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Details about Anton Skrobotov

E-mail:
Homepage:https://sites.google.com/site/antonskrobotov/
Workplace:Russian Presidential Academy of National Economy and Public Administration (RANEPA), (more information at EDIRC)
Gaidar Institute for Economic Policy, (more information at EDIRC)

Access statistics for papers by Anton Skrobotov.

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

Short-id: psk77


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Working Papers

2023

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

2022

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

2021

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

2018

  1. Analysis of Regional Price Differentiations
    (Анализ региональной дифференциации цен)
    Published Papers, Russian Presidential Academy of National Economy and Public Administration Downloads View citations (1)
  2. On Bootstrap Implementation of Likelihood Ratio Test for a Unit Root
    Working Papers, Gaidar Institute for Economic Policy Downloads View citations (2)
    See also Journal Article On bootstrap implementation of likelihood ratio test for a unit root, Economics Letters, Elsevier (2018) Downloads View citations (2) (2018)
  3. 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 Downloads View citations (3)

2017

  1. 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 Downloads View citations (1)

2016

  1. Confidence Sets for the Break Date in Cointegrating Regressions
    Discussion Papers, Graduate School of Economics, Hitotsubashi University Downloads
    Also in Working Papers, Gaidar Institute for Economic Policy (2016) Downloads

    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) Downloads View citations (2) (2018)
  2. On Trend Breaks and Initial Condition in Unit Root Testing
    Working Papers, Gaidar Institute for Economic Policy Downloads 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) Downloads (2018)
  3. Wild Bootstrap Seasonal Unit Root Tests for Time Series with Periodic Non-Stationary Volatility
    Working Papers, Gaidar Institute for Economic Policy Downloads
    See also Journal Article Wild bootstrap seasonal unit root tests for time series with periodic nonstationary volatility, Econometric Reviews, Taylor & Francis Journals (2019) Downloads View citations (3) (2019)

2015

  1. Likelihood Ratio Test for Change in Persistence
    Published Papers, Russian Presidential Academy of National Economy and Public Administration Downloads View citations (1)

2014

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

2013

  1. Bias Correction of KPSS Test with Structural Break for Reducing of Size Distortion
    Working Papers, Gaidar Institute for Economic Policy Downloads
    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) Downloads View citations (1) (2013)
  2. Double Unit Roots Testing, GLS-detrending and Uncertainty over the Initial Conditions
    Working Papers, Gaidar Institute for Economic Policy Downloads
  3. Trend and initial condition in stationarity tests: the asymptotic analysis
    Working Papers, Gaidar Institute for Economic Policy Downloads 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) Downloads (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) Downloads View citations (3)
  2. On decrease in oil price elasticity of GDP and investment in Russia
    Applied Econometrics, 2022, 66, 5-24 Downloads
  3. On robust testing for trend
    Economics Letters, 2022, 212, (C) Downloads

2021

  1. Structural breaks in cointegration models
    Applied Econometrics, 2021, 63, 117-141 Downloads View citations (2)
  2. Structural breaks in cointegration models: Multivariate case
    Applied Econometrics, 2021, 64, 83-106 Downloads View citations (1)

2020

  1. 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 Downloads View citations (7)
  2. Survey on structural breaks and unit root tests
    Applied Econometrics, 2020, 58, 96-141 Downloads View citations (7)

2019

  1. Limits of regional food price differences and invisible hand
    Applied Econometrics, 2019, 53, 30-54 Downloads
  2. Wild bootstrap seasonal unit root tests for time series with periodic nonstationary volatility
    Econometric Reviews, 2019, 38, (5), 509-532 Downloads View citations (3)
    See also Working Paper Wild Bootstrap Seasonal Unit Root Tests for Time Series with Periodic Non-Stationary Volatility, Working Papers (2016) Downloads (2016)

2018

  1. Confidence Sets for the Break Date in Cointegrating Regressions
    Oxford Bulletin of Economics and Statistics, 2018, 80, (3), 514-535 Downloads View citations (2)
    See also Working Paper Confidence Sets for the Break Date in Cointegrating Regressions, Discussion Papers (2016) Downloads (2016)
  2. On Trend Breaks and Initial Condition in Unit Root Testing
    Journal of Time Series Econometrics, 2018, 10, (1), 15 Downloads
    See also Working Paper On Trend Breaks and Initial Condition in Unit Root Testing, Working Papers (2016) Downloads View citations (2) (2016)
  3. On bootstrap implementation of likelihood ratio test for a unit root
    Economics Letters, 2018, 171, (C), 154-158 Downloads View citations (2)
    See also Working Paper On Bootstrap Implementation of Likelihood Ratio Test for a Unit Root, Working Papers (2018) Downloads View citations (2) (2018)
  4. 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) Downloads
  5. 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 Downloads View citations (3)

2017

  1. Testing time series for the bubbles (with application to Russian data)
    Applied Econometrics, 2017, 46, 90-103 Downloads
  2. The Price Convergence of Individual Goods in the Russian Regions
    Journal of the New Economic Association, 2017, 35, (3), 71-102 Downloads View citations (1)

2015

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

2013

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