Details about Robert Taylor
Access statistics for papers by Robert Taylor.
Last updated 2023-11-07. Update your information in the RePEc Author Service.
Short-id: pta27
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Working Papers
2022
- Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models
Papers, arXiv.org 
See also Journal Article in Econometric Reviews (2023)
2021
- Extensions to IVX methods of inference for return predictability
Working Papers, Banco de Portugal, Economics and Research Department View citations (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 in Journal of Applied Econometrics (2021)
- 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 (3)
Also in Working Paper, Economics Department, Queen's University (2020) 
See also Journal Article in Journal of Business & Economic Statistics (2022)
2020
- 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 in Journal of Business & Economic Statistics (2022)
- 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 in Journal of Econometrics (2020)
2019
- Testing for Episodic Predictability in Stock Returns
Working Papers, Banco de Portugal, Economics and Research Department View citations (3)
See also Journal Article in Journal of Econometrics (2022)
2018
- Temporal Aggregation of Seasonally Near-Integrated Processes
DEA Working Papers, Universitat de les Illes Balears, Departament d'Economía Aplicada 
See also Journal Article in Journal of Time Series Analysis (2019)
2017
- 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 in Journal of Business & Economic Statistics (2019)
- 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 (12)
Also in Working Paper, Economics Department, Queen's University (2016) View citations (2)
See also Journal Article in Journal of Econometrics (2017)
- 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 in Journal of Time Series Analysis (2017)
2016
- 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 in Econometric Theory (2018)
- 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 in Econometric Reviews (2017)
- 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 (5)
See also Journal Article in Journal of Econometrics (2016)
- 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 in Econometric Theory (2018)
- 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 in Econometric Reviews (2019)
2015
- 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 in Econometric Theory (2018)
- Sieve-based inference for infinite-variance linear processes
Quaderni di Dipartimento, Department of Statistics, University of Bologna View citations (4)
2014
- 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 in Journal of Econometrics (2015)
2013
- 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 in Oxford Bulletin of Economics and Statistics (2015)
- Bootstrap Co-integration Rank Testing: The Effect of Bias-Correcting Parameter Estimates
Working Papers, University of Mannheim, Department of Economics 
See also Journal Article in Oxford Bulletin of Economics and Statistics (2015)
- 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 in Journal of Econometrics (2016)
- 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 in Oxford Bulletin of Economics and Statistics (2015)
2012
- 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 in Econometric Reviews (2014)
- 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 in Econometric Reviews (2015)
- 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 in Econometric Reviews (2016)
2011
- Bootstrap determination of the co-integration rank in VAR models
Quaderni di Dipartimento, Department of Statistics, University of Bologna View citations (8)
- On Augmented HEGY Tests for Seasonal Unit Roots
Economics Discussion Paper Series, Economics, The University of Manchester 
See also Journal Article in Econometric Theory (2012)
- 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 in Econometric Theory (2013)
- 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 (35)
See also Journal Article in Journal of Econometrics (2010)
- 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 in Econometric Theory (2013)
- 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 in Journal of Econometrics (2012)
- Wild bootstrap of the mean in the infinite variance case
Quaderni di Dipartimento, Department of Statistics, University of Bologna
2010
- 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)
- 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 in Econometric Reviews (2013)
- 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 in Econometric Theory (2012)
- Testing for seasonal unit roots by frequency domain regression
Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics 
See also Journal Article in Journal of Econometrics (2014)
2009
- 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 in Econometric Theory (2010)
- Co-integration rank tests under conditional heteroskedasticity
Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics
- 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)
- 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 in Econometric Theory (2011)
- The Flexible Fourier Form and Local GLS De-trended Unit Root Tests
Working Papers, Banco de Portugal, Economics and Research Department View citations (8)
- 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 in Journal of Time Series Analysis (2010)
2008
- 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 in Econometrics Journal (2008)
- 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 in Journal of Econometrics (2010)
- 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 in Econometric Reviews (2011)
- 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 in Journal of Econometrics (2012)
2007
- Regression-based seasonal unit root tests
Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics 
See also Journal Article in Econometric Theory (2009)
- 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 in Econometric Theory (2009)
- 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
- 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 in Econometric Theory (2009)
2006
- 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)
- 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 in Journal of Econometrics (2007)
- 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)
- 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 (6)
See also Journal Article in Journal of Econometrics (2008)
2005
- 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)
- 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
- Bootstrapping the HEGY Seasonal Unit Root Tests
Econometric Society 2004 North American Summer Meetings, Econometric Society View citations (14)
See also Journal Article in Journal of Econometrics (2004)
- Modified Tests for a Change in Persistence
Econometric Society 2004 Australasian Meetings, Econometric Society View citations (7)
See also Journal Article in Journal of Econometrics (2006)
- 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
- 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
- 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 in Journal of Econometrics (2003)
1999
- 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
- 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 in Journal of Econometrics (1998)
Undated
- Additional Critical Values and Asymptotic Representations for Monthly Seasonal Unit Root Tests
Discussion Papers, Department of Economics, University of York View citations (1)
- Determining the Order of Differencing in Seasonal Time Series Processes
Discussion Papers, Department of Economics, University of York View citations (1)
See also Journal Article in Econometrics Journal (2000)
- On the Definitions of (Co-)Integration
Discussion Papers, Department of Economics, University of York View citations (14)
See also Journal Article in Journal of Time Series Analysis (1999)
- 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)
- Testing for Seasonal Unit Roots: a simple alternative to HEGY
Discussion Papers, Department of Economics, University of York View citations (1)
Journal Articles
2023
- 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 (2022)
- CUSUM-Based Monitoring for Explosive Episodes in Financial Data in the Presence of Time-Varying Volatility*
(Tests for an End-of-Sample Bubble in Financial Time Series)
The Journal of Financial Econometrics, 2023, 21, (1), 187-227
- Editorial Announcement
Journal of Time Series Analysis, 2023, 44, (5-6), 439-439
- Editorial Announcement: Journal of Time Series Analysis Distinguished Authors 2022
Journal of Time Series Analysis, 2023, 44, (1), 3-3
- Editorial announcement
Journal of Time Series Analysis, 2023, 44, (4), 335-335
- Improved tests for stock return predictability
Econometric Reviews, 2023, 42, (9-10), 834-861
- In memory of Michael McAleer: special issue of Econometric Reviews
Econometric Reviews, 2023, 42, (9-10), 700-702
- Using covariates to improve the efficacy of univariate bubble detection methods
Journal of Empirical Finance, 2023, 70, (C), 342-366
2022
- Adaptive Inference in Heteroscedastic Fractional Time Series Models
Journal of Business & Economic Statistics, 2022, 40, (1), 50-65 View citations (3)
See also Working Paper (2020)
- Editorial Announcement: Journal of Time Series Analysis Distinguished Authors 2021
Journal of Time Series Analysis, 2022, 43, (1), 4-4
- Editorial Announcement: Professor Michael McAleer
Journal of Time Series Analysis, 2022, 43, (1), 3-3
- 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 (2021)
- Testing for episodic predictability in stock returns
Journal of Econometrics, 2022, 227, (1), 85-113 
See also Working Paper (2019)
2021
- 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
- Editorial Announcement
Journal of Time Series Analysis, 2021, 42, (2), 139-139
- Editorial announcement: Journal of Time Series Analysis Distinguished Authors 2020
Journal of Time Series Analysis, 2021, 42, (1), 3-3
- 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 (2021)
- Real‐time detection of regimes of predictability in the US equity premium
Journal of Applied Econometrics, 2021, 36, (1), 45-70 View citations (4)
- Simple tests for stock return predictability with good size and power properties
Journal of Econometrics, 2021, 224, (1), 198-214 View citations (2)
2020
- Deterministic Parameter Change Models in Continuous and Discrete Time
Journal of Time Series Analysis, 2020, 41, (1), 134-145
- Editorial Announcement: Journal of Time Series Analysis Distinguished Authors
Journal of Time Series Analysis, 2020, 41, (4), 489-490
- 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 (2020)
2019
- A Bootstrap Stationarity Test for Predictive Regression Invalidity
Journal of Business & Economic Statistics, 2019, 37, (3), 528-541 View citations (7)
See also Working Paper (2017)
- A Generalised Fractional Differencing Bootstrap for Long Memory Processes
Journal of Time Series Analysis, 2019, 40, (4), 467-492 View citations (4)
- Editorial Announcement
Journal of Time Series Analysis, 2019, 40, (4), 385-385
- 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 (3)
- Temporal Aggregation of Seasonally Near‐Integrated Processes
Journal of Time Series Analysis, 2019, 40, (6), 872-886 View citations (4)
See also Working Paper (2018)
- 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 (2016)
2018
- DETERMINING THE COINTEGRATION RANK IN HETEROSKEDASTIC VAR MODELS OF UNKNOWN ORDER
Econometric Theory, 2018, 34, (2), 349-382 View citations (9)
See also Working Paper (2016)
- Editorial Announcement
Journal of Time Series Analysis, 2018, 39, (6), 813-813
- Editorial, January 2018
Journal of Time Series Analysis, 2018, 39, (1), 3-3
- Editorial, September 2018
Journal of Time Series Analysis, 2018, 39, (5), 639-639
- Real‐Time Monitoring for Explosive Financial Bubbles
Journal of Time Series Analysis, 2018, 39, (6), 863-891 View citations (6)
- Robust tests for deterministic seasonality and seasonal mean shifts
Econometrics Journal, 2018, 21, (3), 277-297
- SEMI-PARAMETRIC SEASONAL UNIT ROOT TESTS
Econometric Theory, 2018, 34, (2), 447-476 View citations (5)
See also Working Paper (2015)
- SPECIAL ISSUE OF ECONOMETRIC THEORY IN HONOR OF PROFESSOR RICHARD J. SMITH: GUEST EDITORS’ INTRODUCTION
Econometric Theory, 2018, 34, (2), 247-252
- 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
- Testing for parameter instability in predictive regression models
Journal of Econometrics, 2018, 204, (1), 101-118 View citations (14)
- UNIT ROOT INFERENCE FOR NON-STATIONARY LINEAR PROCESSES DRIVEN BY INFINITE VARIANCE INNOVATIONS
Econometric Theory, 2018, 34, (2), 302-348 View citations (5)
See also Working Paper (2016)
2017
- 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 (2017)
- 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 (2016)
- Unit Root Tests and Heavy-Tailed Innovations
Journal of Time Series Analysis, 2017, 38, (5), 733-768 View citations (2)
See also Working Paper (2017)
2016
- Inference on co-integration parameters in heteroskedastic vector autoregressions
Journal of Econometrics, 2016, 192, (1), 64-85 View citations (23)
See also Working Paper (2013)
- Special issue of the Journal of Empirical Finance Guest Editors' introduction
Journal of Empirical Finance, 2016, 38, (PB), 513-515
- Tests for explosive financial bubbles in the presence of non-stationary volatility
Journal of Empirical Finance, 2016, 38, (PB), 548-574 View citations (76)
- 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 (6)
See also Working Paper (2016)
- The Performance of Lag Selection and Detrending Methods for HEGY Seasonal Unit Root Tests
Econometric Reviews, 2016, 35, (1), 122-168 View citations (13)
See also Working Paper (2012)
2015
- 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 (7)
See also Working Paper (2013)
- 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 (2013)
- 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 (11)
See also Working Paper (2014)
- Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility
Econometric Reviews, 2015, 34, (4), 512-536 View citations (9)
See also Working Paper (2012)
- 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 (4)
See also Working Paper (2013)
- Robust and Powerful Tests for Nonlinear Deterministic Components
Oxford Bulletin of Economics and Statistics, 2015, 77, (6), 780-799 View citations (8)
- 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
- 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)
- 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 (2012)
- 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)
- Robust tests for a linear trend with an application to equity indices
Journal of Empirical Finance, 2014, 29, (C), 168-185
- Testing for seasonal unit roots by frequency domain regression
Journal of Econometrics, 2014, 178, (P2), 243-258 View citations (5)
See also Working Paper (2010)
- 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
- A Review of Unit Root Tests in Time Series: Volumes 1 and 2
Econometrics Journal, 2013, 16, (3), B5-B8
- A bootstrap test for additive outliers in non-stationary time series
Journal of Time Series Analysis, 2013, 34, (4), 454-465 View citations (2)
- 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 (6)
See also Working Paper (2010)
- Editorial
Journal of Time Series Analysis, 2013, 34, (2), 139-140
- Editorial Announcement
Journal of Time Series Analysis, 2013, 34, (6), 605-605
- 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 (2011)
- 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 (2011)
- Testing for a break in trend when the order of integration is unknown
Journal of Econometrics, 2013, 176, (1), 30-45 View citations (13)
- 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 (41)
- Wild Bootstrap of the Sample Mean in the Infinite Variance Case
Econometric Reviews, 2013, 32, (2), 204-219 View citations (4)
2012
- BOOTSTRAP UNION TESTS FOR UNIT ROOTS IN THE PRESENCE OF NONSTATIONARY VOLATILITY
Econometric Theory, 2012, 28, (2), 422-456 View citations (15)
See also Working Paper (2010)
- Bootstrap Determination of the Co‐Integration Rank in Vector Autoregressive Models
Econometrica, 2012, 80, (4), 1721-1740 View citations (73)
- ON AUGMENTED HEGY TESTS FOR SEASONAL UNIT ROOTS
Econometric Theory, 2012, 28, (5), 1121-1143 View citations (15)
See also Working Paper (2011)
- 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 (19)
See also Working Paper (2008)
- 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 (57)
- Unit root testing under a local break in trend
Journal of Econometrics, 2012, 167, (1), 140-167 View citations (10)
See also Working Paper (2011)
2011
- SPECIAL ISSUE OF ECONOMETRIC THEORY ON BOOTSTRAP AND NUMERICAL METHODS IN TIME SERIES: GUEST EDITORS’ INTRODUCTION
Econometric Theory, 2011, 27, (5), 929-932
- 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 (13)
See also Working Paper (2009)
- 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 (15)
See also Working Paper (2008)
2010
- COINTEGRATION RANK TESTING UNDER CONDITIONAL HETEROSKEDASTICITY
Econometric Theory, 2010, 26, (6), 1719-1760 View citations (44)
See also Working Paper (2009)
- Robust methods for detecting multiple level breaks in autocorrelated time series
Journal of Econometrics, 2010, 157, (2), 342-358 View citations (31)
See also Working Paper (2011)
- Testing for co-integration in vector autoregressions with non-stationary volatility
Journal of Econometrics, 2010, 158, (1), 7-24 View citations (49)
See also Working Paper (2008)
- 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 (2009)
2009
- A Note on Testing Covariance Stationarity
Econometric Reviews, 2009, 28, (4), 364-371 View citations (1)
- Bootstrap M Unit Root Tests
Econometric Reviews, 2009, 28, (5), 393-421 View citations (15)
- HETEROSKEDASTIC TIME SERIES WITH A UNIT ROOT
Econometric Theory, 2009, 25, (5), 1228-1276 View citations (56)
- REGRESSION-BASED SEASONAL UNIT ROOT TESTS
Econometric Theory, 2009, 25, (2), 527-560 View citations (30)
See also Working Paper (2007)
- REJOINDER
Econometric Theory, 2009, 25, (3), 658-667 View citations (1)
- SIMPLE, ROBUST, AND POWERFUL TESTS OF THE BREAKING TREND HYPOTHESIS
Econometric Theory, 2009, 25, (4), 995-1029 View citations (73)
See also Working Paper (2006)
- SPECIAL ISSUE OF ECONOMETRIC THEORY IN HONOR OF PAUL NEWBOLD: GUEST EDITORS’ INTRODUCTION
Econometric Theory, 2009, 25, (6), 1451-1456
- 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 (2007)
- UNIT ROOT TESTING IN PRACTICE: DEALING WITH UNCERTAINTY OVER THE TREND AND INITIAL CONDITION
Econometric Theory, 2009, 25, (3), 587-636 View citations (77)
See also Working Paper (2007)
2008
- BOOTSTRAP UNIT ROOT TESTS FOR TIME SERIES WITH NONSTATIONARY VOLATILITY
Econometric Theory, 2008, 24, (1), 43-71 View citations (95)
- 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
- Seasonal unit root tests and the role of initial conditions
Econometrics Journal, 2008, 11, (3), 409-442
See also Working Paper (2008)
- 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 (2006)
- 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
- A simple, robust and powerful test of the trend hypothesis
Journal of Econometrics, 2007, 141, (2), 1302-1330 View citations (60)
See also Working Paper (2006)
- CUSUM of Squares‐Based Tests for a Change in Persistence
Journal of Time Series Analysis, 2007, 28, (3), 408-433 View citations (42)
- Conference in honour of Paul Newbold
Economics Bulletin, 2007, 28, (31), A0
- Detecting Multiple Changes in Persistence
Studies in Nonlinear Dynamics & Econometrics, 2007, 11, (3), 1-34 View citations (54)
- Efficient tests of the seasonal unit root hypothesis
Journal of Econometrics, 2007, 141, (2), 548-573 View citations (22)
See also Working Paper (2006)
- 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)
- Testing for unit roots in time series models with non-stationary volatility
Journal of Econometrics, 2007, 140, (2), 919-947 View citations (119)
2006
- Additive Outlier Detection Via Extreme‐Value Theory
Journal of Time Series Analysis, 2006, 27, (5), 685-701 View citations (19)
- Modified tests for a change in persistence
Journal of Econometrics, 2006, 134, (2), 441-469 View citations (71)
See also Working Paper (2004)
- On Robust Trend Function Hypothesis Testing
Studies in Nonlinear Dynamics & Econometrics, 2006, 10, (1), 1-27 View citations (1)
See also Working Paper (2005)
- Persistence change tests and shifting stable autoregressions
Economics Letters, 2006, 91, (1), 44-49 View citations (5)
- Regression‐based Tests for a Change in Persistence*
Oxford Bulletin of Economics and Statistics, 2006, 68, (5), 595-621 View citations (16)
- 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 (9)
- 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 (2005)
2005
- Fluctuation Tests for a Change in Persistence
Oxford Bulletin of Economics and Statistics, 2005, 67, (2), 207-230 View citations (10)
- On the limiting behaviour of augmented seasonal unit root tests
Economics Bulletin, 2005, 3, (3), 1-10
- 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)
- 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 (2004)
- STATIONARITY TESTS UNDER TIME-VARYING SECOND MOMENTS
Econometric Theory, 2005, 21, (6), 1112-1129 View citations (30)
- Variance ratio tests of the seasonal unit root hypothesis
Journal of Econometrics, 2005, 124, (1), 33-54 View citations (15)
2004
- 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)
- Alternative estimators and unit root tests for seasonal autoregressive processes
Journal of Econometrics, 2004, 120, (1), 35-73 View citations (11)
- Bootstrapping the HEGY seasonal unit root tests
Journal of Econometrics, 2004, 123, (1), 67-87 View citations (16)
See also Working Paper (2004)
- 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)
- On tests for changes in persistence
Economics Letters, 2004, 84, (1), 107-115 View citations (17)
- Some New Tests for a Change in Persistence
Economics Bulletin, 2004, 3, (39), 1-10 View citations (8)
- Tests of stationarity against a change in persistence
Journal of Econometrics, 2004, 123, (1), 33-66 View citations (145)
2003
- 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)
- Locally Optimal Tests Against Unit Roots in Seasonal Time Series Processes
Journal of Time Series Analysis, 2003, 24, (5), 591-612 View citations (9)
- ON THE ASYMPTOTIC PROPERTIES OF SOME SEASONAL UNIT ROOT TESTS
Econometric Theory, 2003, 19, (2), 311-321 View citations (4)
- Robust Stationarity Tests in Seasonal Time Series Processes
Journal of Business & Economic Statistics, 2003, 21, (1), 156-63 View citations (16)
- Seasonal Unit Root Tests Based on Forward and Reverse Estimation
Journal of Time Series Analysis, 2003, 24, (4), 441-460 View citations (2)
- 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 (2003)
- Variance Shifts, Structural Breaks, and Stationarity Tests
Journal of Business & Economic Statistics, 2003, 21, (4), 510-31 View citations (22)
2002
- 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)
- 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)
- 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
- 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)
- 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)
- Recursive and rolling regression-based tests of the seasonal unit root hypothesis
Journal of Econometrics, 2001, 105, (2), 309-336 View citations (5)
- 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
- Determining the order of differencing in seasonal time series processes
Econometrics Journal, 2000, 3, (2), 250-264 View citations (4)
See also Working Paper
- On the Power of GLS‐Type Unit Root Tests
Oxford Bulletin of Economics and Statistics, 2000, 62, (5), 633-645 View citations (2)
- 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
- Detecting Seasonal Unit Roots: an Approach Based on the Sample Autocorrelation Function
Manchester School, 1999, 67, (3), 261-286 View citations (1)
- Likelihood Ratio Tests for Seasonal Unit Roots
Journal of Time Series Analysis, 1999, 20, (4), 453-476 View citations (22)
- On the Definitions of (Co‐)integration
Journal of Time Series Analysis, 1999, 20, (2), 129-137 View citations (1)
See also Working Paper
1998
- 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 (1995)
- Testing for Unit Roots in Monthly Time Series
Journal of Time Series Analysis, 1998, 19, (3), 349-368 View citations (33)
1997
- Book Reviews
Asia Pacific Business Review, 1997, 3, (3), 193-194
- Controversy: On Modelling the Long Run in Applied Economics
Economic Journal, 1997, 107, (440), 165-68 View citations (1)
- On the practical problems of computing seasonal unit root tests
International Journal of Forecasting, 1997, 13, (3), 307-318 View citations (15)
Chapters
2022
- Introduction and Overview
Springer View citations (1)
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