Tim Vogelsang’s Working Papers

·      "Estimation and Inference of Linear Trend Slope Ratios with an Application to Global Temperature Data", (with N. Nawaz), Department of Economics, Michigan State University, 2015, revised 2016, forthcoming in Journal of Time Series Analysis, pdf . Supplementary Information document pdf . Gauss code used for empirical analysis trend-ratio-empirical-tables.zip

·      "Fixed-b Inference for Testing Structural Change in a Time Series Regression", (with C.K. Cho), Department of Economics, Michigan State University, 2014, pdf

·      "Serial Correlation Robust Inference with Missing Data", (with S. Rho), Department of Economics, Michigan State University, 2014, pdf

·      "Testing for a Shift in Trend When Serial Correlation is of Unknown Form," 1999, pdf. For the 1997 Center for Analytic Economics (Cornell) working paper, pdf

 

Working Paper Versions of Published Papers

·      "Fixed-b Asymptotics for Spatially Dependent Robust Nonparametric Covariance Matrix Estimators" (with C.A. Bester, T. Conley and C. Hansen), Econometric Theory, 2016, Older Longer Working Paper

·      "Multivariate Trend Comparisons Between Autocorrelated Climate Series with General Trend Regressors", (with R. McKitrick), Environmetrics, 2015 Accepted Version with SI

·      "Integrated Modified OLS Estimation and Fixed-b Inference for Cointegrating Regressions", (with M. Wagner), Journal of Econometrics, 2014, Working Paper Version,  Supplement with Tables of Critical Values

·      "Heteroskedasticity, Autocorrelation, and Spatial Correlation Robust Inference in Linear Panel Models with Fixed-Effects", Journal of Econometrics. Longer working paper version: pdf

·      "Testing for a Shift in Trend at an Unknown Date: A Fixed-b Analysis of Heteroskedasticity Autocorrelation Robust OLS Based Tests," (with O. Sayginsoy), 2011, Econometric Theory. Longer working paper version: pdf

·      "Fixed-b Asymptotic Approximation for the Sampling Behavior of Nonparametric Spectral Density Estimators," (with N. Hashimzade), Journal of Time Series Analysis, 2008. Click here for the longer working paper version: pdf

·      "A New Asymptotic Theory for Heteroskedasticity-Autocorrelation Robust Tests," (with N. Kiefer), Econometric Theory, 2005, original-draft, revised-draft.

·      "The Application of Size Robust Trend Analysis to Global Warming Temperature Series," (with T. Fomby) Journal of Climate, 15, 117-123, 2002.  Click here for longer working paper version pdf

 

STATA .ado Files for Fixed-b Versions of newey, xtscc, test Commands

·         The following .zip file contains the .ado files. Read the “readme.txt” file first.

fixedbstata.zip

Gauss Programs for Robust Trend Inference

·         The following .zip file contains gauss code (.g programs), data, and an application paper (Fomby and Vogelsang, 2002) that uses the trend tests of Vogelsang (1998, Econometrica)

trend-globwarm.zip

 

·         The following .zip file contains gauss code (.g programs) and data for the trend tests of Bunzel and Vogelsang (2005, JBES)

bunzelvogelsang2005jbes.zip

 

·         The following .zip file contains gauss code (.g programs) and data used in Vogelsang and Franses (2005, Journal of Econometrics)

vogelsang-franses-joe.zip

 

·         The following .zip file contains gauss code (.g programs) that applies the trend break tests in Sayginsoy and Vogelsang (2011, Econometric Theory)

sayginsoy-vogelsang-ET.zip

 

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