, 2018. "Monte Carlo Comparison for Nonparametric Threshold Estimators," JRFM, MDPI, vol. 11(3), pages 1-15, August.
    81. Siméon Koffi, 2019. "Nonlinear Impact of Public Debt on Economic Growth: Evidence from Sub-Saharan African Countries [Impact non linéaire de la dette publique sur la croissance: Evidence à partir des pays de l'Afrique ," Post-Print hal-02293757, HAL.
    82. Baharumshah, Ahmad Zubaidi & Soon, Siew-Voon & Lau, Evan, 2017. "Fiscal sustainability in an emerging market economy: When does public debt turn bad?," Journal of Policy Modeling, Elsevier, vol. 39(1), pages 99-113.
    83. Siti Nurazira Mohd Daud & Jan M. Podivinsky, 2015. "Federal government debt and economic growth: Evidence from Malaysia," Progress in Development Studies, , vol. 15(3), pages 253-256, July.
    84. Kazakova, Maria & Trunin, Pavel, 2015. "Long-Term Prognosis of Basic Demographic and Macroeconomic Indicators in Russia," Published Papers 2308, Russian Presidential Academy of National Economy and Public Administration.
    85. Thammarak Moenjak & Kengjai Watjanapukka & Oramone Chantapant & Teeravit Pobsukhirun, 2010. "New Globalization: Risks and Opportunities for Thailand in the Next Decade," Working Papers 2010-04, Monetary Policy Group, Bank of Thailand.
    86. Ouyang, Alice Y. & Rajan, Ramkishen S., 2014. "What determines external debt tipping points?," Journal of Macroeconomics, Elsevier, vol. 39(PA), pages 215-225.
    87. D'Andrea, Sara, 2022. "A Meta-Analysis on the Debt-Growth Relationship," MPRA Paper 114409, University Library of Munich, Germany.
    88. Fir Nejc, 2022. "Does Debt Have Threshold Effects on Medium-Term Growth? Evidence from European Union Countries," Naše gospodarstvo/Our economy, Sciendo, vol. 68(2), pages 1-18, June.
    89. International Monetary Fund, 2013. "Kingdom of the Netherlands-Aruba: Selected Issues and Statistical Appendix," IMF Staff Country Reports 2013/259, International Monetary Fund.
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    91. Martins, Luis F., 2021. "The US debt–growth nexus along the business cycle," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
    92. Law, Siong Hook & Ng, Chee Hung & Kutan, Ali M. & Law, Zhi Kei, 2021. "Public debt and economic growth in developing countries: Nonlinearity and threshold analysis," Economic Modelling, Elsevier, vol. 98(C), pages 26-40.
    93. Mustafa Koroglu, 2019. "Growth and Debt: An Endogenous Smooth Coefficient Approach," JRFM, MDPI, vol. 12(1), pages 1-22, February.
    94. F Marchionne & S Parekh, 2015. "Growth, Debt, and Inequality," Economic Issues Journal Articles, Economic Issues, vol. 20(2), pages 67-94, September.
    95. Guillaume Cléaud & Francisco de Castro Fernández & Jorge Durán Laguna & Lucia Granelli & Martin Hallet & Anne Jaubertie & Carlos Maravall Rodriguez & Diana Ognyanova & Balazs Palvolgyi & Tsvetan Tsali, 2019. "Cruising at Different Speeds: Similarities and Divergences between the German and the French Economies," European Economy - Discussion Papers 103, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission.
    96. Susanne Neheider & Ludger Schuknecht, 2013. "Wachstum und Konsolidierung: ein Gegensatz?: zur Diskussion um "Austeritätspolitik" und "Wachstumsfalle"," Vierteljahrshefte zur Wirtschaftsforschung / Quarterly Journal of Economic Research, DIW Berlin, German Institute for Economic Research, vol. 82(2), pages 25-37.

  11. Caner, Mehmet & Morrill, Melinda, 2009. "A New Paradigm: A Joint Test of Structural and Correlation Parameters in Instrumental Variables Regression When Perfect Exogeneity is Violated," MPRA Paper 16790, University Library of Munich, Germany.

    Cited by:

  12. Caner, Mehmet & Koehler-Geib, Fritzi & Vincelette, Gallina Andronova, 2009. "When do sudden stops really hurt?," Policy Research Working Paper Series 5021, The World Bank.

    Cited by:

    1. Carlos Arteta & M. Ayhan Kose & Franziska Ohnsorge & Marc Stocker, 2015. "The Coming U.S. Interest Rate Tightening Cycle: Smooth Sailing or Stormy Waters?," Policy Research Notes (PRNs) 100014, The World Bank.

  13. Mehmet Caner & Tom Grennes, 2008. "Sovereign Wealth Funds: the Norwegian Experience," Working Paper Series 020, North Carolina State University, Department of Economics.

    Cited by:

    1. Bahoo, Salman & Alon, Ilan & Paltrinieri, Andrea, 2020. "Sovereign wealth funds: Past, present and future," International Review of Financial Analysis, Elsevier, vol. 67(C).
    2. Alhashel, Bader, 2015. "Sovereign Wealth Funds: A literature review," Journal of Economics and Business, Elsevier, vol. 78(C), pages 1-13.
    3. Martinez-Oviedo, Raul & Medda, Francesca, 2017. "Assessing the effects of adding timberland and farmland into resource-based Sovereign Wealth Fund portfolios," Journal of Economics and Business, Elsevier, vol. 91(C), pages 24-40.
    4. Iacono, Roberto, 2015. "The Basilicata Wealth Fund: resource policy and long-run economic development in Southern Italy," MPRA Paper 66393, University Library of Munich, Germany.
    5. Coutinho, Leonor & Georgiou, Dimitrios & Heracleous, Maria & Michaelides, Alexander & Tsani, Stella, 2022. "Limiting fiscal procyclicality: Evidence from resource-dependent countries," Economic Modelling, Elsevier, vol. 106(C).
    6. Caner Mehmet & Caner Turanay & Grennes Thomas J, 2011. "Determinants of Investment by the Norwegian Sovereign Wealth Fund: GDP vs. Institutions," Global Economy Journal, De Gruyter, vol. 11(1), pages 1-34, March.
    7. Nguyen, Quynh Trang & Lindset, Snorre & Eriksen, Sondre Hansen & Skara, Marie, 2024. "Can an influential and responsible investor indeed be influential through responsible investments? Evidence from a $1 trillion fund," International Review of Economics & Finance, Elsevier, vol. 89(PA), pages 1120-1135.

  14. Mehmet Caner & Dan Berkowitz & Ying Fang, 2006. "Are Nearly Exogenous Instruments Reliable?," Working Paper 207, Department of Economics, University of Pittsburgh, revised Jan 2006.

    Cited by:

    1. David N. DeJong & Daniel Berkowitz, 2008. "Growth in Post-Soviet Russia: A Tale of Two Transitions," Working Paper 369, Department of Economics, University of Pittsburgh, revised Sep 2008.
    2. Michal Kolesár & Raj Chetty & John N. Friedman & Edward L. Glaeser & Guido W. Imbens, 2011. "Identification and Inference with Many Invalid Instruments," NBER Working Papers 17519, National Bureau of Economic Research, Inc.
    3. Caner, Mehmet & Morrill, Melinda, 2009. "A New Paradigm: A Joint Test of Structural and Correlation Parameters in Instrumental Variables Regression When Perfect Exogeneity is Violated," MPRA Paper 16790, University Library of Munich, Germany.
    4. Kraay, Aart, 2008. "Instrumental variables regressions with honestly uncertain exclusion restrictions," Policy Research Working Paper Series 4632, The World Bank.
    5. Daniel Berkowitz & Mehmet Caner & Ying Fang, 2013. "The Validity of Instruments Revisited," Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.

  15. Mehmet Caner, 2006. "Near Exogeneity and Weak Identification in Generlized Empirical Likelihood estimators : Fixed and Many Moment Asymptotics," Working Paper 212, Department of Economics, University of Pittsburgh, revised Jan 2006.

    Cited by:

    1. Michal Kolesár & Raj Chetty & John N. Friedman & Edward L. Glaeser & Guido W. Imbens, 2011. "Identification and Inference with Many Invalid Instruments," NBER Working Papers 17519, National Bureau of Economic Research, Inc.
    2. Caner, Mehmet & Morrill, Melinda, 2009. "A New Paradigm: A Joint Test of Structural and Correlation Parameters in Instrumental Variables Regression When Perfect Exogeneity is Violated," MPRA Paper 16790, University Library of Munich, Germany.

  16. Mehmet Caner, 2005. "Near Exogeneity and Weak Identification in Generalized Empirical Likelihood Estimators: Fixed and Many Moment Asymptotics," Econometrics 0509018, University Library of Munich, Germany.

    Cited by:

    1. Mehmet Caner & Dan Berkowitz & Ying Fang, 2006. "Are Nearly Exogenous Instruments Reliable?," Working Paper 207, Department of Economics, University of Pittsburgh, revised Jan 2006.
    2. Ying Fang, 2013. "GMM with Weak Identification and Near Exogenneity," Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.

  17. Mehmet Caner, 2005. "Exponential Tilting with Weak Instruments: Estimation and Testing," Econometrics 0509017, University Library of Munich, Germany.

    Cited by:

    1. Donald W.K. Andrews & James H. Stock, 2005. "Inference with Weak Instruments," NBER Technical Working Papers 0313, National Bureau of Economic Research, Inc.
    2. Patrik Buggenberger & Richard Smith, 2003. "Generalized empirical likelihood estimators and tests under partial, weak and strong identification," CeMMAP working papers CWP08/03, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    3. Alain Guay & Jean-Francois Lamarche, 2005. "The Information Content of Implied Probabilities to Detect Structural Change," Working Papers 0804, Brock University, Department of Economics, revised Oct 2008.
    4. Guggenberger, Patrik & Ramalho, Joaquim J.S. & Smith, Richard J., 2012. "GEL statistics under weak identification," Journal of Econometrics, Elsevier, vol. 170(2), pages 331-349.
    5. Mehmet Caner, 2005. "Near Exogeneity and Weak Identification in Generalized Empirical Likelihood Estimators: Fixed and Many Moment Asymptotics," Econometrics 0509018, University Library of Munich, Germany.
    6. Richard Smith, 2005. "Weak instruments and empirical likelihood: a discussion of the papers by DWK Andrews and JH Stock and Y Kitamura," CeMMAP working papers CWP13/05, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    7. Paul Levine & Luis F. Martins & Vasco J. Gabriel, 2006. "Robust Estimates of the New Keynesian Phillips Curve," School of Economics Discussion Papers 0206, School of Economics, University of Surrey.
    8. Tang, Niansheng & Yan, Xiaodong & Zhao, Puying, 2018. "Exponentially tilted likelihood inference on growing dimensional unconditional moment models," Journal of Econometrics, Elsevier, vol. 202(1), pages 57-74.
    9. Chaudhuri, Saraswata & Renault, Eric, 2020. "Score tests in GMM: Why use implied probabilities?," Journal of Econometrics, Elsevier, vol. 219(2), pages 260-280.

  18. Erdem Basci & Mehmet Caner, 2005. "Are Real Exchange Rates Nonlinear or Nonstationary? Evidence from a new Threshold Unit Root Test," International Finance 0512001, University Library of Munich, Germany.

    Cited by:

    1. Jesus Crespo Cuaresma & Adelina Gschwandtner, 2006. "The competitive environment hypothesis revisited: non-linearity, nonstationarity and profit persistence," Applied Economics, Taylor & Francis Journals, vol. 38(4), pages 465-472.
    2. Basci Erdem & Caner Mehmet & Yoon Gawon, 2006. "Corrigendum to "Are Real Exchange Rates Nonlinear or Non-Stationary? Evidence from a New Threshold Unit Root Test"," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 10(2), pages 1-6, May.
    3. Maslyuk, Svetlana & Smyth, Russell, 2009. "Non-linear unit root properties of crude oil production," Energy Economics, Elsevier, vol. 31(1), pages 109-118, January.
    4. Sekioua, Sofiane H., 2006. "Nonlinear adjustment in the forward premium: evidence from a threshold unit root test," International Review of Economics & Finance, Elsevier, vol. 15(2), pages 164-183.
    5. Laurent Callot & Mehmet Caner & Anders Bredahl Kock & Juan Andres Riquelme, 2015. "Sharp Threshold Detection Based on Sup-norm Error rates in High-dimensional Models," CREATES Research Papers 2015-10, Department of Economics and Business Economics, Aarhus University.
    6. Derek Bond & Michael J. Harrison & Edward J. O'Brien, 2006. "Purchasing Power Parity: The Irish Experience Re-visited," Trinity Economics Papers tep200615, Trinity College Dublin, Department of Economics.
    7. Ahmed, Mumtaz & Bashir, Uzma & Ullah, Irfan, 2021. "Testing for explosivity in US-Pak Exchange Rate via Sequential ADF Procedures," MPRA Paper 109607, University Library of Munich, Germany.
    8. Ghosh, Sunandan & Kundu, Srikanta, 2019. "Central Bank Intervention in Foreign Exchange Market under Managed Float: A Three Regime Threshold VAR Analysis of Indian Rupee-US Dollar Exchange Rate," MPRA Paper 93466, University Library of Munich, Germany.
    9. Xi-Yuan Qian & Fu-Tie Song & Wei-Xing Zhou, 2007. "Nonlinear behavior of the Chinese SSEC index with a unit root: Evidence from threshold unit root tests," Papers 0707.2284, arXiv.org.
    10. Penelope Smith, 2006. "Bayesian Inference for a Threshold Autoregression with a Unit Root," Melbourne Institute Working Paper Series wp2006n20, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
    11. Aidil Rizal SHAHRIN, 2015. "Has Nonlinearity Resolved The A Nomaly Of Unit Root Behaviour In Forward Discount ? New Empirical Evidence," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 70-80, March.
    12. Sofiane Hicham Sekioua, 2003. "The Nominal Exchange Rate and Monetary Fundamentals: Evidence from Nonlinear Unit Root Tests," Economics Bulletin, AccessEcon, vol. 6(1), pages 1-13.
    13. Chevallier, Julien, 2011. "Evaluating the carbon-macroeconomy relationship: Evidence from threshold vector error-correction and Markov-switching VAR models," Economic Modelling, Elsevier, vol. 28(6), pages 2634-2656.
    14. Cavicchioli, Maddalena & Pistoresi, Barbara, 2016. "Testing threshold cointegration in Wagner's Law: The role of military spending," Economic Modelling, Elsevier, vol. 59(C), pages 23-31.
    15. Sofiane Sekioua, 2004. "The forward unbiasedness hypothesis and the forward premium: a nonlinear analysis," Money Macro and Finance (MMF) Research Group Conference 2003 85, Money Macro and Finance Research Group.
    16. David O. Cushman, 2008. "Real exchange rates may have nonlinear trends," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 13(2), pages 158-173.
    17. Sekioua, Sofiane H., 2008. "Real interest parity (RIP) over the 20th century: New evidence based on confidence intervals for the largest root and the half-life," Journal of International Money and Finance, Elsevier, vol. 27(1), pages 76-101, February.
    18. Qaiser Munir & Kasim Mansur, 2009. "Is Malaysian Stock Market Efficient? Evidence from Threshold Unit Root Tests," Economics Bulletin, AccessEcon, vol. 29(2), pages 1359-1370.
    19. Suardi, Sandy, 2008. "Central bank intervention, threshold effects and asymmetric volatility: Evidence from the Japanese yen-US dollar foreign exchange market," Economic Modelling, Elsevier, vol. 25(4), pages 628-642, July.

  19. Mehmet Caner, 2005. "Nearly Singular Design In Gmm And Generalized Empirical Likelihood Estimators," Econometrics 0509019, University Library of Munich, Germany.

    Cited by:

    1. Antoine, Bertille & Renault, Eric, 2024. "GMM with Nearly-Weak Identification," Econometrics and Statistics, Elsevier, vol. 30(C), pages 36-59.
    2. Mehmet Caner, 2005. "Nearly Singular Design In Gmm And Generalized Empirical Likelihood Estimators," Econometrics 0509019, University Library of Munich, Germany.
    3. Caner, Mehmet & Yıldız, Neşe, 2012. "CUE with many weak instruments and nearly singular design," Journal of Econometrics, Elsevier, vol. 170(2), pages 422-441.
    4. Bertille Antoine & Eric Renault, 2012. "Efficient Minimum Distance Estimation with Multiple Rates of Convergence," Discussion Papers dp12-03, Department of Economics, Simon Fraser University.
    5. Stefan Boes, 2010. "Count Data Models with Correlated Unobserved Heterogeneity," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 37(3), pages 382-402, September.
    6. Tais Carestiato Da Silva & Helder Ferreira De Mendonça, 2011. "Setting The Interest Rate For Twooutlier Countries," Anais do XXXVIII Encontro Nacional de Economia [Proceedings of the 38th Brazilian Economics Meeting] 207, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
    7. Richard, Patrick, 2019. "Residual bootstrap tests in linear models with many regressors," Journal of Econometrics, Elsevier, vol. 208(2), pages 367-394.

  20. Mehmet Caner, 2005. "Boundedly Pivotal Structural Change Tests in Continuous Updating GMM with Strong, Weak Identification and Completely Unidentified Cases," Econometrics 0509016, University Library of Munich, Germany.

    Cited by:

    1. Boldea, Otilia & Hall, Alastair R., 2013. "Estimation and inference in unstable nonlinear least squares models," Journal of Econometrics, Elsevier, vol. 172(1), pages 158-167.
    2. Mehmet Caner, 2005. "Exponential Tilting with Weak Instruments: Estimation and Testing," Econometrics 0509017, University Library of Munich, Germany.
    3. Mehmet Caner, 2005. "Nearly Singular Design In Gmm And Generalized Empirical Likelihood Estimators," Econometrics 0509019, University Library of Munich, Germany.
    4. Sophocles Mavroeidis & Mikkel Plagborg-Møller & James H. Stock, 2014. "Empirical Evidence on Inflation Expectations in the New Keynesian Phillips Curve," Journal of Economic Literature, American Economic Association, vol. 52(1), pages 124-188, March.
    5. Haiqiang Chen, "undated". "Robust Estimation and Inference for Threshold Models with Integrated Regressors," Working Papers 2013-12-02, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
    6. James M. Nason & Gregor W. Smith, 2008. "The New Keynesian Phillips curve : lessons from single-equation econometric estimation," Economic Quarterly, Federal Reserve Bank of Richmond, vol. 94(Fall), pages 361-395.

  21. Mehmet Caner, 2004. "Testing, Estimation and Higher Order Expansions in GMM with Semi-Weak Instruments," Econometric Society 2004 North American Summer Meetings 128, Econometric Society.

    Cited by:

    1. Iglesias, Emma M. & Phillips, Garry D.A., 2011. "Almost Unbiased Estimation in Simultaneous Equations Models with Strong and / or Weak Instruments," Cardiff Economics Working Papers E2011/19, Cardiff University, Cardiff Business School, Economics Section.

  22. Kilian, Lutz & Caner, Mehmet, 2000. "Size Distortions Of Tests Of The Null Hypothesis Of Stationarity: Evidence And Implications For The PPP Debate," CEPR Discussion Papers 2425, C.E.P.R. Discussion Papers.

    Cited by:

    1. Jomana Amara, 2011. "Testing for stationarity using covariates: an application to purchasing power parity," Applied Economics Letters, Taylor & Francis Journals, vol. 18(13), pages 1295-1301.
    2. Kilian, L. & Zha, T., 1999. "Quantifying the Half-Life of Deviations from PPP: The Role of Economic Priors," Papers 99-08, Michigan - Center for Research on Economic & Social Theory.
    3. Ivan Paya & David Peel, 2005. "The process followed by PPP data. On the properties of linearity tests," Applied Economics, Taylor & Francis Journals, vol. 37(21), pages 2515-2522.
    4. Jiang, Bibo & Lu, Ye & Park, Joon Y., 2018. "Testing for Stationarity at High Frequency," Working Papers 2018-09, University of Sydney, School of Economics.
    5. Mark J. Holmes & Theodore Panagiotidis & Jesus Otero, 2008. "Are EU budgets stationary?," Discussion Paper Series 2008_07, Department of Economics, University of Macedonia, revised Sep 2008.
    6. Jean-Marie Dufour & Tarek Jouini, 2005. "Finite-Sample Simulation-Based Inference in VAR Models with Applications to Order Selection and Causality Testing," CIRANO Working Papers 2005s-26, CIRANO.
    7. Matteo Pelagatti & Emilio Colombo, 2012. "Unpuzzling the Purchasing Power Parity Puzzle," Working Papers 221, University of Milano-Bicocca, Department of Economics, revised Mar 2012.
    8. Güzin Bayar, 2022. "Turkey's sectoral exports: A competitiveness approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(2), pages 2268-2289, April.
    9. Basci Erdem & Caner Mehmet & Yoon Gawon, 2006. "Corrigendum to "Are Real Exchange Rates Nonlinear or Non-Stationary? Evidence from a New Threshold Unit Root Test"," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 10(2), pages 1-6, May.
    10. Víctor M. Cuevas Ahumada, 2009. "La competitividad internacional manufacturera en Argentina, México y Turquía: una investigación empírica," Economía, Gestión y Desarrollo 9355, Universidad Javeriana - Cali.
    11. Vishal Chandr Jaunky & Robert Lundmark, 2015. "Are Shocks to Wood Fuel Production Permanent? Evidence from the EU," Energies, MDPI, vol. 8(11), pages 1-11, November.
    12. Holmes, Mark J. & Otero, Jesús & Panagiotidis, Theodore, 2011. "The term structure of interest rates, the expectations hypothesis and international financial integration: Evidence from Asian economies," International Review of Economics & Finance, Elsevier, vol. 20(4), pages 679-689, October.
    13. Eyal Dvir & Kenneth S. Rogoff, 2009. "Three Epochs of Oil," NBER Working Papers 14927, National Bureau of Economic Research, Inc.
    14. Syed A. Basher & Josep Lluis Carrión-i-Silvestre, 2008. "Deconstructing Shocks and Persistence in OECD Real Exchange Rates," Working Papers XREAP2008-06, Xarxa de Referència en Economia Aplicada (XREAP), revised Jun 2008.
    15. Francis Ahking, 2003. "Efficient unit root tests of real exchange rates in the post-Bretton Woods era," Economics Bulletin, AccessEcon, vol. 6(7), pages 1-12.
    16. Rossi, Barbara, 2005. "Confidence Intervals for Half-Life Deviations From Purchasing Power Parity," Journal of Business & Economic Statistics, American Statistical Association, vol. 23, pages 432-442, October.
    17. Njindan Iyke , Bernard & Odhiambo, Nicholas M., 2015. "A re-examination of long-run Purchasing Power Parity (PPP) hypothesis: the case of two Southern African countries," Working Papers 18980, University of South Africa, Department of Economics.
    18. Lawrence J. Christiano & Martin S. Eichenbaum & Robert J. Vigfusson, 2003. "What happens after a technology shock?," International Finance Discussion Papers 768, Board of Governors of the Federal Reserve System (U.S.).
    19. Njindan Iyke, Bernard, 2015. "On The Term Structure of South African Interest Rates: Cointegration and Threshold Adjustment," MPRA Paper 67681, University Library of Munich, Germany.
    20. Paresh Kumar Narayan, 2005. "New evidence on purchasing power parity from 17 OECD countries," Applied Economics, Taylor & Francis Journals, vol. 37(9), pages 1063-1071.
    21. Mark J. Holmes & Jesús Otero & Theodore Panagiotidis, 2009. "Are Eu Budget Deficits Stationary?," Working Paper series 17_09, Rimini Centre for Economic Analysis.
    22. Jushan Bai & Serena Ng, 2001. "A New Look at Panel Testing of Stationarity and the PPP Hypothesis," Economics Working Paper Archive 467, The Johns Hopkins University,Department of Economics.
    23. Wasel Shadat, 2011. "On the Nonparametric Tests of Univariate GARCH Regression Models," Economics Discussion Paper Series 1115, Economics, The University of Manchester.
    24. Xiufeng Xing & Yingjia Cong & Yu Wang & Xueqing Wang, 2023. "The Impact of COVID-19 and War in Ukraine on Energy Prices of Oil and Natural Gas," Sustainability, MDPI, vol. 15(19), pages 1-16, September.
    25. Mark J. Holmes & Theodore Panagiotidis & Jesus Otero, 2009. "On the stationarity of current account deficits in the European Union," Discussion Paper Series 2009_18, Department of Economics, University of Macedonia, revised Dec 2009.
    26. Marques, Luís Miguel & Fuinhas, José Alberto & Marques, António Cardoso, 2012. "Interação entre o mercado acionista e o crescimento económico: Uma apreciação do caso português (1993-2010) [Interaction between the stock market and economic growth: An assessment of the Portugues," MPRA Paper 39808, University Library of Munich, Germany.
    27. Kilian, Lutz, 2019. "Facts and Fiction in Oil Market Modeling," CEPR Discussion Papers 14047, C.E.P.R. Discussion Papers.
    28. Martin C. Arnold & Christoph Hanck, 2019. "On Combining Evidence from Heteroskedasticity Robust Panel Unit Root Tests in Pooled Regressions," JRFM, MDPI, vol. 12(3), pages 1-22, July.
    29. Jönsson, Kristian, 2006. "Testing Stationarity in Small and Medium-Sized Samples when Disturbances are Serially Correlated," Working Papers 2006:20, Lund University, Department of Economics, revised 09 Nov 2009.
    30. Amsler Christine & Schmidt Peter, 2012. "A Comparison of the Robustness of Several Tests of Short Memory to Autocorrelated Errors," Journal of Econometric Methods, De Gruyter, vol. 1(1), pages 56-66, August.
    31. Péter Farkas, 2013. "Counting Process Generated by Boundary-crossing Events. Theory and Statistical Applications," CEU Working Papers 2013_4, Department of Economics, Central European University.
    32. Mark J. Holmes & Jesús Otero & Theodore Panagiotidis, 2011. "PPP in OECD Countries: An Analysis of Real Exchange Rate Stationarity, cross-Sectional Dependency and Structural Breaks," Working Paper series 51_11, Rimini Centre for Economic Analysis.
    33. Mello, Marcelo, 2010. "Stochastic Convergence Across Brazilian States," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 30(1), October.
    34. Caporale, Guglielmo Maria & Cerrato, Mario, 2004. "Panel Data Tests of PPP. A Critical Overview," Economics Series 159, Institute for Advanced Studies.
    35. Iregui, Ana María & Otero, Jesús, 2013. "The long-run behaviour of the terms of trade between primary commodities and manufactures: A panel data approach," 87th Annual Conference, April 8-10, 2013, Warwick University, Coventry, UK 158682, Agricultural Economics Society.
    36. Ahmad Zubaidi Baharumshah & Raj Aggarwal & Chan Tze Haw, 2007. "East Asian Real Exchange Rates and PPP: New Evidence from Panel-data Tests," Global Economic Review, Taylor & Francis Journals, vol. 36(2), pages 103-119.
    37. Kim, Soyoung & Lima, Luiz Renato, 2010. "Local persistence and the PPP hypothesis," Journal of International Money and Finance, Elsevier, vol. 29(3), pages 555-569, April.
    38. Ho, Sin-Yu & Njindan Iyke, Bernard, 2017. "Empirical Reassessment of Bank-based Financial Development and Economic Growth in Hong Kong," MPRA Paper 78920, University Library of Munich, Germany.
    39. Daiki Maki, 2008. "The Performance of Variance Ratio Unit Root Tests Under Nonlinear Stationary TAR and STAR Processes: Evidence from Monte Carlo Simulations and Applications," Computational Economics, Springer;Society for Computational Economics, vol. 31(1), pages 77-94, February.
    40. Amsler Christine & Schmidt Peter & Vogelsang Timothy J, 2009. "The KPSS Test Using Fixed-b Critical Values: Size and Power in Highly Autocorrelated Time Series," Journal of Time Series Econometrics, De Gruyter, vol. 1(1), pages 1-44, December.
    41. Kurozumi, Eiji, 2009. "Construction of Stationarity Tests with Less Size Distortions," Hitotsubashi Journal of Economics, Hitotsubashi University, vol. 50(1), pages 87-105, June.
    42. Michael Frömmel & Darko B. Vukovic & Jinyuan Wu, 2022. "The Dollar Exchange Rate, Adjustment to the Purchasing Power Parity, and the Interest Rate Differential," Mathematics, MDPI, vol. 10(23), pages 1-17, November.
    43. Francis W. Ahking, 2004. "The Power of the "Objective" Bayesian Unit-Root Test," Working papers 2004-14, University of Connecticut, Department of Economics.
    44. Westerlund, Joakim, 2003. "A Panel CUSUM Test of the Null of Cointegration," Working Papers 2003:15, Lund University, Department of Economics.
    45. Stefano Grassi & Tommaso Proietti, 2010. "Characterizing economic trends by Bayesian stochastic model specification search," EERI Research Paper Series EERI_RP_2010_25, Economics and Econometrics Research Institute (EERI), Brussels.
    46. Olivier Darné & Jean‐François Hoarau, 2007. "Further Evidence On Mean Reversion In The Australian Exchange Rate," Bulletin of Economic Research, Wiley Blackwell, vol. 59(4), pages 383-395, October.
    47. Nuno Alves & Jose Brandao de Brito & Sandra Gomes & Joao Sousa, 2009. "The transmission of monetary policy and technology shocks in the euro area," Applied Economics, Taylor & Francis Journals, vol. 43(8), pages 917-927.
    48. Ana Iregui & Jesús Otero, 2011. "Testing the law of one price in food markets: evidence for Colombia using disaggregated data," Empirical Economics, Springer, vol. 40(2), pages 269-284, April.
    49. Nafeesa Yunus, 2009. "Increasing Convergence Between U.S. and International Securitized Property Markets: Evidence Based on Cointegration Tests," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 37(3), pages 383-411, September.
    50. Sin-Yu Ho & Bernard Njindan Iyke, 2018. "Finance-growth-poverty nexus: a re-assessment of the trickle-down hypothesis in China," Economic Change and Restructuring, Springer, vol. 51(3), pages 221-247, August.
    51. Tastan Huseyin, 2005. "Do real exchange rates contain a unit root? Evidence from Turkish data," Applied Economics, Taylor & Francis Journals, vol. 37(17), pages 2037-2053.
    52. Nikseresht, Ali & Amindavar, Hamidreza, 2024. "Energy demand forecasting using adaptive ARFIMA based on a novel dynamic structural break detection framework," Applied Energy, Elsevier, vol. 353(PA).
    53. Jorge Selaive ; Vicente Tuesta, 2004. "Net Foreign Assets And Imperfect Financial Integration: An Empirical Approach," Econometric Society 2004 Latin American Meetings 90, Econometric Society.
    54. Mabel Cabezas B. & Jorge Selaive C. & Gonzalo Becerra M., 2004. "Determinants of Non-Mining Exports: A Regional Perspective," Working Papers Central Bank of Chile 296, Central Bank of Chile.
    55. Lothian, James R. & Taylor, Mark P., 2006. "Real Exchange Rates Over the Past Two Centuries: How Important is the Harrod-Balassa-Samuelson Effect?," Economic Research Papers 269738, University of Warwick - Department of Economics.
    56. Nazlioglu, Saban & Karul, Cagin, 2017. "A panel stationarity test with gradual structural shifts: Re-investigate the international commodity price shocks," Economic Modelling, Elsevier, vol. 61(C), pages 181-192.
    57. Jaunky, Vishal Chandr, 2013. "Are Shocks To Aluminium Consumption Transitory Or Permanent?," Review of Applied Economics, Lincoln University, Department of Financial and Business Systems, vol. 9(1-2), January.
    58. Eiji Kurozumi & Shinya Tanaka, 2010. "Reducing the size distortion of the KPSS test," Journal of Time Series Analysis, Wiley Blackwell, vol. 31(6), pages 415-426, November.
    59. Baharumshah, Ahmad Zubaidi & Chan, Tze-Haw & Masih, A. Mansur A., 2005. "Financial Integration of East Asian Economies: Evidence from Real Interest Parity," MPRA Paper 2210, University Library of Munich, Germany, revised 2007.
    60. Jönsson, Kristian, 2006. "Finite-Sample Stability of the KPSS Test," Working Papers 2006:23, Lund University, Department of Economics.
    61. Vishal Jaunky, 2013. "Democracy and economic growth in Sub-Saharan Africa: a panel data approach," Empirical Economics, Springer, vol. 45(2), pages 987-1008, October.
    62. GRENADE, Kari & MOORE, Winston, 2008. "Co-Movements Between Foreign And Domestic Interest Rates In A Fixed Exchange Rate Regime: The Case Of The Eccu And The Us," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 8(1), pages 119-130.
    63. Tang, Chor Foon & Tan, Bee Wah, 2015. "The impact of energy consumption, income and foreign direct investment on carbon dioxide emissions in Vietnam," Energy, Elsevier, vol. 79(C), pages 447-454.
    64. Sonali DAS , Rangan GUPTA & Patrick A. KAYA, 2010. "Convergence Of Metropolitan House Prices In South Africa: A Re-Examination Using Efficient Unit Root Tests," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 10(1).
    65. Jiranyakul, Komain & Batavia, Bala, 2009. "Does Purchasing Power Parity hold in Thailand?," MPRA Paper 47032, University Library of Munich, Germany.
    66. Dias, Daniel A. & Marques, Carlos Robalo, 2010. "Using mean reversion as a measure of persistence," Economic Modelling, Elsevier, vol. 27(1), pages 262-273, January.
    67. James Morley & Irina B. Panovska & Tara M. Sinclair, 2014. "Testing Stationarity for Unobserved Components Models," Discussion Papers 2012-41B, School of Economics, The University of New South Wales.
    68. Olivier Darné, 2004. "The effects of additive outliers on stationarity tests: a monte carlo study," Economics Bulletin, AccessEcon, vol. 3(16), pages 1-8.
    69. Jesús Otero & Luis Fernando Gamboa & Andrés García-Suaza, 2011. "An analysis of the relationship between wages in the public and private sector in colombia: a panel data approach," Documentos de Trabajo 8738, Universidad del Rosario.
    70. Javier Gómez Biscarri & Javier Hualde, 2014. "A Residual-Based ADF Test for Stationary Cointegration in I (2) Settings," Working Papers 779, Barcelona School of Economics.
    71. Ho, Sin-Yu & Njindan Iyke, Bernard, 2017. "Does Financial Development Lead to Poverty Reduction in China? Time Series Evidence," MPRA Paper 78922, University Library of Munich, Germany.
    72. Cho, Cheol-Keun & Amsler, Christine & Schmidt, Peter, 2015. "A test of the null of integer integration against the alternative of fractional integration," Journal of Econometrics, Elsevier, vol. 187(1), pages 217-237.
    73. Sanghamitra Bandyopadhyay, 2016. "The persistence of inequality across Indian states," CSAE Working Paper Series 2016-26, Centre for the Study of African Economies, University of Oxford.
    74. Sevan Gulesserian & Mohitosh Kejriwal, 2014. "On the power of bootstrap tests for stationarity: a Monte Carlo comparison," Empirical Economics, Springer, vol. 46(3), pages 973-998, May.
    75. Kung-Sik Chan & Simone Giannerini & Greta Goracci & Howell Tong, 2020. "Testing for threshold regulation in presence of measurement error with an application to the PPP hypothesis," Papers 2002.09968, arXiv.org, revised Nov 2021.
    76. Syed A. Basher & Josep Lluís Carrion-i-Silvestre, 2007. "Another Look at the Null of Stationary RealExchange Rates. Panel Data with Structural Breaks and Cross-section Dependence," IREA Working Papers 200710, University of Barcelona, Research Institute of Applied Economics, revised May 2007.
    77. Müller, Ulrich K. & Watson, Mark W., 2013. "Low-frequency robust cointegration testing," Journal of Econometrics, Elsevier, vol. 174(2), pages 66-81.
    78. Dufour, Jean-Marie & Jouini, Tarek, 2006. "Finite-sample simulation-based inference in VAR models with application to Granger causality testing," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 229-254.
    79. Darne, Olivier & Diebolt, Claude, 2004. "Unit roots and infrequent large shocks: new international evidence on output," Journal of Monetary Economics, Elsevier, vol. 51(7), pages 1449-1465, October.
    80. Leon-Ledesma, Miguel & Peter McAdam, 2003. "Unemployment, Hysterisis and Transition," Royal Economic Society Annual Conference 2003 137, Royal Economic Society.
    81. Soon, Siew-Voon & Baharumshah, Ahmad Zubaidi & Mohamad Shariff, Nurul Sima, 2017. "The persistence in real interest rates: Does it solve the intertemporal consumption behavior puzzle?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 50(C), pages 36-51.
    82. James Morley & Irina B. Panovska & Tara M. Sinclair, 2013. "Testing Stationarity for Unobserved Components Models," Discussion Papers 2012-41A, School of Economics, The University of New South Wales.
    83. Philip Arestis & Ambika D. Luintel & Kul B. Luintel, 2004. "Does Financial Structure Matter?," Finance 0401006, University Library of Munich, Germany.
    84. Rodriguez, Gonzalo & Bande, Roberto, 2014. "Market differences in wild and farmed marine fish in the Spanish seafood market," MPRA Paper 59142, University Library of Munich, Germany.
    85. Njindan Iyke, Bernard, 2015. "Real Exchange Rates Persistence in the West African Monetary Zone: A Revisit of the PPP Puzzle," MPRA Paper 67282, University Library of Munich, Germany.
    86. Guzin BAYAR & Selman TOKPUNAR, 2013. "Turk Lirasi Reel Kuru Denge Degerinde Mi?," Ege Academic Review, Ege University Faculty of Economics and Administrative Sciences, vol. 13(4), pages 405-426.
    87. Njindan Iyke , Bernard & Odhiambo, Nicholas M., 2015. "The determinants of long-run real exchange rates in South Africa: a fundamental equilibrium approach," Working Papers 18979, University of South Africa, Department of Economics.
    88. Markku Lanne & Pentti Saikkonen, 2003. "Reducing size distortions of parametric stationarity tests," Journal of Time Series Analysis, Wiley Blackwell, vol. 24(4), pages 423-439, July.
    89. Paul Alagidede & George Tweneboah & Anokye M. Adam, 2008. "Nominal Exchange Rates and Price Convergence in the West African Monetary Zone," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 7(3), pages 181-198, December.
    90. Bernard Njindan Iyke, 2017. "On the term structure of South African interest rates: cointegration and threshold adjustment," International Journal of Sustainable Economy, Inderscience Enterprises Ltd, vol. 9(4), pages 300-321.
    91. Luintel, Kul B & Khan, Mosahid & Arestis, Philip & Theodoridis, Konstantinos, 2008. "Financial Structure and Economic Growth," Cardiff Economics Working Papers E2008/3, Cardiff University, Cardiff Business School, Economics Section.
    92. Ulrich K. Müller, 2002. "Size and Power of Tests for Stationarity in Highly Autocorrelated Time Series," University of St. Gallen Department of Economics working paper series 2002 2002-26, Department of Economics, University of St. Gallen.
    93. N.D. Geomelos & E. Xideas, 2014. "Forecasting spot prices in bulk shipping using multivariate and univariate models," Cogent Economics & Finance, Taylor & Francis Journals, vol. 2(1), pages 1-37, December.
    94. Melo, Patricia C. & Sobreira, Nuno & Goulart, Pedro, 2019. "Estimating the long-run metro demand elasticities for Lisbon: A time-varying approach," Transportation Research Part A: Policy and Practice, Elsevier, vol. 126(C), pages 360-376.
    95. Luisa Corrado & Thanasis Stengos & Melvyn Weeks & M. Ege Yazgan, 2019. "Robust Tests for Convergence Clubs," CEIS Research Paper 451, Tor Vergata University, CEIS, revised 14 Feb 2019.
    96. Muller, Ulrich K., 2005. "Size and power of tests of stationarity in highly autocorrelated time series," Journal of Econometrics, Elsevier, vol. 128(2), pages 195-213, October.
    97. Lutz Kilian & Tao Zha, 2002. "Quantifying the uncertainty about the half-life of deviations from PPP," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(2), pages 107-125.
    98. Jaunky, Vishal Chandr, 2011. "The CO2 emissions-income nexus: Evidence from rich countries," Energy Policy, Elsevier, vol. 39(3), pages 1228-1240, March.
    99. Jönsson, Kristian, 2005. "Testing for Stationarity in Panel Data when Errors are Serially Correlated. Finite-Sample Results," Working Papers 2005:16, Lund University, Department of Economics.
    100. Chioneso S. Marange & Yongsong Qin & Raymond T. Chiruka & Jesca M. Batidzirai, 2023. "A Blockwise Empirical Likelihood Test for Gaussianity in Stationary Autoregressive Processes," Mathematics, MDPI, vol. 11(4), pages 1-20, February.
    101. Jönsson, Kristian, 2004. "Testing for Stationarity in Panel Data Models when Disturbances are Cross-Sectionally Correlated," Working Papers 2004:17, Lund University, Department of Economics, revised 26 Nov 2004.
    102. Nafeesa Yunus, 2023. "Co‐movement among oil, stock, bond, and housing markets: An analysis of U.S., Asian, and European economies," International Review of Finance, International Review of Finance Ltd., vol. 23(2), pages 393-436, June.
    103. Narayan Paresh K & Prasad Biman Chand, 2005. "The Validity of Purchasing Power Parity Hypothesis for Eleven Middle Eastern Countries," Review of Middle East Economics and Finance, De Gruyter, vol. 3(2), pages 44-58, August.
    104. Yunus, Nafeesa, 2015. "Trends and convergence in global housing markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 36(C), pages 100-112.
    105. Fabio Busetti & Silvestro di Sanzo, 2011. "Bootstrap LR tests of stationarity, common trends and cointegration," Temi di discussione (Economic working papers) 799, Bank of Italy, Economic Research and International Relations Area.
    106. Jeguirim, Khaled & Ben Salem, Leila, 2024. "Unveiling extreme dependencies between oil price shocks and inflation in Tunisia: Insights from a copula dcc garch approach," MPRA Paper 121616, University Library of Munich, Germany.
    107. Choi, Chi-Young, 2004. "Searching for evidence of long-run PPP from a post-Bretton Woods panel: separating the wheat from the chaff," Journal of International Money and Finance, Elsevier, vol. 23(7-8), pages 1159-1186.
    108. Apostolos Serletis & Libo Xu, "undated". "Volatility and a Century of Energy Markets Dynamics," Working Papers 2016-29, Department of Economics, University of Calgary, revised 28 Jan 2016.
    109. Khalaf, Lynda & Urga, Giovanni, 2014. "Identification robust inference in cointegrating regressions," Journal of Econometrics, Elsevier, vol. 182(2), pages 385-396.
    110. Eiji Goto, 2020. "Industry Impacts of Unconventional Monetary Policy," 2020 Papers pgo873, Job Market Papers.
    111. Mariam Camarero & Josep Lluís Carrion‐i‐Silvestre & Cecilio Tamarit, 2008. "Unemployment Hysteresis in Transition Countries: Evidence using Stationarity Panel Tests with Breaks," Review of Development Economics, Wiley Blackwell, vol. 12(3), pages 620-635, August.

  23. Mehmet Caner & Lutz Kilian, 1999. "Size Distortions of Tests of the Null Hypothesis of Stationarity: Evidence and Implications for Applied Work," Computing in Economics and Finance 1999 511, Society for Computational Economics.

    Cited by:

    1. Ata Assaf, 2006. "Nonlinear Trend Stationarity in Real Exchange Rates: Evidence from Nonlinear ADF tests," Annals of Economics and Finance, Society for AEF, vol. 7(2), pages 283-294, November.
    2. Caporale, Guglielmo Maria & Cerrato, Mario, 2004. "Panel Data Tests of PPP. A Critical Overview," Economics Series 159, Institute for Advanced Studies.
    3. Ahmad Zubaidi Baharumshah & Raj Aggarwal & Chan Tze Haw, 2007. "East Asian Real Exchange Rates and PPP: New Evidence from Panel-data Tests," Global Economic Review, Taylor & Francis Journals, vol. 36(2), pages 103-119.
    4. Francis X. Diebold & Lutz Kilian, 1999. "Unit Root Tests are Useful for Selecting Forecasting Models," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-063, New York University, Leonard N. Stern School of Business-.
    5. Culver, Sarah E. & Papell, David H., 1999. "Long-run purchasing power parity with short-run data: evidence with a null hypothesis of stationarity," Journal of International Money and Finance, Elsevier, vol. 18(5), pages 751-768, October.

  24. Caner,M. & Hansen,B.E., 1998. "Threshold autoregression with a near unit root," Working papers 27, Wisconsin Madison - Social Systems.

    Cited by:

    1. Jesus Crespo Cuaresma & Adelina Gschwandtner, 2006. "The competitive environment hypothesis revisited: non-linearity, nonstationarity and profit persistence," Applied Economics, Taylor & Francis Journals, vol. 38(4), pages 465-472.
    2. Juan Gabriel Brida & Bibiana Lanzilotta & Fiorella Pizzolon, 2016. "Dynamic relationship between tourism and economic growth in MERCOSUR countries: a nonlinear approach based on asymmetric time series models," Economics Bulletin, AccessEcon, vol. 36(2), pages 879-894.
    3. Coakley, Jerry & Fuertes, Ana-Maria & Perez, Maria-Teresa, 2003. "Numerical issues in threshold autoregressive modeling of time series," Journal of Economic Dynamics and Control, Elsevier, vol. 27(11-12), pages 2219-2242, September.
    4. Yen-Hsien Lee & Ya-Ling Huang & Hao-Jang Yang, 2012. "The Asymmetric Long-Run Relationship Between Crude Oil And Gold Futures," Global Journal of Business Research, The Institute for Business and Finance Research, vol. 6(1), pages 9-15.
    5. Paresh Kumar Narayan, 2007. "Are Nominal Exchange Rates and Price Levels Co‐Integrated? New Evidence from Threshold Autoregressive and Momentum‐Threshold Autoregressive Models," The Economic Record, The Economic Society of Australia, vol. 83(260), pages 74-85, March.
    6. Darbha, Gangadhar & Patel, Urjit R., 2004. "Nonlinear Adjustment in Real Exchange Rates and Long Run Purchasing Power Parity--Further Evidence," Working Papers 04-1, University of Pennsylvania, Wharton School, Weiss Center.
    7. Mr. Francesco Grigoli & José M. Mota, 2015. "Interest Rate Pass-Through in the Dominican Republic," IMF Working Papers 2015/260, International Monetary Fund.
    8. Yen-Hsien Lee, 2013. "The Predictability of the Socially Responsible Investment Index: A New TMDCC Approach," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 5(1), pages 027-034, June.
    9. Yann Algan, 2002. "How well does the aggregate demand–aggregate supply framework explain unemployment fluctuations? A France–United States comparison," SciencePo Working papers Main hal-03596383, HAL.
    10. Paradiso, Antonio & Kumar, Saten & Lucchetta, Marcella, 2014. "Investigating the US consumer credit determinants using linear and non-linear cointegration techniques," Economic Modelling, Elsevier, vol. 42(C), pages 20-28.
    11. Martin T. Bohl & Pierre L. Siklos, 2004. "The Bundesbank's Inflation Policy and Asymmetric Behavior of the German Term Structure," Review of International Economics, Wiley Blackwell, vol. 12(3), pages 495-508, August.
    12. Yoon Young Jung & Dong Wan Shin & Man-Suk Oh, 2005. "Bayesian analysis of panel data using an MTAR model," Journal of Applied Statistics, Taylor & Francis Journals, vol. 32(8), pages 841-854.
    13. George Kapetanios & Yongcheol Shin & Andy Snell, 2000. "Testing for a Unit Root against Nonlinear STAR Models," Edinburgh School of Economics Discussion Paper Series 69, Edinburgh School of Economics, University of Edinburgh.
    14. Fakhri Hasanov, 2012. "The impact of the real exchange rate on non-oil exports. Is there an asymmetric adjustment towards the equilibrium?," Working Papers 2012-005, The George Washington University, Department of Economics, H. O. Stekler Research Program on Forecasting.
    15. Walter Enders, 2001. "Improved critical values for the Enders-Granger unit-root test," Applied Economics Letters, Taylor & Francis Journals, vol. 8(4), pages 257-261.
    16. Munir A. Jalil & Luis Fernando Melo, 2000. "Una Relación no Líneal entre Inflación y los Medios de Pago," Borradores de Economia 145, Banco de la Republica de Colombia.
    17. Hansen,B.E., 1999. "Testing for linearity," Working papers 7, Wisconsin Madison - Social Systems.
    18. Suardi, Sandy, 2008. "Central bank intervention, threshold effects and asymmetric volatility: Evidence from the Japanese yen-US dollar foreign exchange market," Economic Modelling, Elsevier, vol. 25(4), pages 628-642, July.

  25. Kilian, L. & Caner, M., 1998. "Analyzing Unit Root Tests in Finite Samples Using Power Profiles," Papers 98-05, Michigan - Center for Research on Economic & Social Theory.

    Cited by:

    1. Meier, Carsten-Patrick, 2000. "Trend und Zyklus im Bruttoinlandsprodukt der Bundesrepublik Deutschland - eine Anmerkung," Kiel Working Papers 993, Kiel Institute for the World Economy (IfW Kiel).
    2. Meier Carsten-Patrick, 2001. "Trend und Zyklus im Bruttoinlandsprodukt der Bundesrepublik Deutschland. Eine Anmerkung / Trends and Cycles in Germany’s Real Gross Domestic Product. A Note," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 221(2), pages 168-178, April.

  26. Bruce E. Hansen & Mehmet Caner, 1997. "Threshold Autoregressions with a Unit Root," Boston College Working Papers in Economics 381, Boston College Department of Economics.

    Cited by:

    1. So, Beong Soo & Shin, Dong Wan, 2001. "An invariant sign test for random walks based on recursive median adjustment," Journal of Econometrics, Elsevier, vol. 102(2), pages 197-229, June.
    2. Yavuz, Nilgun Cil & Guris, Burak & Yilanci, Veli, 2007. "Searching threshold effects in the interest rate: An application to Turkey case," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 379(2), pages 621-627.
    3. Kuo, Shew-Huei & Enders, Walter, 2004. "The term structure of Japanese interest rates:: The equilibrium spread with asymmetric dynamics," Journal of the Japanese and International Economies, Elsevier, vol. 18(1), pages 84-98, March.
    4. Chaoyi Chen & Thanasis Stengos, 2022. "Estimation and Inference for the Threshold Model with Hybrid Stochastic Local Unit Root Regressors," JRFM, MDPI, vol. 15(6), pages 1-15, May.
    5. J-P.Guironnet, 2006. "Analyse cliométrique des cycles de croissance de l'éducation en France (1815-2003): vers un modèle à seuil autorégressif," Economies et Sociétés (Serie 'Histoire Economique Quantitative'), Association Française de Cliométrie (AFC), issue 34, pages 193-214, February.
    6. Shyh-Wei Chen, 2008. "Non-stationarity and Non-linearity in Stock Prices: Evidence from the OECD Countries," Economics Bulletin, AccessEcon, vol. 3(11), pages 1-11.
    7. Juan Carlos Cuestas & Dean Garratt, 2008. "Is real GDP per capita a stationary process? Smooth transitions, nonlinear trends and unit root testing," NBS Discussion Papers in Economics 2008/12, Economics, Nottingham Business School, Nottingham Trent University.
    8. Shin, Dong Wan & Lee, Oesook, 2007. "Asymmetry and nonstationarity for a seasonal time series model," Journal of Econometrics, Elsevier, vol. 136(1), pages 89-114, January.
    9. Andrew Phiri & Doreen Mukuka, 2017. "Does unemployment aggravate suicide rates in South Africa? Some empirical evidence," Working Papers 1705, Department of Economics, Nelson Mandela University, revised Jul 2017.
    10. Sibel Cengiz & Afsin Sahin, 2014. "Modelling nonlinear behavior of labor force participation rate by STAR: An application for Turkey," International Journal of Business and Economic Sciences Applied Research (IJBESAR), Democritus University of Thrace (DUTH), Kavala Campus, Greece, vol. 7(1), pages 113-127, April.
    11. Jesus Crespo Cuaresma & Adelina Gschwandtner, 2006. "The competitive environment hypothesis revisited: non-linearity, nonstationarity and profit persistence," Applied Economics, Taylor & Francis Journals, vol. 38(4), pages 465-472.
    12. George Kapetanios & Yongcheol Shin & Andy Snell, 2003. "Testing for Cointegration in Nonlinear STAR Error Correction Models," Working Papers 497, Queen Mary University of London, School of Economics and Finance.
    13. Jean-Yves Pitarakis, 2004. "Model Selection Uncertainty and Detection of Threshold Effecs," Econometrics 0409013, University Library of Munich, Germany.
    14. Guo, Minjie & McDermott, John, 2020. "Sovereign debt and the length of economic depressions," Economic Modelling, Elsevier, vol. 90(C), pages 79-91.
    15. Yue-Hua Dai & Wen-Jie Xie & Zhi-Qiang Jiang & George J. Jiang & Wei-Xing Zhou, 2016. "Correlation structure and principal components in the global crude oil market," Empirical Economics, Springer, vol. 51(4), pages 1501-1519, December.
    16. Hsieh Hsih-chia & Hsieh Pei-gin, 2004. "A Generalized Theory of Monetary and Macroeconomics," Money Macro and Finance (MMF) Research Group Conference 2004 50, Money Macro and Finance Research Group.
    17. Alex Luiz Ferreira & Miguel León-Ledesma, 2003. "Does the Real Interest Parity Hypothesis Hold? Evidence for Developed and Emerging Markets," Studies in Economics 0301, School of Economics, University of Kent.
    18. Maslyuk, Svetlana & Smyth, Russell, 2009. "Non-linear unit root properties of crude oil production," Energy Economics, Elsevier, vol. 31(1), pages 109-118, January.
    19. Chung-Ming Kuan & Christos Michalopoulos & Zhijie Xiao, 2017. "Quantile Regression on Quantile Ranges – A Threshold Approach," Journal of Time Series Analysis, Wiley Blackwell, vol. 38(1), pages 99-119, January.
    20. Mehmet Caner & Thomas Grennes, 2010. "Sovereign Wealth Funds: The Norwegian Experience," The World Economy, Wiley Blackwell, vol. 33(4), pages 597-614, April.
    21. Eklund, Bruno, 2003. "A nonlinear alternative to the unit root hypothesis," SSE/EFI Working Paper Series in Economics and Finance 547, Stockholm School of Economics.
    22. Janice Boucher Breuer & John McDermott, 2019. "Debt And Depression," Contemporary Economic Policy, Western Economic Association International, vol. 37(4), pages 714-730, October.
    23. Robert, Anderton & Baldwin, Richard & Taglioni, Daria, 2007. "The impact of monetary union on trade prices," Journal of Financial Transformation, Capco Institute, vol. 19, pages 35-48.
    24. Fattouh, Bassam, 2010. "The dynamics of crude oil price differentials," Energy Economics, Elsevier, vol. 32(2), pages 334-342, March.
    25. Jian Li & Jean‐Paul Chavas, 2023. "A dynamic analysis of the distribution of commodity futures and spot prices," American Journal of Agricultural Economics, John Wiley & Sons, vol. 105(1), pages 122-143, January.
    26. Maswana, Jean-Claude, 2010. "Will China’s Recovery Affect Africa’s Prospects for Economic Growth?," Working Papers 19, JICA Research Institute.
    27. Gonzalo, Jesus & Pitarakis, Jean-Yves, 2002. "Estimation and model selection based inference in single and multiple threshold models," Journal of Econometrics, Elsevier, vol. 110(2), pages 319-352, October.
    28. Pawel Milobedzki, 2010. "The Term Structure of the Polish Interbank Rates. A Note on the Symmetry of their Reversion to the Mean," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 10, pages 81-95.
    29. Kim, Hyeongwoo & Moh, Young-Kyu, 2010. "A century of purchasing power parity confirmed: The role of nonlinearity," Journal of International Money and Finance, Elsevier, vol. 29(7), pages 1398-1405, November.
    30. Sekioua, Sofiane H., 2006. "Nonlinear adjustment in the forward premium: evidence from a threshold unit root test," International Review of Economics & Finance, Elsevier, vol. 15(2), pages 164-183.
    31. George Kapetanios & Yongcheol Shin, 2003. "Unit Root Tests in Three-Regime SETAR Models," Edinburgh School of Economics Discussion Paper Series 104, Edinburgh School of Economics, University of Edinburgh.
    32. Matthew Clegg & Christopher Krauss, 2018. "Pairs trading with partial cointegration," Quantitative Finance, Taylor & Francis Journals, vol. 18(1), pages 121-138, January.
    33. Li, Dong & Tong, Howell, 2016. "Nested sub-sample search algorithm for estimation of threshold models," LSE Research Online Documents on Economics 68880, London School of Economics and Political Science, LSE Library.
    34. Liew, Venus Khim-Sen & Baharumshah, Ahmad Zubaidi & Habibullah, Muzafar Shah & Midi, Habshah, 2008. "Monetary exchange rate model: supportive evidence from nonlinear testing procedures," MPRA Paper 7293, University Library of Munich, Germany.
    35. David O. Cushman, 2012. "Mankiw vs. DeLong and Krugman on the CEA's Real GDP Forecasts in Early 2009: What Might a Time Series Econometrician Have Said?," Econ Journal Watch, Econ Journal Watch, vol. 9(3), pages 309-349, September.
    36. Jiang, Chun & Li, Xiao-Lin & Chang, Hsu-Ling & Su, Chi-Wei, 2013. "Uncovered interest parity and risk premium convergence in Central and Eastern European countries," Economic Modelling, Elsevier, vol. 33(C), pages 204-208.
    37. Christis Katsouris, 2023. "Quantile Time Series Regression Models Revisited," Papers 2308.06617, arXiv.org, revised Aug 2023.
    38. Kurmaş Akdoğan, 2017. "Unemployment hysteresis and structural change in Europe," Empirical Economics, Springer, vol. 53(4), pages 1415-1440, December.
    39. Cheng-Hsun Lin & Nai-Fong Kuo & Cheng-Da Yuan, 2008. "Nonlinear vs. nonstationary of hysteresis in unemployment: evidence from OECD economies," Applied Economics Letters, Taylor & Francis Journals, vol. 15(11), pages 905-909.
    40. van Dijk, Dick & Franses, Philip Hans & Paap, Richard, 2002. "A nonlinear long memory model, with an application to US unemployment," Journal of Econometrics, Elsevier, vol. 110(2), pages 135-165, October.
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    42. Marcellino, Massimiliano & Galvão, Ana Beatriz, 2010. "Endogenous Monetary Policy Regimes and the Great Moderation," CEPR Discussion Papers 7827, C.E.P.R. Discussion Papers.
    43. Wan Shin, Dong & Lee, Oesook, 2003. "An instrumental variable approach for tests of unit roots and seasonal unit roots in asymmetric time series models," Journal of Econometrics, Elsevier, vol. 115(1), pages 29-52, July.
    44. Nicolas Million, 2010. "Test simultané de la non-stationnarité et de la non-linéarité : une application au taux d’intérêt réel américain," Économie et Prévision, Programme National Persée, vol. 192(1), pages 83-95.
    45. Niels Haldrup & Robinson Kruse & Timo Teräsvirta & Rasmus T. Varneskov, 2012. "Unit roots, nonlinearities and structural breaks," CREATES Research Papers 2012-14, Department of Economics and Business Economics, Aarhus University.
    46. Yang, Fuyu & Leon-Gonzalez, Roberto, 2010. "Bayesian estimation and model selection in the generalised stochastic unit root model," SFB 649 Discussion Papers 2010-006, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    47. Juhro, Solikin M. & Narayan, Paresh Kumar & Iyke, Bernard Njindan & Trisnanto, Budi, 2020. "Is there a role for Islamic finance and R&D in endogenous growth models in the case of Indonesia?," Pacific-Basin Finance Journal, Elsevier, vol. 62(C).
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    50. Rothfelder, Mario & Boldea, Otilia, 2019. "Testing for a Threshold in Models with Endogenous Regressors," Other publications TiSEM 94a7c921-f27f-43a0-82f4-4, Tilburg University, School of Economics and Management.
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    67. Kurmas Akdogan & Selen Baser & Meltem Gulenay Chadwick & Dilara Ertug & Timur Hulagu & Sevim Kosem & Fethi Ogunc & M. Utku Ozmen & Necati Tekatli, 2012. "Short-Term Inflation Forecasting Models For Turkey and a Forecast Combination Analysis," Working Papers 1209, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
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    11. Caner, Mehmet & Medeiros, Marcelo & Vasconcelos, Gabriel F.R., 2023. "Sharpe Ratio analysis in high dimensions: Residual-based nodewise regression in factor models," Journal of Econometrics, Elsevier, vol. 235(2), pages 393-417.
    12. Dutta, Sumanjay & Jain, Shashi, 2024. "Shrinkage and thresholding approaches for expected utility portfolios: An analysis in terms of predictive ability," Finance Research Letters, Elsevier, vol. 64(C).
    13. Mehmet Caner & Xu Han, 2021. "An upper bound for functions of estimators in high dimensions," Econometric Reviews, Taylor & Francis Journals, vol. 40(1), pages 1-13, January.
    14. Fan, Qingliang & Wu, Ruike & Yang, Yanrong & Zhong, Wei, 2024. "Time-varying minimum variance portfolio," Journal of Econometrics, Elsevier, vol. 239(2).
    15. Anik Burman & Sayantan Banerjee, 2021. "High-dimensional Portfolio Optimization using Joint Shrinkage," Papers 2109.13633, arXiv.org.
    16. Mehmet Caner, 2021. "A Starting Note: A Historical Perspective in Lasso," International Econometric Review (IER), Econometric Research Association, vol. 13(1), pages 1-3, March.
    17. Guðmundsson, Guðmundur Stefán & Brownlees, Christian, 2021. "Detecting groups in large vector autoregressions," Journal of Econometrics, Elsevier, vol. 225(1), pages 2-26.

  4. Mehmet Caner & Xu Han & Yoonseok Lee, 2018. "Adaptive Elastic Net GMM Estimation With Many Invalid Moment Conditions: Simultaneous Model and Moment Selection," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 36(1), pages 24-46, January.
    See citations under working paper version above.
  5. Caner, Mehmet & Kock, Anders Bredahl, 2018. "Asymptotically honest confidence regions for high dimensional parameters by the desparsified conservative Lasso," Journal of Econometrics, Elsevier, vol. 203(1), pages 143-168.
    See citations under working paper version above.
  6. Laurent Callot & Mehmet Caner & Anders Bredahl Kock & Juan Andres Riquelme, 2017. "Sharp Threshold Detection Based on Sup-Norm Error Rates in High-Dimensional Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 35(2), pages 250-264, April.
    See citations under working paper version above.
  7. Xu Han & Mehmet Caner, 2017. "Determining the number of factors with potentially strong within-block correlations in error terms," Econometric Reviews, Taylor & Francis Journals, vol. 36(6-9), pages 946-969, October.

    Cited by:

    1. Simon Freyaldenhoven, 2021. "Factor Models with Local Factors—Determining the Number of Relevant Factors," Working Papers 21-15, Federal Reserve Bank of Philadelphia.

  8. Mehmet Caner & Anders Bredahl Kock, 2016. "Oracle Inequalities for Convex Loss Functions with Nonlinear Targets," Econometric Reviews, Taylor & Francis Journals, vol. 35(8-10), pages 1377-1411, December.
    See citations under working paper version above.
  9. Mehmet Caner & Esfandiar Maasoumi & Juan Andrés Riquelme, 2016. "Moment and IV Selection Approaches: A Comparative Simulation Study," Econometric Reviews, Taylor & Francis Journals, vol. 35(8-10), pages 1562-1581, December.

    Cited by:

    1. Nandana Sengupta & Fallaw Sowell, 2019. "The Ridge Path Estimator for Linear Instrumental Variables," Papers 1908.09237, arXiv.org.

  10. Caner, Mehmet & Fan, Qingliang, 2015. "Hybrid generalized empirical likelihood estimators: Instrument selection with adaptive lasso," Journal of Econometrics, Elsevier, vol. 187(1), pages 256-274.

    Cited by:

    1. Jinyuan Chang & Zhentao Shi & Jia Zhang, 2021. "Culling the herd of moments with penalized empirical likelihood," Papers 2108.03382, arXiv.org, revised May 2022.
    2. Qingliang Fan & Yaqian Wu, 2020. "Endogenous Treatment Effect Estimation with some Invalid and Irrelevant Instruments," Papers 2006.14998, arXiv.org.
    3. Prosper Dovonon & Firmin Doko Tchatoka & Michael Aguessy, 2019. "Relevant moment selection under mixed identification strength," School of Economics and Public Policy Working Papers 2019-04, University of Adelaide, School of Economics and Public Policy.
    4. Gold, David & Lederer, Johannes & Tao, Jing, 2020. "Inference for high-dimensional instrumental variables regression," Journal of Econometrics, Elsevier, vol. 217(1), pages 79-111.
    5. Qingliang Fan & Zijian Guo & Ziwei Mei, 2022. "A Heteroskedasticity-Robust Overidentifying Restriction Test with High-Dimensional Covariates," Papers 2205.00171, arXiv.org, revised May 2024.
    6. Tomohiro Ando & Naoya Sueishi, 2019. "On the Convergence Rate of the SCAD-Penalized Empirical Likelihood Estimator," Econometrics, MDPI, vol. 7(1), pages 1-14, March.
    7. Fan, Jianqing & Gong, Wenyan & Zhu, Ziwei, 2019. "Generalized high-dimensional trace regression via nuclear norm regularization," Journal of Econometrics, Elsevier, vol. 212(1), pages 177-202.
    8. Zhentao Shi, 2016. "Estimation of Sparse Structural Parameters with Many Endogenous Variables," Econometric Reviews, Taylor & Francis Journals, vol. 35(8-10), pages 1582-1608, December.

  11. Caner, Mehmet, 2014. "Near exogeneity and weak identification in generalized empirical likelihood estimators: Many moment asymptotics," Journal of Econometrics, Elsevier, vol. 182(2), pages 247-268.

    Cited by:

    1. Fan, Yanqin & Han, Fang & Li, Wei & Zhou, Xiao-Hua, 2020. "On rank estimators in increasing dimensions," Journal of Econometrics, Elsevier, vol. 214(2), pages 379-412.
    2. Lavergne, Pascal, 2015. "Assessing the Approximate Validity of Moment Restrictions," TSE Working Papers 15-562, Toulouse School of Economics (TSE), revised May 2020.
    3. Byunghoon Kang, 2018. "Higher Order Approximation of IV Estimators with Invalid Instruments," Working Papers 257105320, Lancaster University Management School, Economics Department.
    4. Shakeeb Khan & Xiaoying Lan & Elie Tamer & Qingsong Yao, 2021. "Estimating High Dimensional Monotone Index Models by Iterative Convex Optimization1," Papers 2110.04388, arXiv.org, revised Feb 2023.
    5. DiTraglia, Francis J., 2016. "Using invalid instruments on purpose: Focused moment selection and averaging for GMM," Journal of Econometrics, Elsevier, vol. 195(2), pages 187-208.
    6. Yanqin Fan & Fang Han & Wei Li & Xiao-Hua Zhou, 2019. "On rank estimators in increasing dimensions," Papers 1908.05255, arXiv.org.
    7. Mehmet Caner & Xu Han, 2021. "An upper bound for functions of estimators in high dimensions," Econometric Reviews, Taylor & Francis Journals, vol. 40(1), pages 1-13, January.
    8. Francis DiTraglia, 2011. "Using Invalid Instruments on Purpose: Focused Moment Selection and Averaging for GMM, Second Version," PIER Working Paper Archive 15-027, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 10 Aug 2015.

  12. Mehmet Caner & Xu Han, 2014. "Selecting the Correct Number of Factors in Approximate Factor Models: The Large Panel Case With Group Bridge Estimators," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 32(3), pages 359-374, July.

    Cited by:

    1. Wu, Jianhong, 2019. "Detecting irrelevant variables in possible proxies for the latent factors in macroeconomics and finance," Economics Letters, Elsevier, vol. 176(C), pages 60-63.
    2. Thilo Reinschlussel & Martin C. Arnold, 2024. "Information-Enriched Selection of Stationary and Non-Stationary Autoregressions using the Adaptive Lasso," Papers 2402.16580, arXiv.org, revised Jul 2024.
    3. Francisco Corona & Pilar Poncela & Esther Ruiz, 2017. "Determining the number of factors after stationary univariate transformations," Empirical Economics, Springer, vol. 53(1), pages 351-372, August.
    4. Alain-Philippe Fortin & Patrick Gagliardini & Olivier Scaillet, 2022. "Eigenvalue tests for the number of latent factors in short panels," Papers 2210.16042, arXiv.org.
    5. Wei, Jie & Chen, Hui, 2020. "Determining the number of factors in approximate factor models by twice K-fold cross validation," Economics Letters, Elsevier, vol. 191(C).
    6. Patrick Gagliardini & Elisa Ossola & Olivier Scaillet, 2016. "A diagnostic criterion for approximate factor structure," Papers 1612.04990, arXiv.org, revised Aug 2017.
    7. Wu, Jianhong, 2016. "Robust determination for the number of common factors in the approximate factor models," Economics Letters, Elsevier, vol. 144(C), pages 102-106.
    8. Simon Freyaldenhoven, 2020. "Identification Through Sparsity in Factor Models," Working Papers 20-25, Federal Reserve Bank of Philadelphia.
    9. Qian, Junhui & Su, Liangjun, 2016. "Shrinkage estimation of common breaks in panel data models via adaptive group fused Lasso," Journal of Econometrics, Elsevier, vol. 191(1), pages 86-109.
    10. Jushan Bai & Jiangtao Duan & Xu Han, 2022. "Likelihood ratio test for structural changes in factor models," Papers 2206.08052, arXiv.org, revised Dec 2023.
    11. Maurizio Daniele & Julie Schnaitmann, 2019. "A Regularized Factor-augmented Vector Autoregressive Model," Papers 1912.06049, arXiv.org.
    12. Xun Lu & Su Liangjun, 2015. "Shrinkage Estimation of Dynamic Panel Data Models with Interactive Fixed Effects," Working Papers 02-2015, Singapore Management University, School of Economics.
    13. Onatski, Alexei, 2015. "Asymptotic analysis of the squared estimation error in misspecified factor models," Journal of Econometrics, Elsevier, vol. 186(2), pages 388-406.
    14. Yan Zhou & Peter X.‐K. Song & Xiaoquan Wen, 2021. "Structural factor equation models for causal network construction via directed acyclic mixed graphs," Biometrics, The International Biometric Society, vol. 77(2), pages 573-586, June.
    15. Kock, Anders Bredahl, 2016. "Oracle inequalities, variable selection and uniform inference in high-dimensional correlated random effects panel data models," Journal of Econometrics, Elsevier, vol. 195(1), pages 71-85.
    16. Alain-Philippe Fortin & Patrick Gagliardini & Olivier Scaillet, 2023. "Latent Factor Analysis in Short Panels," Papers 2306.14004, arXiv.org, revised May 2024.
    17. Luke Hartigan, 2015. "Changes in the Factor Structure of the U.S. Economy: Permanent Breaks or Business Cycle Regimes?," Discussion Papers 2015-17, School of Economics, The University of New South Wales.
    18. Yu, Long & He, Yong & Zhang, Xinsheng, 2019. "Robust factor number specification for large-dimensional elliptical factor model," Journal of Multivariate Analysis, Elsevier, vol. 174(C).
    19. Chiang, Harold D. & Rodrigue, Joel & Sasaki, Yuya, 2023. "Post-Selection Inference In Three-Dimensional Panel Data," Econometric Theory, Cambridge University Press, vol. 39(3), pages 623-658, June.
    20. Zhu, Xuehu & Guo, Xu & Wang, Tao & Zhu, Lixing, 2020. "Dimensionality determination: A thresholding double ridge ratio approach," Computational Statistics & Data Analysis, Elsevier, vol. 146(C).

  13. Mehmet Caner & Hao Helen Zhang, 2014. "Adaptive Elastic Net for Generalized Methods of Moments," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 32(1), pages 30-47, January.

    Cited by:

    1. Caner, Mehmet & Kock, Anders Bredahl, 2018. "Asymptotically honest confidence regions for high dimensional parameters by the desparsified conservative Lasso," Journal of Econometrics, Elsevier, vol. 203(1), pages 143-168.
    2. Áureo de Paula & Imran Rasul & Pedro CL Souza, 2023. "Identifying network ties from panel data: Theory and an application to tax competition," CeMMAP working papers 21/23, Institute for Fiscal Studies.
    3. Liqian Cai & Arnab Bhattacharjee & Roger Calantone & Taps Maiti, 2019. "Variable Selection with Spatially Autoregressive Errors: A Generalized Moments LASSO Estimator," Sankhya B: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 81(1), pages 146-200, September.
    4. Alexandre Belloni & Victor Chernozhukov & Ivan Fernandez-Val & Christian Hansen, 2016. "Program evaluation and causal inference with high-dimensional data," CeMMAP working papers 13/16, Institute for Fiscal Studies.
    5. Anders Bredahl Kock & Haihan Tang, 2014. "Inference in High-dimensional Dynamic Panel Data Models," CREATES Research Papers 2014-58, Department of Economics and Business Economics, Aarhus University.
    6. Victor Chernozhukov & Ivan Fernandez-Val & Christian Hansen, 2013. "Program evaluation with high-dimensional data," CeMMAP working papers 57/13, Institute for Fiscal Studies.
    7. Áureo de Paula & Imran Rasul & Pedro CL Souza, 2018. "Recovering social networks from panel data: identification, simulations and an application," CeMMAP working papers CWP58/18, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    8. Ulrike Schneider, 2016. "Confidence Sets Based on Thresholding Estimators in High-Dimensional Gaussian Regression Models," Econometric Reviews, Taylor & Francis Journals, vol. 35(8-10), pages 1412-1455, December.
    9. Konstantinidi, Antri & Kourtellos, Andros & Sun, Yiguo, 2023. "Social threshold regression," Journal of Econometrics, Elsevier, vol. 235(2), pages 2057-2081.
    10. Hao Hao & Tae-Hwy Lee, 2023. "Boosting GMM with Many Instruments When Some Are Invalid or Irrelevant," Working Papers 202309, University of California at Riverside, Department of Economics.
    11. Keith Knight, 2016. "The Penalized Analytic Center Estimator," Econometric Reviews, Taylor & Francis Journals, vol. 35(8-10), pages 1471-1484, December.
    12. Ando, Tomohiro & Sueishi, Naoya, 2019. "Regularization parameter selection for penalized empirical likelihood estimator," Economics Letters, Elsevier, vol. 178(C), pages 1-4.
    13. Tomohiro Ando & Naoya Sueishi, 2019. "On the Convergence Rate of the SCAD-Penalized Empirical Likelihood Estimator," Econometrics, MDPI, vol. 7(1), pages 1-14, March.
    14. Lee, Ji Hyung & Shi, Zhentao & Gao, Zhan, 2022. "On LASSO for predictive regression," Journal of Econometrics, Elsevier, vol. 229(2), pages 322-349.
    15. Kyle Bagwell & Robert W. Staiger & Ali Yurukoglu, 2021. "Quantitative Analysis of Multiparty Tariff Negotiations," Econometrica, Econometric Society, vol. 89(4), pages 1595-1631, July.
    16. Michael Creel & Dennis Kristensen, 2014. "ABC of SV: Limited Information Likelihood Inference in Stochastic Volatility Jump-Diffusion Models," CREATES Research Papers 2014-30, Department of Economics and Business Economics, Aarhus University.
    17. Zhentao Shi, 2016. "Estimation of Sparse Structural Parameters with Many Endogenous Variables," Econometric Reviews, Taylor & Francis Journals, vol. 35(8-10), pages 1582-1608, December.
    18. Dakyung Seong, 2022. "Binary response model with many weak instruments," Papers 2201.04811, arXiv.org, revised Jun 2024.
    19. Patacchini, Eleonora & Hsieh, Chih-Sheng & Lin, Xu, 2019. "Social Interaction Methods," CEPR Discussion Papers 14141, C.E.P.R. Discussion Papers.

  14. Andres Riquelme & Daniel Berkowitz & Mehmet Caner, 2013. "Valid tests when instrumental variables do not perfectly satisfy the exclusion restriction," Stata Journal, StataCorp LP, vol. 13(3), pages 528-546, September.

    Cited by:

    1. Volpe Martincus, Christian & Carballo, Jerónimo & Cusolito, Ana, 2017. "Roads, exports and employment: Evidence from a developing country," Journal of Development Economics, Elsevier, vol. 125(C), pages 21-39.
    2. Latif Apaassongo Ibrahim & Aidoo Robert & Osei Mensah James, 2024. "City governance, urban livelihoods, and food security: insights from street food trade in Kumasi, Ghana," Food Security: The Science, Sociology and Economics of Food Production and Access to Food, Springer;The International Society for Plant Pathology, vol. 16(5), pages 1081-1098, October.
    3. Di Liberto, Adriana & Sideri, Marco, 2015. "Past dominations, current institutions and the Italian regional economic performance," European Journal of Political Economy, Elsevier, vol. 38(C), pages 12-41.
    4. Iyer, Lakshmi & Meng, Xin & Qian, Nancy & Zhao, Xiaoxue, 2019. "Economic transition and private-sector labor: Evidence from urban China," Journal of Comparative Economics, Elsevier, vol. 47(3), pages 579-600.
    5. Daniel L. Bennett & Hugo J. Faria & James D. Gwartney & Hugo M. Montesinos-Yufa & Daniel R. Morales & Carlos E. Navarro, 2017. "Evidence on economic versus political institutions as determinants of development," Working Papers 2017-04, University of Miami, Department of Economics.
    6. Brückner, Markus & Gradstein, Mark, 2015. "Income growth, ethnic polarization, and political risk: Evidence from international oil price shocks," Journal of Comparative Economics, Elsevier, vol. 43(3), pages 575-594.
    7. Thorsten Janus & Daniel Riera-Crichton, 2016. "Banking crises, external crises and gross capital flows," Globalization Institute Working Papers 273, Federal Reserve Bank of Dallas.
    8. Natkhov, Timur, 2015. "Colonization and development: The long-term effect of Russian settlement in the North Caucasus, 1890s–2000s," Journal of Comparative Economics, Elsevier, vol. 43(1), pages 76-97.

  15. Caner, Mehmet & Yıldız, Neşe, 2012. "CUE with many weak instruments and nearly singular design," Journal of Econometrics, Elsevier, vol. 170(2), pages 422-441.

    Cited by:

    1. Marine Carrasco & Guy Tchuente, 2015. "Efficient estimation with many weak instruments using regularization techniques," Studies in Economics 1517, School of Economics, University of Kent.
    2. Guy Tchuente, 2019. "Weak Identification and Estimation of Social Interaction Models," Papers 1902.06143, arXiv.org.

  16. Berkowitz, Daniel & Caner, Mehmet & Fang, Ying, 2012. "The validity of instruments revisited," Journal of Econometrics, Elsevier, vol. 166(2), pages 255-266.
    See citations under working paper version above.
  17. Caner, Mehmet, 2011. "Pivotal Structural Change Tests In Linear Simultaneous Equations With Weak Identification," Econometric Theory, Cambridge University Press, vol. 27(2), pages 413-426, April.

    Cited by:

    1. Otilia Boldea & Alastair R. Hall, 2013. "Testing structural stability in macroeconometric models," Chapters, in: Nigar Hashimzade & Michael A. Thornton (ed.), Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 9, pages 206-228, Edward Elgar Publishing.
    2. Bertille Antoine & Otilia Boldea, 2015. "Efficient Inference with Time-Varying Information and the New Keynesian Phillips Curve," Discussion Papers dp15-04, Department of Economics, Simon Fraser University, revised 25 Aug 2016.
    3. Bertille Antoine & Otilia Boldea, 2014. "Efficient Inference with Time-Varying Identification Strength," Discussion Papers dp14-03, Department of Economics, Simon Fraser University.

  18. Mehmet Caner, 2010. "Exponential Tilting with Weak Instruments: Estimation and Testing," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 72(3), pages 307-325, June.
    See citations under working paper version above.
  19. Mehmet Caner, 2010. "Testing, Estimation in GMM and CUE with Nearly-Weak Identification," Econometric Reviews, Taylor & Francis Journals, vol. 29(3), pages 330-363.

    Cited by:

    1. Donald W. K. Andrews & Xu Cheng, 2011. "Maximum Likelihood Estimation and Uniform Inference with Sporadic Identification Failure," Cowles Foundation Discussion Papers 1824R, Cowles Foundation for Research in Economics, Yale University, revised Oct 2012.
    2. Caner, Mehmet, 2014. "Near exogeneity and weak identification in generalized empirical likelihood estimators: Many moment asymptotics," Journal of Econometrics, Elsevier, vol. 182(2), pages 247-268.
    3. Antoine, Bertille & Renault, Eric, 2024. "GMM with Nearly-Weak Identification," Econometrics and Statistics, Elsevier, vol. 30(C), pages 36-59.
    4. Donald W.K. Andrews & Xu Cheng, 2011. "GMM Estimation and Uniform Subvector Inference with Possible Identification Failure," Cowles Foundation Discussion Papers 1828, Cowles Foundation for Research in Economics, Yale University.
    5. Antoine, Bertille & Renault, Eric, 2020. "Testing identification strength," Journal of Econometrics, Elsevier, vol. 218(2), pages 271-293.
    6. Xu Cheng, 2014. "Uniform Inference in Nonlinear Models with Mixed Identification Strength," PIER Working Paper Archive 14-018, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
    7. Julian Martinez-Iriarte & Yixiao Sun & Xuexin Wang, 2019. "Asymptotic F Tests under Possibly Weak Identification," Working Papers 2019-03-12, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
    8. Don S. Poskitt, 2020. "On GMM Inference: Partial Identification, Identification Strength, and Non-Standard," Monash Econometrics and Business Statistics Working Papers 40/20, Monash University, Department of Econometrics and Business Statistics.
    9. Bertille Antoine & Eric Renault, 2012. "Efficient Inference with Poor Instruments: a General Framework," Discussion Papers dp12-04, Department of Economics, Simon Fraser University.
    10. Hayakawa, Kazuhiko & Nagata, Shuichi, 2016. "On the behaviour of the GMM estimator in persistent dynamic panel data models with unrestricted initial conditions," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 265-303.
    11. Antoine, Bertille & Lavergne, Pascal, 2014. "Conditional moment models under semi-strong identification," Journal of Econometrics, Elsevier, vol. 182(1), pages 59-69.
    12. Cheng, Xu, 2015. "Robust inference in nonlinear models with mixed identification strength," Journal of Econometrics, Elsevier, vol. 189(1), pages 207-228.
    13. Mehmet Caner, 2011. "A Pretest to Differentiate Between Weak and Nearly-Weak Instrument Asymptotics," International Econometric Review (IER), Econometric Research Association, vol. 3(2), pages 13-21, September.

  20. Mehmet Caner & Thomas Grennes, 2010. "Sovereign Wealth Funds: The Norwegian Experience," The World Economy, Wiley Blackwell, vol. 33(4), pages 597-614, April.
    See citations under working paper version above.
  21. Caner, Mehmet, 2009. "Lasso-Type Gmm Estimator," Econometric Theory, Cambridge University Press, vol. 25(1), pages 270-290, February.

    Cited by:

    1. Ivan Savin, 2010. "A comparative study of the Lasso-type and heuristic model selection methods," Working Papers 042, COMISEF.
    2. Zhu, Ying, 2015. "Sparse Linear Models and l1−Regularized 2SLS with High-Dimensional Endogenous Regressors and Instruments," MPRA Paper 81217, University Library of Munich, Germany.
    3. Lewbel, Arthur & Choi, Jin Young & Zhou, Zhuzhu, 2023. "Over-identified Doubly Robust identification and estimation," Journal of Econometrics, Elsevier, vol. 235(1), pages 25-42.
    4. Hao Hao & Bai Huang & Tae-Hwy Lee, 2022. "Model Averaging Estimation of Panel Data Models with Many Instruments and Boosting," Working Papers 202212, University of California at Riverside, Department of Economics.
    5. Chaohua Dong & Jiti Gao & Oliver Linton, 2018. "High dimensional semiparametric moment restriction models," CeMMAP working papers CWP04/18, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    6. Hansen, Christian & Kozbur, Damian, 2014. "Instrumental variables estimation with many weak instruments using regularized JIVE," Journal of Econometrics, Elsevier, vol. 182(2), pages 290-308.
    7. A. Belloni & D. Chen & V. Chernozhukov & C. Hansen, 2012. "Sparse Models and Methods for Optimal Instruments With an Application to Eminent Domain," Econometrica, Econometric Society, vol. 80(6), pages 2369-2429, November.
    8. Áureo de Paula, 2015. "Econometrics of network models," CeMMAP working papers CWP52/15, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    9. Shi, Zhentao, 2016. "Econometric estimation with high-dimensional moment equalities," Journal of Econometrics, Elsevier, vol. 195(1), pages 104-119.
    10. Caner, Mehmet & Yıldız, Neşe, 2012. "CUE with many weak instruments and nearly singular design," Journal of Econometrics, Elsevier, vol. 170(2), pages 422-441.
    11. Federico A. Bugni & Mehmet Caner & Anders Bredahl Kock & Soumendra Lahiri, 2016. "Inference in partially identified models with many moment inequalities using Lasso," CREATES Research Papers 2016-12, Department of Economics and Business Economics, Aarhus University.
    12. Mehmet Caner & Xu Han & Yoonseok Lee, 2018. "Adaptive Elastic Net GMM Estimation With Many Invalid Moment Conditions: Simultaneous Model and Moment Selection," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 36(1), pages 24-46, January.
    13. Ivan Korolev, 2018. "LM-BIC Model Selection in Semiparametric Models," Papers 1811.10676, arXiv.org.
    14. Aman Ullah & Huansha Wang, 2013. "Parametric and Nonparametric Frequentist Model Selection and Model Averaging," Econometrics, MDPI, vol. 1(2), pages 1-23, September.
    15. Dong, Chaohua & Gao, Jiti & Linton, Oliver, 2023. "High dimensional semiparametric moment restriction models," Journal of Econometrics, Elsevier, vol. 232(2), pages 320-345.
    16. Caner, Mehmet & Fan, Qingliang, 2015. "Hybrid generalized empirical likelihood estimators: Instrument selection with adaptive lasso," Journal of Econometrics, Elsevier, vol. 187(1), pages 256-274.
    17. Xu, Ning & Hong, Jian & Fisher, Timothy, 2016. "Finite-sample and asymptotic analysis of generalization ability with an application to penalized regression," MPRA Paper 73622, University Library of Munich, Germany.
    18. Zhu, Ying, 2013. "Sparse Linear Models and Two-Stage Estimation in High-Dimensional Settings with Possibly Many Endogenous Regressors," MPRA Paper 49846, University Library of Munich, Germany.
    19. Xu, Ning & Hong, Jian & Fisher, Timothy, 2016. "Model selection consistency from the perspective of generalization ability and VC theory with an application to Lasso," MPRA Paper 71670, University Library of Munich, Germany.
    20. Inoue, Atsushi & Rossi, Barbara, 2011. "Testing for weak identification in possibly nonlinear models," Journal of Econometrics, Elsevier, vol. 161(2), pages 246-261, April.
    21. Qian, Junhui & Su, Liangjun, 2016. "Shrinkage estimation of common breaks in panel data models via adaptive group fused Lasso," Journal of Econometrics, Elsevier, vol. 191(1), pages 86-109.
    22. Ando, Tomohiro & Sueishi, Naoya, 2019. "Regularization parameter selection for penalized empirical likelihood estimator," Economics Letters, Elsevier, vol. 178(C), pages 1-4.
    23. Xun Lu & Su Liangjun, 2015. "Shrinkage Estimation of Dynamic Panel Data Models with Interactive Fixed Effects," Working Papers 02-2015, Singapore Management University, School of Economics.
    24. Tomohiro Ando & Naoya Sueishi, 2019. "On the Convergence Rate of the SCAD-Penalized Empirical Likelihood Estimator," Econometrics, MDPI, vol. 7(1), pages 1-14, March.
    25. Minsu Chang & Francis J. DiTraglia, 2020. "A Generalized Focused Information Criterion for GMM," Papers 2011.07085, arXiv.org.
    26. Achim Ahrens & Arnab Bhattacharjee, 2015. "Two-Step Lasso Estimation of the Spatial Weights Matrix," Econometrics, MDPI, vol. 3(1), pages 1-28, March.
    27. DiTraglia, Francis J., 2016. "Using invalid instruments on purpose: Focused moment selection and averaging for GMM," Journal of Econometrics, Elsevier, vol. 195(2), pages 187-208.
    28. Yeşim Güney & Yetkin Tuaç & Şenay Özdemir & Olcay Arslan, 2021. "Robust estimation and variable selection in heteroscedastic regression model using least favorable distribution," Computational Statistics, Springer, vol. 36(2), pages 805-827, June.
    29. Lee, Ji Hyung & Shi, Zhentao & Gao, Zhan, 2022. "On LASSO for predictive regression," Journal of Econometrics, Elsevier, vol. 229(2), pages 322-349.
    30. Gerda Claeskens, 2012. "Focused estimation and model averaging with penalization methods: an overview," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 66(3), pages 272-287, August.
    31. Eric Gautier & Alexandre Tsybakov, 2011. "High-Dimensional Instrumental Variables Regression and Confidence Sets," Working Papers 2011-13, Center for Research in Economics and Statistics.
    32. Fan, Jianqing & Liao, Yuan, 2012. "Endogeneity in ultrahigh dimension," MPRA Paper 38698, University Library of Munich, Germany.
    33. Ning Xu & Jian Hong & Timothy C. G. Fisher, 2016. "Generalization error minimization: a new approach to model evaluation and selection with an application to penalized regression," Papers 1610.05448, arXiv.org.
    34. Stefano Maria IACUS & Alessandro DE GREGORIO, 2010. "Adaptive LASSO-type estimation for ergodic diffusion processes," Departmental Working Papers 2010-13, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano.
    35. Zhu, Ying, 2018. "Sparse linear models and l1-regularized 2SLS with high-dimensional endogenous regressors and instruments," Journal of Econometrics, Elsevier, vol. 202(2), pages 196-213.
    36. Bai Huang & Tae-Hwy Lee & Aman Ullah, 2017. "A combined estimator of regression models with measurement errors," Indian Economic Review, Springer, vol. 52(1), pages 73-91, December.
    37. Nandana Sengupta & Fallaw Sowell, 2019. "The Ridge Path Estimator for Linear Instrumental Variables," Papers 1908.09237, arXiv.org.
    38. Martins, Luis F. & Gabriel, Vasco J., 2014. "Linear instrumental variables model averaging estimation," Computational Statistics & Data Analysis, Elsevier, vol. 71(C), pages 709-724.
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  22. Berkowitz, Daniel & Caner, Mehmet & Fang, Ying, 2008. "Are "Nearly Exogenous Instruments" reliable?," Economics Letters, Elsevier, vol. 101(1), pages 20-23, October.
    See citations under working paper version above.
  23. Caner, Mehmet, 2008. "Nearly-singular design in GMM and generalized empirical likelihood estimators," Journal of Econometrics, Elsevier, vol. 144(2), pages 511-523, June.
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  24. Caner, Mehmet, 2007. "Boundedly pivotal structural change tests in continuous updating GMM with strong, weak identification and completely unidentified cases," Journal of Econometrics, Elsevier, vol. 137(1), pages 28-67, March.
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  25. Basci Erdem & Caner Mehmet & Yoon Gawon, 2006. "Corrigendum to "Are Real Exchange Rates Nonlinear or Non-Stationary? Evidence from a New Threshold Unit Root Test"," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 10(2), pages 1-6, May.

    Cited by:

    1. Laurent Callot & Mehmet Caner & Anders Bredahl Kock & Juan Andres Riquelme, 2015. "Sharp Threshold Detection Based on Sup-norm Error rates in High-dimensional Models," CREATES Research Papers 2015-10, Department of Economics and Business Economics, Aarhus University.
    2. Xi-Yuan Qian & Fu-Tie Song & Wei-Xing Zhou, 2007. "Nonlinear behavior of the Chinese SSEC index with a unit root: Evidence from threshold unit root tests," Papers 0707.2284, arXiv.org.

  26. Basci Erdem & Caner Mehmet, 2005. "Are Real Exchange Rates Nonlinear or Nonstationary? Evidence from a New Threshold Unit Root Test," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 9(4), pages 1-21, December.
    See citations under working paper version above.
  27. Caner, Mehmet & Hansen, Bruce E., 2004. "Instrumental Variable Estimation Of A Threshold Model," Econometric Theory, Cambridge University Press, vol. 20(5), pages 813-843, October.

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    1. Papageorgiou, Chris & Savvides, Andreas & Zachariadis, Marios, 2007. "International medical technology diffusion," Journal of International Economics, Elsevier, vol. 72(2), pages 409-427, July.
    2. Oro, Oro Ufuo & Alagidede, Paul, 2018. "The Nature of the finance–growth relationship: Evidence from a panel of oil-producing countries," Economic Analysis and Policy, Elsevier, vol. 60(C), pages 89-102.
    3. Jones, Yakama Manty, 2013. "Testing the foreign aid-led growth hypothesis in West Africa," MPRA Paper 50361, University Library of Munich, Germany.
    4. Toke Aidt & Jayasri Dutta & Vania Sena, 2006. "Governance Regimes, Corruption and Growth: Theory and Evidence," Discussion Papers 15_2006, D.E.S. (Department of Economic Studies), University of Naples "Parthenope", Italy.
    5. Joshua Aizenman & Sy-Hoa Ho & Luu Duc Toan Huynh & Jamel Saadaoui & Gazi Salah Uddin, 2023. "Real exchange rate and international reserves in the era of financial integration," Working Papers of BETA 2023-07, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg.
    6. Goodness C. Aye & Prosper Ebruvwiyo Edoja, 2017. "Effect of economic growth on CO2 emission in developing countries: Evidence from a dynamic panel threshold model," Cogent Economics & Finance, Taylor & Francis Journals, vol. 5(1), pages 1379239-137, January.
    7. Didier Yelognisse Alia & Romuald E. Kouadio Anago, 2014. "Foreign Aid Effectiveness in African Economies: Evidence from a Panel Threshold Framework," WIDER Working Paper Series wp-2014-015, World Institute for Development Economic Research (UNU-WIDER).
    8. Gerdie Everaert, 2017. "On the estimation of panel fiscal reaction functions : Heterogeneity or fiscal fatigue?," Working Paper Research 320, National Bank of Belgium.
    9. Caner, Mehmet & Fan, Qingliang & Grennes, Thomas, 2021. "Partners in debt: An endogenous non-linear analysis of the effects of public and private debt on growth," International Review of Economics & Finance, Elsevier, vol. 76(C), pages 694-711.
    10. Chaoyi Chen & Thanasis Stengos, 2022. "Estimation and Inference for the Threshold Model with Hybrid Stochastic Local Unit Root Regressors," JRFM, MDPI, vol. 15(6), pages 1-15, May.
    11. Chia-Lin Chang & Thanchanok Khamkaew & Michael McAleer, 2012. "IV Estimation of a Panel Threshold Model of Tourism Specialization and Economic Development," Tourism Economics, , vol. 18(1), pages 5-41, February.
    12. Haroon Mumtaz & Paolo Surico, 2015. "The Transmission Mechanism In Good And Bad Times," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 56(4), pages 1237-1260, November.
    13. Kourtellos, Andros & Tan, Chih Ming & Zhang, Xiaobo, 2007. "Is the relationship between aid and economic growth nonlinear?," IFPRI discussion papers 694, International Food Policy Research Institute (IFPRI).
    14. Afi Etonam Adetou & Komlan Fiodendji, 2019. "Finance, Institutions, Remittances and Economic growth: New Evidence from a Dynamic Panel Threshold Analysis," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 9(2), pages 1-4.
    15. Krambia-Kapardis Maria & Stylianou Ioanna & Demetriou Salomi, 2022. "Nonlinear nexus between corruption and tourism arrivals: a global analysis," Empirical Economics, Springer, vol. 63(4), pages 1997-2024, October.
    16. Miao, Ke & Su, Liangjun & Wang, Wendun, 2020. "Panel threshold regressions with latent group structures," Journal of Econometrics, Elsevier, vol. 214(2), pages 451-481.
    17. Hajamini, Mehdi & Falahi, Mohammad Ali, 2018. "Economic growth and government size in developed European countries: A panel threshold approach," Economic Analysis and Policy, Elsevier, vol. 58(C), pages 1-13.
    18. Chen, Chaoyi & Pinar, Mehmet & Stengos, Thanasis, 2021. "Determinants of renewable energy consumption: Importance of democratic institutions," Renewable Energy, Elsevier, vol. 179(C), pages 75-83.
    19. Goodness C. Aye & Nicholas M. Odhiambo, 2021. "Threshold Effect of Inflation on Agricultural Growth: Evidence from Developing Countries," Advances in Decision Sciences, Asia University, Taiwan, vol. 25(2), pages 28-50, June.
    20. Chen, Nan-Kuang & Chen, Shiu-Sheng & Chou, Yu-Hsi, 2010. "House prices, collateral constraint, and the asymmetric effect on consumption," Journal of Housing Economics, Elsevier, vol. 19(1), pages 26-37, March.
    21. Slesman, Ly & Baharumshah, Ahmad Zubaidi & Azman-Saini, W.N.W., 2019. "Political institutions and finance-growth nexus in emerging markets and developing countries: A tale of one threshold," The Quarterly Review of Economics and Finance, Elsevier, vol. 72(C), pages 80-100.
    22. Chih Ming Tan, 2010. "No one true path: uncovering the interplay between geography, institutions, and fractionalization in economic development," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(7), pages 1100-1127, November/.
    23. Abdul Bahri, Elya Nabila & Mohd Nor, Abu Hassan Shaari & Sarmidi, Tamat & Haji Mohd Nor, Nor Hakimah, 2018. "Nonlinear Relationship between Financial Development and Economic Growth: Evidence from Post Global Financial Crisis Panel Data," Jurnal Ekonomi Malaysia, Faculty of Economics and Business, Universiti Kebangsaan Malaysia, vol. 52(1), pages 15-30.
    24. Shu-Chen Chang & Meng-Hua Li, 2019. "Impacts of Foreign Direct Investment and Economic Development on Carbon Dioxide Emissions Across Different Population Regimes," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 72(2), pages 583-607, February.
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    26. van Roye, Björn & Floro, Danvee, 2017. "Threshold effects of financial stress on monetary policy rules: a panel data analysis," Working Paper Series 2042, European Central Bank.
    27. Chen, Chaoyi & Pinar, Mehmet & Stengos, Thanasis, 2022. "Renewable energy and CO2 emissions: New evidence with the panel threshold model," Renewable Energy, Elsevier, vol. 194(C), pages 117-128.
    28. Areosa, Waldyr Dutra & McAleer, Michael & Medeiros, Marcelo C., 2011. "Moment-based estimation of smooth transition regression models with endogenous variables," Journal of Econometrics, Elsevier, vol. 165(1), pages 100-111.
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    32. Witness Nyasha Bandura & Temitope L. A. Leshoro, 2022. "Inflation And Financial Development In Sub-Saharan Africa," Economic Annals, Faculty of Economics and Business, University of Belgrade, vol. 67(233), pages 85-112, April – J.
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    35. Osei, Michael J. & Kim, Jaebeom, 2020. "Foreign direct investment and economic growth: Is more financial development better?," Economic Modelling, Elsevier, vol. 93(C), pages 154-161.
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    37. Nahla Samargandi & Jan Fidrmuc & Sugata Ghosh, 2014. "Is the Relationship between Financial Development and Economic Growth Monotonic? Evidence from a Sample of Middle Income Countries," CESifo Working Paper Series 4743, CESifo.
    38. Gebauer, Stefan & Setzer, Ralph & Westphal, Andreas, 2017. "Corporate debt and investment: a firm analysis for stressed euro area countries," Working Paper Series 2101, European Central Bank.
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    40. Houda Haffoudhi & Rihab Bellakhal, 2020. "Threshold Effect of Globalization on Democracy: the Role of Demography," Journal of the Knowledge Economy, Springer;Portland International Center for Management of Engineering and Technology (PICMET), vol. 11(4), pages 1690-1707, December.
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    43. Mohamed Chakroun, 2020. "Threshold effects in the relationship between financial development and income inequality," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 25(3), pages 365-387, July.
    44. Nicolas Clootens & Djamel Kirat, 2018. "Threshold Regressions for the Resource Curse," Working Papers halshs-01944214, HAL.
    45. Ghulam Rasool Madni & Awais Anwar, 2021. "Meditation for level of institutional quality to combat income inequality through financial development," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 2766-2775, April.
    46. Godunova, M., 2010. "Influence of import tariffs, accumulation of FER and external debt on economic growth depending on stages of economic development," Journal of the New Economic Association, New Economic Association, issue 5, pages 28-45.
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    51. Rothfelder, Mario & Boldea, Otilia, 2019. "Testing for a Threshold in Models with Endogenous Regressors," Other publications TiSEM 94a7c921-f27f-43a0-82f4-4, Tilburg University, School of Economics and Management.
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  28. Akdeniz Levent & Altay-Salih Aslihan & Caner Mehmet, 2003. "Time-Varying Betas Help in Asset Pricing: The Threshold CAPM," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 6(4), pages 1-18, March.

    Cited by:

    1. Zongwu Cai, 2013. "Functional Coefficient Models for Economic and Financial Data," Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
    2. Xiangjin B. Chen & Jiti Gao & Degui Li & Param Silvapulle, 2013. "Nonparametric Estimation and Parametric Calibration of Time-Varying Coefficient Realized Volatility Models," Monash Econometrics and Business Statistics Working Papers 21/13, Monash University, Department of Econometrics and Business Statistics.
    3. Geonwoo Kim & Hyuncheul Lim & Sungchul Lee, 2015. "On pricing options with stressed-beta in a reduced form model," Review of Derivatives Research, Springer, vol. 18(1), pages 29-50, April.
    4. Jean-Pierre Fouque & Adam Tashman, 2012. "Option pricing under a stressed-beta model," Annals of Finance, Springer, vol. 8(2), pages 183-203, May.
    5. Laurent Callot & Mehmet Caner & Anders Bredahl Kock & Juan Andres Riquelme, 2015. "Sharp Threshold Detection Based on Sup-norm Error rates in High-dimensional Models," CREATES Research Papers 2015-10, Department of Economics and Business Economics, Aarhus University.
    6. Hong, Jiawei & Yu, Xiaojian & Xiao, Weilin & Zhang, Xili, 2022. "The dispersion of beta estimates and the investors’ heterogeneous Beliefs：Evidence from the stock market in China," International Review of Economics & Finance, Elsevier, vol. 79(C), pages 540-550.
    7. José Eduardo Gómez-González & Elioth Mirsha Sanabria-Buenaventura, 2012. "Non-Parametric and Semi-Parametric Asset Pricing: An Application to the Colombian Stock Exchange," Borradores de Economia 9384, Banco de la Republica.
    8. Peter Erdos & Mihaly Ormos & David Zibriczky, 2017. "Non-parametric and semi-parametric asset pricing," Papers 1703.09500, arXiv.org.
    9. Valentina ZOZULYA & Evgeny SOKOLOV & Evgeny KOSTYRIN & Sergey KOROLEV, 2021. "The effectiveness of applying beta-coefficient modifications when calculating returns on shares in Russian companies," Eastern Journal of European Studies, Centre for European Studies, Alexandru Ioan Cuza University, vol. 12, pages 31-52, June.
    10. Cathy W. S. Chen & Muyi Li & Nga T. H. Nguyen & Songsak Sriboonchitta, 2017. "On Asymmetric Market Model with Heteroskedasticity and Quantile Regression," Computational Economics, Springer;Society for Computational Economics, vol. 49(1), pages 155-174, January.
    11. Zhao, Yan-Yong & Lin, Jin-Guan, 2019. "Estimation and test of jump discontinuities in varying coefficient models with empirical applications," Computational Statistics & Data Analysis, Elsevier, vol. 139(C), pages 145-163.
    12. Paulo Rogerio Faustino Matos & Fabrício Carneiro Linhares & Gustavo Zech Sylvestre, 2012. "Analysis of the non-linear effect of net equity in the pricing of stock investment funds," Brazilian Business Review, Fucape Business School, vol. 9(4), pages 1-26, October.
    13. Cai, Zongwu & Ren, Yu & Yang, Bingduo, 2015. "A semiparametric conditional capital asset pricing model," Journal of Banking & Finance, Elsevier, vol. 61(C), pages 117-126.
    14. Martin Vance L. & Sarkar Saikat & Kanto Antti Jaakko, 2014. "Modelling nonlinearities in equity returns: the mean impact curve analysis," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 18(1), pages 51-72, February.
    15. Cai, Zongwu, 2007. "Trending time-varying coefficient time series models with serially correlated errors," Journal of Econometrics, Elsevier, vol. 136(1), pages 163-188, January.
    16. Cathy Chen & Simon Lin & Philip Yu, 2012. "Smooth Transition Quantile Capital Asset Pricing Models with Heteroscedasticity," Computational Economics, Springer;Society for Computational Economics, vol. 40(1), pages 19-48, June.
    17. Yunmi Kim, 2012. "Autoregressive conditional beta," Economics Bulletin, AccessEcon, vol. 32(2), pages 1489-1494.

  29. Caner, Mehmet, 2002. "A Note On Least Absolute Deviation Estimation Of A Threshold Model," Econometric Theory, Cambridge University Press, vol. 18(3), pages 800-814, June.

    Cited by:

    1. Linton, Oliver & Seo, Myunghwan, 2005. "A smoothed least squares estimator for threshold regression models," LSE Research Online Documents on Economics 4434, London School of Economics and Political Science, LSE Library.
    2. Chung-Ming Kuan & Christos Michalopoulos & Zhijie Xiao, 2017. "Quantile Regression on Quantile Ranges – A Threshold Approach," Journal of Time Series Analysis, Wiley Blackwell, vol. 38(1), pages 99-119, January.
    3. Li, Dong & Tong, Howell, 2016. "Nested sub-sample search algorithm for estimation of threshold models," LSE Research Online Documents on Economics 68880, London School of Economics and Political Science, LSE Library.
    4. Correa, Arnildo da Silva & Minella, André, 2010. "Nonlinear mechanisms of the exchange rate pass-through: A Phillips curve model with threshold for Brazil," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 64(3), September.
    5. Junho Lee & Ying Sun & Huixia Judy Wang, 2021. "Spatial cluster detection with threshold quantile regression," Environmetrics, John Wiley & Sons, Ltd., vol. 32(8), December.
    6. Antonio F. Galvao Jr. & Gabriel Montes‐Rojas & Jose Olmo, 2011. "Threshold quantile autoregressive models," Journal of Time Series Analysis, Wiley Blackwell, vol. 32(3), pages 253-267, May.
    7. Neil Foster-McGregor & Anders Isaksson & Florian Kaulich, 2013. "Importing, Productivity and Absorptive Capacity in Sub-Saharan African Manufacturing Firms," wiiw Working Papers 105, The Vienna Institute for International Economic Studies, wiiw.
    8. Shankha Chakraborty & Chris Papageorgiou & Fidel Pérez Sebastián, 2006. "Diseases and Development," DEGIT Conference Papers c011_044, DEGIT, Dynamics, Economic Growth, and International Trade.
    9. Kato, Kengo, 2009. "Asymptotics for argmin processes: Convexity arguments," Journal of Multivariate Analysis, Elsevier, vol. 100(8), pages 1816-1829, September.
    10. Yu, Ping, 2015. "Adaptive estimation of the threshold point in threshold regression," Journal of Econometrics, Elsevier, vol. 189(1), pages 83-100.
    11. Antonio Galvao & Kengo Kato & Gabriel Montes-Rojas & Jose Olmo, 2014. "Testing linearity against threshold effects: uniform inference in quantile regression," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 66(2), pages 413-439, April.
    12. Yang, Yaxing & Ling, Shiqing, 2017. "Self-weighted LAD-based inference for heavy-tailed threshold autoregressive models," Journal of Econometrics, Elsevier, vol. 197(2), pages 368-381.

  30. Caner, M. & Kilian, L., 2001. "Size distortions of tests of the null hypothesis of stationarity: evidence and implications for the PPP debate," Journal of International Money and Finance, Elsevier, vol. 20(5), pages 639-657, October.
    See citations under working paper version above.
  31. Mehmet Caner & Bruce E. Hansen, 2001. "Threshold Autoregression with a Unit Root," Econometrica, Econometric Society, vol. 69(6), pages 1555-1596, November.
    See citations under working paper version above.
  32. Caner, Mehmet, 1998. "Tests for cointegration with infinite variance errors," Journal of Econometrics, Elsevier, vol. 86(1), pages 155-175, June.

    Cited by:

    1. Barry Falk & Chun-Hsuan Wang, 2003. "Testing long-run PPP with infinite-variance returns," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(4), pages 471-484.
    2. Hill, Jonathan B. & Aguilar, Mike, 2013. "Moment condition tests for heavy tailed time series," Journal of Econometrics, Elsevier, vol. 172(2), pages 255-274.
    3. Matteo Barigozzi & Giuseppe Cavaliere & Lorenzo Trapani, 2021. "Inference in heavy-tailed non-stationary multivariate time series," Papers 2107.13894, arXiv.org.
    4. D. M. Mahinda Samarakoon & Keith Knight, 2009. "A Note on Unit Root Tests with Infinite Variance Noise," Econometric Reviews, Taylor & Francis Journals, vol. 28(4), pages 314-334.
    5. Kirstin Hubrich & Helmut Lutkepohl & Pentti Saikkonen, 2001. "A Review Of Systems Cointegration Tests," Econometric Reviews, Taylor & Francis Journals, vol. 20(3), pages 247-318.
    6. She, Rui & Ling, Shiqing, 2020. "Inference in heavy-tailed vector error correction models," Journal of Econometrics, Elsevier, vol. 214(2), pages 433-450.
    7. Bouhaddioui, Chafik & Ghoudi, Kilani, 2012. "Empirical processes for infinite variance autoregressive models," Journal of Multivariate Analysis, Elsevier, vol. 107(C), pages 319-335.
    8. Boswijk, H. Peter & Lucas, André & Taylor, Nick, 1998. "A comparison of parametric, semi-nonparametric, adaptive and nonparametric tests," Serie Research Memoranda 0062, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
    9. BAUWENS, Luc & DEPRINS, Dominique & VANDEUREN, Jean-Pierre, 1997. "Modelling interest rates with a cointegrated VAR-GARCH model," LIDAM Discussion Papers CORE 1997080, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    10. H. Peter Boswijk & Andre Lucas & Nick Taylor, 1999. "A Comparison of Parametric, Semi-nonparametric, Adaptive, and Nonparametric Cointegration Tests," Tinbergen Institute Discussion Papers 99-012/4, Tinbergen Institute.
    11. Majid M. Al-Sadoon, 2015. "A General Theory of Rank Testing," Working Papers 750, Barcelona School of Economics.
    12. Jonathan B. Hill, 2005. "On Tail Index Estimation for Dependent, Heterogenous Data," Econometrics 0505005, University Library of Munich, Germany, revised 24 Mar 2006.
    13. Fatma Ozgu Serttas, 2018. "Infinite-Variance Error Structure in Finance and Economics," International Econometric Review (IER), Econometric Research Association, vol. 10(1), pages 14-23, April.
    14. Al-Sadoon, Majid M., 2017. "A unifying theory of tests of rank," Journal of Econometrics, Elsevier, vol. 199(1), pages 49-62.
    15. Serttas, Fatma Ozgu, 2010. "Essays on infinite-variance stable errors and robust estimation procedures," ISU General Staff Papers 201001010800002742, Iowa State University, Department of Economics.
    16. Ma, Wei & Li, Haiqi & Park, Sung Y., 2017. "Empirical conditional quantile test for purchasing power parity: Evidence from East Asian countries," International Review of Economics & Finance, Elsevier, vol. 49(C), pages 211-222.
    17. Matteo Barigozzi & Giuseppe Cavaliere & Lorenzo Trapani, 2020. "Determining the rank of cointegration with infinite variance," Discussion Papers 20/01, University of Nottingham, Granger Centre for Time Series Econometrics.

  33. Caner, Mehmet, 1998. "A Locally Optimal Seaosnal Unit-Root Test," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(3), pages 349-356, July.

    Cited by:

    1. El Montasser, Ghassen, 2014. "The seasonal KPSS Test: some extensions and further results," MPRA Paper 54920, University Library of Munich, Germany.
    2. Anton Skrobotov, 2013. "On GLS-detrending for deterministic seasonality testing," Working Papers 0073, Gaidar Institute for Economic Policy, revised 2014.
    3. Philip Kostov & John Lingard, 2005. "Seasonally specific model analysis of UK cereals prices," Econometrics 0507014, University Library of Munich, Germany.
    4. A. M. Robert Taylor, 2003. "Locally Optimal Tests Against Unit Roots in Seasonal Time Series Processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 24(5), pages 591-612, September.
    5. Fabio Busetti, 2006. "Tests of seasonal integration and cointegration in multivariate unobserved component models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(4), pages 419-438, May.
    6. Caner, M. & Kilian, L., 2001. "Size distortions of tests of the null hypothesis of stationarity: evidence and implications for the PPP debate," Journal of International Money and Finance, Elsevier, vol. 20(5), pages 639-657, October.
    7. Eiji Kurozumi, 2002. "Testing For Periodic Stationarity," Econometric Reviews, Taylor & Francis Journals, vol. 21(2), pages 243-270.
    8. Gabriel Pons Rotger, 2004. "Seasonal Unit Root Testing Based on the Temporal Aggregation of Seasonal Cycles," Economics Working Papers 2004-1, Department of Economics and Business Economics, Aarhus University.
    9. El Montasser, Ghassen, 2012. "The seasonal KPSS Test: some extensions and further results," MPRA Paper 45110, University Library of Munich, Germany, revised 04 Mar 2014.
    10. Ghassen El Montasser, 2015. "The Seasonal KPSS Test: Examining Possible Applications with Monthly Data and Additional Deterministic Terms," Econometrics, MDPI, vol. 3(2), pages 1-16, May.
    11. Johan Lyhagen, 2006. "The seasonal KPSS statistic," Economics Bulletin, AccessEcon, vol. 3(13), pages 1-9.
    12. Gabriel Pons, 2006. "Testing Monthly Seasonal Unit Roots With Monthly and Quarterly Information," Journal of Time Series Analysis, Wiley Blackwell, vol. 27(2), pages 191-209, March.
    13. Robert M. Kunst & Michael Reutter, 2000. "Decisions on Seasonal Unit Roots," CESifo Working Paper Series 286, CESifo.
    14. Shipra Banik & Param Silvapulle, 1999. "Testing for Seasonal Stability in Unemployment Series: International Evidence," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 26(2), pages 123-139, June.
    15. Kunst, Robert M., 2009. "A Nonparametric Test for Seasonal Unit Roots," Economics Series 233, Institute for Advanced Studies.
    16. Shigeyuki Hamori & Akira Tokihisa, 2002. "Some International Evidence on the Seasonality of Stock Prices," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 1(1), pages 79-86, April.

  34. Caner, Mehmet, 1997. "Weak Convergence to a Matrix Stochastic Integral with Stable Processes," Econometric Theory, Cambridge University Press, vol. 13(4), pages 506-528, February.

    Cited by:

    1. Andreas S{o}jmark & Fabrice Wunderlich, 2023. "Functional CLTs for subordinated L\'evy models in physics, finance, and econometrics," Papers 2312.15119, arXiv.org, revised Jan 2024.
    2. She, Rui & Ling, Shiqing, 2020. "Inference in heavy-tailed vector error correction models," Journal of Econometrics, Elsevier, vol. 214(2), pages 433-450.
    3. Caner, Mehmet, 1998. "Tests for cointegration with infinite variance errors," Journal of Econometrics, Elsevier, vol. 86(1), pages 155-175, June.
    4. Nunzio Cappuccio & Diego Lubian, 2007. "Asymptotic Null Distributions of Stationarity and Nonstationarity Tests Under Local-to-finite Variance Errors," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 59(3), pages 403-423, September.
    5. Nunzio Cappuccio & Diego Lubian, 2003. "Asymptotic null distributions of stationarity and nonstationarity," Working Papers 08/2003, University of Verona, Department of Economics.

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