Timothy J Vogelsang
Biographic Data
| ID | 2302849 |
|---|---|
| NAME | Timothy J Vogelsang |
| GIVEN NAMES | Timothy J |
| FAMILY NAME | Vogelsang |
| SIGNATURE | VOGELSANG T J |
| AFFILIATIONS | Cornell University |
| ORCID | 0000-0002-8491-6715 |
| VERIFIED | Yes |
| TOTAL WORKS | 7 |
| TOTAL CITATIONS | 1 |
| AUTHOR COUNT | 7 |
| EDITOR COUNT | 0 |
| FIRST PUBLICATION YEAR | 1992 |
| LATEST PUBLICATION YEAR | 2026 |
| H-INDEX | 1 |
Robust Confidence Intervals for Autocorrelations of Stationary Time Series
This paper develops a simple and new approach for testing linear hypotheses about autocorrelations for time series with general stationary serial correlation structures. A practically important special case is the computation of robust confidence intervals for individual autocorrelations that do not require resampling methods. Inference is heteroskedasticity and autocorrelation robust (HAR) and allows innovations to be uncorrelated but not necess…
"Comment on "HAR Inference
Inference robust to variance and covariance features of the data has become the standard practice in empirical economics. Robust inference in the presence of heteroscedasticity is straightforward a
Powerful Trend Function Tests That Are Robust to Strong Serial Correlation, With an Application to the Prebisch–Singer Hypothesis
We propose tests for hypotheses on the parameters of the deterministic trend function of a univariate time series. The tests do not require knowledge of the form of serial correlation in the data, and they are robust to strong serial correlation. The data can contain a unit root and still have the correct size asymptotically. The tests that we analyze are standard heteroscedasticity autocorrelation robust tests based on nonparametric kernel varia…
Change and Involution in Sugar Production in Cultivation-System Java, 1840-1870
Production functions for sugar in four major sugar-producing zones in Cultivation- System Java (1840 through 1870) are estimated using colonial data. The estimates are analyzed for evidence of structural change in the years from 1848 to 1851. The results confirm that the colonial reforms of those years were accompanied by significant changes in sugar production: the results are also consistent with the thesis of "agricultural involution" in Java.…
Testing for a Shift in Mean Without Having to Estimate Serial-Correlation Parameters
Tests for detecting a shift in the mean of a univariate time series that do not require estimation of serial-correlation parameters are proposed. The statistics are valid whether the errors are stationary or have a unit root. The date of the shift may be known or unknown. The statistics are based on a simple transformation of the data and are functions of partial sums of the data. These so-called partial sum statistics are shown to be asymptotica…
On Seasonal Cycles, Unit Roots, and Mean Shifts
The interpretation of seasonality in terms of economic behavior depends on the form of the econometric time-series model that allows for a description of seasonality. Popular models often assume either approximate deterministic seasonality (cf. Miron (1996)) or stochastic trend seasonality (cf. Hylleberg (1994)). Inference from an inappropriate model can be shown to be invalid. Since much graphical evidence clearly suggests that seasonal fluctuat…
Nonstationarity and Level Shifts With an Application to Purchasing Power Parity
This study considers testing for a unit root in a time series characterized by a structural change in its mean. The analysis is in the spirit of Perron (1990a), who showed that the existence of such a shift in a stationary time series biases the usual tests for a unit root toward nonrejection. The approach is, however, different given that we suppose the date of the change to be unknown. The statistic of interest is then the minimal t statistic o…
Change and Involution in Sugar Production in Cultivation-System Java, 1840-1870
Production functions for sugar in four major sugar-producing zones in Cultivation- System Java (1840 through 1870) are estimated using colonial data. The estimates are analyzed for evidence of structural change in the years from 1848 to 1851. The results confirm that the colonial reforms of those years were accompanied by significant changes in sugar production: the results are also consistent with the thesis of "agricultural involution" in Java.…
Nonstationarity and Level Shifts With an Application to Purchasing Power Parity
This study considers testing for a unit root in a time series characterized by a structural change in its mean. The analysis is in the spirit of Perron (1990a), who showed that the existence of such a shift in a stationary time series biases the usual tests for a unit root toward nonrejection. The approach is, however, different given that we suppose the date of the change to be unknown. The statistic of interest is then the minimal t statistic o…
Testing for a Shift in Mean Without Having to Estimate Serial-Correlation Parameters
Tests for detecting a shift in the mean of a univariate time series that do not require estimation of serial-correlation parameters are proposed. The statistics are valid whether the errors are stationary or have a unit root. The date of the shift may be known or unknown. The statistics are based on a simple transformation of the data and are functions of partial sums of the data. These so-called partial sum statistics are shown to be asymptotica…
On Seasonal Cycles, Unit Roots, and Mean Shifts
The interpretation of seasonality in terms of economic behavior depends on the form of the econometric time-series model that allows for a description of seasonality. Popular models often assume either approximate deterministic seasonality (cf. Miron (1996)) or stochastic trend seasonality (cf. Hylleberg (1994)). Inference from an inappropriate model can be shown to be invalid. Since much graphical evidence clearly suggests that seasonal fluctuat…
Change and Involution in Sugar Production in Cultivation-System Java, 1840-1870
Production functions for sugar in four major sugar-producing zones in Cultivation- System Java (1840 through 1870) are estimated using colonial data. The estimates are analyzed for evidence of structural change in the years from 1848 to 1851. The results confirm that the colonial reforms of those years were accompanied by significant changes in sugar production: the results are also consistent with the thesis of "agricultural involution" in Java.…
Powerful Trend Function Tests That Are Robust to Strong Serial Correlation, With an Application to the Prebisch–Singer Hypothesis
We propose tests for hypotheses on the parameters of the deterministic trend function of a univariate time series. The tests do not require knowledge of the form of serial correlation in the data, and they are robust to strong serial correlation. The data can contain a unit root and still have the correct size asymptotically. The tests that we analyze are standard heteroscedasticity autocorrelation robust tests based on nonparametric kernel varia…
"Comment on "HAR Inference
Inference robust to variance and covariance features of the data has become the standard practice in empirical economics. Robust inference in the presence of heteroscedasticity is straightforward a
Robust Confidence Intervals for Autocorrelations of Stationary Time Series
This paper develops a simple and new approach for testing linear hypotheses about autocorrelations for time series with general stationary serial correlation structures. A practically important special case is the computation of robust confidence intervals for individual autocorrelations that do not require resampling methods. Inference is heteroskedasticity and autocorrelation robust (HAR) and allows innovations to be uncorrelated but not necess…
Mathematics (5 works) · Statistics (5 works) · Computer Science (4 works) · Econometrics (4 works) · Monetary Policy and Economic Impact (4 works) · Unit root (4 works) · Autocorrelation (3 works) · Complex Systems and Time Series Analysis (3 works) · Economics (3 works) · Financial Risk and Volatility Modeling (3 works)