Details about Robert Taylor

E-mail:
Homepage:	https://rtaylor-essex.droppages.com
Workplace:	Essex Business School, University of Essex, (more information at EDIRC)

Access statistics for papers by Robert Taylor.

Last updated 2025-03-14. Update your information in the RePEc Author Service.

Short-id: pta27

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Working Papers

2024

1. Evaluating Credit VIX (CDS IV) Prediction Methods with Incremental Batch Learning
   Papers, arXiv.org

2022

2. Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models
   Papers, arXiv.org
   See also Journal Article Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models, Econometric Reviews, Taylor & Francis Journals (2023) (2023)

2021

3. Extensions to IVX methods of inference for return predictability
   Working Papers, Banco de Portugal, Economics and Research Department View citations (4)
   See also Journal Article Extensions to IVX methods of inference for return predictability, Journal of Econometrics, Elsevier (2023) View citations (1) (2023)
4. Multivariate Fractional Integration Tests allowing for Conditional Heteroskedasticity with an Application to Return Volatility and Trading Volume
   Working Papers, Banco de Portugal, Economics and Research Department
   See also Journal Article Multivariate fractional integration tests allowing for conditional heteroskedasticity with an application to return volatility and trading volume, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2021) (2021)
5. Semiparametric Tests for the Order of Integration in the Possible Presence of Level Breaks
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (4)
   Also in Working Paper, Economics Department, Queen's University (2020)
   See also Journal Article Semiparametric Tests for the Order of Integration in the Possible Presence of Level Breaks, Journal of Business & Economic Statistics, Taylor & Francis Journals (2022) (2022)

2020

6. Adaptive Inference in Heteroskedastic Fractional Time Series Models
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (3)
   Also in Working Paper, Economics Department, Queen's University (2019) View citations (1)
   See also Journal Article Adaptive Inference in Heteroscedastic Fractional Time Series Models, Journal of Business & Economic Statistics, Taylor & Francis Journals (2022) View citations (5) (2022)
7. Level Shift Estimation in the Presence of Non-stationary Volatility with an Application to the Unit Root Testing Problem
   Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (3)
   See also Journal Article Level shift estimation in the presence of non-stationary volatility with an application to the unit root testing problem, Journal of Econometrics, Elsevier (2020) View citations (3) (2020)

2019

8. Testing for Episodic Predictability in Stock Returns
   Working Papers, Banco de Portugal, Economics and Research Department View citations (3)
   See also Journal Article Testing for episodic predictability in stock returns, Journal of Econometrics, Elsevier (2022) View citations (5) (2022)

2018

9. Temporal Aggregation of Seasonally Near-Integrated Processes
   DEA Working Papers, Universitat de les Illes Balears, Departament d'Economía Aplicada
   See also Journal Article Temporal Aggregation of Seasonally Near‐Integrated Processes, Journal of Time Series Analysis, Wiley Blackwell (2019) View citations (4) (2019)

2017

10. A bootstrap stationarity test for predictive regression invalidity
    Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics View citations (1)
    See also Journal Article A Bootstrap Stationarity Test for Predictive Regression Invalidity, Journal of Business & Economic Statistics, Taylor & Francis Journals (2019) View citations (9) (2019)
11. 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 View citations (14)
    Also in Working Paper, Economics Department, Queen's University (2016) View citations (2)
    See also Journal Article Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form, Journal of Econometrics, Elsevier (2017) View citations (12) (2017)
12. Unit Root Tests and Heavy-Tailed Innovations
    Essex Finance Centre Working Papers, University of Essex, Essex Business School View citations (2)
    See also Journal Article Unit Root Tests and Heavy-Tailed Innovations, Journal of Time Series Analysis, Wiley Blackwell (2017) View citations (2) (2017)

2016

13. Determining the Cointegration Rank in Heteroskedastic VAR Models of Unknown Order
    Essex Finance Centre Working Papers, University of Essex, Essex Business School View citations (3)
    See also Journal Article DETERMINING THE COINTEGRATION RANK IN HETEROSKEDASTIC VAR MODELS OF UNKNOWN ORDER, Econometric Theory, Cambridge University Press (2018) View citations (12) (2018)
14. Tests for an end-of-sample bubble in financial time series
    Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics View citations (3)
    See also Journal Article Tests for an end-of-sample bubble in financial time series, Econometric Reviews, Taylor & Francis Journals (2017) View citations (9) (2017)
15. 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 View citations (7)
    See also Journal Article 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, Elsevier (2016) View citations (8) (2016)
16. Unit root inference for non-stationary linear processes driven by infinite variance innovations
    Quaderni di Dipartimento, Department of Statistics, University of Bologna View citations (3)
    See also Journal Article UNIT ROOT INFERENCE FOR NON-STATIONARY LINEAR PROCESSES DRIVEN BY INFINITE VARIANCE INNOVATIONS, Econometric Theory, Cambridge University Press (2018) View citations (6) (2018)
17. 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 (3) (2019)

2015

18. Semi-Parametric Seasonal Unit Root Tests
    DEA Working Papers, Universitat de les Illes Balears, Departament d'Economía Aplicada View citations (2)
    Also in Essex Finance Centre Working Papers, University of Essex, Essex Business School (2015) View citations (2)
    See also Journal Article SEMI-PARAMETRIC SEASONAL UNIT ROOT TESTS, Econometric Theory, Cambridge University Press (2018) View citations (5) (2018)
19. Sieve-based inference for infinite-variance linear processes
    Quaderni di Dipartimento, Department of Statistics, University of Bologna View citations (4)

2014

20. 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
    Also in Working Paper, Economics Department, Queen's University (2013) View citations (4)
    See also Journal Article 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, Elsevier (2015) View citations (14) (2015)

2013

21. 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
    See also Journal Article A Comparison of Sequential and Information-based Methods for Determining the Co-integration Rank in Heteroskedastic VAR Models, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2015) View citations (8) (2015)
22. Bootstrap Co-integration Rank Testing: The Effect of Bias-Correcting Parameter Estimates
    Working Papers, University of Mannheim, Department of Economics
    See also Journal Article Bootstrap Co-integration Rank Testing: The Effect of Bias-Correcting Parameter Estimates, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2015) View citations (2) (2015)
23. Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (4)
    Also in Discussion Papers, University of Copenhagen. Department of Economics (2013) View citations (2)
    See also Journal Article Inference on co-integration parameters in heteroskedastic vector autoregressions, Journal of Econometrics, Elsevier (2016) View citations (23) (2016)
24. On the Behaviour of Phillips-Perron Tests in the Presence of Persistent Cycles
    CEFAGE-UE Working Papers, University of Evora, CEFAGE-UE (Portugal) View citations (1)
    See also Journal Article On the Behaviour of Phillips–Perron Tests in the Presence of Persistent Cycles, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2015) View citations (5) (2015)

2012

25. Bootstrap Determination of the Co-integration Rank in Heteroskedastic VAR Models
    Discussion Papers, University of Copenhagen. Department of Economics View citations (20)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2012) View citations (16)
    See also Journal Article Bootstrap Determination of the Co-Integration Rank in Heteroskedastic VAR Models, Econometric Reviews, Taylor & Francis Journals (2014) View citations (19) (2014)
26. 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 View citations (2)
    Also in Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) (2011) View citations (3)
    See also Journal Article Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility, Econometric Reviews, Taylor & Francis Journals (2015) View citations (10) (2015)
27. The Performance of Lag Selection and Detrending Methods for HEGY Seasonal Unit Root Tests
    Economics Discussion Paper Series, Economics, The University of Manchester View citations (1)
    See also Journal Article The Performance of Lag Selection and Detrending Methods for HEGY Seasonal Unit Root Tests, Econometric Reviews, Taylor & Francis Journals (2016) View citations (14) (2016)

2011

28. Bootstrap determination of the co-integration rank in VAR models
    Quaderni di Dipartimento, Department of Statistics, University of Bologna View citations (8)
29. On Augmented HEGY Tests for Seasonal Unit Roots
    Economics Discussion Paper Series, Economics, The University of Manchester
    See also Journal Article ON AUGMENTED HEGY TESTS FOR SEASONAL UNIT ROOTS, Econometric Theory, Cambridge University Press (2012) View citations (15) (2012)
30. On the behaviour of fixed-b trend break tests under fractional integration
    Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics View citations (3)
    See also Journal Article ON THE BEHAVIOR OF FIXED-b TREND BREAK TESTS UNDER FRACTIONAL INTEGRATION, Econometric Theory, Cambridge University Press (2013) View citations (8) (2013)
31. Robust methods for detecting multiple level breaks in autocorrelated time series
    Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics
    Also in Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics (2010) View citations (37)
    See also Journal Article Robust methods for detecting multiple level breaks in autocorrelated time series, Journal of Econometrics, Elsevier (2010) View citations (35) (2010)
32. The Impact of Persistent Cycles on Zero Frequency Unit Root Tests
    Working Papers, Banco de Portugal, Economics and Research Department View citations (3)
    See also Journal Article THE IMPACT OF PERSISTENT CYCLES ON ZERO FREQUENCY UNIT ROOT TESTS, Econometric Theory, Cambridge University Press (2013) View citations (3) (2013)
33. Unit root testing under a local break in trend
    Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics
    Also in Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics (2010)
    See also Journal Article Unit root testing under a local break in trend, Journal of Econometrics, Elsevier (2012) View citations (10) (2012)
34. Wild bootstrap of the mean in the infinite variance case
    Quaderni di Dipartimento, Department of Statistics, University of Bologna

2010

35. Bootstrap Sequential Determination of the Co-integration Rank in VAR Models
    Discussion Papers, University of Copenhagen. Department of Economics View citations (4)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2010) View citations (3)
36. 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 View citations (2)
    See also Journal Article Bootstrap Cointegration Rank Testing: The Role of Deterministic Variables and Initial Values in the Bootstrap Recursion, Econometric Reviews, Taylor & Francis Journals (2013) View citations (7) (2013)
37. Bootstrap union tests for unit roots in the presence of nonstationary volatility
    Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) View citations (2)
    Also in Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics (2010) View citations (1)
    See also Journal Article BOOTSTRAP UNION TESTS FOR UNIT ROOTS IN THE PRESENCE OF NONSTATIONARY VOLATILITY, Econometric Theory, Cambridge University Press (2012) View citations (17) (2012)
38. Testing for seasonal unit roots by frequency domain regression
    Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics
    See also Journal Article Testing for seasonal unit roots by frequency domain regression, Journal of Econometrics, Elsevier (2014) View citations (5) (2014)

2009

39. Co-integration Rank Testing under Conditional Heteroskedasticity
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (11)
    See also Journal Article COINTEGRATION RANK TESTING UNDER CONDITIONAL HETEROSKEDASTICITY, Econometric Theory, Cambridge University Press (2010) View citations (47) (2010)
40. Co-integration rank tests under conditional heteroskedasticity
    Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics
41. 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 View citations (1)
42. 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 View citations (18)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2008) View citations (3)
    See also Journal Article TESTING FOR UNIT ROOTS IN THE PRESENCE OF A POSSIBLE BREAK IN TREND AND NONSTATIONARY VOLATILITY, Econometric Theory, Cambridge University Press (2011) View citations (14) (2011)
43. The Flexible Fourier Form and Local GLS De-trended Unit Root Tests
    Working Papers, Banco de Portugal, Economics and Research Department View citations (8)
44. The impact of the initial condition on robust tests for a linear trend
    Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics
    See also Journal Article The impact of the initial condition on robust tests for a linear trend, Journal of Time Series Analysis, Wiley Blackwell (2010) View citations (5) (2010)

2008

45. Seasonal unit root tests and the role of initial conditions
    Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics View citations (1)
    See also Journal Article Seasonal unit root tests and the role of initial conditions, Econometrics Journal, Royal Economic Society (2008) (2008)
46. Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (13)
    Also in Discussion Papers, University of Copenhagen. Department of Economics (2008) View citations (17)
    Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics (2007) View citations (7)
    See also Journal Article Testing for co-integration in vector autoregressions with non-stationary volatility, Journal of Econometrics, Elsevier (2010) View citations (50) (2010)
47. 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 View citations (3)
    See also Journal Article Testing for Unit Roots and the Impact of Quadratic Trends, with an Application to Relative Primary Commodity Prices, Econometric Reviews, Taylor & Francis Journals (2011) View citations (16) (2011)
48. 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 View citations (6)
    See also Journal Article Testing for unit roots in the presence of uncertainty over both the trend and initial condition, Journal of Econometrics, Elsevier (2012) View citations (21) (2012)

2007

49. Regression-based seasonal unit root tests
    Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics
    See also Journal Article REGRESSION-BASED SEASONAL UNIT ROOT TESTS, Econometric Theory, Cambridge University Press (2009) View citations (30) (2009)
50. 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 (5)
    See also Journal Article TESTING FOR A UNIT ROOT IN THE PRESENCE OF A POSSIBLE BREAK IN TREND, Econometric Theory, Cambridge University Press (2009) View citations (43) (2009)
51. 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
52. 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 View citations (1)
    See also Journal Article UNIT ROOT TESTING IN PRACTICE: DEALING WITH UNCERTAINTY OVER THE TREND AND INITIAL CONDITION, Econometric Theory, Cambridge University Press (2009) View citations (79) (2009)

2006

53. 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 A simple, robust and powerful test of the trend hypothesis, Journal of Econometrics, Elsevier (2007) View citations (62) (2007)
54. Efficient Tests of the Seasonal Unit Root Hypothesis*
    Discussion Papers, University of Nottingham, School of Economics View citations (1)
    Also in Economics Working Papers, European University Institute (2004) View citations (3)
    See also Journal Article Efficient tests of the seasonal unit root hypothesis, Journal of Econometrics, Elsevier (2007) View citations (22) (2007)
55. Simple, Robust and Powerful Tests of the Breaking Trend Hypothesis*
    Discussion Papers, University of Nottingham, School of Economics
    See also Journal Article SIMPLE, ROBUST, AND POWERFUL TESTS OF THE BREAKING TREND HYPOTHESIS, Econometric Theory, Cambridge University Press (2009) View citations (74) (2009)
56. Testing for a change in persistence in the presence of non-stationary volatility
    Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics View citations (7)
    See also Journal Article Testing for a change in persistence in the presence of non-stationary volatility, Journal of Econometrics, Elsevier (2008) View citations (17) (2008)

2005

57. On Robust Trend Function Hypothesis Testing
    Discussion Papers, Department of Economics, University of Birmingham
    See also Journal Article On Robust Trend Function Hypothesis Testing, Studies in Nonlinear Dynamics & Econometrics, De Gruyter (2006) View citations (1) (2006)
58. Testing the Null of Co-integration in the Presence of Variance Breaks
    Discussion Papers, Department of Economics, University of Birmingham
    See also Journal Article Testing the Null of Co‐integration in the Presence of Variance Breaks, Journal of Time Series Analysis, Wiley Blackwell (2006) View citations (5) (2006)

2004

59. Bootstrapping the HEGY Seasonal Unit Root Tests
    Econometric Society 2004 North American Summer Meetings, Econometric Society View citations (14)
    See also Journal Article Bootstrapping the HEGY seasonal unit root tests, Journal of Econometrics, Elsevier (2004) View citations (16) (2004)
60. Modified Tests for a Change in Persistence
    Econometric Society 2004 Australasian Meetings, Econometric Society View citations (7)
    See also Journal Article Modified tests for a change in persistence, Journal of Econometrics, Elsevier (2006) View citations (76) (2006)
61. 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 STATIONARITY TESTS FOR IRREGULARLY SPACED OBSERVATIONS AND THE EFFECTS OF SAMPLING FREQUENCY ON POWER, Econometric Theory, Cambridge University Press (2005) View citations (4) (2005)

2003

62. 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
63. 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 View citations (12)
    See also Journal Article Testing against stochastic trend and seasonality in the presence of unattended breaks and unit roots, Journal of Econometrics, Elsevier (2003) View citations (11) (2003)

1999

64. 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 (2)

1995

65. 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 (2)
    See also Journal Article Additional critical values and asymptotic representations for seasonal unit root tests, Journal of Econometrics, Elsevier (1998) View citations (44) (1998)

Undated

66. Additional Critical Values and Asymptotic Representations for Monthly Seasonal Unit Root Tests
    Discussion Papers, Department of Economics, University of York View citations (1)
67. 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 Determining the order of differencing in seasonal time series processes, Econometrics Journal, Royal Economic Society (2000) View citations (3) (2000)
68. On the Definitions of (Co-)Integration
    Discussion Papers, Department of Economics, University of York View citations (14)
    See also Journal Article On the Definitions of (Co‐)integration, Journal of Time Series Analysis, Wiley Blackwell (1999) View citations (1) (1999)
69. 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 View citations (1)
70. Testing for Seasonal Unit Roots: a simple alternative to HEGY
    Discussion Papers, Department of Economics, University of York View citations (1)

Journal Articles

2025

1. Bonferroni‐Type Tests for Return Predictability With Possibly Trending Predictors
   Journal of Applied Econometrics, 2025, 40, (1), 37-56
2. Editorial Announcement: Journal of Time Series Analysis Distinguished Authors 2024
   Journal of Time Series Analysis, 2025, 46, (2), 213-213

2024

3. Bonferroni Type Tests for Return Predictability and the Initial Condition
   Journal of Business & Economic Statistics, 2024, 42, (2), 499-515
4. Call for Papers: Special Issue on Recent Developments in Time Series Methods for Detecting Bubbles and Crashes
   Journal of Time Series Analysis, 2024, 45, (2), 163-163

2023

5. Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models
   Econometric Reviews, 2023, 42, (9-10), 725-757
   See also Working Paper Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models, Papers (2022) (2022)
6. CUSUM-Based Monitoring for Explosive Episodes in Financial Data in the Presence of Time-Varying Volatility*
   Journal of Financial Econometrics, 2023, 21, (1), 187-227
7. Editorial Announcement
   Journal of Time Series Analysis, 2023, 44, (5-6), 439-439
8. Editorial Announcement: Journal of Time Series Analysis Distinguished Authors 2022
   Journal of Time Series Analysis, 2023, 44, (1), 3-3
9. Editorial announcement
   Journal of Time Series Analysis, 2023, 44, (4), 335-335
10. Extensions to IVX methods of inference for return predictability
    Journal of Econometrics, 2023, 237, (2) View citations (1)
    See also Working Paper Extensions to IVX methods of inference for return predictability, Working Papers (2021) View citations (4) (2021)
11. Improved tests for stock return predictability
    Econometric Reviews, 2023, 42, (9-10), 834-861
12. In memory of Michael McAleer: special issue of Econometric Reviews
    Econometric Reviews, 2023, 42, (9-10), 700-702
13. Transformed regression-based long-horizon predictability tests
    Journal of Econometrics, 2023, 237, (2) View citations (2)
14. Using covariates to improve the efficacy of univariate bubble detection methods
    Journal of Empirical Finance, 2023, 70, (C), 342-366 View citations (4)

2022

15. Adaptive Inference in Heteroscedastic Fractional Time Series Models
    Journal of Business & Economic Statistics, 2022, 40, (1), 50-65 View citations (5)
    See also Working Paper Adaptive Inference in Heteroskedastic Fractional Time Series Models, CREATES Research Papers (2020) View citations (3) (2020)
16. Editorial Announcement: Journal of Time Series Analysis Distinguished Authors 2021
    Journal of Time Series Analysis, 2022, 43, (1), 4-4
17. Editorial Announcement: Professor Michael McAleer
    Journal of Time Series Analysis, 2022, 43, (1), 3-3
18. Semiparametric Tests for the Order of Integration in the Possible Presence of Level Breaks
    Journal of Business & Economic Statistics, 2022, 40, (2), 880-896
    See also Working Paper Semiparametric Tests for the Order of Integration in the Possible Presence of Level Breaks, CREATES Research Papers (2021) View citations (4) (2021)
19. Testing for episodic predictability in stock returns
    Journal of Econometrics, 2022, 227, (1), 85-113 View citations (5)
    See also Working Paper Testing for Episodic Predictability in Stock Returns, Working Papers (2019) View citations (3) (2019)

2021

20. Corrigendum to “A Generalised Fractional Differencing Bootstrap for Long Memory Processes” Journal of Time Series Analysis 40: 467‐492 (2019) DOI: 10.1111/jtsa.12460
    Journal of Time Series Analysis, 2021, 42, (4), 492-492
21. Editorial Announcement
    Journal of Time Series Analysis, 2021, 42, (2), 139-139
22. Editorial announcement: Journal of Time Series Analysis Distinguished Authors 2020
    Journal of Time Series Analysis, 2021, 42, (1), 3-3
23. Multivariate fractional integration tests allowing for conditional heteroskedasticity with an application to return volatility and trading volume
    Journal of Applied Econometrics, 2021, 36, (5), 544-565
    See also Working Paper Multivariate Fractional Integration Tests allowing for Conditional Heteroskedasticity with an Application to Return Volatility and Trading Volume, Working Papers (2021) (2021)
24. Real‐time detection of regimes of predictability in the US equity premium
    Journal of Applied Econometrics, 2021, 36, (1), 45-70 View citations (6)
25. Simple tests for stock return predictability with good size and power properties
    Journal of Econometrics, 2021, 224, (1), 198-214 View citations (5)

2020

26. Deterministic Parameter Change Models in Continuous and Discrete Time
    Journal of Time Series Analysis, 2020, 41, (1), 134-145 View citations (1)
27. Editorial Announcement: Journal of Time Series Analysis Distinguished Authors
    Journal of Time Series Analysis, 2020, 41, (4), 489-490
28. Level shift estimation in the presence of non-stationary volatility with an application to the unit root testing problem
    Journal of Econometrics, 2020, 219, (2), 354-388 View citations (3)
    See also Working Paper Level Shift Estimation in the Presence of Non-stationary Volatility with an Application to the Unit Root Testing Problem, Monash Econometrics and Business Statistics Working Papers (2020) View citations (3) (2020)

2019

29. A Bootstrap Stationarity Test for Predictive Regression Invalidity
    Journal of Business & Economic Statistics, 2019, 37, (3), 528-541 View citations (9)
    See also Working Paper A bootstrap stationarity test for predictive regression invalidity, Discussion Papers (2017) View citations (1) (2017)
30. A Generalised Fractional Differencing Bootstrap for Long Memory Processes
    Journal of Time Series Analysis, 2019, 40, (4), 467-492 View citations (6)
31. Editorial Announcement
    Journal of Time Series Analysis, 2019, 40, (4), 385-385
32. TESTING THE ORDER OF FRACTIONAL INTEGRATION OF A TIME SERIES IN THE POSSIBLE PRESENCE OF A TREND BREAK AT AN UNKNOWN POINT
    Econometric Theory, 2019, 35, (6), 1201-1233 View citations (4)
33. Temporal Aggregation of Seasonally Near‐Integrated Processes
    Journal of Time Series Analysis, 2019, 40, (6), 872-886 View citations (4)
    See also Working Paper Temporal Aggregation of Seasonally Near-Integrated Processes, DEA Working Papers (2018) (2018)
34. Wild bootstrap seasonal unit root tests for time series with periodic nonstationary volatility
    Econometric Reviews, 2019, 38, (5), 509-532 View citations (3)
    See also Working Paper Wild Bootstrap Seasonal Unit Root Tests for Time Series with Periodic Non-Stationary Volatility, Working Papers (2016) (2016)

2018

35. DETERMINING THE COINTEGRATION RANK IN HETEROSKEDASTIC VAR MODELS OF UNKNOWN ORDER
    Econometric Theory, 2018, 34, (2), 349-382 View citations (12)
    See also Working Paper Determining the Cointegration Rank in Heteroskedastic VAR Models of Unknown Order, Essex Finance Centre Working Papers (2016) View citations (3) (2016)
36. Editorial Announcement
    Journal of Time Series Analysis, 2018, 39, (6), 813-813
37. Editorial, January 2018
    Journal of Time Series Analysis, 2018, 39, (1), 3-3
38. Editorial, September 2018
    Journal of Time Series Analysis, 2018, 39, (5), 639-639
39. Real‐Time Monitoring for Explosive Financial Bubbles
    Journal of Time Series Analysis, 2018, 39, (6), 863-891 View citations (6)
40. Robust tests for deterministic seasonality and seasonal mean shifts
    Econometrics Journal, 2018, 21, (3), 277-297
41. SEMI-PARAMETRIC SEASONAL UNIT ROOT TESTS
    Econometric Theory, 2018, 34, (2), 447-476 View citations (5)
    See also Working Paper Semi-Parametric Seasonal Unit Root Tests, DEA Working Papers (2015) View citations (2) (2015)
42. SPECIAL ISSUE OF ECONOMETRIC THEORY IN HONOR OF PROFESSOR RICHARD J. SMITH: GUEST EDITORS’ INTRODUCTION
    Econometric Theory, 2018, 34, (2), 247-252
43. Special Issue of the Journal of Time Series Analysis In Honour of Professor Paul Newbold: Guest Editors' Introduction
    Journal of Time Series Analysis, 2018, 39, (6), 814-815
44. Testing for parameter instability in predictive regression models
    Journal of Econometrics, 2018, 204, (1), 101-118 View citations (24)
45. UNIT ROOT INFERENCE FOR NON-STATIONARY LINEAR PROCESSES DRIVEN BY INFINITE VARIANCE INNOVATIONS
    Econometric Theory, 2018, 34, (2), 302-348 View citations (6)
    See also Working Paper Unit root inference for non-stationary linear processes driven by infinite variance innovations, Quaderni di Dipartimento (2016) View citations (3) (2016)

2017

46. Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form
    Journal of Econometrics, 2017, 198, (1), 165-188 View citations (12)
    See also Working Paper Quasi-Maximum Likelihood Estimation and Bootstrap Inference in Fractional Time Series Models with Heteroskedasticity of Unknown Form, CREATES Research Papers (2017) View citations (14) (2017)
47. Tests for an end-of-sample bubble in financial time series
    Econometric Reviews, 2017, 36, (6-9), 651-666 View citations (9)
    See also Working Paper Tests for an end-of-sample bubble in financial time series, Discussion Papers (2016) View citations (3) (2016)
48. Unit Root Tests and Heavy-Tailed Innovations
    Journal of Time Series Analysis, 2017, 38, (5), 733-768 View citations (2)
    See also Working Paper Unit Root Tests and Heavy-Tailed Innovations, Essex Finance Centre Working Papers (2017) View citations (2) (2017)

2016

49. Inference on co-integration parameters in heteroskedastic vector autoregressions
    Journal of Econometrics, 2016, 192, (1), 64-85 View citations (23)
    See also Working Paper Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions, Tinbergen Institute Discussion Papers (2013) View citations (4) (2013)
50. Special issue of the Journal of Empirical Finance Guest Editors' introduction
    Journal of Empirical Finance, 2016, 38, (PB), 513-515
51. Tests for explosive financial bubbles in the presence of non-stationary volatility
    Journal of Empirical Finance, 2016, 38, (PB), 548-574 View citations (86)
52. 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 View citations (8)
    See also Working Paper 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 (2016) View citations (7) (2016)
53. The Performance of Lag Selection and Detrending Methods for HEGY Seasonal Unit Root Tests
    Econometric Reviews, 2016, 35, (1), 122-168 View citations (14)
    See also Working Paper The Performance of Lag Selection and Detrending Methods for HEGY Seasonal Unit Root Tests, Economics Discussion Paper Series (2012) View citations (1) (2012)

2015

54. 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 View citations (8)
    See also Working Paper A comparison of sequential and information-based methods for determining the co-integration rank in heteroskedastic VAR models, Quaderni di Dipartimento (2013) (2013)
55. Bootstrap Co-integration Rank Testing: The Effect of Bias-Correcting Parameter Estimates
    Oxford Bulletin of Economics and Statistics, 2015, 77, (5), 740-759 View citations (2)
    See also Working Paper Bootstrap Co-integration Rank Testing: The Effect of Bias-Correcting Parameter Estimates, Working Papers (2013) (2013)
56. 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 View citations (14)
    See also Working Paper 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 (2014) (2014)
57. Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility
    Econometric Reviews, 2015, 34, (4), 512-536 View citations (10)
    See also Working Paper Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility, Cowles Foundation Discussion Papers (2012) View citations (2) (2012)
58. On the Behaviour of Phillips–Perron Tests in the Presence of Persistent Cycles
    Oxford Bulletin of Economics and Statistics, 2015, 77, (4), 495-511 View citations (5)
    See also Working Paper On the Behaviour of Phillips-Perron Tests in the Presence of Persistent Cycles, CEFAGE-UE Working Papers (2013) View citations (1) (2013)
59. Robust and Powerful Tests for Nonlinear Deterministic Components
    Oxford Bulletin of Economics and Statistics, 2015, 77, (6), 780-799 View citations (8)
60. 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 View citations (3)

2014

61. 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 View citations (11)
62. Bootstrap Determination of the Co-Integration Rank in Heteroskedastic VAR Models
    Econometric Reviews, 2014, 33, (5-6), 606-650 View citations (19)
    See also Working Paper Bootstrap Determination of the Co-integration Rank in Heteroskedastic VAR Models, Discussion Papers (2012) View citations (20) (2012)
63. On infimum Dickey–Fuller unit root tests allowing for a trend break under the null
    Computational Statistics & Data Analysis, 2014, 78, (C), 235-242 View citations (2)
64. Robust tests for a linear trend with an application to equity indices
    Journal of Empirical Finance, 2014, 29, (C), 168-185
65. Testing for seasonal unit roots by frequency domain regression
    Journal of Econometrics, 2014, 178, (P2), 243-258 View citations (5)
    See also Working Paper Testing for seasonal unit roots by frequency domain regression, Discussion Papers (2010) (2010)
66. 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 View citations (4)

2013

67. A Review of Unit Root Tests in Time Series: Volumes 1 and 2
    Econometrics Journal, 2013, 16, (3), B5-B8
68. A bootstrap test for additive outliers in non-stationary time series
    Journal of Time Series Analysis, 2013, 34, (4), 454-465 View citations (2)
69. Bootstrap Cointegration Rank Testing: The Role of Deterministic Variables and Initial Values in the Bootstrap Recursion
    Econometric Reviews, 2013, 32, (7), 814-847 View citations (7)
    See also Working Paper Bootstrap co-integration rank testing: the role of deterministic variables and initial values in the bootstrap recursion, Discussion Papers (2010) View citations (2) (2010)
70. Editorial
    Journal of Time Series Analysis, 2013, 34, (2), 139-140
71. Editorial Announcement
    Journal of Time Series Analysis, 2013, 34, (6), 605-605
72. ON THE BEHAVIOR OF FIXED-b TREND BREAK TESTS UNDER FRACTIONAL INTEGRATION
    Econometric Theory, 2013, 29, (2), 393-418 View citations (8)
    See also Working Paper On the behaviour of fixed-b trend break tests under fractional integration, Discussion Papers (2011) View citations (3) (2011)
73. THE IMPACT OF PERSISTENT CYCLES ON ZERO FREQUENCY UNIT ROOT TESTS
    Econometric Theory, 2013, 29, (6), 1289-1313 View citations (3)
    See also Working Paper The Impact of Persistent Cycles on Zero Frequency Unit Root Tests, Working Papers (2011) View citations (3) (2011)
74. Testing for a break in trend when the order of integration is unknown
    Journal of Econometrics, 2013, 176, (1), 30-45 View citations (13)
75. 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 View citations (45)
76. Wild Bootstrap of the Sample Mean in the Infinite Variance Case
    Econometric Reviews, 2013, 32, (2), 204-219 View citations (4)

2012

77. BOOTSTRAP UNION TESTS FOR UNIT ROOTS IN THE PRESENCE OF NONSTATIONARY VOLATILITY
    Econometric Theory, 2012, 28, (2), 422-456 View citations (17)
    See also Working Paper Bootstrap union tests for unit roots in the presence of nonstationary volatility, Research Memorandum (2010) View citations (2) (2010)
78. Bootstrap Determination of the Co‐Integration Rank in Vector Autoregressive Models
    Econometrica, 2012, 80, (4), 1721-1740 View citations (73)
79. ON AUGMENTED HEGY TESTS FOR SEASONAL UNIT ROOTS
    Econometric Theory, 2012, 28, (5), 1121-1143 View citations (15)
    See also Working Paper On Augmented HEGY Tests for Seasonal Unit Roots, Economics Discussion Paper Series (2011) (2011)
80. Testing for unit roots in the presence of uncertainty over both the trend and initial condition
    Journal of Econometrics, 2012, 169, (2), 188-195 View citations (21)
    See also Working Paper Testing for unit roots in the presence of uncertainty over both the trend and initial condition, Discussion Papers (2008) View citations (6) (2008)
81. 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 View citations (60)
82. Unit root testing under a local break in trend
    Journal of Econometrics, 2012, 167, (1), 140-167 View citations (10)
    See also Working Paper Unit root testing under a local break in trend, Discussion Papers (2011) (2011)

2011

83. SPECIAL ISSUE OF ECONOMETRIC THEORY ON BOOTSTRAP AND NUMERICAL METHODS IN TIME SERIES: GUEST EDITORS’ INTRODUCTION
    Econometric Theory, 2011, 27, (5), 929-932
84. TESTING FOR UNIT ROOTS IN THE PRESENCE OF A POSSIBLE BREAK IN TREND AND NONSTATIONARY VOLATILITY
    Econometric Theory, 2011, 27, (5), 957-991 View citations (14)
    See also Working Paper Testing for unit roots in the presence of a possible break in trend and non-stationary volatility, Discussion Papers (2009) View citations (18) (2009)
85. 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 View citations (16)
    See also Working Paper Testing for unit roots and the impact of quadratic trends, with an application to relative primary commodity prices, Discussion Papers (2008) View citations (3) (2008)

2010

86. COINTEGRATION RANK TESTING UNDER CONDITIONAL HETEROSKEDASTICITY
    Econometric Theory, 2010, 26, (6), 1719-1760 View citations (47)
    See also Working Paper Co-integration Rank Testing under Conditional Heteroskedasticity, CREATES Research Papers (2009) View citations (11) (2009)
87. Robust methods for detecting multiple level breaks in autocorrelated time series
    Journal of Econometrics, 2010, 157, (2), 342-358 View citations (35)
    See also Working Paper Robust methods for detecting multiple level breaks in autocorrelated time series, Discussion Papers (2011) (2011)
88. Testing for co-integration in vector autoregressions with non-stationary volatility
    Journal of Econometrics, 2010, 158, (1), 7-24 View citations (50)
    See also Working Paper Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility, CREATES Research Papers (2008) View citations (13) (2008)
89. The impact of the initial condition on robust tests for a linear trend
    Journal of Time Series Analysis, 2010, 31, (4), 292-302 View citations (5)
    See also Working Paper The impact of the initial condition on robust tests for a linear trend, Discussion Papers (2009) (2009)

2009

90. A Note on Testing Covariance Stationarity
    Econometric Reviews, 2009, 28, (4), 364-371 View citations (1)
91. Bootstrap M Unit Root Tests
    Econometric Reviews, 2009, 28, (5), 393-421 View citations (15)
92. HETEROSKEDASTIC TIME SERIES WITH A UNIT ROOT
    Econometric Theory, 2009, 25, (5), 1228-1276 View citations (57)
93. REGRESSION-BASED SEASONAL UNIT ROOT TESTS
    Econometric Theory, 2009, 25, (2), 527-560 View citations (30)
    See also Working Paper Regression-based seasonal unit root tests, Discussion Papers (2007) (2007)
94. REJOINDER
    Econometric Theory, 2009, 25, (3), 658-667 View citations (1)
95. SIMPLE, ROBUST, AND POWERFUL TESTS OF THE BREAKING TREND HYPOTHESIS
    Econometric Theory, 2009, 25, (4), 995-1029 View citations (74)
    See also Working Paper Simple, Robust and Powerful Tests of the Breaking Trend Hypothesis*, Discussion Papers (2006) (2006)
96. SPECIAL ISSUE OF ECONOMETRIC THEORY IN HONOR OF PAUL NEWBOLD: GUEST EDITORS’ INTRODUCTION
    Econometric Theory, 2009, 25, (6), 1451-1456
97. TESTING FOR A UNIT ROOT IN THE PRESENCE OF A POSSIBLE BREAK IN TREND
    Econometric Theory, 2009, 25, (6), 1545-1588 View citations (43)
    See also Working Paper Testing for a unit root in the presence of a possible break in trend, Discussion Papers (2007) View citations (5) (2007)
98. UNIT ROOT TESTING IN PRACTICE: DEALING WITH UNCERTAINTY OVER THE TREND AND INITIAL CONDITION
    Econometric Theory, 2009, 25, (3), 587-636 View citations (79)
    See also Working Paper Unit root testing in practice: dealing with uncertainty over the trend and initial condition, Discussion Papers (2007) View citations (1) (2007)

2008

99. BOOTSTRAP UNIT ROOT TESTS FOR TIME SERIES WITH NONSTATIONARY VOLATILITY
    Econometric Theory, 2008, 24, (1), 43-71 View citations (99)
100. 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
101. Seasonal unit root tests and the role of initial conditions
     Econometrics Journal, 2008, 11, (3), 409-442
     See also Working Paper Seasonal unit root tests and the role of initial conditions, Discussion Papers (2008) View citations (1) (2008)
102. Testing for a change in persistence in the presence of non-stationary volatility
     Journal of Econometrics, 2008, 147, (1), 84-98 View citations (17)
     See also Working Paper Testing for a change in persistence in the presence of non-stationary volatility, Discussion Papers (2006) View citations (7) (2006)
103. Time‐Transformed Unit Root Tests for Models with Non‐Stationary Volatility
     Journal of Time Series Analysis, 2008, 29, (2), 300-330 View citations (33)

2007

104. A simple, robust and powerful test of the trend hypothesis
     Journal of Econometrics, 2007, 141, (2), 1302-1330 View citations (62)
     See also Working Paper A simple, robust and powerful test of the trend hypothesis, Discussion Papers (2006) (2006)
105. CUSUM of Squares‐Based Tests for a Change in Persistence
     Journal of Time Series Analysis, 2007, 28, (3), 408-433 View citations (43)
106. Conference in honour of Paul Newbold
     Economics Bulletin, 2007, 28, (31), A0
107. Detecting Multiple Changes in Persistence
     Studies in Nonlinear Dynamics & Econometrics, 2007, 11, (3), 34 View citations (55)
108. Efficient tests of the seasonal unit root hypothesis
     Journal of Econometrics, 2007, 141, (2), 548-573 View citations (22)
     See also Working Paper Efficient Tests of the Seasonal Unit Root Hypothesis*, Discussion Papers (2006) View citations (1) (2006)
109. 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 View citations (2)
110. Testing for unit roots in time series models with non-stationary volatility
     Journal of Econometrics, 2007, 140, (2), 919-947 View citations (125)

2006

111. Additive Outlier Detection Via Extreme‐Value Theory
     Journal of Time Series Analysis, 2006, 27, (5), 685-701 View citations (19)
112. Modified tests for a change in persistence
     Journal of Econometrics, 2006, 134, (2), 441-469 View citations (76)
     See also Working Paper Modified Tests for a Change in Persistence, Econometric Society 2004 Australasian Meetings (2004) View citations (7) (2004)
113. On Robust Trend Function Hypothesis Testing
     Studies in Nonlinear Dynamics & Econometrics, 2006, 10, (1), 27 View citations (1)
     See also Working Paper On Robust Trend Function Hypothesis Testing, Discussion Papers (2005) (2005)
114. Persistence change tests and shifting stable autoregressions
     Economics Letters, 2006, 91, (1), 44-49 View citations (5)
115. Regression‐based Tests for a Change in Persistence*
     Oxford Bulletin of Economics and Statistics, 2006, 68, (5), 595-621 View citations (17)
116. 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 (10)
117. Testing the Null of Co‐integration in the Presence of Variance Breaks
     Journal of Time Series Analysis, 2006, 27, (4), 613-636 View citations (5)
     See also Working Paper Testing the Null of Co-integration in the Presence of Variance Breaks, Discussion Papers (2005) (2005)

2005

118. Fluctuation Tests for a Change in Persistence
     Oxford Bulletin of Economics and Statistics, 2005, 67, (2), 207-230 View citations (11)
119. On the limiting behaviour of augmented seasonal unit root tests
     Economics Bulletin, 2005, 3, (3), 1-10
120. 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 (7)
121. STATIONARITY TESTS FOR IRREGULARLY SPACED OBSERVATIONS AND THE EFFECTS OF SAMPLING FREQUENCY ON POWER
     Econometric Theory, 2005, 21, (4), 757-794 View citations (4)
     See also Working Paper Stationarity Tests for Irregularly Spaced Observations and the Effects of Sampling Frequency on Power, Econometric Society 2004 Far Eastern Meetings (2004) (2004)
122. STATIONARITY TESTS UNDER TIME-VARYING SECOND MOMENTS
     Econometric Theory, 2005, 21, (6), 1112-1129 View citations (31)
123. Variance ratio tests of the seasonal unit root hypothesis
     Journal of Econometrics, 2005, 124, (1), 33-54 View citations (16)

2004

124. ASYMPTOTIC DISTRIBUTIONS FOR REGRESSION-BASED SEASONAL UNIT ROOT TEST STATISTICS IN A NEAR-INTEGRATED MODEL
     Econometric Theory, 2004, 20, (4), 645-670 View citations (10)
125. Alternative estimators and unit root tests for seasonal autoregressive processes
     Journal of Econometrics, 2004, 120, (1), 35-73 View citations (11)
126. Bootstrapping the HEGY seasonal unit root tests
     Journal of Econometrics, 2004, 123, (1), 67-87 View citations (16)
     See also Working Paper Bootstrapping the HEGY Seasonal Unit Root Tests, Econometric Society 2004 North American Summer Meetings (2004) View citations (14) (2004)
127. ON TESTS FOR DOUBLE DIFFERENCING: METHODS OF DEMEANING AND DETRENDING AND THE ROLE OF INITIAL VALUES
     Econometric Theory, 2004, 20, (1), 95-115 View citations (1)
128. On tests for changes in persistence
     Economics Letters, 2004, 84, (1), 107-115 View citations (17)
129. Some New Tests for a Change in Persistence
     Economics Bulletin, 2004, 3, (39), 1-10 View citations (8)
130. Tests of stationarity against a change in persistence
     Journal of Econometrics, 2004, 123, (1), 33-66 View citations (153)

2003

131. 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 (25)
132. Locally Optimal Tests Against Unit Roots in Seasonal Time Series Processes
     Journal of Time Series Analysis, 2003, 24, (5), 591-612 View citations (9)
133. ON THE ASYMPTOTIC PROPERTIES OF SOME SEASONAL UNIT ROOT TESTS
     Econometric Theory, 2003, 19, (2), 311-321 View citations (4)
134. Robust Stationarity Tests in Seasonal Time Series Processes
     Journal of Business & Economic Statistics, 2003, 21, (1), 156-63 View citations (16)
135. Seasonal Unit Root Tests Based on Forward and Reverse Estimation
     Journal of Time Series Analysis, 2003, 24, (4), 441-460 View citations (2)
136. Testing against stochastic trend and seasonality in the presence of unattended breaks and unit roots
     Journal of Econometrics, 2003, 117, (1), 21-53 View citations (11)
     See also Working Paper Testing against stochastic trend and seasonality in the presence of unattended breaks and unit roots, Temi di discussione (Economic working papers) (2003) View citations (12) (2003)
137. Variance Shifts, Structural Breaks, and Stationarity Tests
     Journal of Business & Economic Statistics, 2003, 21, (4), 510-31 View citations (22)

2002

138. An optimal test against a random walk component in a non-orthogonal unobserved components model
     Econometrics Journal, 2002, 5, (2), 520-532 View citations (5)
139. Can Tests for Stochastic Unit Roots Provide Useful Portmanteau Tests for Persistence?
     Oxford Bulletin of Economics and Statistics, 2002, 64, (4), 381-397 View citations (6)
140. 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 (32)

2001

141. On regression-based tests for seasonal unit roots in the presence of periodic heteroscedasticity
     Journal of Econometrics, 2001, 104, (1), 91-117 View citations (32)
142. 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 (34)
143. Recursive and rolling regression-based tests of the seasonal unit root hypothesis
     Journal of Econometrics, 2001, 105, (2), 309-336 View citations (6)
144. Tests of the Seasonal Unit-Root Hypothesis against Heteroscedastic Seasonal Integration
     Journal of Business & Economic Statistics, 2001, 19, (2), 192-207 View citations (5)

2000

145. Determining the order of differencing in seasonal time series processes
     Econometrics Journal, 2000, 3, (2), 250-264 View citations (3)
     See also Working Paper Determining the Order of Differencing in Seasonal Time Series Processes, Discussion Papers View citations (1)
146. On the Power of GLS‐Type Unit Root Tests
     Oxford Bulletin of Economics and Statistics, 2000, 62, (5), 633-645 View citations (2)
147. 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 (7)

1999

148. Detecting Seasonal Unit Roots: an Approach Based on the Sample Autocorrelation Function
     Manchester School, 1999, 67, (3), 261-286 View citations (1)
149. Likelihood Ratio Tests for Seasonal Unit Roots
     Journal of Time Series Analysis, 1999, 20, (4), 453-476 View citations (22)
150. On the Definitions of (Co‐)integration
     Journal of Time Series Analysis, 1999, 20, (2), 129-137 View citations (1)
     See also Working Paper On the Definitions of (Co-)Integration, Discussion Papers View citations (14)

1998

151. Additional critical values and asymptotic representations for seasonal unit root tests
     Journal of Econometrics, 1998, 85, (2), 269-288 View citations (44)
     See also Working Paper Additional Critical Values and Asymptotic Representations for Seasonal Unit Roots Tests, Cambridge Working Papers in Economics (1995) (1995)
152. Testing for Unit Roots in Monthly Time Series
     Journal of Time Series Analysis, 1998, 19, (3), 349-368 View citations (33)

1997

153. Book Reviews
     Asia Pacific Business Review, 1997, 3, (3), 193-194
154. Controversy: On Modelling the Long Run in Applied Economics
     Economic Journal, 1997, 107, (440), 165-68 View citations (1)
155. On the practical problems of computing seasonal unit root tests
     International Journal of Forecasting, 1997, 13, (3), 307-318 View citations (15)

Chapters

2022

1. Introduction and Overview
   Springer View citations (1)