Details about Robert Taylor

Access statistics for papers by Robert Taylor.

Last updated 2009-11-05. Update your information in the RePEc Author Service.

Short-id: pta27

Working Papers

2009

1. Co-integration Rank Testing under Conditional Heteroskedasticity
   CREATES Research Papers, School of Economics and Management, University of Aarhus

2008

2. Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility
   Discussion Papers, University of Copenhagen. Department of Economics View citations
   Also in Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics View citations
   CREATES Research Papers, School of Economics and Management, University of Aarhus (2008)
3. Testing for Unit Roots in the Presence of a Possible Break in Trend and Non-Stationary Volatility
   CREATES Research Papers, School of Economics and Management, University of Aarhus

2005

4. 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)
5. 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

6. Bootstrapping the HEGY Seasonal Unit Root Tests
   Econometric Society 2004 North American Summer Meetings, Econometric Society View citations
   See also Journal Article in Journal of Econometrics (2004)
7. Efficient Tests of the Seasonal Unit Root Hypothesis
   Economics Working Papers, European University Institute
   Also in Discussion Papers, University of Nottingham, School of Economics
   See also Journal Article in Journal of Econometrics (2007)
8. Modified Tests for a Change in Persistence
   Econometric Society 2004 Australasian Meetings, Econometric Society View citations
   See also Journal Article in Journal of Econometrics (2006)
9. Robust inference on seasonal unit roots via a bootstrap applied to OECD macroeconomic series
   City University Economics Discussion Papers, Department of Economics, City University, London
10. Stationarity Tests for Irregularly Spaced Observations and the Effects of Sampling Frequency on Power
    Econometric Society 2004 Far Eastern Meetings, Econometric Society
    See also Journal Article in Econometric Theory (2005)

2003

11. 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
12. 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 Department View citations
    See also Journal Article in Journal of Econometrics (2003)

2000

13. 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

14. Locally Optimal Tests Against Seasonal Unit Roots
    Discussion Papers, Department of Economics, University of Birmingham
15. On Regression-Based Tests for Seasonal Unit Roots in the Presence of Periodic Heteroscedasticity
    Discussion Papers, Department of Economics, University of Birmingham
    See also Journal Article in Journal of Econometrics (2001)
16. Regression-Based Seasonal Unit Root Tests
    Discussion Papers, Department of Economics, University of Birmingham View citations
    Also in Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics
    See also Journal Article in Econometric Theory (2009)
17. Regression-Based Seasonal Unit Root Tests with Recursive Mean Adjustment
    Discussion Papers, Department of Economics, University of Birmingham
18. Testing for Stochastic Unit Roots - Some Monte Carlo evidence
    Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute
    Also in Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute (1999) View citations
19. Tests of the Seasonal Unit Root Hypothesis Against Heteroscedastic Seasonal Integration
    Discussion Papers, Department of Economics, University of Birmingham
    See also Journal Article in Journal of Business & Economic Statistics (2001)
20. 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)

1997

21. Determining the order of Differencing in Seasonal Time Series Processes
    Working Papers, Erasmus University of Rotterdam - Econometric Institute View citations
    Also in Discussion Papers, Department of Economics, University of York View citations
    See also Journal Article in Econometrics Journal (2000)

1995

22. 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
    See also Journal Article in Journal of Econometrics (1998)

Undated

23. A simple, robust and powerful test of the trend hypothesis
    Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics
    See also Journal Article in Journal of Econometrics (2007)
24. Additional Critical Values and Asymptotic Representations for Monthly Seasonal Unit Root Tests
    Discussion Papers, Department of Economics, University of York
25. Co-integration rank tests under conditional heteroskedasticity
    Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics
26. On the Definitions of (Co-)Integration
    Discussion Papers, Department of Economics, University of York View citations
27. 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
28. Robust methods for detecting multiple level breaks in autocorrelated time series
    Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics
29. Simple, Robust and Powerful Tests of the Breaking Trend Hypothesis*
    Discussion Papers, University of Nottingham, School of Economics
    See also Journal Article in Econometric Theory (2009)
30. Testing for Seasonal Unit Roots: a simple alternative to HEGY
    Discussion Papers, Department of Economics, University of York
31. Testing for a change in persistence in the presence of non-stationary volatility
    Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics
    See also Journal Article in Journal of Econometrics (2008)
32. 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 View citations
    See also Journal Article in Econometric Theory (2009)
33. 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
34. 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
35. 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
36. The impact of the initial condition on robust tests for a linear trend
    Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics
37. 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
    See also Journal Article in Econometric Theory (2009)

Journal Articles

2009

1. A Note on Testing Covariance Stationarity
   Econometric Reviews, 2009, 28, (4), 364-371
2. Bootstrap M Unit Root Tests
   Econometric Reviews, 2009, 28, (5), 393-421
3. ECONOMETRIC THEORY MEMORIAL TO ALBERT REX BERGSTROM?INTRODUCTION
   Econometric Theory, 2009, 25, (04), 891-900
4. HETEROSKEDASTIC TIME SERIES WITH A UNIT ROOT
   Econometric Theory, 2009, 25, (05), 1228-1276 View citations
5. REGRESSION-BASED SEASONAL UNIT ROOT TESTS
   Econometric Theory, 2009, 25, (02), 527-560
   See also Working Paper (1999)
6. REJOINDER
   Econometric Theory, 2009, 25, (03), 658-667
7. SIMPLE, ROBUST, AND POWERFUL TESTS OF THE BREAKING TREND HYPOTHESIS
   Econometric Theory, 2009, 25, (04), 995-1029 View citations
   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
9. TESTING FOR A UNIT ROOT IN THE PRESENCE OF A POSSIBLE BREAK IN TREND
   Econometric Theory, 2009, 25, (06), 1545-1588
   See also Working Paper
10. UNIT ROOT TESTING IN PRACTICE: DEALING WITH UNCERTAINTY OVER THE TREND AND INITIAL CONDITION
    Econometric Theory, 2009, 25, (03), 587-636 View citations
    See also Working Paper

2008

11. BOOTSTRAP UNIT ROOT TESTS FOR TIME SERIES WITH NONSTATIONARY VOLATILITY
    Econometric Theory, 2008, 24, (01), 43-71 View citations
12. 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
13. Seasonal unit root tests and the role of initial conditions
    Econometrics Journal, 2008, 11, (3), 409-442
14. Testing for a change in persistence in the presence of non-stationary volatility
    Journal of Econometrics, 2008, 147, (1), 84-98
    See also Working Paper
15. Time-Transformed Unit Root Tests for Models with Non-Stationary Volatility
    Journal of Time Series Analysis, 2008, 29, (2), 300-330 View citations

2007

16. A simple, robust and powerful test of the trend hypothesis
    Journal of Econometrics, 2007, 141, (2), 1302-1330 View citations
    See also Working Paper
17. CUSUM of Squares-Based Tests for a Change in Persistence
    Journal of Time Series Analysis, 2007, 28, (3), 408-433 View citations
18. Detecting Multiple Changes in Persistence
    Studies in Nonlinear Dynamics & Econometrics, 2007, 11, (3)
19. Efficient tests of the seasonal unit root hypothesis
    Journal of Econometrics, 2007, 141, (2), 548-573
    See also Working Paper (2004)
20. 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
21. Testing for unit roots in time series models with non-stationary volatility
    Journal of Econometrics, 2007, 140, (2), 919-947 View citations

2006

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

2005

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

2004

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

2003

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

2002

49. An optimal test against a random walk component in a non-orthogonal unobserved components model
    Econometrics Journal, 2002, 5, (2), 520-532 View citations
    See also Working Paper (2000)
50. Can Tests for Stochastic Unit Roots Provide Useful Portmanteau Tests for Persistence?
    Oxford Bulletin of Economics and Statistics, 2002, 64, (4), 381-97 View citations
51. 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

2001

52. On regression-based tests for seasonal unit roots in the presence of periodic heteroscedasticity
    Journal of Econometrics, 2001, 104, (1), 91-117 View citations
    See also Working Paper (1999)
53. 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
54. Recursive and rolling regression-based tests of the seasonal unit root hypothesis
    Journal of Econometrics, 2001, 105, (2), 309-336 View citations
55. Tests of the Seasonal Unit-Root Hypothesis against Heteroscedastic Seasonal Integration
    Journal of Business & Economic Statistics, 2001, 19, (2), 192-207
    See also Working Paper (1999)

2000

56. Determining the order of differencing in seasonal time series processes
    Econometrics Journal, 2000, 3, (2), 250-264
    See also Working Paper (1997)
57. On the Power of GLS-Type Unit Root Tests
    Oxford Bulletin of Economics and Statistics, 2000, 62, (5), 633-45 View citations
58. 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 View citations
    See also Working Paper (1999)

1999

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

1998

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

1997

61. Controversy: On Modelling the Long Run in Applied Economics
    Economic Journal, 1997, 107, (440), 165-68 View citations
62. On the practical problems of computing seasonal unit root tests
    International Journal of Forecasting, 1997, 13, (3), 307-318 View citations

1996

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