Codes


- Bera, A., Montes-Rojas, G., Sosa-Escudero, W. & Alejo, J. (2020). “Tests for nonlinear restrictions under misspecified alternatives with an application to testing rational expectation hypotheses,” forthcoming Econometrics Journal. ECTJ2878.zip
- Montes-Rojas, G. (2019). “Multivariate quantile impulse response functions,” Journal of Time Series Analysis, 40(5), 739-752. qirf.zip
- Galvao, A., Montes-Rojas, G. & Olmo, J. (2019). “Tests of asset pricing with time-varying factor loads,” Journal of Applied Econometrics, 34(5), 762-778. JAE empirical results.zip
- Galvao, A., Juhl, T., Montes-Rojas, G. & Olmo, J. (2018). “Testing slope homogeneity in quantile regression panel data with an application to the cross-section of stock returns,” Journal of Financial Econometrics, 16(2), 211-243. Slope-QR.R
- Galvao, A., Montes-Rojas, G. & Olmo, J. (2011). “Threshold quantile autoregressive models,” Journal of Time Series Analysis, 32(3), 253-267. TQAR_code.R