Ignacio N Lobato
Ignacio N Lobato
Verified email at itam.mx
TitleCited byYear
Real and spurious long-memory properties of stock-market data
IN Lobato, NE Savin
Journal of Business & Economic Statistics 16 (3), 261-268, 1998
6191998
Long memory in stock-market trading volume
IN Lobato, C Velasco
Journal of Business & Economic Statistics 18 (4), 410-427, 2000
2332000
A nonparametric test for I (0)
IN Lobato, PM Robinson
The review of economic studies 65 (3), 475-495, 1998
1791998
An automatic portmanteau test for serial correlation
JC Escanciano, IN Lobato
Journal of Econometrics 151 (2), 140-149, 2009
1562009
A semiparametric two-step estimator in a multivariate long memory model
IN Lobato
Journal of Econometrics 90 (1), 129-153, 1999
1561999
Averaged periodogram estimation of long memory
I Lobato, PM Robinson
Journal of econometrics 73 (1), 303-324, 1996
1511996
Consistent estimation of models defined by conditional moment restrictions
MA Domínguez, IN Lobato
Econometrica 72 (5), 1601-1615, 2004
1452004
Efficient Wald tests for fractional unit roots
IN Lobato, C Velasco
Econometrica 75 (2), 575-589, 2007
1242007
Testing that a dependent process is uncorrelated
IN Lobato
Journal of the American Statistical Association 96 (455), 1066-1076, 2001
1242001
Testing for Autocorrelation Using a Modified Box‐Pierce Q Test
I Lobato, JC Nankervis, NE Savin
International Economic Review 42 (1), 187-205, 2001
1012001
Long memory testing in the time domain
M Demetrescu, V Kuzin, U Hassler
Econometric Theory 24 (1), 176-215, 2008
892008
Testing the martingale difference hypothesis
MA Domínguez, IN Lobato
Econometric Reviews 22 (4), 351-377, 2003
832003
Debt composition and balance sheet effects of exchange rate volatility in Mexico: a firm level analysis
S Pratap, I Lobato, A Somuano
Emerging Markets Review 4 (4), 450-471, 2003
812003
Testing for zero autocorrelation in the presence of statistical dependence
IN Lobato, JC Nankervis, NE Savin
Econometric Theory 18 (3), 730-743, 2002
792002
Bootstrapping the Box–Pierce Q test: a robust test of uncorrelatedness
JL Horowitz, IN Lobato, JC Nankervis, NE Savin
Journal of Econometrics 133 (2), 841-862, 2006
742006
Consistency of the averaged cross‐periodogram in long memory series
IN Lobato
Journal of time series analysis 18 (2), 137-155, 1997
691997
Testing the martingale hypothesis
JC Escanciano, IN Lobato
Palgrave handbook of econometrics, 972-1003, 2009
542009
A simple test of normality for time series
IN Lobato, C Velasco
Econometric Theory 20 (4), 671-689, 2004
472004
Testing for long memory
D Harris, B McCabe, S Leybourne
Econometric Theory 24 (1), 143-175, 2008
432008
Optimal Fractional Dickey–Fuller tests
IN Lobato, C Velasco
The Econometrics Journal 9 (3), 492-510, 2006
272006
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