Testing for the cointegrating rank of a VAR process with a time trend Por 
Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots Por 
Efficient Tests for an Autoregressive Unit Root Por 
Testing the null hypothesis of stationarity against the alternative of a unit root: How sure are we that economic time series have a unit root? Por 
Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag Por LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power Por 
Useful Modifications to some Unit Root Tests with Dependent Errors and their Local Asymptotic Properties Por 
An Autoregressive Spectral Density Estimator at Frequency Zero for Nonstationarity Tests Por The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis Por Further evidence on breaking trend functions in macroeconomic variables Por 
Testing for a Unit Root in Time Series Regression Por 
An empirical note about additive outliers and nonstationarity in Latin-American inflation series. Por Testing for Unit Roots in Autoregressive-Moving Average Models of Unknown Order Por 
Exploring Equilibrium RElationships in Econometrics Through Static Models : Some Monte Carlo Evidence Por 
Alternative Explanations of the Money-Income Correlation Por 
On the Theory of Testing for Unit Roots in Observed Time Series. Por 
An empirical characterization of the dynamic effects of changes in government spending and taxes on output Por 
The Dynamic Effects of Aggregate Demand and Supply Disturbances Por 
Presidential Approval in Peru : An Empirical Analysis Using a Fractionally Cointegrated VAR Por 
Testing for an unstable root in conditional and structural error correction models Por 
Evolution of the Exchange Rate Pass-Throught into Prices in Peru: An Empirical Application Using TVP-VAR-SV Models Por 
Time Changing Effects of External Shocks on Macroeconomic Fluctuations in Peru: Empirical Application Using Regime-Switching VAR Models with Stochastic Volatility Por 
Time-Varying Effects of External Shocks on Macroeconomic Fluctuations in Peru: An Empirical Application using TVP-VAR- SV Models Por 
Bayesian model comparison for time-varying parameterVARs with stochastic volatility Por 
Testing the Null of No Cointegration When Covariates Are Known to Have a Unit Root Por Co-Integration and Error Correction: Representation, Estimation, and Testing Por 
Distributions of error correction tests for cointegration. Por How Well Does the IS-LM Model Fit Postwar U.S. Data? Por Five alternative methods of estimating long-run equilibrium relationships Por Spurious regressions in econometrics Por 
The role of credit supply shocks in pacific alliance countries: A TVP-VAR-SV approach Por Efficient estimation and testing of cointegrating vectors in the presence of deterministic trends Por 
Residual based tests for cointegration: A Monte Carlo study of size distortions Por Tests for cointegration a Monte Carlo comparison Por 
A Review of Systems Cointegration Tests Por 
Statistical analysis of cointegration vectors Por Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models Por Maximum Likelihood Estimation and Inference on Cointegration with an Application to the Demand for Money, Por Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK Por 
Exchange rate anomalies in the industrial countries: A solution with a structural VAR approach Por 
Stochastic Trends and Economic Fluctuations Por Exact similar tests for unit roots and cointegration Por 
Bayesian Multivariate Time Series Methods for Empirical Macroeconomics Por The Power of Cointegration Tests Por Testing for the cointegrating rank of a VAR process with a time trend Por 
Numerical Distribution Functions of Likelihood Ratio Tests for Cointegration Por 
Macroeconomic Effects of Loan Supply Shocks: Empirical Evidence for Peru Por 
Simulating competing cointegration tests in a bivariate system Por Statistical Inference in Regressions with Integrated Processes: Part 1 Por Analytical evaluation of the power of tests for the absence of cointegration Por An Autoregressive Spectral Density Estimator at Frequency Zero for Nonstationarity Tests Por 
Residuals-based tests for cointegration with generalized least-squares detrended data Por Structural analysis of vector error correction models with exogenous I(1) variables Por 
Stabilisation Policy in a Closed Economy Por Stabilisation Policy and the Time-Forms of Lagged Responses Por Understanding spurious regressions in econometrics Por Asymptotic Properties of Residual Based Tests for Cointegration Por 
Asymptotics for Linear Processes Por 
Evolution of Monetary Policy in Peru: An Empirical Application using a Mixture Innovation TVP-VAR-SV Model Por 
Driving Economic Fluctuations in Peru: The Role of the Terms of Trade Por 
Impacto de Choques Externos sobre la Economía Peruana Aplicación Empírica usando Modelos TVP-VAR-SV Por 
Time Evolution of External Shocks on Macroeconomic Fluctuations in Pacific Alliance Countries: Empirical Application using TVP-VAR-SV Models Por Testing Residuals from Least Squares Regression for Being Generated by the Gaussian Random Por 
Are Forecasting Models Usable for Policy Analysis? Por Inference in Linear Time Series Models with some Unit Roots Por Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors Por 
Vector Autoregressions Por 
Evolution of the Effects of Mineral Commod- ity Prices on Fiscal Fluctuations: Empirical Evidence From TVP-VAR-SV Models for Peru Por Efficient Detrending in Cointegrating Regression Por The Power of Single Equation Tests for Cointegration When the Cointegrating Vector Is Prespecified Por Determining the number of factors in approximate factor models Por 
A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the ‘business cycle’
The Band Pass Filter Por The Cyclical Component of U. S. Economic Activity Por 
Effects of the Hodrick-Prescott Filter on Trend and Difference Stationary Time Series: Implications for Business Cycle Research, Por Output Dynamics in Real-Business-Cycle Models Por 
Do the Hodrick-Prescott and Baxter-King Filters Provide a Good Approximation of Business Cycles? Por Detrending, Stylized Facts and the Business Cycle Por 
Time-Varying Impact of Fiscal Shocks over GDP Growth in Peru: An Empirical Application using Hybrid TVP-VAR-SV Models Por Low frequency filtering and real business cycles Por 
Usando información adicional en la estimación de la brecha producto en el Perú: una aproximación mulivariada de componentes no observados Por Exact formulas for the Hodrick-Prescott filter Por 
Métodos alternativos para la estimación del PBI potencial : Una aplicación para el caso de Perú Por Plucking models of business cycle fluctuations : Evidence from the G-7 countries Por Let's take a break: Trends and cycles in US real GDP Por 
Application of three non-linear econometric approaches to identify business cycles in Peru Por Using A Forward-Looking Phillips Curve to Estimate the Output Gap in Peru Por Estimating Output Gap, Core Inflation, and the NAIRU for Peru Por 
Forecasting Using Principal Components from a Large Number of Predictors Por Univariate detrending methods with stochastic trends Por 
Approximate Bayesian Estimation of Stochastic Volatility in Mean Models using Hidden Markov Models: Empirical Evidence from Stock Latin American Markets Por 
Stochastic Volatility in Peruvian Stock Market and Exchange Rate Returns: a Bayesian Approximation Por 
Asymmetries in Volatility : An Empirical Study for the Peruvian Stock and Forex Market Por 
Modelling the volatility of commodities prices using a stochastic volatility model with random level shifts D Por 
Determinantes del tipo de cambio : un modelo Arch Por 
Comportamiento del tipo de cambio real y de- sempeňo economico en Mexico Por 
Long memory processes and fractional integration in econometrics Por Fractionally Integrated Gen- eralized Autoregressive Conditional Heteroskedasticity Por 
Stock Returns and Volatility Por Generalized autoregressive conditional heteroskedasticity Por ARCH modeling in finance : A review of the theory and empirical evidence Por Modeling and pricing long memory in stock market volatility Por Long memory and regime switching Por Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation Por Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market Por Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model Por 
Measuring and Testing the Impact of News on Volatility Por 
Modeling the Volatility of Returns on Commodities: An Application and Empirical Comparison of GARCH and SV Models Por 
Stock returns and the weekend effect Por On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks Por 
Volatility of Stock Market and Exchange Rate Returns in Peru : Long Memory or Short Memory with Level Shifts? Por 
Some stylized facts of returns in the foreign exchange and stock markets in Peru Por 
Alternative models for the conditional heteroscedasticity of stock returns Por 
Stochastic Volatility : Likelihood Inference and Comparison with ARCH Models Por The stochastic volatility in mean model : empirical evidence from international stock markets Por 
An empirical application of a stochastic volatility model with GH skew Student’s t-distribution to the volatility of Latin-American stock returns Por 
Modelling exchange rate volatility with random level shifts Por 
Modeling and forecasting stock return volatility using a random level shift model Por 
Nonstationarities in financial time series, the long range dependence and the IGARCH effect Por 
Changes of Structure in Financial Time Series and the GARCH model Por Conditional Heteroskedasticity in Asset Returns: A New Approach Por 
An Application of a Random Level Shifts Model to the Volatility of Peruvian Stock and Exchange Rates Returns Por 
Distinguishing between True and Spurious Long Memory in the Volatility of Stock Market Returns in Latin America Por 
Análisis de la volatilidad del índice general de la bolsa de valores de Colombia utilizando modelos ARCH Por Filtering via Simulation: Auxiliary Particle Filters Por Conditional Exchange-Rate Volatility and the Volume of International Trade: Evidence from the Early 1900s Por 
Modeling Latin-American Stock Markets Volatility : Varying Probabilities and Mean Reversion in a Random Level Shifts Model Por 
Selecting between autoregressive conditional heteroskedasticity models : an empirical application to the volatility of stock returns in Peru. Por 
Extreme Value Theory : An Application to the Peruvian Stock Market Returns Por 
Modeling Latin-American stock and Forex markets volatility: Empirical application of a model with random level shifts and genuine long memory. Por 
An empirical note about estimation and forecasting Latin American Forex returns volatility: the role of long memory and random level shifts components Por 
An Application of a Short Memory Model With Random Level Shifts to the Volatility of Latin American Stock Market Returns Por 
Stock Volatility and the Crash of '87 Por The Conditional Heteroscedasticity of the Yen-Dollar Exchange Rate Por Residual-based diagnostics for conditional heteroscedasticity models Por A Flexible Parametric GARCH Model with an Application to Exchange Rates Por 
Classical estimation of multivariate Markov-switching models using MSVARlib Por 
An Analysis of the Real Interest Rate Under Regime Shifts Por 
Testing linearity againsts mooth transition autoregressive models Por 
Are Economic Time Series Asymmetric Over the Business Cycles? Por 
Modeling asymmetries and moving equilibria inunemployment rates Por 
Testing and Modeling Threshold Autoregressive Processes Por 
Characterizing Nonlinearities in Business Cycles Using Smooth Transition Autoregressive Models Por Specification, Estimation, and Evaluation of Smooth Transition Autoregressive Models Por 
Improving Size and Power in Unit Root Testing Por 
A Class of Tests for Integration and Cointegration Por 
Vector Autoregressions and Cointegration Por 
Estimation and Inference for Dependent Processes Por Unit Roots and Trend Breaks Por 
Glossary to ARCH (GARCH),” In Volatility and fime Series: Essays in Honor of Robert Engle Por Arch models
Co-Integration, Error Correction, and the Econometric Analysis of Non-Stationary Data Por 
Likelihood-Based Inference in Cointegrated Vector Autoregressive Models Por 
Topics in Advanced Econometrics : Estimation, Testing, and Specification of Cross-Section and Time Series Models Por 
Regression Models for Categorical Dependent Variables Using Stata, Second Edition Por 
