← All authors Timothy J. Vogelsang Michigan State University (from arXiv:2602.23482, 2026) · ORCID · OpenAlex
62 papers in scope · 61 published · 2 on the econ.EM arXiv · 6,576 citations · h-index 29 (over the papers listed here)
Related authors The 20 authors closest to this one in our weighted citation graph, most related first.
Haonan Miao Bruce E. Hansen Xiaojun Song Yuya Sasaki Jiahao Lin Ulrich Hounyo Yannick Guyonvarch Harold D. Chiang Kaicheng Chen Laurent Davezies James G. MacKinnon Xavier D’Haultfœuille Morten Ørregaard Nielsen Matthew D. Webb Victor Chernozhukov James L. Powell Luther Yap Bryan S. Graham Yukun Ma Iván Fernández-Val Proximity is measured over citations between two papers we both hold, weighted by how heavily one leans on the other, and is symmetric — it does not distinguish citing from being cited. Authors without a profile here are skipped, and a genuinely close colleague can be missing simply because their work is not in our arXiv corpus. Method: docs/06-citations-pipeline.md .
Papers (2 of 62)
working paper 2026 · arXiv
Robust Confidence Intervals for Autocorrelations of Stationary Time Series
published 2025 · Journal of Business and Economic Statistics
with Tae-Yoon Hwang
A bias reduced long run variance estimator with a new first-order kernel
published 2025 · Economics Letters
with Jingjing Yang
published 2024 · Journal of Econometrics · 2 citations · first circulated 2023
Some fixed-b results for regressions with high frequency data over long spans
published 2024 · Journal of Econometrics · 1 citations
with Tae-Yoon Hwang
Annals Issue: PI-Day Honoring Pierre Perron
published 2021 · Journal of Econometrics · 1 citations
Inference in time series models using smoothed-clustered standard errors
published 2020 · Journal of Econometrics · 5 citations
with Seunghwa Rho
Comment on "HAR Inference: Recommendations for Practice"
published 2018 · Journal of Business and Economic Statistics · 3 citations
HETEROSKEDASTICITY AUTOCORRELATION ROBUST INFERENCE IN TIME SERIES REGRESSIONS WITH MISSING DATA
published 2018 · Econometric Theory · 6 citations
with Seung-Hwa Rho
Finite sample performance of a long run variance estimator based on exactly (almost) unbiased autocovariance estimators
published 2018 · Economics Letters · 4 citations
with Jingjing Yang
Fixed-b Inference for Testing Structural Change in a Time Series Regression
published 2016 · Econometrics · 14 citations
with Cheol-Keun Cho
Estimation and Inference of Linear Trend Slope Ratios With an Application to Global Temperature Data
published 2016 · Journal of Time Series Analysis · 6 citations
with Nasreen Nawaz
Exactly/Nearly Unbiased Estimation of Autocovariances of a Univariate Time Series With Unknown Mean
published 2016 · Journal of Time Series Analysis · 14 citations
with Jingjing Yang
Indirect Aerosol Effect Increases CMIP5 Models’ Projected Arctic Warming
published 2015 · Journal of Climate · 30 citations
with Petr Chýlek, James D. Klett, Nicolas Hengartner, Dave Higdon, Glen Lesins, Manvendra K. Dubey
Nonparametric rank tests for non-stationary panels
published 2014 · Journal of Econometrics · 1 citations
FIXED-b ASYMPTOTICS FOR SPATIALLY DEPENDENT ROBUST NONPARAMETRIC COVARIANCE MATRIX ESTIMATORS
published 2014 · Econometric Theory · 59 citations
Comment
published 2014 · Journal of Business and Economic Statistics · 1 citations
Integrated modified OLS estimation and fixed-inference for cointegrating regressions
published 2013 · Journal of Econometrics · 52 citations · first circulated 2011
with Martin Wagner
A FIXED-b PERSPECTIVE ON THE PHILLIPS–PERRON UNIT ROOT TESTS
published 2012 · Econometric Theory · 26 citations · first circulated 2011
with Martin Wagner
Heteroskedasticity, autocorrelation, and spatial correlation robust inference in linear panel models with fixed-effects
published 2011 · Journal of Econometrics · 220 citations
Fixed‐ b analysis of LM‐type tests for a shift in mean
published 2011 · Econometrics Journal · 13 citations
with Jingjing Yang
SPECIAL ISSUE OF ECONOMETRIC THEORY ON BOOTSTRAP AND NUMERICAL METHODS IN TIME SERIES: GUEST EDITORS’ INTRODUCTION
published 2011 · Econometric Theory
TESTING FOR A SHIFT IN TREND AT AN UNKNOWN DATE: A FIXED-B ANALYSIS OF HETEROSKEDASTICITY AUTOCORRELATION ROBUST OLS-BASED TESTS
published 2011 · Econometric Theory · 24 citations
with Özgen Sayginsoy
BLOCK BOOTSTRAP HAC ROBUST TESTS: THE SOPHISTICATION OF THE NAIVE BOOTSTRAP
published 2011 · Econometric Theory · 76 citations
The KPSS Test Using Fixed-b Critical Values: Size and Power in Highly Autocorrelated Time Series
published 2009 · Journal of Time Series Econometrics · 11 citations
with Christine Amsler, Peter Schmidt
Interdecadal Trend and ENSO-Related Interannual Variability in Southern Hemisphere Blocking
published 2008 · Journal of Climate · 10 citations
with Li Dong, Stephen J. Colucci
Fixed‐ b asymptotic approximation of the sampling behaviour of nonparametric spectral density estimators
published 2007 · Journal of Time Series Analysis · 39 citations · first circulated 2006
Projection Bias in Catalog Orders
published 2007 · American Economic Review · 263 citations
with Michael Conlin, Ted O’Donoghue
Nonmonotonic power for tests of a mean shift in a time series
published 2007 · Journal of Statistical Computation and Simulation · 46 citations · first circulated 2001
with Ciprian M. Crainiceanu, Ciprian Crainiceanu
A NEW ASYMPTOTIC THEORY FOR HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTS
published 2005 · Econometric Theory · 443 citations
with Nicholas M. Kiefer
Powerful Trend Function Tests That Are Robust to Strong Serial Correlation, With an Application to the Prebisch–Singer Hypothesis
published 2005 · Journal of Business and Economic Statistics · 124 citations · first circulated 2003
with Helle Bunzel
Testing for common deterministic trend slopes
published 2004 · Journal of Econometrics · 47 citations · first circulated 2001
with Philip Hans Franses
HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTING USING BANDWIDTH EQUAL TO SAMPLE SIZE
published 2002 · Econometric Theory · 168 citations
with Nicholas M. Kiefer
Heteroskedasticity-Autocorrelation Robust Standard Errors Using The Bartlett Kernel Without Truncation
published 2002 · Econometrica · 261 citations
with Nicholas M. Kiefer
Asymptotic Theory for Econometricians
published 2002 · Journal of the American Statistical Association · 237 citations
Forecasting autoregressive time series in the presence of deterministic components
published 2002 · Econometrics Journal · 14 citations · first circulated 1999
Simulation-Based Inference in Econometrics
published 2002 · Journal of the American Statistical Association · 1 citations
Statistics in Plain English
published 2002 · The American Statistician · 8 citations
Are U.S. regions converging? Using new econometric methods to examine old issues
published 2002 · Empirical Economics · 92 citations
with Marc Tomljanovich
ANALYSIS OF VECTOR AUTOREGRESSIONS IN THE PRESENCE OF SHIFTS IN MEAN
published 2002 · Econometric Reviews · 31 citations · first circulated 1997
The Application of Size-Robust Trend Statistics to Global-Warming Temperature Series
published 2002 · Journal of Climate · 78 citations · first circulated 2000
with Thomas B. Fomby
Asymptotic Theory for Econometricians (rev. ed.)
published 2002 · Quarterly Publications of the American Statistical Association · 1 citations
no link
Asymptotic Theory for Econometricians (Book)
published 2002 · Quarterly Publications of the American Statistical Association
no link
Simple Robust Testing of Hypotheses in Nonlinear Models
published 2001 · Journal of the American Statistical Association · 43 citations
with Helle Bunzel, Nicholas M. Kiefer
Unit Roots, Cointegration, and Structural Change
published 2001 · Journal of the American Statistical Association · 24 citations
Nonlinear Econometric Modeling in Time Series Analysis: Proceedings of the Eleventh International Symposium in Economic Theory
published 2001 · Journal of the American Statistical Association · 1 citations
Challenging Time Series: Limits to Knowledge, Inertia and Caprice
published 2001 · Journal of the American Statistical Association · 3 citations
Economic Forecasting
published 2001 · Journal of the American Statistical Association
A Simple Test of the Law of Demand for the United States
published 2000 · Econometrica · 6 citations
Simple Robust Testing of Regression Hypotheses
published 2000 · Econometrica · 284 citations
with Nicholas M. Kiefer, Helle Bunzel
Change and Involution in Sugar Production in Cultivation-System Java, 1840–1870
published 1999 · The Journal of Economic History · 3 citations
with Siddharth Chandra
Two Simple Procedures for Testing for a Unit Root When There are Additive Outliers
published 1999 · Journal of Time Series Analysis · 105 citations
Econometrics
published 1999 · Journal of the American Statistical Association
with Badi H. Baltagi
Sources of nonmonotonic power when testing for a shift in mean of a dynamic time series
published 1999 · Journal of Econometrics · 114 citations
Additional Tests for a Unit Root Allowing for a Break in the Trend Function at an Unknown Time
published 1998 · International Economic Review · 646 citations · first circulated 1994
On Seasonal Cycles, Unit Roots, and Mean Shifts
published 1998 · The Review of Economics and Statistics · 69 citations
with Philip Hans Franses
Trend Function Hypothesis Testing in the Presence of Serial Correlation
published 1998 · Econometrica · 321 citations
Testing for a Shift in Mean Without Having to Estimate Serial-Correlation Parameters
published 1998 · Journal of Business and Economic Statistics · 41 citations
Wald-Type Tests for Detecting Breaks in the Trend Function of a Dynamic Time Series
published 1997 · Econometric Theory · 215 citations
A Note on the Asymptotic Distributions of Unit Root Tests in the Additive Outlier Model With Breaks
published 1993 · Brazilian Review of Econometrics · 42 citations
Nonstationarity and Level Shifts With an Application to Purchasing Power Parity
published 1992 · Journal of Business and Economic Statistics · 1134 citations · first circulated 1991
Testing for a Unit Root in a Time Series With a Changing Mean: Corrections and Extensions
published 1990 · Journal of Business and Economic Statistics · 1093 citations
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