Instrumental variable (IV) estimation methods that allow for certain nonlinear functions of the data as instruments are studied. The context of the discussion is the simple unit root model where certain advantages to the use of nonlinear instruments are revealed. In particular, certain classes...

This paper develops an asymptotic theory for a general class of nonlinear nonstationary regressions, extending earlier work by Phillips and Hansen (1990) on linear cointegrating regressions. The model considered accommodates a linear time trend and stationary regressors, as well as multiple I(1)...

Electricity demand analysis using cointegration and error-correction models with time varying parameters: The Mexican case. In this essay we show how some flexibility can be allowed in modeling the parameters of the electricity demand function by employing the time varying coefficient (TVC)...

This dissertation consists of three essays on time series and panel data econometrics. The first essay considers the bootstrap method for the covariates augmented Dickey-Fuller (CADF) unit root test suggested by Hansen (1995). It is known that the CADF test is very powerful. However, its limit...

This paper develops a new framework and statistical tools to analyze stock returns using high-frequency data. We consider a continuous-time multifactor model via a continuous-time multivariate regression model incorporating realistic empirical features, such as persistent stochastic volatilities...

We investigate U.S. monetary and fiscal policy regime interactions in a model, where regimes are determined by latent autoregressive policy factors with endogenous feedback. Policy regimes interact strongly: Shocks that switch one policy from active to passive tend to induce the other policy to...

We investigate U.S. monetary and fiscal policy interactions in a regime-switching model of monetary and fiscal policy rules where policy mixes are determined by a latent bivariate autoregressive process consisting of monetary and fiscal policy regime factors, each determining a respective policy...

We propose a unit root test for panels with cross-sectional dependency. We allow general dependency structure among the innovations that generate data for each of the cross-sectional units. Each unit may have different sample size, and therefore unbalanced panels are also permitted in our...