igor.kheifets (at)
Campus Santa Teresa
Av. Camino a Santa Teresa #930
Col. Heroes de Padierna
CP. 10700. Magdalena Contreras,
Ciudad de Mexico
Phone: 00 52 55 56 28 4000 (ext. 4197)
Igor Kheifets
Assistant Professor

Econometrics, Macroeconometrics and Financial Econometrics.

Igor's photo


arXiv, RePEc

Work in progress
  1. Igor Kheifets & Peter Phillips, 2019. "Fully Modified Least Square for Multicointegrated Systems." Cowles Foundation Discussion Paper No. 2210, In media: svoi5kopeek (in Russian)
  2. Igor Kheifets & Peter Phillips, 2019. "Reduced Rank Regression under weak dependence."
  3. Peter Phillips & Igor Kheifets, 2019. "On Multicointegration."
  4. Carlos Velasco & Igor Kheifets, 2019. "Model evaluation of the Fed monetary rules."
  1. Igor Kheifets & Pentti Saikkonen, 2019. "Stationarity and ergodicity of vector STAR models," Accepted to Econometric Reviews DOI, pdf(arXiv)
  2. Igor Kheifets, 2018. "Multivariate Specification Tests Based on the Dynamic Rosenblatt Transform." Computational Statistics & Data Analysis 124, 1-14. DOI, pdf(arXiv)
  3. Igor Kheifets & Carlos Velasco, 2017. "New Goodness-of-fit Diagnostics for Dynamic Discrete Response Models," Journal of Econometrics 200, 135-149. DOI, pdf(arXiv)
  4. Igor Kheifets, 2015. "Specification Tests for Nonlinear Time Series Models," The Econometrics Journal 18, 67-94. DOI, Wiley(Free Access), pdf(arXiv), C/Matlab code Denis Sargan Econometrics Prize
  5. Igor Kheifets & Carlos Velasco, 2013. "Model Adequacy Checks for Discrete Choice Dynamic Models," in Recent Advances and Future Directions in Causality, Prediction, and Specification Analysis Essays in Honor of Halbert L. White Jr. Chen, Xiaohong; Swanson, Norman R. (Eds.), 363-382. DOI, pdf(arXiv), C/Matlab code
  6. Igor Kheifets, 2011. "Goodness-of-fit testing," Quantile 9, 25-34, July (in Russian). pdf(Quantile)


Courses at ITAM Courses at New Economic School, Master of Arts in Economics Courses at Higher School of Economics