Selected Publications:
"Fractional cointegration analysis of EU convergence,"
(with Sonila Beliu), Applied Economics, August 2004.
"Exchange-Rate Uncertainity and Workers' Remittances",
(with A. Hysenbegasi and S. Pozo), Applied Financial Economics,
March 2004.
"Capacity Constraints and the Dynamics of Underwriting Profits",
(with P. Thistle), Economic Inquiry, Vol. 38, 442-457, 2000.
"ARCH and Bilinearity as Competing Models for Nonlinear
Dependence", (with A.K. Bera), Journal of Business &
Economic Statistics, Vol. 15, 43-50, 1997.
"Random Coefficient Formulation of Conditional Heteroskedasticity
and Augmented ARCH Models", (with A.K. Bera and S. Lee),
Sankhya, Vol. 58, 199-220, 1996.
"A Monte Carlo Study of Tests for Nonnested Models Estimated
by Generalized Methods of Moments", (with S. Arkonac), Communications
in Statistics-Computation and Simulation, Vol. 24, 745-763, 1995.
"Computation of the GLS Estimator of a Model with Anticipated
and Unanticipated Effects," Economic Letters, Vol. 45, 125-129,
1994.
"A Consistency Test for Rational Expectations Models,"
Journal of Quantitative Economics, Vol. 10, 53-60, 1994.
"A Survey of ARCH Models: Properties, Estimation and Testing,"
(with A. K. Bera), Journal of Economic Surveys, Vol. 7, 305-366,
1993. To be reprinted in Surveys in Econometrics, eds. L. Oxley,
D. George, C. Roberts and S. Sayer (1995), Oxford, Basil Blackwell.
"MicroTSP Version 7.0: A Review," (with N. Ltaifa),
Journal of Applied Econometrics, Vol. 7, 423-429, 1992.
"A Class of Nonlinear ARCH Models," (with A. K. Bera),
International Economic Review, Vol. 33, 137-158, 1992.
"Interaction Between Autocorrelation and Conditional Heteroskedasticity:
A Random-Coefficient Approach," (with A. K. Bera and S. Lee),
Journal of Business & Economic Statistics, Vol. 10, 133-142,
1992.
"Correlation Between Structural and Forecast Errors in Expectations
Models," Proceedings of the American Statistical Association,
Business and Economic Statistics Section, 1992, 22-26.
"Test for Conditional Heteroskedasticity in Time Series
Models," (with A. K. Bera), Journal of Time Series Analysis,
Vol. 13, 501-519, 1992.
"A Joint Test for ARCH and Bilinearity in the Regression
Model," (with A. K. Bera), Econometric Reviews, 171-181,
1989.
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