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Details about Robert Taylor

Homepage:http://privatewww.essex.ac.uk/~rtaylor
Workplace:Essex Business School, University of Essex, (more information at EDIRC)

Access statistics for papers by Robert Taylor.

Last updated 2017-02-07. Update your information in the RePEc Author Service.

Short-id: pta27


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Working Papers

2017

  1. Quasi-Maximum Likelihood Estimation and Bootstrap Inference in Fractional Time Series Models with Heteroskedasticity of Unknown Form
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads
    Also in Working Papers, Queen's University, Department of Economics (2016) Downloads View citations (2)
  2. Unit Root Tests and Heavy-Tailed Innovations
    Essex Finance Centre Working Papers, University of Essex, Essex Business School Downloads

2016

  1. Determining the Cointegration Rank in Heteroskedastic VAR Models of Unknown Order
    Essex Finance Centre Working Papers, University of Essex, Essex Business School Downloads
  2. Tests of the Co-integration Rank in VAR Models in the Presence of a Possible Break in Trend at an Unknown Point
    Essex Finance Centre Working Papers, University of Essex, Essex Business School Downloads
    See also Journal Article in Journal of Econometrics (2016)
  3. Unit root inference for non-stationary linear processes driven by infinite variance innovations
    Quaderni di Dipartimento, Department of Statistics, University of Bologna Downloads
  4. Wild Bootstrap Seasonal Unit Root Tests for Time Series with Periodic Non-Stationary Volatility
    Working Papers, Gaidar Institute for Economic Policy Downloads

2015

  1. A Bootstrap Stationarity Test for Predictive Regression Invalidity
    Essex Finance Centre Working Papers, University of Essex, Essex Business School Downloads
  2. Semi-Parametric Seasonal Unit Root Tests
    DEA Working Papers, Universitat de les Illes Balears, Departament d'Economía Aplicada Downloads View citations (1)
    Also in Essex Finance Centre Working Papers, University of Essex, Essex Business School (2015) Downloads View citations (1)
  3. Sieve-based inference for infinite-variance linear processes
    Quaderni di Dipartimento, Department of Statistics, University of Bologna Downloads

2014

  1. Bootstrap Score Tests for Fractional Integration in Heteroskedastic ARFIMA Models, with an Application to Price Dynamics in Commodity Spot and Futures Markets
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads
    Also in Working Papers, Queen's University, Department of Economics (2013) Downloads View citations (4)

    See also Journal Article in Journal of Econometrics (2015)

2013

  1. A comparison of sequential and information-based methods for determining the co-integration rank in heteroskedastic VAR models
    Quaderni di Dipartimento, Department of Statistics, University of Bologna Downloads
    See also Journal Article in Oxford Bulletin of Economics and Statistics (2015)
  2. Bootstrap Co-integration Rank Testing: The Effect of Bias-Correcting Parameter Estimates
    Working Papers, University of Mannheim, Department of Economics Downloads
    See also Journal Article in Oxford Bulletin of Economics and Statistics (2015)
  3. Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions
    Discussion Papers, University of Copenhagen. Department of Economics Downloads View citations (2)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2013) Downloads View citations (2)

    See also Journal Article in Journal of Econometrics (2016)
  4. On the Behaviour of Phillips-Perron Tests in the Presence of Persistent Cycles
    CEFAGE-UE Working Papers, University of Evora, CEFAGE-UE (Portugal) Downloads
    See also Journal Article in Oxford Bulletin of Economics and Statistics (2015)

2012

  1. Bootstrap Determination of the Co-integration Rank in Heteroskedastic VAR Models
    Discussion Papers, University of Copenhagen. Department of Economics Downloads View citations (7)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2012) Downloads View citations (5)

    See also Journal Article in Econometric Reviews (2014)
  2. Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
    Also in Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) (2011) Downloads View citations (1)

    See also Journal Article in Econometric Reviews (2015)
  3. The Performance of Lag Selection and Detrending Methods for HEGY Seasonal Unit Root Tests
    The School of Economics Discussion Paper Series, Economics, The University of Manchester Downloads
    See also Journal Article in Econometric Reviews (2016)

2011

  1. Bootstrap determination of the co-integration rank in VAR models
    Quaderni di Dipartimento, Department of Statistics, University of Bologna Downloads
  2. On Augmented HEGY Tests for Seasonal Unit Roots
    The School of Economics Discussion Paper Series, Economics, The University of Manchester Downloads
    See also Journal Article in Econometric Theory (2012)
  3. On the behaviour of fixed-b trend break tests under fractional integration
    Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics Downloads
    See also Journal Article in Econometric Theory (2013)
  4. Robust methods for detecting multiple level breaks in autocorrelated time series
    Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics Downloads
    Also in Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics (2010) Downloads View citations (15)

    See also Journal Article in Journal of Econometrics (2010)
  5. The Impact of Persistent Cycles on Zero Frequency Unit Root Tests
    Working Papers, Banco de Portugal, Economics and Research Department Downloads
    See also Journal Article in Econometric Theory (2013)
  6. Unit root testing under a local break in trend
    Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics Downloads
    Also in Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics (2010) Downloads

    See also Journal Article in Journal of Econometrics (2012)
  7. Wild bootstrap of the mean in the infinite variance case
    Quaderni di Dipartimento, Department of Statistics, University of Bologna Downloads

2010

  1. Bootstrap Sequential Determination of the Co-integration Rank in VAR Models
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (3)
    Also in Discussion Papers, University of Copenhagen. Department of Economics (2010) Downloads View citations (4)
  2. Bootstrap co-integration rank testing: the role of deterministic variables and initial values in the bootstrap recursion
    Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics Downloads View citations (2)
    See also Journal Article in Econometric Reviews (2013)
  3. Bootstrap union tests for unit roots in the presence of nonstationary volatility
    Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics Downloads View citations (1)
    Also in Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) (2010) Downloads View citations (2)

    See also Journal Article in Econometric Theory (2012)
  4. Testing for seasonal unit roots by frequency domain regression
    Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics Downloads
    See also Journal Article in Journal of Econometrics (2014)

2009

  1. Co-integration Rank Testing under Conditional Heteroskedasticity
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (8)
    See also Journal Article in Econometric Theory (2010)
  2. Co-integration rank tests under conditional heteroskedasticity
    Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics Downloads
  3. Robust methods for detecting multiple level breaks in autocorrelated time series [Revised to become No. 10/01 above]
    Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics Downloads View citations (1)
  4. Testing for unit roots in the presence of a possible break in trend and non-stationary volatility
    Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics Downloads View citations (10)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2008) Downloads View citations (3)

    See also Journal Article in Econometric Theory (2011)
  5. The Flexible Fourier Form and Local GLS De-trended Unit Root Tests
    Working Papers, Banco de Portugal, Economics and Research Department Downloads View citations (2)
  6. The impact of the initial condition on robust tests for a linear trend
    Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics Downloads
    See also Journal Article in Journal of Time Series Analysis (2010)

2008

  1. Seasonal unit root tests and the role of initial conditions
    Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics Downloads View citations (1)
    See also Journal Article in Econometrics Journal (2008)
  2. Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (11)
    Also in Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics (2007) Downloads View citations (4)
    Discussion Papers, University of Copenhagen. Department of Economics (2008) Downloads View citations (11)

    See also Journal Article in Journal of Econometrics (2010)
  3. Testing for unit roots and the impact of quadratic trends, with an application to relative primary commodity prices
    Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics Downloads
    See also Journal Article in Econometric Reviews (2011)
  4. Testing for unit roots in the presence of uncertainty over both the trend and initial condition
    Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics Downloads View citations (1)
    See also Journal Article in Journal of Econometrics (2012)

2007

  1. Regression-based seasonal unit root tests
    Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics Downloads
    Also in Discussion Papers, Department of Economics, University of Birmingham (1999) View citations (6)

    See also Journal Article in Econometric Theory (2009)
  2. Testing for a unit root in the presence of a possible break in trend
    Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics Downloads View citations (2)
    See also Journal Article in Econometric Theory (2009)
  3. Testing for a unit root when uncertain about the trend [Revised to become 07/03 above]
    Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics Downloads
  4. Unit root testing in practice: dealing with uncertainty over the trend and initial condition
    Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics Downloads
    See also Journal Article in Econometric Theory (2009)

2006

  1. A simple, robust and powerful test of the trend hypothesis
    Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics Downloads
    See also Journal Article in Journal of Econometrics (2007)
  2. Testing for a change in persistence in the presence of non-stationary volatility
    Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics Downloads View citations (2)
    See also Journal Article in Journal of Econometrics (2008)

2005

  1. On Robust Trend Function Hypothesis Testing
    Discussion Papers, Department of Economics, University of Birmingham
    See also Journal Article in Studies in Nonlinear Dynamics & Econometrics (2006)
  2. Testing the Null of Co-integration in the Presence of Variance Breaks
    Discussion Papers, Department of Economics, University of Birmingham
    See also Journal Article in Journal of Time Series Analysis (2006)

2004

  1. Bootstrapping the HEGY Seasonal Unit Root Tests
    Econometric Society 2004 North American Summer Meetings, Econometric Society Downloads View citations (9)
    See also Journal Article in Journal of Econometrics (2004)
  2. Efficient Tests of the Seasonal Unit Root Hypothesis
    Economics Working Papers, European University Institute Downloads View citations (2)
    Also in Discussion Papers, University of Nottingham, School of Economics Downloads

    See also Journal Article in Journal of Econometrics (2007)
  3. Modified Tests for a Change in Persistence
    Econometric Society 2004 Australasian Meetings, Econometric Society Downloads View citations (2)
    See also Journal Article in Journal of Econometrics (2006)
  4. Robust Inference on Seasonal Unit Roots via a Bootstrap Applied to OECD Macroeconomic Series
    Working Papers, Department of Economics, City University London Downloads
  5. Stationarity Tests for Irregularly Spaced Observations and the Effects of Sampling Frequency on Power
    Econometric Society 2004 Far Eastern Meetings, Econometric Society Downloads
    See also Journal Article in Econometric Theory (2005)

2003

  1. On Tests for Double Differencing: Some Extensions and the Role of Initial Values
    Economic Working Papers at Centro de Estudios Andaluces, Centro de Estudios Andaluces Downloads
  2. Testing against stochastic trend and seasonality in the presence of unattended breaks and unit roots
    Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area Downloads View citations (10)
    See also Journal Article in Journal of Econometrics (2003)

2000

  1. An Optimal Test against a Random Walk Component in a Non-Orthogonal Unobserved Components Model
    Discussion Papers, Department of Economics, University of Birmingham
    See also Journal Article in Econometrics Journal (2002)

1999

  1. Locally Optimal Tests Against Seasonal Unit Roots
    Discussion Papers, Department of Economics, University of Birmingham View citations (2)
  2. On Regression-Based Tests for Seasonal Unit Roots in the Presence of Periodic Heteroscedasticity
    Discussion Papers, Department of Economics, University of Birmingham View citations (1)
    See also Journal Article in Journal of Econometrics (2001)
  3. Regression-Based Seasonal Unit Root Tests with Recursive Mean Adjustment
    Discussion Papers, Department of Economics, University of Birmingham
  4. Testing for Stochastic Unit Roots - Some Monte Carlo evidence
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (1)
  5. Tests of the Seasonal Unit Root Hypothesis Against Heteroscedastic Seasonal Integration
    Discussion Papers, Department of Economics, University of Birmingham View citations (1)
    See also Journal Article in Journal of Business & Economic Statistics (2001)
  6. The Finite Sample Effects of Deterministic Variables on Conventional Methods of Lag-Selection in Unit Root Tests
    Discussion Papers, Department of Economics, University of Birmingham
    See also Journal Article in Oxford Bulletin of Economics and Statistics (2000)

1995

  1. Additional Critical Values and Asymptotic Representations for Seasonal Unit Roots Tests
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge
    Also in Discussion Papers, Department of Economics, University of York View citations (1)

    See also Journal Article in Journal of Econometrics (1998)

Undated

  1. Additional Critical Values and Asymptotic Representations for Monthly Seasonal Unit Root Tests
    Discussion Papers, Department of Economics, University of York
  2. Determining the Order of Differencing in Seasonal Time Series Processes
    Discussion Papers, Department of Economics, University of York View citations (1)
    See also Journal Article in Econometrics Journal (2000)
  3. On the Definitions of (Co-)Integration
    Discussion Papers, Department of Economics, University of York View citations (11)
  4. On the Practical Problems of Computing Seasonal Unit Root Tests: The Case of Non-Durable Consumers' Expenditures
    Discussion Papers, Department of Economics, University of York
  5. Simple, Robust and Powerful Tests of the Breaking Trend Hypothesis*
    Discussion Papers, University of Nottingham, School of Economics Downloads
    See also Journal Article in Econometric Theory (2009)
  6. Testing for Seasonal Unit Roots: a simple alternative to HEGY
    Discussion Papers, Department of Economics, University of York View citations (1)
  7. Tests for an end-of-sample bubble in financial time series
    Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics Downloads

Journal Articles

2016

  1. Inference on co-integration parameters in heteroskedastic vector autoregressions
    Journal of Econometrics, 2016, 192, (1), 64-85 Downloads View citations (2)
    See also Working Paper (2013)
  2. Special issue of the Journal of Empirical Finance Guest Editors' introduction
    Journal of Empirical Finance, 2016, 38, (PB), 513-515 Downloads
  3. Tests for explosive financial bubbles in the presence of non-stationary volatility
    Journal of Empirical Finance, 2016, 38, (PB), 548-574 Downloads View citations (2)
  4. Tests of the co-integration rank in VAR models in the presence of a possible break in trend at an unknown point
    Journal of Econometrics, 2016, 192, (2), 451-467 Downloads
    See also Working Paper (2016)
  5. The Performance of Lag Selection and Detrending Methods for HEGY Seasonal Unit Root Tests
    Econometric Reviews, 2016, 35, (1), 122-168 Downloads View citations (5)
    See also Working Paper (2012)

2015

  1. A Comparison of Sequential and Information-based Methods for Determining the Co-integration Rank in Heteroskedastic VAR Models
    Oxford Bulletin of Economics and Statistics, 2015, 77, (1), 106-128 Downloads
    See also Working Paper (2013)
  2. Bootstrap Co-integration Rank Testing: The Effect of Bias-Correcting Parameter Estimates
    Oxford Bulletin of Economics and Statistics, 2015, 77, (5), 740-759 Downloads View citations (1)
    See also Working Paper (2013)
  3. Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets
    Journal of Econometrics, 2015, 187, (2), 557-579 Downloads View citations (6)
    See also Working Paper (2014)
  4. Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility
    Econometric Reviews, 2015, 34, (4), 512-536 Downloads View citations (1)
    See also Working Paper (2012)
  5. On the Behaviour of Phillips–Perron Tests in the Presence of Persistent Cycles
    Oxford Bulletin of Economics and Statistics, 2015, 77, (4), 495-511 Downloads
    See also Working Paper (2013)
  6. Robust and Powerful Tests for Nonlinear Deterministic Components
    Oxford Bulletin of Economics and Statistics, 2015, 77, (6), 780-799 Downloads View citations (3)
  7. Testing for Unit Roots Under Multiple Possible Trend Breaks and Non-Stationary Volatility Using Bootstrap Minimum Dickey–Fuller Statistics
    Journal of Time Series Analysis, 2015, 36, (5), 603-629 Downloads

2014

  1. A FIXED- b TEST FOR A BREAK IN LEVEL AT AN UNKNOWN TIME UNDER FRACTIONAL INTEGRATION
    Journal of Time Series Analysis, 2014, 35, (1), 40-54 Downloads
  2. Bootstrap Determination of the Co-Integration Rank in Heteroskedastic VAR Models
    Econometric Reviews, 2014, 33, (5-6), 606-650 Downloads View citations (6)
    See also Working Paper (2012)
  3. On infimum Dickey–Fuller unit root tests allowing for a trend break under the null
    Computational Statistics & Data Analysis, 2014, 78, (C), 235-242 Downloads View citations (1)
  4. Robust tests for a linear trend with an application to equity indices
    Journal of Empirical Finance, 2014, 29, (C), 168-185 Downloads
  5. Testing for seasonal unit roots by frequency domain regression
    Journal of Econometrics, 2014, 178, (P2), 243-258 Downloads View citations (1)
    See also Working Paper (2010)
  6. Unit Root Testing under a Local Break in Trend using Partial Information on the Break Date
    Oxford Bulletin of Economics and Statistics, 2014, 76, (1), 93-111 Downloads View citations (1)

2013

  1. A Review of Unit Root Tests in Time Series: Volumes 1 and 2
    Econometrics Journal, 2013, 16, (3), B5-B8 Downloads
  2. A bootstrap test for additive outliers in non-stationary time series
    Journal of Time Series Analysis, 2013, 34, (4), 454-465 Downloads View citations (1)
  3. Bootstrap Cointegration Rank Testing: The Role of Deterministic Variables and Initial Values in the Bootstrap Recursion
    Econometric Reviews, 2013, 32, (7), 814-847 Downloads View citations (3)
    See also Working Paper (2010)
  4. Editorial
    Journal of Time Series Analysis, 2013, 34, (2), 139-140 Downloads
  5. Editorial Announcement
    Journal of Time Series Analysis, 2013, 34, (6), 605-605 Downloads
  6. ON THE BEHAVIOR OF FIXED-b TREND BREAK TESTS UNDER FRACTIONAL INTEGRATION
    Econometric Theory, 2013, 29, (02), 393-418 Downloads View citations (2)
    See also Working Paper (2011)
  7. THE IMPACT OF PERSISTENT CYCLES ON ZERO FREQUENCY UNIT ROOT TESTS
    Econometric Theory, 2013, 29, (06), 1289-1313 Downloads View citations (1)
    See also Working Paper (2011)
  8. Testing for a break in trend when the order of integration is unknown
    Journal of Econometrics, 2013, 176, (1), 30-45 Downloads View citations (5)
  9. Testing for unit roots in the possible presence of multiple trend breaks using minimum Dickey–Fuller statistics
    Journal of Econometrics, 2013, 177, (2), 265-284 Downloads View citations (14)
  10. Wild Bootstrap of the Sample Mean in the Infinite Variance Case
    Econometric Reviews, 2013, 32, (2), 204-219 Downloads

2012

  1. BOOTSTRAP UNION TESTS FOR UNIT ROOTS IN THE PRESENCE OF NONSTATIONARY VOLATILITY
    Econometric Theory, 2012, 28, (02), 422-456 Downloads View citations (2)
    See also Working Paper (2010)
  2. Bootstrap Determination of the Co‐Integration Rank in Vector Autoregressive Models
    Econometrica, 2012, 80, (4), 1721-1740 Downloads View citations (15)
  3. ON AUGMENTED HEGY TESTS FOR SEASONAL UNIT ROOTS
    Econometric Theory, 2012, 28, (05), 1121-1143 Downloads View citations (5)
    See also Working Paper (2011)
  4. Testing for unit roots in the presence of uncertainty over both the trend and initial condition
    Journal of Econometrics, 2012, 169, (2), 188-195 Downloads View citations (7)
    See also Working Paper (2008)
  5. The Flexible Fourier Form and Local Generalised Least Squares De-trended Unit Root Tests-super-
    Oxford Bulletin of Economics and Statistics, 2012, 74, (5), 736-759 Downloads View citations (9)
  6. Unit root testing under a local break in trend
    Journal of Econometrics, 2012, 167, (1), 140-167 Downloads View citations (4)
    See also Working Paper (2011)

2011

  1. SPECIAL ISSUE OF ECONOMETRIC THEORY ON BOOTSTRAP AND NUMERICAL METHODS IN TIME SERIES: GUEST EDITORS’ INTRODUCTION
    Econometric Theory, 2011, 27, (05), 929-932 Downloads
  2. TESTING FOR UNIT ROOTS IN THE PRESENCE OF A POSSIBLE BREAK IN TREND AND NONSTATIONARY VOLATILITY
    Econometric Theory, 2011, 27, (05), 957-991 Downloads View citations (1)
    See also Working Paper (2009)
  3. Testing for Unit Roots and the Impact of Quadratic Trends, with an Application to Relative Primary Commodity Prices
    Econometric Reviews, 2011, 30, (5), 514-547 Downloads View citations (7)
    See also Working Paper (2008)

2010

  1. COINTEGRATION RANK TESTING UNDER CONDITIONAL HETEROSKEDASTICITY
    Econometric Theory, 2010, 26, (06), 1719-1760 Downloads View citations (25)
    See also Working Paper (2009)
  2. Determination of the Number of Common Stochastic Trends Under Conditional Heteroskedasticity/Determinación del número de tendencias estocásticas comunes bajo heteroscedasticidad condicional
    Estudios de Economía Aplicada, 2010, 28, 519-552 Downloads
  3. Robust methods for detecting multiple level breaks in autocorrelated time series
    Journal of Econometrics, 2010, 157, (2), 342-358 Downloads View citations (10)
    See also Working Paper (2011)
  4. Testing for co-integration in vector autoregressions with non-stationary volatility
    Journal of Econometrics, 2010, 158, (1), 7-24 Downloads View citations (27)
    See also Working Paper (2008)
  5. The impact of the initial condition on robust tests for a linear trend
    Journal of Time Series Analysis, 2010, 31, (4), 292-302 Downloads View citations (2)
    See also Working Paper (2009)

2009

  1. A Note on Testing Covariance Stationarity
    Econometric Reviews, 2009, 28, (4), 364-371 Downloads
  2. Bootstrap M Unit Root Tests
    Econometric Reviews, 2009, 28, (5), 393-421 Downloads View citations (7)
  3. ECONOMETRIC THEORY MEMORIAL TO ALBERT REX BERGSTROM–INTRODUCTION
    Econometric Theory, 2009, 25, (04), 891-900 Downloads
  4. HETEROSKEDASTIC TIME SERIES WITH A UNIT ROOT
    Econometric Theory, 2009, 25, (05), 1228-1276 Downloads View citations (24)
  5. REGRESSION-BASED SEASONAL UNIT ROOT TESTS
    Econometric Theory, 2009, 25, (02), 527-560 Downloads View citations (12)
    See also Working Paper (2007)
  6. REJOINDER
    Econometric Theory, 2009, 25, (03), 658-667 Downloads View citations (1)
  7. SIMPLE, ROBUST, AND POWERFUL TESTS OF THE BREAKING TREND HYPOTHESIS
    Econometric Theory, 2009, 25, (04), 995-1029 Downloads View citations (45)
    See also Working Paper
  8. SPECIAL ISSUE OF ECONOMETRIC THEORY IN HONOR OF PAUL NEWBOLD: GUEST EDITORS’ INTRODUCTION
    Econometric Theory, 2009, 25, (06), 1451-1456 Downloads
  9. TESTING FOR A UNIT ROOT IN THE PRESENCE OF A POSSIBLE BREAK IN TREND
    Econometric Theory, 2009, 25, (06), 1545-1588 Downloads View citations (31)
    See also Working Paper (2007)
  10. UNIT ROOT TESTING IN PRACTICE: DEALING WITH UNCERTAINTY OVER THE TREND AND INITIAL CONDITION
    Econometric Theory, 2009, 25, (03), 587-636 Downloads View citations (38)
    See also Working Paper (2007)

2008

  1. BOOTSTRAP UNIT ROOT TESTS FOR TIME SERIES WITH NONSTATIONARY VOLATILITY
    Econometric Theory, 2008, 24, (01), 43-71 Downloads View citations (42)
  2. Erratum to "A simple, robust and powerful test of the trend hypothesis" [Journal of Econometrics 141(2) (2007) 1302-1330]
    Journal of Econometrics, 2008, 143, (2), 396-397 Downloads
  3. Seasonal unit root tests and the role of initial conditions
    Econometrics Journal, 2008, 11, (3), 409-442 Downloads View citations (1)
    See also Working Paper (2008)
  4. Testing for a change in persistence in the presence of non-stationary volatility
    Journal of Econometrics, 2008, 147, (1), 84-98 Downloads View citations (10)
    See also Working Paper (2006)
  5. Time-Transformed Unit Root Tests for Models with Non-Stationary Volatility
    Journal of Time Series Analysis, 2008, 29, (2), 300-330 Downloads View citations (14)

2007

  1. A simple, robust and powerful test of the trend hypothesis
    Journal of Econometrics, 2007, 141, (2), 1302-1330 Downloads View citations (43)
    See also Working Paper (2006)
  2. CUSUM of Squares-Based Tests for a Change in Persistence
    Journal of Time Series Analysis, 2007, 28, (3), 408-433 Downloads View citations (27)
  3. Conference in honour of Paul Newbold
    Economics Bulletin, 2007, 28, (31), A0 Downloads
  4. Detecting Multiple Changes in Persistence
    Studies in Nonlinear Dynamics & Econometrics, 2007, 11, (3), 1-34 Downloads View citations (13)
  5. Efficient tests of the seasonal unit root hypothesis
    Journal of Econometrics, 2007, 141, (2), 548-573 Downloads View citations (14)
    See also Working Paper (2004)
  6. New Introduction to Multiple Time Series Analysis, Helmut Lutkepohl. Springer-Verlag (2005), ISBN 3-540-40172-5 (hardcover), 149.95 [euro], ISBN 3-540-26239-3 (softcover), 54.95 [euro], 764 pages
    International Journal of Forecasting, 2007, 23, (1), 152-153 Downloads
  7. Testing for unit roots in time series models with non-stationary volatility
    Journal of Econometrics, 2007, 140, (2), 919-947 Downloads View citations (61)

2006

  1. Additive Outlier Detection Via Extreme-Value Theory
    Journal of Time Series Analysis, 2006, 27, (5), 685-701 Downloads View citations (9)
  2. Modified tests for a change in persistence
    Journal of Econometrics, 2006, 134, (2), 441-469 Downloads View citations (42)
    See also Working Paper (2004)
  3. On Robust Trend Function Hypothesis Testing
    Studies in Nonlinear Dynamics & Econometrics, 2006, 10, (1), 1-27 Downloads View citations (1)
    See also Working Paper (2005)
  4. Persistence change tests and shifting stable autoregressions
    Economics Letters, 2006, 91, (1), 44-49 Downloads View citations (2)
  5. Regression-based Tests for a Change in Persistence
    Oxford Bulletin of Economics and Statistics, 2006, 68, (5), 595-621 Downloads View citations (9)
  6. Testing for a Change in Persistence in the Presence of a Volatility Shift
    Oxford Bulletin of Economics and Statistics, 2006, 68, (s1), 761-781 Downloads View citations (4)
  7. Testing the Null of Co-integration in the Presence of Variance Breaks
    Journal of Time Series Analysis, 2006, 27, (4), 613-636 Downloads View citations (5)
    See also Working Paper (2005)

2005

  1. Fluctuation Tests for a Change in Persistence
    Oxford Bulletin of Economics and Statistics, 2005, 67, (2), 207-230 Downloads View citations (5)
  2. On the limiting behaviour of augmented seasonal unit root tests
    Economics Bulletin, 2005, 3, (3), 1-10 Downloads
  3. On the use of Sub-sample Unit Root Tests to Detect Changes in Persistence
    Journal of Time Series Analysis, 2005, 26, (5), 759-778 Downloads View citations (3)
  4. STATIONARITY TESTS FOR IRREGULARLY SPACED OBSERVATIONS AND THE EFFECTS OF SAMPLING FREQUENCY ON POWER
    Econometric Theory, 2005, 21, (04), 757-794 Downloads
    See also Working Paper (2004)
  5. STATIONARITY TESTS UNDER TIME-VARYING SECOND MOMENTS
    Econometric Theory, 2005, 21, (06), 1112-1129 Downloads View citations (21)
  6. Variance ratio tests of the seasonal unit root hypothesis
    Journal of Econometrics, 2005, 124, (1), 33-54 Downloads View citations (9)

2004

  1. ASYMPTOTIC DISTRIBUTIONS FOR REGRESSION-BASED SEASONAL UNIT ROOT TEST STATISTICS IN A NEAR-INTEGRATED MODEL
    Econometric Theory, 2004, 20, (04), 645-670 Downloads View citations (8)
  2. Alternative estimators and unit root tests for seasonal autoregressive processes
    Journal of Econometrics, 2004, 120, (1), 35-73 Downloads View citations (9)
  3. Bootstrapping the HEGY seasonal unit root tests
    Journal of Econometrics, 2004, 123, (1), 67-87 Downloads View citations (10)
    See also Working Paper (2004)
  4. ON TESTS FOR DOUBLE DIFFERENCING: METHODS OF DEMEANING AND DETRENDING AND THE ROLE OF INITIAL VALUES
    Econometric Theory, 2004, 20, (01), 95-115 Downloads View citations (1)
  5. On tests for changes in persistence
    Economics Letters, 2004, 84, (1), 107-115 Downloads View citations (11)
  6. Some New Tests for a Change in Persistence
    Economics Bulletin, 2004, 3, (39), 1-10 Downloads View citations (2)
  7. Tests of stationarity against a change in persistence
    Journal of Econometrics, 2004, 123, (1), 33-66 Downloads View citations (88)

2003

  1. Corrigendum to "Nonparametric tests for unit roots and cointegration" [J. Econom. 108 (2002) 343-363]
    Journal of Econometrics, 2003, 117, (2), 401-404 Downloads View citations (16)
  2. Locally Optimal Tests Against Unit Roots in Seasonal Time Series Processes
    Journal of Time Series Analysis, 2003, 24, (5), 591-612 Downloads View citations (7)
  3. ON THE ASYMPTOTIC PROPERTIES OF SOME SEASONAL UNIT ROOT TESTS
    Econometric Theory, 2003, 19, (02), 311-321 Downloads View citations (4)
  4. Robust Stationarity Tests in Seasonal Time Series Processes
    Journal of Business & Economic Statistics, 2003, 21, (1), 156-63 View citations (13)
  5. Seasonal Unit Root Tests Based on Forward and Reverse Estimation
    Journal of Time Series Analysis, 2003, 24, (4), 441-460 Downloads View citations (2)
  6. Testing against stochastic trend and seasonality in the presence of unattended breaks and unit roots
    Journal of Econometrics, 2003, 117, (1), 21-53 Downloads View citations (8)
    See also Working Paper (2003)
  7. Variance Shifts, Structural Breaks, and Stationarity Tests
    Journal of Business & Economic Statistics, 2003, 21, (4), 510-31 View citations (14)

2002

  1. An optimal test against a random walk component in a non-orthogonal unobserved components model
    Econometrics Journal, 2002, 5, (2), 520-532 Downloads View citations (5)
    See also Working Paper (2000)
  2. Can Tests for Stochastic Unit Roots Provide Useful Portmanteau Tests for Persistence?
    Oxford Bulletin of Economics and Statistics, 2002, 64, (4), 381-97 Downloads View citations (4)
  3. Regression-Based Unit Root Tests with Recursive Mean Adjustment for Seasonal and Nonseasonal Time Series
    Journal of Business & Economic Statistics, 2002, 20, (2), 269-81 View citations (20)

2001

  1. On regression-based tests for seasonal unit roots in the presence of periodic heteroscedasticity
    Journal of Econometrics, 2001, 104, (1), 91-117 Downloads View citations (24)
    See also Working Paper (1999)
  2. On the Properties of Regression-Based Tests for Seasonal Unit Roots in the Presence of Higher-Order Serial Correlation
    Journal of Business & Economic Statistics, 2001, 19, (3), 374-79 View citations (22)
  3. Recursive and rolling regression-based tests of the seasonal unit root hypothesis
    Journal of Econometrics, 2001, 105, (2), 309-336 Downloads View citations (5)
  4. Tests of the Seasonal Unit-Root Hypothesis against Heteroscedastic Seasonal Integration
    Journal of Business & Economic Statistics, 2001, 19, (2), 192-207 View citations (3)
    See also Working Paper (1999)

2000

  1. Determining the order of differencing in seasonal time series processes
    Econometrics Journal, 2000, 3, (2), 250-264 View citations (1)
    See also Working Paper
  2. On the Power of GLS-Type Unit Root Tests
    Oxford Bulletin of Economics and Statistics, 2000, 62, (5), 633-45 Downloads View citations (3)
  3. The Finite Sample Effects of Deterministic Variables on Conventional Methods of Lag-Selection in Unit Root Tests
    Oxford Bulletin of Economics and Statistics, 2000, 62, (2), 293-304 Downloads View citations (4)
    See also Working Paper (1999)

1999

  1. Detecting Seasonal Unit Roots: An Approach Based on the Sample Autocorrelation Function
    Manchester School, 1999, 67, (3), 261-86 Downloads View citations (1)

1998

  1. Additional critical values and asymptotic representations for seasonal unit root tests
    Journal of Econometrics, 1998, 85, (2), 269-288 Downloads View citations (36)
    See also Working Paper (1995)

1997

  1. Book Reviews
    Asia Pacific Business Review, 1997, 3, (3), 193-194 Downloads
  2. Controversy: On Modelling the Long Run in Applied Economics
    Economic Journal, 1997, 107, (440), 165-68 Downloads View citations (1)
  3. On the practical problems of computing seasonal unit root tests
    International Journal of Forecasting, 1997, 13, (3), 307-318 Downloads View citations (14)

1996

  1. Linear Combinations of Stationary Processes
    Econometric Theory, 1996, 12, (05), 869-869 Downloads
 
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