Details about Yongcheol Shin

Workplace:

Department of Economics and Related Studies, University of York, (more information at EDIRC)

Access statistics for papers by Yongcheol Shin.

Last updated 2024-05-06. Update your information in the RePEc Author Service.

Short-id: psh557

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Working Papers

2023

1. Dynamic Quantile Panel Data Models with Interactive Effects
   Economics Discussion Papers, Department of Economics, University of Reading
2. Reflections on "Testing for Unit Roots in Heterogeneous Panels"
   Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (1)
   Also in CESifo Working Paper Series, CESifo (2023) View citations (1)
3. Regional Productivity Network in the EU
   CESifo Working Paper Series, CESifo
4. The Asymmetric Response of Dividends to Earnings News
   Working papers, Yonsei University, Yonsei Economics Research Institute View citations (2)
   See also Journal Article The asymmetric response of dividends to earnings news, Finance Research Letters, Elsevier (2023) View citations (2) (2023)

2021

5. Dynamic Network Quantile Regression Model
   Papers, arXiv.org View citations (1)
   See also Journal Article Dynamic Network Quantile Regression Model, Journal of Business & Economic Statistics, Taylor & Francis Journals (2024) View citations (1) (2024)
6. Recent Developments of the Autoregressive Distributed Lag Modelling Framework
   Working papers, Yonsei University, Yonsei Economics Research Institute View citations (11)
   See also Journal Article Recent developments of the autoregressive distributed lag modelling framework, Journal of Economic Surveys, Wiley Blackwell (2023) View citations (9) (2023)

2020

7. Canonical Correlation-based Model Selection for the Multilevel Factors
   Working Papers, Nam Duck-Woo Economic Research Institute, Sogang University (Former Research Institute for Market Economy)
   See also Journal Article Canonical correlation-based model selection for the multilevel factors, Journal of Econometrics, Elsevier (2023) View citations (1) (2023)
8. Dynamic Spatial Network Quantile Autoregression
   IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" View citations (1)
9. Estimation and Inference in Heterogeneous Spatial Panel Data Models with a Multifactor Error Structure
   Discussion Papers, Department of Economics, University of York View citations (1)
10. Online Appendix for Canonical Correlation-based Model Selection for the Multilevel Factors
    Working Papers, Nam Duck-Woo Economic Research Institute, Sogang University (Former Research Institute for Market Economy)
11. Spatial Attendance Spillover in the European Football Leagues
    Working Papers, Nam Duck-Woo Economic Research Institute, Sogang University (Former Research Institute for Market Economy)

2019

12. Estimation and Inference for Multi-dimensional Heterogeneous Panel Datasets with Hierarchical Multi-factor Error Structure
    SERIES, Dipartimento di Economia e Finanza - Università degli Studi di Bari "Aldo Moro"
    See also Journal Article Estimation and inference for multi-dimensional heterogeneous panel datasets with hierarchical multi-factor error structure, Journal of Econometrics, Elsevier (2021) View citations (8) (2021)
13. Testing for Correlated Factor Loadings in Cross Sectionally Dependent Panels
    SERIES, Dipartimento di Economia e Finanza - Università degli Studi di Bari "Aldo Moro" View citations (2)
14. Two-Step Estimation of the Nonlinear Autoregressive Distributed Lag Model
    Working papers, Yonsei University, Yonsei Economics Research Institute View citations (3)

2017

15. What’s Mine Is Yours: Sovereign Risk Transmission during the European Debt Crisis
    Melbourne Institute Working Paper Series, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne View citations (6)

2014

16. Dynamic Panels with Threshold Effect and Endogeneity
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE View citations (9)
    See also Journal Article Dynamic panels with threshold effect and endogeneity, Journal of Econometrics, Elsevier (2016) View citations (213) (2016)
17. Mapping Korea's International Linkages using Generalised Connectedness Measures
    Working Papers, Economic Research Institute, Bank of Korea View citations (3)
18. Quantifying Informational Linkages in a Global Model of Currency Spot Markets
    Melbourne Institute Working Paper Series, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne View citations (2)
19. Quantile Cointegration in the Autoregressive Distributed-Lag Modelling Framework
    Working papers, Yonsei University, Yonsei Economics Research Institute View citations (1)
    See also Journal Article Quantile cointegration in the autoregressive distributed-lag modeling framework, Journal of Econometrics, Elsevier (2015) View citations (172) (2015)

2012

20. A Nonlinear Panel Data Model of Cross-Sectional Dependence
    Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester View citations (1)
    See also Journal Article A nonlinear panel data model of cross-sectional dependence, Journal of Econometrics, Elsevier (2014) View citations (18) (2014)
21. Globalisation and Technological Convergence in the EU
    SERIES, Dipartimento di Economia e Finanza - Università degli Studi di Bari "Aldo Moro" View citations (1)
    See also Journal Article Globalisation and technological convergence in the EU, Journal of Productivity Analysis, Springer (2013) View citations (21) (2013)
22. International Linkages of the Korean Economy: The Global Vector Error-Correcting Macroeconometric Modelling Approach
    Melbourne Institute Working Paper Series, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne View citations (6)

2011

23. Asymmetric Price Impacts of Order Flow on Exchange Rate Dynamics
    Melbourne Institute Working Paper Series, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne View citations (3)
24. TIs Globalization Driving Efficiency? A Threshold Stochastic Frontier Panel Data Modelling Approach
    SERIES, Dipartimento di Economia e Finanza - Università degli Studi di Bari "Aldo Moro"
    See also Journal Article Is Globalization Driving Efficiency? A Threshold Stochastic Frontier Panel Data Modeling Approach, Review of International Economics, Wiley Blackwell (2012) View citations (1) (2012)

2010

25. A Nonlinear Panel Model of Cross-sectional Dependence
    Working Papers, Queen Mary University of London, School of Economics and Finance
26. Shifting Preferences at the Fed: Evidence from Rolling Dynamic Multipliers and Impulse Response Analysis
    IMK Working Paper, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute View citations (2)
27. The Great Moderation and the Decoupling of Monetary Policy from Long-Term Rates in the U.S. and Germany
    IMK Working Paper, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute View citations (6)

2004

28. Gravity Models of the Intra-EU Trade: Application of the Hausman-Taylor Estimation in Heterogeneous Panels with Common Time-specific Factors
    Econometric Society 2004 Far Eastern Meetings, Econometric Society View citations (28)
    Also in Edinburgh School of Economics Discussion Paper Series, Edinburgh School of Economics, University of Edinburgh (2004) View citations (28)
29. Testing for nonlinear cointegration between stock prices and dividends
    Money Macro and Finance (MMF) Research Group Conference 2003, Money Macro and Finance Research Group

2003

30. GLS Detrending-Based Unit Root Tests in Nonlinear STAR and SETAR Frameworks
    Edinburgh School of Economics Discussion Paper Series, Edinburgh School of Economics, University of Edinburgh View citations (2)
31. Testing for Cointegration in Nonlinear STAR Error Correction Models
    Working Papers, Queen Mary University of London, School of Economics and Finance View citations (12)
32. Testing for Nonstationary Long Memory against Nonlinear Ergodic Models
    Working Papers, Queen Mary University of London, School of Economics and Finance View citations (6)
33. Trade, Technology and Wage Inequality in the South African Manufacturing Sectors
    Edinburgh School of Economics Discussion Paper Series, Edinburgh School of Economics, University of Edinburgh View citations (7)
34. Unit Root Tests in Three-Regime SETAR Models
    Edinburgh School of Economics Discussion Paper Series, Edinburgh School of Economics, University of Edinburgh View citations (7)
    Also in Working Papers, Queen Mary University of London, School of Economics and Finance (2002) View citations (17)
    See also Journal Article Unit root tests in three-regime SETAR models, Econometrics Journal, Royal Economic Society (2006) View citations (58) (2006)

2002

35. A Panel Data Approach to Testing Anomaly Effects in Factor Pricing Models
    Edinburgh School of Economics Discussion Paper Series, Edinburgh School of Economics, University of Edinburgh View citations (1)
    Also in Royal Economic Society Annual Conference 2002, Royal Economic Society (2002) View citations (2)
36. Forecast Uncertainties In Macroeconometric Modelling: An Application to the UK Economy
    Royal Economic Society Annual Conference 2002, Royal Economic Society View citations (61)
    Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2000) View citations (22)
37. GLS Detrending for Nonlinear Unit Root Tests
    Working Papers, Queen Mary University of London, School of Economics and Finance View citations (1)
38. Mean Group Tests for Stationarity in Heterogeneous Panels
    Edinburgh School of Economics Discussion Paper Series, Edinburgh School of Economics, University of Edinburgh View citations (3)
    See also Journal Article Mean group tests for stationarity in heterogeneous panels, Econometrics Journal, Royal Economic Society (2006) View citations (16) (2006)

2001

39. A long run structural macroeconometric model of the UK
    Edinburgh School of Economics Discussion Paper Series, Edinburgh School of Economics, University of Edinburgh View citations (30)
    Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (1998) View citations (10)
    See also Journal Article A Long run structural macroeconometric model of the UK, Economic Journal, Royal Economic Society (2003) View citations (118) (2003)
40. Forecast Uncertainties in Macroeconomics Modelling: An Application to the UK Economy
    Edinburgh School of Economics Discussion Paper Series, Edinburgh School of Economics, University of Edinburgh View citations (8)
    See also Journal Article Forecast Uncertainties in Macroeconomic Modeling: An Application to the U.K. Economy, Journal of the American Statistical Association, American Statistical Association (2003) View citations (62) (2003)

2000

41. Forecast Uncertainties in Macroeconometric Models: An Application to the UK Economy
    Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester View citations (3)
42. Testing for a Linear Unit Root against Nonlinear Threshold Stationarity
    Edinburgh School of Economics Discussion Paper Series, Edinburgh School of Economics, University of Edinburgh View citations (2)
43. Testing for a Unit Root against Nonlinear STAR Models
    Edinburgh School of Economics Discussion Paper Series, Edinburgh School of Economics, University of Edinburgh View citations (3)
    Also in National Institute of Economic and Social Research (NIESR) Discussion Papers, National Institute of Economic and Social Research (2000) View citations (113)

1999

44. A long run structural macroeconometric model of the UK (first version)
    Edinburgh School of Economics Discussion Paper Series, Edinburgh School of Economics, University of Edinburgh View citations (3)
45. Bounds Testing Approaches to the Analysis of Long Run Relationships
    Edinburgh School of Economics Discussion Paper Series, Edinburgh School of Economics, University of Edinburgh View citations (91)
    Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (1999) View citations (87)
46. Long-Run Structural Modelling
    Edinburgh School of Economics Discussion Paper Series, Edinburgh School of Economics, University of Edinburgh View citations (12)
    Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (1995) View citations (65)
    See also Journal Article LONG-RUN STRUCTURAL MODELLING, Econometric Reviews, Taylor & Francis Journals (2002) View citations (118) (2002)
47. Structural analysis of vector error correction models with exogenous I(1) variables
    Edinburgh School of Economics Discussion Paper Series, Edinburgh School of Economics, University of Edinburgh View citations (11)
    Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (1997) View citations (64)
    Edinburgh School of Economics Discussion Paper Series, Edinburgh School of Economics, University of Edinburgh (1997) View citations (17)
    See also Journal Article Structural analysis of vector error correction models with exogenous I(1) variables, Journal of Econometrics, Elsevier (2000) View citations (451) (2000)
48. Testing for Stationarity in Heterogeneous Panels with Serially Correlated Errors
    Edinburgh School of Economics Discussion Paper Series, Edinburgh School of Economics, University of Edinburgh View citations (2)
49. Trade and Labor usage: An examination of the Stolper-Samuelson theorem for the South African manufacturing industry
    Edinburgh School of Economics Discussion Paper Series, Edinburgh School of Economics, University of Edinburgh View citations (2)

1998

50. A Structural Cointegrating VAR Approach to Macroeconometric Modelling
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (21)
    Also in Edinburgh School of Economics Discussion Paper Series, Edinburgh School of Economics, University of Edinburgh (1998) View citations (10)
51. Pooled Mean Group Estimation of Dynamic Heterogeneous Panels
    Edinburgh School of Economics Discussion Paper Series, Edinburgh School of Economics, University of Edinburgh View citations (109)

1997

52. Generalised Impulse Response Analysis in Linear Multivariate Models
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (65)
    See also Journal Article Generalized impulse response analysis in linear multivariate models, Economics Letters, Elsevier (1998) View citations (3095) (1998)
53. Pooled Estimation of Long-run Relationships in Dynamic Heterogeneous Panels
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (103)

1996

54. Forecasting Single and Multiple Hazards: The Use of the Weibull Distribution with Application to Arrears Mortgages Facing Repossession Risks
    Archive Working Papers, Birkbeck, Department of Economics, Mathematics & Statistics View citations (2)
55. Testing for the 'Existence of a Long-run Relationship'
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (265)

1995

56. An Autoregressive Distributed Lag Modelling Approach to Cointegration Analysis
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (357)
57. Testing for Unit Roots in Heterogeneous Panels
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (312)
    See also Journal Article Testing for unit roots in heterogeneous panels, Journal of Econometrics, Elsevier (2003) View citations (6704) (2003)

1993

58. Cointegration and Speed of Convergence to Equilibrium
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (4)
    See also Journal Article Cointegration and speed of convergence to equilibrium, Journal of Econometrics, Elsevier (1996) View citations (317) (1996)

Journal Articles

2024

1. An LM Test for the Conditional Independence between Regressors and Factor Loadings in Panel Data Models with Interactive Effects
   Journal of Business & Economic Statistics, 2024, 42, (2), 743-761
2. Dynamic Network Quantile Regression Model
   Journal of Business & Economic Statistics, 2024, 42, (2), 407-421 View citations (1)
   See also Working Paper Dynamic Network Quantile Regression Model, Papers (2021) View citations (1) (2021)

2023

3. Canonical correlation-based model selection for the multilevel factors
   Journal of Econometrics, 2023, 233, (1), 22-44 View citations (1)
   See also Working Paper Canonical Correlation-based Model Selection for the Multilevel Factors, Working Papers (2020) (2020)
4. Recent developments of the autoregressive distributed lag modelling framework
   Journal of Economic Surveys, 2023, 37, (1), 7-32 View citations (9)
   See also Working Paper Recent Developments of the Autoregressive Distributed Lag Modelling Framework, Working papers (2021) View citations (11) (2021)
5. Reprint of: Testing for unit roots in heterogeneous panels
   Journal of Econometrics, 2023, 234, (S), 56-69
6. Testing for correlation between the regressors and factor loadings in heterogeneous panels with interactive effects
   Empirical Economics, 2023, 64, (6), 2611-2659 View citations (1)
7. The asymmetric response of dividends to earnings news
   Finance Research Letters, 2023, 54, (C) View citations (2)
   See also Working Paper The Asymmetric Response of Dividends to Earnings News, Working papers (2023) View citations (2) (2023)
8. What is mine is yours: Sovereign risk transmission during the European debt crisis
   Journal of Financial Stability, 2023, 65, (C) View citations (7)

2022

9. Estimation and inference in heterogeneous spatial panels with a multifactor error structure
   Journal of Econometrics, 2022, 229, (1), 55-79 View citations (5)
10. Nonlinear limits to arbitrage
    Journal of Futures Markets, 2022, 42, (6), 1084-1113
11. Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks
    Management Science, 2022, 68, (4), 2401-2431 View citations (212)

2021

12. Estimation and inference for multi-dimensional heterogeneous panel datasets with hierarchical multi-factor error structure
    Journal of Econometrics, 2021, 220, (2), 504-531 View citations (8)
    See also Working Paper Estimation and Inference for Multi-dimensional Heterogeneous Panel Datasets with Hierarchical Multi-factor Error Structure, SERIES (2019) (2019)
13. Gravity models of interprovincial migration flows in Canada with hierarchical multifactor structure
    Empirical Economics, 2021, 60, (1), 365-390 View citations (6)
14. Measuring the Connectedness of the Global Economy
    International Journal of Forecasting, 2021, 37, (2), 899-919 View citations (33)

2018

15. Noise Momentum Around the World
    Abacus, 2018, 54, (1), 79-104 View citations (3)
16. Testing for Unit Roots in Dynamic Panels with Smooth Breaks and Cross-Sectionally Dependent Errors
    Computational Economics, 2018, 52, (1), 167-193 View citations (12)
17. The Effects of Oil Price on the Korean Economy: A Global VAR Approach
    Emerging Markets Finance and Trade, 2018, 54, (5), 981-991 View citations (2)

2017

18. Exploring international linkages using generalised connectedness measures: The case of Korea
    International Review of Economics & Finance, 2017, 50, (C), 49-64 View citations (1)

2016

19. Dynamic panels with threshold effect and endogeneity
    Journal of Econometrics, 2016, 195, (2), 169-186 View citations (213)
    See also Working Paper Dynamic Panels with Threshold Effect and Endogeneity, STICERD - Econometrics Paper Series (2014) View citations (9) (2014)
20. Forecasting distributions of inflation rates: the functional auto-regressive approach
    Journal of the Royal Statistical Society Series A, 2016, 179, (1), 65-102 View citations (5)
21. Modelling Technical Efficiency in Cross Sectionally Dependent Stochastic Frontier Panels
    Journal of Applied Econometrics, 2016, 31, (1), 281-297 View citations (26)

2015

22. In search of robust methods for dynamic panel data models in empirical corporate finance
    Journal of Banking & Finance, 2015, 53, (C), 84-98 View citations (54)
23. Quantile cointegration in the autoregressive distributed-lag modeling framework
    Journal of Econometrics, 2015, 188, (1), 281-300 View citations (172)
    See also Working Paper Quantile Cointegration in the Autoregressive Distributed-Lag Modelling Framework, Working papers (2014) View citations (1) (2014)

2014

24. A nonlinear panel data model of cross-sectional dependence
    Journal of Econometrics, 2014, 179, (2), 134-157 View citations (18)
    See also Working Paper A Nonlinear Panel Data Model of Cross-Sectional Dependence, Discussion Papers in Economics (2012) View citations (1) (2012)
25. Asymmetric adjustment toward optimal capital structure: Evidence from a crisis
    International Review of Financial Analysis, 2014, 33, (C), 226-242 View citations (38)

2013

26. Globalisation and technological convergence in the EU
    Journal of Productivity Analysis, 2013, 40, (1), 15-29 View citations (21)
    See also Working Paper Globalisation and Technological Convergence in the EU, SERIES (2012) View citations (1) (2012)
27. On the Asymmetric U-Shaped Relationship between Inflation, Inflation Uncertainty, and Relative Price Skewness in the UK
    Journal of Money, Credit and Banking, 2013, 45, (7), 1431-1449 View citations (3)
    Also in Journal of Money, Credit and Banking, 2013, 45, (7), 1431-1449 (2013) View citations (1)
28. Taxation and the asymmetric adjustment of selected retail energy prices in the UK
    Economics Letters, 2013, 121, (3), 411-416 View citations (61)

2012

29. Asymmetric capital structure adjustments: New evidence from dynamic panel threshold models
    Journal of Empirical Finance, 2012, 19, (4), 465-482 View citations (89)
30. Is Globalization Driving Efficiency? A Threshold Stochastic Frontier Panel Data Modeling Approach
    Review of International Economics, 2012, 20, (3), 563-579 View citations (1)
    See also Working Paper TIs Globalization Driving Efficiency? A Threshold Stochastic Frontier Panel Data Modelling Approach, SERIES (2011) (2011)
31. Probabilistic forecasting of output growth, inflation and the balance of trade in a GVAR framework
    Journal of Applied Econometrics, 2012, 27, (4), 554-573 View citations (45)
32. Trade, Technology and the Labour Market: The Case of South Africa-super-
    Oxford Bulletin of Economics and Statistics, 2012, 74, (6), 808-830 View citations (3)

2011

33. Testing the Null Hypothesis of Nonstationary Long Memory Against the Alternative Hypothesis of a Nonlinear Ergodic Model
    Econometric Reviews, 2011, 30, (6), 620-645 View citations (9)

2008

34. GLS detrending-based unit root tests in nonlinear STAR and SETAR models
    Economics Letters, 2008, 100, (3), 377-380 View citations (27)
35. Optimal Test for Markov Switching GARCH Models
    Studies in Nonlinear Dynamics & Econometrics, 2008, 12, (3), 27 View citations (7)

2007

36. Comments on: Panel data analysis—advantages and challenges
    TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, 2007, 16, (1), 52-55 View citations (1)
37. Gravity models of intra-EU trade: application of the CCEP-HT estimation in heterogeneous panels with unobserved common time-specific factors
    Journal of Applied Econometrics, 2007, 22, (2), 361-381 View citations (83)

2006

38. Mean group tests for stationarity in heterogeneous panels
    Econometrics Journal, 2006, 9, (1), 123-158 View citations (16)
    See also Working Paper Mean Group Tests for Stationarity in Heterogeneous Panels, Edinburgh School of Economics Discussion Paper Series (2002) View citations (3) (2002)
39. TESTING FOR COINTEGRATION IN NONLINEAR SMOOTH TRANSITION ERROR CORRECTION MODELS
    Econometric Theory, 2006, 22, (2), 279-303 View citations (110)
40. Unit root tests in three-regime SETAR models
    Econometrics Journal, 2006, 9, (2), 252-278 View citations (58)
    See also Working Paper Unit Root Tests in Three-Regime SETAR Models, Edinburgh School of Economics Discussion Paper Series (2003) View citations (7) (2003)

2003

41. A Long run structural macroeconometric model of the UK
    Economic Journal, 2003, 113, (487), 412-455 View citations (118)
    See also Working Paper A long run structural macroeconometric model of the UK, Edinburgh School of Economics Discussion Paper Series (2001) View citations (30) (2001)
42. Forecast Uncertainties in Macroeconomic Modeling: An Application to the U.K. Economy
    Journal of the American Statistical Association, 2003, 98, 829-838 View citations (62)
    See also Working Paper Forecast Uncertainties in Macroeconomics Modelling: An Application to the UK Economy, Edinburgh School of Economics Discussion Paper Series (2001) View citations (8) (2001)
43. Testing for a unit root in the nonlinear STAR framework
    Journal of Econometrics, 2003, 112, (2), 359-379 View citations (903)
44. Testing for unit roots in heterogeneous panels
    Journal of Econometrics, 2003, 115, (1), 53-74 View citations (6704)
    See also Working Paper Testing for Unit Roots in Heterogeneous Panels, Cambridge Working Papers in Economics (1995) View citations (312) (1995)

2002

45. LONG-RUN STRUCTURAL MODELLING
    Econometric Reviews, 2002, 21, (1), 49-87 View citations (118)
    See also Working Paper Long-Run Structural Modelling, Edinburgh School of Economics Discussion Paper Series (1999) View citations (12) (1999)
46. Nonlinear mean reversion in real exchange rates
    Economics Letters, 2002, 77, (3), 411-417 View citations (53)

2001

47. Bounds testing approaches to the analysis of level relationships
    Journal of Applied Econometrics, 2001, 16, (3), 289-326 View citations (7256)

2000

48. Structural analysis of vector error correction models with exogenous I(1) variables
    Journal of Econometrics, 2000, 97, (2), 293-343 View citations (451)
    See also Working Paper Structural analysis of vector error correction models with exogenous I(1) variables, Edinburgh School of Economics Discussion Paper Series (1999) View citations (11) (1999)

1998

49. Generalized impulse response analysis in linear multivariate models
    Economics Letters, 1998, 58, (1), 17-29 View citations (3095)
    See also Working Paper Generalised Impulse Response Analysis in Linear Multivariate Models, Cambridge Working Papers in Economics (1997) View citations (65) (1997)

1997

50. A Parametric approach to testing the null of cointegration
    Journal of Time Series Analysis, 1997, 18, (4), 395-413 View citations (19)
51. On stationary tests in the presence of structural breaks
    Economics Letters, 1997, 55, (2), 165-172 View citations (35)

1996

52. Cointegration and speed of convergence to equilibrium
    Journal of Econometrics, 1996, 71, (1-2), 117-143 View citations (317)
    See also Working Paper Cointegration and Speed of Convergence to Equilibrium, Cambridge Working Papers in Economics (1993) View citations (4) (1993)

1994

53. A Residual-Based Test of the Null of Cointegration Against the Alternative of No Cointegration
    Econometric Theory, 1994, 10, (1), 91-115 View citations (300)

1992

54. Testing the null hypothesis of stationarity against the alternative of a unit root: How sure are we that economic time series have a unit root?
    Journal of Econometrics, 1992, 54, (1-3), 159-178 View citations (4287)
55. The KPSS stationarity test as a unit root test
    Economics Letters, 1992, 38, (4), 387-392 View citations (35)

Books

2012

1. Global and National Macroeconometric Modelling: A Long-Run Structural Approach
   OUP Catalogue, Oxford University Press View citations (27)
   Also in OUP Catalogue, Oxford University Press (2006) View citations (185)

Chapters

2016

1. Multilateral Resistance and the Euro Effects on Trade Flows
   Springer View citations (3)

2014

2. Testing for Cointegration in Markov Switching Error Correction Models
   A chapter in Essays in Honor of Peter C. B. Phillips, 2014, vol. 33, pp 123-150 View citations (2)