Ignacio N Lobato
Ignacio N Lobato
Verified email at itam.mx
Title
Cited by
Cited by
Year
Real and spurious long-memory properties of stock-market data
IN Lobato, NE Savin
Journal of Business & Economic Statistics 16 (3), 261-268, 1998
6581998
Long memory in stock-market trading volume
IN Lobato, C Velasco
Journal of Business & Economic Statistics 18 (4), 410-427, 2000
2432000
An automatic portmanteau test for serial correlation
JC Escanciano, IN Lobato
Journal of Econometrics 151 (2), 140-149, 2009
1972009
A nonparametric test for I (0)
IN Lobato, PM Robinson
The review of economic studies 65 (3), 475-495, 1998
1891998
Consistent estimation of models defined by conditional moment restrictions
MA Domínguez, IN Lobato
Econometrica 72 (5), 1601-1615, 2004
1602004
A semiparametric two-step estimator in a multivariate long memory model
IN Lobato
Journal of Econometrics 90 (1), 129-153, 1999
1591999
Averaged periodogram estimation of long memory
I Lobato, PM Robinson
Journal of econometrics 73 (1), 303-324, 1996
1541996
Testing that a dependent process is uncorrelated
IN Lobato
Journal of the American Statistical Association 96 (455), 1066-1076, 2001
1412001
Efficient Wald tests for fractional unit roots
IN Lobato, C Velasco
Econometrica 75 (2), 575-589, 2007
1292007
Testing for Autocorrelation Using a Modified Box‐Pierce Q Test
I Lobato, JC Nankervis, NE Savin
International Economic Review 42 (1), 187-205, 2001
1112001
Testing the martingale difference hypothesis
MA Domínguez, IN Lobato
Econometric Reviews 22 (4), 351-377, 2003
982003
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
922003
Testing for zero autocorrelation in the presence of statistical dependence
IN Lobato, JC Nankervis, NE Savin
Econometric Theory, 730-743, 2002
892002
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
812006
Consistency of the averaged cross‐periodogram in long memory series
IN Lobato
Journal of time series analysis 18 (2), 137-155, 1997
721997
Testing the martingale hypothesis
JC Escanciano, IN Lobato
Palgrave handbook of econometrics, 972-1003, 2009
632009
A simple test of normality for time series
IN Lobato, C Velasco
Econometric Theory, 671-689, 2004
582004
Optimal fractional Dickey–fuller tests
IN Lobato, C Velasco
The Econometrics Journal 9 (3), 492-510, 2006
292006
Automatic specification testing for vector autoregressions and multivariate nonlinear time series models
JC Escanciano, IN Lobato, L Zhu
Journal of Business & Economic Statistics 31 (4), 426-437, 2013
152013
Frequency domain minimum distance inference for possibly noninvertible and noncausal ARMA models
C Velasco, IN Lobato
The Annals of Statistics 46 (2), 555-579, 2018
122018
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Articles 1–20