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Ignacio N. Lobato

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This is information that was supplied by Ignacio Lobato in registering through RePEc. If you are Ignacio N. Lobato , you may change this information at the RePEc Author Service. Or if you are not registered and would like to be listed as well, register at the RePEc Author Service. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

Personal Details

First Name: Ignacio
Middle Name: N.
Last Name: Lobato
Suffix:

RePEc Short-ID: plo172

Email: [This author has chosen not to make the email address public]
Homepage: http://cie.itam.mx/investigacion/cie_invest.html#lobato
Postal Address:
Phone:

Affiliation

Centro de Investigación Económica (CIE)
Departamento Académico de Economía
Instituto Tecnólogico Autónomo de México (ITAM)
Location: México, Mexico
Homepage: http://cie.itam.mx/
Email:
Phone: +525 628 4197
Fax: +525 628 4058
Postal: Camino a Sta. Teresa 930, Mexico, D.F. 10700
Handle: RePEc:edi:ciitamx (more details at EDIRC)

Works

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Working papers

  1. Manuel Dominguez & Ignacio Lobato, 2010. "Consistent Inference in Models Defined by COnditional Moment Restrictions: an Alternative to GMM," Working Papers 1005, Centro de Investigacion Economica, ITAM.
  2. Shurojit Chatterji & Ignacio Lobato, 2007. "Transformations of the State Variable and Learning Dynamics," Working Papers 0708, Centro de Investigacion Economica, ITAM.
  3. Manuel A. Domínguez & Ignacio N. Lobato, 2006. "A Consistent Specification Test For Models Defined By Conditional Moment Restrictions," Economics Working Papers we064111, Universidad Carlos III, Departamento de Economía.
  4. Ignacio N. Lobato & Carlos Velasco, 2005. "Efficient Wald Tests For Fractional Unit Roots," Economics Working Papers we056935, Universidad Carlos III, Departamento de Economía.
  5. Carlos Velasco & Ignacio N. Lobato, 2004. "A simple and general test for white noise," Econometric Society 2004 Latin American Meetings 112, Econometric Society.
  6. Ignacio N. Lobato & Carlos Velasco, 2004. "Optimal Fractional Dickey-Fuller Tests for Unit Roots," Working Papers 0401, Centro de Investigacion Economica, ITAM.
  7. Ignacio Lobato & Sangeeta Pratap & Alejandro Somuano, 2004. "Debt Composition and Balance Sheet Effects of Exchange Rate Volatility in Mexico: A Firm Level Analysis," Working Papers 0405, Centro de Investigacion Economica, ITAM.
  8. Manuel A. Dominguez & Ignacio N. Lobato, 2001. "A Consistent Test for the Martingale Difference Hypothesis," Working Papers 0101, Centro de Investigacion Economica, ITAM.
  9. Manuel A. Dominguez & Ignacio N. Lobato, 2001. "Size Corrected Power for Bootstrap Tests," Working Papers 0102, Centro de Investigacion Economica, ITAM.
  10. Ignacio N. Lobato, 2000. "A Consistent Test for the Martingale Difference Assumption," Econometric Society World Congress 2000 Contributed Papers 0278, Econometric Society.
  11. Lobato, I.N. & Nankervis, John C. & Savin, N.E., 1999. "A Robust Test For Autocorrelation in the Presence of Statistical Dependence," Working Papers 99-07, University of Iowa, Department of Economics.
  12. Ignacio Lobato & Peter M Robinson, 1997. "A Nonparametric Test for I(0) - (Now published in 'Review of Economic Studies', 65 (1998), pp.475-495.)," STICERD - Econometrics Paper Series /1997/342, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  13. Nankervis, J.C. & Savin, N.E. & Lobato, I., 1997. "Testing that Stock Returns Are Uncorrelated Using A General Box-Pierce Q Test," Working Papers 97-14, University of Iowa, Department of Economics.
  14. Lobato, I.N. & Savin, N.E., 1996. "Real and Spurious Long Memory Properties of Stock Market Data," Working Papers 96-07, University of Iowa, Department of Economics.
  15. Ignacio N. Lobato & Patrick P. Walsh, 1994. "Cartel Stability and the Joint Executive Committee, 1880-1886," Economics Technical Papers 941, Trinity College Dublin, Department of Economics.

Articles

  1. Juan Carlos Escanciano & Ignacio N. Lobato & Lin Zhu, 2013. "Automatic Specification Testing for Vector Autoregressions and Multivariate Nonlinear Time Series Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 31(4), pages 426-437, October.
  2. Shurojit Chatterji & Ignacio N. Lobato, 2010. "Transformations of the state variable and learning dynamics," International Journal of Economic Theory, The International Society for Economic Theory, vol. 6(4), pages 385-403.
  3. Escanciano, J. Carlos & Lobato, Ignacio N., 2009. "An automatic Portmanteau test for serial correlation," Journal of Econometrics, Elsevier, vol. 151(2), pages 140-149, August.
  4. Lobato, Ignacio N. & Velasco, Carlos, 2008. "Power comparison among tests for fractional unit roots," Economics Letters, Elsevier, vol. 99(1), pages 152-154, April.
  5. Ignacio N Lobato & Carlos Velasco, 2007. "Efficient Wald Tests for Fractional Unit Roots," Econometrica, Econometric Society, vol. 75(2), pages 575-589, 03.
  6. Ignacio N. Lobato & Carlos Velasco, 2006. "Optimal Fractional Dickey-Fuller tests," Econometrics Journal, Royal Economic Society, vol. 9(3), pages 492-510, November.
  7. Horowitz, Joel L. & Lobato, I.N. & Nankervis, John C. & Savin, N.E., 2006. "Bootstrapping the Box-Pierce Q test: A robust test of uncorrelatedness," Journal of Econometrics, Elsevier, vol. 133(2), pages 841-862, August.
  8. Lobato, Ignacio N. & Velasco, Carlos, 2004. "A Simple Test Of Normality For Time Series," Econometric Theory, Cambridge University Press, vol. 20(04), pages 671-689, August.
  9. Manuel A. Domínguez & Ignacio N. Lobato, 2004. "Consistent Estimation of Models Defined by Conditional Moment Restrictions," Econometrica, Econometric Society, vol. 72(5), pages 1601-1615, 09.
  10. Manuel Dominguez & Ignacio Lobato, 2003. "Testing the Martingale Difference Hypothesis," Econometric Reviews, Taylor & Francis Journals, vol. 22(4), pages 351-377.
  11. Lobato, Ignacio N, 2003. "Testing for Nonlinear Autoregression," Journal of Business & Economic Statistics, American Statistical Association, vol. 21(1), pages 164-73, January.
  12. Pratap, Sangeeta & Lobato, Ignacio & Somuano, Alejandro, 2003. "Debt composition and balance sheet effects of exchange rate volatility in Mexico: a firm level analysis," Emerging Markets Review, Elsevier, vol. 4(4), pages 450-471, December.
  13. Lobato, I.N. & Nankervis, John C. & Savin, N.E., 2002. "Testing For Zero Autocorrelation In The Presence Of Statistical Dependence," Econometric Theory, Cambridge University Press, vol. 18(03), pages 730-743, June.
  14. Lobato I. N., 2001. "Testing That a Dependent Process Is Uncorrelated," Journal of the American Statistical Association, American Statistical Association, vol. 96, pages 1066-1076, September.
  15. Lobato, Ignacio & Nankervis, John C & Savin, N E, 2001. "Testing for Autocorrelation Using a Modified Box-Pierce Q Test," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 42(1), pages 187-205, February.
  16. Lobato, Ignacio N & Velasco, Carlos, 2000. "Long Memory in Stock-Market Trading Volume," Journal of Business & Economic Statistics, American Statistical Association, vol. 18(4), pages 410-27, October.
  17. Lobato, Ignacio N., 1999. "A semiparametric two-step estimator in a multivariate long memory model," Journal of Econometrics, Elsevier, vol. 90(1), pages 129-153, May.
  18. Lobato, Ignacio N & Savin, N E, 1998. "Real and Spurious Long-Memory Properties of Stock-Market Data," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(3), pages 261-68, July.
  19. Lobato, Ignacio N & Robinson, Peter M, 1998. "A Nonparametric Test for I(0)," Review of Economic Studies, Wiley Blackwell, vol. 65(3), pages 475-95, July.
  20. Lobato, Ignacio N & Savin, N E, 1998. "Real and Spurious Long-Memory Properties of Stock-Market Data: Reply," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(3), pages 280-83, July.
  21. Ignacio N. Lobato, 1997. "Semiparametric estimation of seasonal long memory models: theory and an application to the modeling of exchange rates," Investigaciones Economicas, Fundación SEPI, vol. 21(2), pages 273-296, May.
  22. Lobato, I. & Robinson, P. M., 1996. "Averaged periodogram estimation of long memory," Journal of Econometrics, Elsevier, vol. 73(1), pages 303-324, July.

NEP Fields

5 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-ECM: Econometrics (3) 2004-10-30 2006-01-26 2006-07-11. Author is listed
  2. NEP-ETS: Econometric Time Series (2) 2004-10-30 2006-02-03. Author is listed
  3. NEP-SEA: South East Asia (1) 2009-03-14

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