Home/Author

Jesús Gonzalo

25 works· latest 2021· 2 institutionscluster: provisionalORCID 0000-0002-4309-5025

h-index22

i1025

Citations4,657

Works here25

Most cited in this library

Estimation of Common Long-Memory Components in Cointegrated Systems1995 · 1,313 citations
Five alternative methods of estimating long-run equilibrium relationships1994 · 1,129 citations
Estimation of Common Long-Memory Components in Cointegrated Systems1995 · 426 citations
Pitfalls in testing for long run relationships1998 · 226 citations
A systematic framework for analyzing the dynamic effects of permanent and transitory shocks2001 · 217 citations

Works

25 shown

Quantile Factor Models

Econometrica·2021·3 authors·Open access

128citations

Dynamic Effects of Persistent Shocks

Journal of Applied Econometrics·2019·3 authors·Open access

45citations

Detecting big structural breaks in large factor models

Journal of Econometrics·2014·3 authors·Open access

133citations

Summability of stochastic processes—A generalization of integration for non-linear processes

Journal of Econometrics·2013·2 authors·Open access

29citations

Handbook of Research Methods and Applications in Empirical Macroeconomics

Edward Elgar Publishing eBooks·2013·2 authors·book

127citations

Regime-Specific Predictability in Predictive Regressions

Journal of Business and Economic Statistics·2012·2 authors

Estimation of Common Long Memory Components in Cointegrated Systems

Cambridge University Press eBooks·2010·2 authors·chapter

53citations

Modelling and measuring price discovery in commodity markets

Journal of Econometrics·2010·2 authors·Open access

201citations

What is What?: A Simple Time-Domain Test of Long-Memory vs. Structural Breaks

SSRN Electronic Journal·2007·3 authors·preprint·Open access

37citations

Threshold Effects in Cointegrating Relationships*

Oxford Bulletin of Economics and Statistics·2006·2 authors·Open access

103citations

Contagion versus flight to quality in financial markets

e-Archivo (Carlos III University of Madrid)·2005·2 authors·report·Open access

41citations

Threshold effects In multivariate error correction models

ePrints Soton (University of Southampton)·2005·2 authors·book·Open access

36citations

A Fractional Dickey-Fuller Test for Unit Roots

Econometrica·2002·3 authors·Open access

153citations

A systematic framework for analyzing the dynamic effects of permanent and transitory shocks

Journal of Economic Dynamics and Control·2001·2 authors·Open access

217citations

On the robustness of cointegration tests when series are fractionally intergrated

Journal of Applied Statistics·2000·2 authors

28citations

Dimensionality Effect in Cointegration Analysis

·1999·2 authors·chapter

40citations

Pitfalls in testing for long run relationships

Journal of Econometrics·1998·2 authors·Open access

226citations

Testing for multicointegration

Economics Letters·1997·3 authors·Open access

67citations

Threshold unit root models

RePEc: Research Papers in Economics·1997·2 authors·preprint·Open access

20citations

RELATIVE POWER OF t TYPE TESTS FOR STATIONARY AND UNIT ROOT PROCESSES

Journal of Time Series Analysis·1996·2 authors

19citations

Estimation of Common Long-Memory Components in Cointegrated Systems

Journal of Business and Economic Statistics·1995·2 authors

1,313citations

Estimation of Common Long-Memory Components in Cointegrated Systems

Journal of Business and Economic Statistics·1995·2 authors

426citations

Five alternative methods of estimating long-run equilibrium relationships

Journal of Econometrics·1994·1 author·Open access

1,129citations

Cointegration and aggregation

Research in Economics·1993·1 author·Open access

24citations