1 citations · 1 across the 2 of their papers we have counts for
3 papers
econ.EM2026
Identification in (Endogenously) Nonlinear SVARs Is Easier Than You Think
James A. Duffy, Sophocles Mavroeidis
We study identification in structural vector autoregressions (SVARs) in which the endogenous variables enter nonlinearly on the left-hand side of the model, a feature we term endog…
math.ST2018
Estimation and Inference in the Presence of Fractional d=1/2 and Weakly Nonstationary Processes
James A. Duffy, Ioannis Kasparis
We provide new limit theory for functionals of a general class of processes lying at the boundary between stationarity and nonstationarity -- what we term weakly nonstationary proc…
math.ST2015★ 1 cited
Uniform convergence rates over maximal domains in structural nonparametric cointegrating regression
James A. Duffy
This paper presents uniform convergence rates for kernel regression estimators, in the setting of a structural nonlinear cointegrating regression model. We generalise the existing…