Details about Anton Skrobotov

Access statistics for papers by Anton Skrobotov.

Last updated 2022-07-22. Update your information in the RePEc Author Service.

Short-id: psk77

Working Papers

2023

1. New Approaches to Robust Inference on Market (Non-)Efficiency, Volatility Clustering and Nonlinear Dependence
   Papers, arXiv.org View citations (1)
2. New robust inference for predictive regressions
   Papers, arXiv.org View citations (3)

2022

3. On the asymptotic behavior of bubble date estimators
   Papers, arXiv.org View citations (1)
4. Testing for explosive bubbles: a review
   Papers, arXiv.org

2021

5. COVID-19: Tail Risk and Predictive Regressions
   Papers, arXiv.org
6. Robust Inference on Income Inequality: $t$-Statistic Based Approaches
   Papers, arXiv.org View citations (1)
7. Time-Transformed Test for the Explosive Bubbles under Non-stationary Volatility
   Papers, arXiv.org

2018

8. On Bootstrap Implementation of Likelihood Ratio Test for a Unit Root
   Working Papers, Gaidar Institute for Economic Policy View citations (2)
   See also Journal Article On bootstrap implementation of likelihood ratio test for a unit root, Economics Letters, Elsevier (2018) View citations (2) (2018)
9. Testing the Asymmetric Convergence of the Real Exchange Rate to Equilibrium During the Managed Ruble Exchange Rate Regime
   (Тестирование ассиметричной сходимости реального обменного курса к равновесию во время режима управляемого курса рубля)
   Working Papers, Russian Presidential Academy of National Economy and Public Administration View citations (4)

2017

10. Спектральная оценка компоненты бизнес цикла ВВП России с учетом высокой зависимости от условий торговли
    (Spectral estimation of the business cycle component of the Russian GDP under high dependence on the terms of trade)
    MPRA Paper, University Library of Munich, Germany View citations (1)

2016

11. Confidence Sets for the Break Date in Cointegrating Regressions
    Working Papers, Gaidar Institute for Economic Policy
    Also in Discussion Papers, Graduate School of Economics, Hitotsubashi University (2016)
    See also Journal Article Confidence Sets for the Break Date in Cointegrating Regressions, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2018) View citations (2) (2018)
12. On Trend Breaks and Initial Condition in Unit Root Testing
    Working Papers, Gaidar Institute for Economic Policy View citations (2)
    See also Journal Article On Trend Breaks and Initial Condition in Unit Root Testing, Journal of Time Series Econometrics, De Gruyter (2018) (2018)
13. Wild Bootstrap Seasonal Unit Root Tests for Time Series with Periodic Non-Stationary Volatility
    Working Papers, Gaidar Institute for Economic Policy
    See also Journal Article Wild bootstrap seasonal unit root tests for time series with periodic nonstationary volatility, Econometric Reviews, Taylor & Francis Journals (2019) View citations (4) (2019)

2014

14. A simple modification of the Busetti-Harvey stationarity tests with structural breaks at unknown time
    Working Papers, Gaidar Institute for Economic Policy
15. On GLS-detrending for deterministic seasonality testing
    Working Papers, Gaidar Institute for Economic Policy

2013

16. Bias Correction of KPSS Test with Structural Break for Reducing of Size Distortion
    Working Papers, Gaidar Institute for Economic Policy
    See also Journal Article Bias Correction of KPSS Test with Structural Break for Reducing of Size Distortion, Journal of Time Series Econometrics, De Gruyter (2013) View citations (1) (2013)
17. Double Unit Roots Testing, GLS-detrending and Uncertainty over the Initial Conditions
    Working Papers, Gaidar Institute for Economic Policy
18. Trend and initial condition in stationarity tests: the asymptotic analysis
    Working Papers, Gaidar Institute for Economic Policy View citations (1)
    See also Journal Article Trend and Initial Condition in Stationarity Tests: The Asymptotic Analysis, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2015) (2015)

Journal Articles

2022

1. Do we reject restrictions identifying fiscal shocks? identification based on non-Gaussian innovations
   Journal of Economic Dynamics and Control, 2022, 138, (C) View citations (3)
2. On decrease in oil price elasticity of GDP and investment in Russia
   Applied Econometrics, 2022, 66, 5-24
3. On robust testing for trend
   Economics Letters, 2022, 212, (C)

2021

4. Structural breaks in cointegration models
   Applied Econometrics, 2021, 63, 117-141 View citations (4)
5. Structural breaks in cointegration models: Multivariate case
   Applied Econometrics, 2021, 64, 83-106 View citations (3)

2020

6. How the oil price and other factors of real exchange rate dynamics affect real GDP in Russia
   Emerging Markets Finance and Trade, 2020, 56, (15), 3732-3745 View citations (10)
7. Survey on structural breaks and unit root tests
   Applied Econometrics, 2020, 58, 96-141 View citations (8)

2019

8. Limits of regional food price differences and invisible hand
   Applied Econometrics, 2019, 53, 30-54 View citations (1)
9. Wild bootstrap seasonal unit root tests for time series with periodic nonstationary volatility
   Econometric Reviews, 2019, 38, (5), 509-532 View citations (4)
   See also Working Paper Wild Bootstrap Seasonal Unit Root Tests for Time Series with Periodic Non-Stationary Volatility, Working Papers (2016) (2016)

2018

10. Confidence Sets for the Break Date in Cointegrating Regressions
    Oxford Bulletin of Economics and Statistics, 2018, 80, (3), 514-535 View citations (2)
    See also Working Paper Confidence Sets for the Break Date in Cointegrating Regressions, Working Papers (2016) (2016)
11. On Trend Breaks and Initial Condition in Unit Root Testing
    Journal of Time Series Econometrics, 2018, 10, (1), 15
    See also Working Paper On Trend Breaks and Initial Condition in Unit Root Testing, Working Papers (2016) View citations (2) (2016)
12. On bootstrap implementation of likelihood ratio test for a unit root
    Economics Letters, 2018, 171, (C), 154-158 View citations (2)
    See also Working Paper On Bootstrap Implementation of Likelihood Ratio Test for a Unit Root, Working Papers (2018) View citations (2) (2018)
13. Spectral Estimation of the Business Cycle Component if the Russian GDP under High Dependence on the Terms of Trade
    Economics of Contemporary Russia, 2018, (1)
14. Testing Asymmetric Convergence of the Real Exchange Rate to Equilibrium During Ruble Exchange Rate Targeting
    (Тестирование асимметричной сходимости реального обменного курса к равновесному во время режима управляемого курса рубля)
    Ekonomicheskaya Politika / Economic Policy, 2018, 3, 132-147 View citations (4)

2017

15. Testing time series for the bubbles (with application to Russian data)
    Applied Econometrics, 2017, 46, 90-103
16. The Price Convergence of Individual Goods in the Russian Regions
    Journal of the New Economic Association, 2017, 35, (3), 71-102 View citations (2)

2015

17. Trend and Initial Condition in Stationarity Tests: The Asymptotic Analysis
    Oxford Bulletin of Economics and Statistics, 2015, 77, (2), 254-273
    See also Working Paper Trend and initial condition in stationarity tests: the asymptotic analysis, Working Papers (2013) View citations (1) (2013)

2013

18. Bias Correction of KPSS Test with Structural Break for Reducing of Size Distortion
    Journal of Time Series Econometrics, 2013, 6, (1), 33-61 View citations (1)
    See also Working Paper Bias Correction of KPSS Test with Structural Break for Reducing of Size Distortion, Working Papers (2013) (2013)