Publicacións en colaboración con investigadores/as de Michigan State University (17)

2013

  1. Partial maximum likelihood estimation of spatial probit models

    Journal of Econometrics, Vol. 172, Núm. 1, pp. 77-89

2012

  1. Improved instrumental variables estimation of simultaneous equations under conditionally heteroskedastic disturbances

    Journal of Applied Econometrics, Vol. 27, Núm. 3, pp. 474-499

  2. Voter decisions on eminent domain and police power reforms

    Journal of Housing Economics, Vol. 21, Núm. 2, pp. 187-194

2011

  1. Constrained κ-class estimators in the presence of weak instruments

    Studies in Nonlinear Dynamics and Econometrics, Vol. 15, Núm. 4

  2. Small sample estimation bias in garch models with any number of exogenous variables in the mean equation

    Econometric Reviews, Vol. 30, Núm. 3, pp. 303-336

2010

  1. First and second order asymptotic bias correction of nonlinear estimators in a non-parametric setting and an application to the smoothed maximum score estimator

    Studies in Nonlinear Dynamics and Econometrics, Vol. 14, Núm. 3

  2. The bias to order T-2 for the general k-class estimator in a simultaneous equation model

    Economics Letters, Vol. 109, Núm. 1, pp. 42-45

2009

  1. Domestic monetary transfers and the inland bill of exchange markets in Spain (1775-1885)

    Journal of International Money and Finance, Vol. 28, Núm. 3, pp. 496-521

  2. Finite sample theory of QMLEs in ARCH models with an exogenous variable in the conditional variance equation

    Studies in Nonlinear Dynamics and Econometrics, Vol. 13, Núm. 2

  3. Volatility spill-overs in commodity spot prices: New empirical results

    Economic Modelling, Vol. 26, Núm. 3, pp. 601-607

2008

  1. Asymptotic bias of GMM and GEL under possible nonstationary spatial dependence

    Economics Letters, Vol. 99, Núm. 2, pp. 393-397

  2. Bootstrap refinements for QML estimators of the GARCH(1,1) parameters

    Journal of Econometrics, Vol. 144, Núm. 2, pp. 500-510

  3. Finite sample theory of QMLE in ARCH models with dynamics in the mean equation

    Journal of Time Series Analysis, Vol. 29, Núm. 4, pp. 719-737

2007

  1. Higher order asymptotic theory when a parameter is on a boundary with an application to GARCH models

    Econometric Theory, Vol. 23, Núm. 6, pp. 1136-1161

2006

  1. Higher-order asymptotic properties of QML in β-ARCH and μ-ARCH models

    Economics Letters, Vol. 93, Núm. 2, pp. 261-266

2005

  1. Analysing one-month Euro-market interest rates by fractionally integrated models

    Applied Financial Economics, Vol. 15, Núm. 2, pp. 95-106

  2. Bivariate ARCH models: Finite-sample properties of QML estimators and an application to an LM-type test

    Econometric Theory, Vol. 21, Núm. 6, pp. 1058-1086