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Details about Robert Taylor

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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 Downloads

2022

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

2021

  1. Extensions to IVX methods of inference for return predictability
    Working Papers, Banco de Portugal, Economics and Research Department Downloads View citations (4)
    See also Journal Article Extensions to IVX methods of inference for return predictability, Journal of Econometrics, Elsevier (2023) Downloads View citations (1) (2023)
  2. 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 Downloads
    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) Downloads (2021)
  3. 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 Downloads View citations (4)
    Also in Working Paper, Economics Department, Queen's University (2020) Downloads

    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) Downloads (2022)

2020

  1. Adaptive Inference in Heteroskedastic Fractional Time Series Models
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (3)
    Also in Working Paper, Economics Department, Queen's University (2019) Downloads View citations (1)

    See also Journal Article Adaptive Inference in Heteroscedastic Fractional Time Series Models, Journal of Business & Economic Statistics, Taylor & Francis Journals (2022) Downloads View citations (5) (2022)
  2. 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 Downloads 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) Downloads View citations (3) (2020)

2019

  1. Testing for Episodic Predictability in Stock Returns
    Working Papers, Banco de Portugal, Economics and Research Department Downloads View citations (3)
    See also Journal Article Testing for episodic predictability in stock returns, Journal of Econometrics, Elsevier (2022) Downloads View citations (4) (2022)

2018

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

2017

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

2016

  1. Determining the Cointegration Rank in Heteroskedastic VAR Models of Unknown Order
    Essex Finance Centre Working Papers, University of Essex, Essex Business School Downloads View citations (3)
    See also Journal Article DETERMINING THE COINTEGRATION RANK IN HETEROSKEDASTIC VAR MODELS OF UNKNOWN ORDER, Econometric Theory, Cambridge University Press (2018) Downloads View citations (12) (2018)
  2. Tests for an end-of-sample bubble in financial time series
    Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics Downloads View citations (3)
    See also Journal Article Tests for an end-of-sample bubble in financial time series, Econometric Reviews, Taylor & Francis Journals (2017) Downloads View citations (9) (2017)
  3. 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 Downloads 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) Downloads View citations (8) (2016)
  4. Unit root inference for non-stationary linear processes driven by infinite variance innovations
    Quaderni di Dipartimento, Department of Statistics, University of Bologna Downloads 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) Downloads View citations (6) (2018)
  5. Wild Bootstrap Seasonal Unit Root Tests for Time Series with Periodic Non-Stationary Volatility
    Working Papers, Gaidar Institute for Economic Policy Downloads
    See also Journal Article Wild bootstrap seasonal unit root tests for time series with periodic nonstationary volatility, Econometric Reviews, Taylor & Francis Journals (2019) Downloads View citations (3) (2019)

2015

  1. Semi-Parametric Seasonal Unit Root Tests
    DEA Working Papers, Universitat de les Illes Balears, Departament d'Economía Aplicada Downloads View citations (2)
    Also in Essex Finance Centre Working Papers, University of Essex, Essex Business School (2015) Downloads View citations (2)

    See also Journal Article SEMI-PARAMETRIC SEASONAL UNIT ROOT TESTS, Econometric Theory, Cambridge University Press (2018) Downloads View citations (5) (2018)
  2. Sieve-based inference for infinite-variance linear processes
    Quaderni di Dipartimento, Department of Statistics, University of Bologna Downloads View citations (4)

2014

  1. 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 Downloads
    Also in Working Paper, Economics Department, Queen's University (2013) Downloads 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) Downloads View citations (14) (2015)

2013

  1. 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 Downloads
    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) Downloads View citations (8) (2015)
  2. Bootstrap Co-integration Rank Testing: The Effect of Bias-Correcting Parameter Estimates
    Working Papers, University of Mannheim, Department of Economics Downloads
    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) Downloads View citations (2) (2015)
  3. Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions
    Discussion Papers, University of Copenhagen. Department of Economics Downloads View citations (2)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2013) Downloads View citations (4)

    See also Journal Article Inference on co-integration parameters in heteroskedastic vector autoregressions, Journal of Econometrics, Elsevier (2016) Downloads View citations (23) (2016)
  4. On the Behaviour of Phillips-Perron Tests in the Presence of Persistent Cycles
    CEFAGE-UE Working Papers, University of Evora, CEFAGE-UE (Portugal) Downloads 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) Downloads View citations (5) (2015)

2012

  1. Bootstrap Determination of the Co-integration Rank in Heteroskedastic VAR Models
    Discussion Papers, University of Copenhagen. Department of Economics Downloads View citations (20)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2012) Downloads View citations (16)

    See also Journal Article Bootstrap Determination of the Co-Integration Rank in Heteroskedastic VAR Models, Econometric Reviews, Taylor & Francis Journals (2014) Downloads View citations (19) (2014)
  2. 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 Downloads View citations (2)
    Also in Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) (2011) Downloads 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) Downloads View citations (10) (2015)
  3. The Performance of Lag Selection and Detrending Methods for HEGY Seasonal Unit Root Tests
    Economics Discussion Paper Series, Economics, The University of Manchester Downloads 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) Downloads View citations (14) (2016)

2011

  1. Bootstrap determination of the co-integration rank in VAR models
    Quaderni di Dipartimento, Department of Statistics, University of Bologna Downloads View citations (8)
  2. On Augmented HEGY Tests for Seasonal Unit Roots
    Economics Discussion Paper Series, Economics, The University of Manchester Downloads
    See also Journal Article ON AUGMENTED HEGY TESTS FOR SEASONAL UNIT ROOTS, Econometric Theory, Cambridge University Press (2012) Downloads View citations (15) (2012)
  3. On the behaviour of fixed-b trend break tests under fractional integration
    Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics Downloads 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) Downloads View citations (8) (2013)
  4. Robust methods for detecting multiple level breaks in autocorrelated time series
    Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics Downloads
    Also in Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics (2010) Downloads View citations (37)

    See also Journal Article Robust methods for detecting multiple level breaks in autocorrelated time series, Journal of Econometrics, Elsevier (2010) Downloads View citations (35) (2010)
  5. The Impact of Persistent Cycles on Zero Frequency Unit Root Tests
    Working Papers, Banco de Portugal, Economics and Research Department Downloads View citations (3)
    See also Journal Article THE IMPACT OF PERSISTENT CYCLES ON ZERO FREQUENCY UNIT ROOT TESTS, Econometric Theory, Cambridge University Press (2013) Downloads View citations (3) (2013)
  6. Unit root testing under a local break in trend
    Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics Downloads
    Also in Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics (2010) Downloads

    See also Journal Article Unit root testing under a local break in trend, Journal of Econometrics, Elsevier (2012) Downloads View citations (10) (2012)
  7. Wild bootstrap of the mean in the infinite variance case
    Quaderni di Dipartimento, Department of Statistics, University of Bologna Downloads

2010

  1. Bootstrap Sequential Determination of the Co-integration Rank in VAR Models
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (3)
    Also in Discussion Papers, University of Copenhagen. Department of Economics (2010) Downloads View citations (4)
  2. 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 Downloads 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) Downloads View citations (7) (2013)
  3. 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) Downloads View citations (2)
    Also in Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics (2010) Downloads 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) Downloads View citations (17) (2012)
  4. Testing for seasonal unit roots by frequency domain regression
    Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics Downloads
    See also Journal Article Testing for seasonal unit roots by frequency domain regression, Journal of Econometrics, Elsevier (2014) Downloads View citations (5) (2014)

2009

  1. Co-integration Rank Testing under Conditional Heteroskedasticity
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (11)
    See also Journal Article COINTEGRATION RANK TESTING UNDER CONDITIONAL HETEROSKEDASTICITY, Econometric Theory, Cambridge University Press (2010) Downloads View citations (46) (2010)
  2. Co-integration rank tests under conditional heteroskedasticity
    Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics Downloads
  3. 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 Downloads View citations (1)
  4. 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 Downloads View citations (18)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2008) Downloads 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) Downloads View citations (14) (2011)
  5. The Flexible Fourier Form and Local GLS De-trended Unit Root Tests
    Working Papers, Banco de Portugal, Economics and Research Department Downloads View citations (8)
  6. The impact of the initial condition on robust tests for a linear trend
    Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics Downloads
    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) Downloads View citations (5) (2010)

2008

  1. Seasonal unit root tests and the role of initial conditions
    Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics Downloads View citations (1)
    See also Journal Article Seasonal unit root tests and the role of initial conditions, Econometrics Journal, Royal Economic Society (2008) (2008)
  2. Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (13)
    Also in Discussion Papers, University of Copenhagen. Department of Economics (2008) Downloads View citations (17)
    Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics (2007) Downloads View citations (7)

    See also Journal Article Testing for co-integration in vector autoregressions with non-stationary volatility, Journal of Econometrics, Elsevier (2010) Downloads View citations (50) (2010)
  3. 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 Downloads 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) Downloads View citations (16) (2011)
  4. 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 Downloads 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) Downloads View citations (21) (2012)

2007

  1. Regression-based seasonal unit root tests
    Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics Downloads
    See also Journal Article REGRESSION-BASED SEASONAL UNIT ROOT TESTS, Econometric Theory, Cambridge University Press (2009) Downloads View citations (30) (2009)
  2. 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 Downloads 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) Downloads View citations (43) (2009)
  3. 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 Downloads
  4. 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 Downloads 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) Downloads View citations (79) (2009)

2006

  1. A simple, robust and powerful test of the trend hypothesis
    Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics Downloads
    See also Journal Article A simple, robust and powerful test of the trend hypothesis, Journal of Econometrics, Elsevier (2007) Downloads View citations (62) (2007)
  2. Efficient Tests of the Seasonal Unit Root Hypothesis*
    Discussion Papers, University of Nottingham, School of Economics Downloads View citations (1)
    Also in Economics Working Papers, European University Institute (2004) Downloads View citations (3)

    See also Journal Article Efficient tests of the seasonal unit root hypothesis, Journal of Econometrics, Elsevier (2007) Downloads View citations (22) (2007)
  3. Simple, Robust and Powerful Tests of the Breaking Trend Hypothesis*
    Discussion Papers, University of Nottingham, School of Economics Downloads
    See also Journal Article SIMPLE, ROBUST, AND POWERFUL TESTS OF THE BREAKING TREND HYPOTHESIS, Econometric Theory, Cambridge University Press (2009) Downloads View citations (74) (2009)
  4. Testing for a change in persistence in the presence of non-stationary volatility
    Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics Downloads 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) Downloads View citations (17) (2008)

2005

  1. 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) Downloads View citations (1) (2006)
  2. 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) Downloads View citations (5) (2006)

2004

  1. Bootstrapping the HEGY Seasonal Unit Root Tests
    Econometric Society 2004 North American Summer Meetings, Econometric Society Downloads View citations (14)
    See also Journal Article Bootstrapping the HEGY seasonal unit root tests, Journal of Econometrics, Elsevier (2004) Downloads View citations (16) (2004)
  2. Modified Tests for a Change in Persistence
    Econometric Society 2004 Australasian Meetings, Econometric Society Downloads View citations (7)
    See also Journal Article Modified tests for a change in persistence, Journal of Econometrics, Elsevier (2006) Downloads View citations (75) (2006)
  3. Stationarity Tests for Irregularly Spaced Observations and the Effects of Sampling Frequency on Power
    Econometric Society 2004 Far Eastern Meetings, Econometric Society Downloads
    See also Journal Article STATIONARITY TESTS FOR IRREGULARLY SPACED OBSERVATIONS AND THE EFFECTS OF SAMPLING FREQUENCY ON POWER, Econometric Theory, Cambridge University Press (2005) Downloads View citations (4) (2005)

2003

  1. 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 Downloads
  2. 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 Downloads 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) Downloads View citations (11) (2003)

1999

  1. 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

  1. 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) Downloads View citations (44) (1998)

Undated

  1. Additional Critical Values and Asymptotic Representations for Monthly Seasonal Unit Root Tests
    Discussion Papers, Department of Economics, University of York View citations (1)
  2. 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)
  3. 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) Downloads View citations (1) (1999)
  4. 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)
  5. 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 Downloads
  2. Editorial Announcement: Journal of Time Series Analysis Distinguished Authors 2024
    Journal of Time Series Analysis, 2025, 46, (2), 213-213 Downloads

2024

  1. Bonferroni Type Tests for Return Predictability and the Initial Condition
    Journal of Business & Economic Statistics, 2024, 42, (2), 499-515 Downloads
  2. 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 Downloads

2023

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

2022

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

2021

  1. 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 Downloads
  2. Editorial Announcement
    Journal of Time Series Analysis, 2021, 42, (2), 139-139 Downloads
  3. Editorial announcement: Journal of Time Series Analysis Distinguished Authors 2020
    Journal of Time Series Analysis, 2021, 42, (1), 3-3 Downloads
  4. 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 Downloads
    See also Working Paper Multivariate Fractional Integration Tests allowing for Conditional Heteroskedasticity with an Application to Return Volatility and Trading Volume, Working Papers (2021) Downloads (2021)
  5. Real‐time detection of regimes of predictability in the US equity premium
    Journal of Applied Econometrics, 2021, 36, (1), 45-70 Downloads View citations (6)
  6. Simple tests for stock return predictability with good size and power properties
    Journal of Econometrics, 2021, 224, (1), 198-214 Downloads View citations (5)

2020

  1. Deterministic Parameter Change Models in Continuous and Discrete Time
    Journal of Time Series Analysis, 2020, 41, (1), 134-145 Downloads View citations (1)
  2. Editorial Announcement: Journal of Time Series Analysis Distinguished Authors
    Journal of Time Series Analysis, 2020, 41, (4), 489-490 Downloads
  3. 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 Downloads 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) Downloads View citations (3) (2020)

2019

  1. A Bootstrap Stationarity Test for Predictive Regression Invalidity
    Journal of Business & Economic Statistics, 2019, 37, (3), 528-541 Downloads View citations (9)
    See also Working Paper A bootstrap stationarity test for predictive regression invalidity, Discussion Papers (2017) Downloads View citations (1) (2017)
  2. A Generalised Fractional Differencing Bootstrap for Long Memory Processes
    Journal of Time Series Analysis, 2019, 40, (4), 467-492 Downloads View citations (6)
  3. Editorial Announcement
    Journal of Time Series Analysis, 2019, 40, (4), 385-385 Downloads
  4. 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 Downloads View citations (4)
  5. Temporal Aggregation of Seasonally Near‐Integrated Processes
    Journal of Time Series Analysis, 2019, 40, (6), 872-886 Downloads View citations (4)
    See also Working Paper Temporal Aggregation of Seasonally Near-Integrated Processes, DEA Working Papers (2018) Downloads (2018)
  6. Wild bootstrap seasonal unit root tests for time series with periodic nonstationary volatility
    Econometric Reviews, 2019, 38, (5), 509-532 Downloads View citations (3)
    See also Working Paper Wild Bootstrap Seasonal Unit Root Tests for Time Series with Periodic Non-Stationary Volatility, Working Papers (2016) Downloads (2016)

2018

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

2017

  1. 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 Downloads 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) Downloads View citations (14) (2017)
  2. Tests for an end-of-sample bubble in financial time series
    Econometric Reviews, 2017, 36, (6-9), 651-666 Downloads View citations (9)
    See also Working Paper Tests for an end-of-sample bubble in financial time series, Discussion Papers (2016) Downloads View citations (3) (2016)
  3. Unit Root Tests and Heavy-Tailed Innovations
    Journal of Time Series Analysis, 2017, 38, (5), 733-768 Downloads View citations (2)
    See also Working Paper Unit Root Tests and Heavy-Tailed Innovations, Essex Finance Centre Working Papers (2017) Downloads View citations (2) (2017)

2016

  1. Inference on co-integration parameters in heteroskedastic vector autoregressions
    Journal of Econometrics, 2016, 192, (1), 64-85 Downloads View citations (23)
    See also Working Paper Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions, Discussion Papers (2013) Downloads View citations (2) (2013)
  2. Special issue of the Journal of Empirical Finance Guest Editors' introduction
    Journal of Empirical Finance, 2016, 38, (PB), 513-515 Downloads
  3. Tests for explosive financial bubbles in the presence of non-stationary volatility
    Journal of Empirical Finance, 2016, 38, (PB), 548-574 Downloads View citations (85)
  4. 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 Downloads 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) Downloads View citations (7) (2016)
  5. The Performance of Lag Selection and Detrending Methods for HEGY Seasonal Unit Root Tests
    Econometric Reviews, 2016, 35, (1), 122-168 Downloads 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) Downloads View citations (1) (2012)

2015

  1. 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 Downloads 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) Downloads (2013)
  2. Bootstrap Co-integration Rank Testing: The Effect of Bias-Correcting Parameter Estimates
    Oxford Bulletin of Economics and Statistics, 2015, 77, (5), 740-759 Downloads View citations (2)
    See also Working Paper Bootstrap Co-integration Rank Testing: The Effect of Bias-Correcting Parameter Estimates, Working Papers (2013) Downloads (2013)
  3. 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 Downloads 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) Downloads (2014)
  4. Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility
    Econometric Reviews, 2015, 34, (4), 512-536 Downloads 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) Downloads View citations (2) (2012)
  5. On the Behaviour of Phillips–Perron Tests in the Presence of Persistent Cycles
    Oxford Bulletin of Economics and Statistics, 2015, 77, (4), 495-511 Downloads 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) Downloads View citations (1) (2013)
  6. Robust and Powerful Tests for Nonlinear Deterministic Components
    Oxford Bulletin of Economics and Statistics, 2015, 77, (6), 780-799 Downloads View citations (8)
  7. 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 Downloads View citations (3)

2014

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

2013

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

2012

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

2011

  1. SPECIAL ISSUE OF ECONOMETRIC THEORY ON BOOTSTRAP AND NUMERICAL METHODS IN TIME SERIES: GUEST EDITORS’ INTRODUCTION
    Econometric Theory, 2011, 27, (5), 929-932 Downloads
  2. TESTING FOR UNIT ROOTS IN THE PRESENCE OF A POSSIBLE BREAK IN TREND AND NONSTATIONARY VOLATILITY
    Econometric Theory, 2011, 27, (5), 957-991 Downloads 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) Downloads View citations (18) (2009)
  3. 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 Downloads 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) Downloads View citations (3) (2008)

2010

  1. COINTEGRATION RANK TESTING UNDER CONDITIONAL HETEROSKEDASTICITY
    Econometric Theory, 2010, 26, (6), 1719-1760 Downloads View citations (46)
    See also Working Paper Co-integration Rank Testing under Conditional Heteroskedasticity, CREATES Research Papers (2009) Downloads View citations (11) (2009)
  2. Robust methods for detecting multiple level breaks in autocorrelated time series
    Journal of Econometrics, 2010, 157, (2), 342-358 Downloads View citations (35)
    See also Working Paper Robust methods for detecting multiple level breaks in autocorrelated time series, Discussion Papers (2011) Downloads (2011)
  3. Testing for co-integration in vector autoregressions with non-stationary volatility
    Journal of Econometrics, 2010, 158, (1), 7-24 Downloads View citations (50)
    See also Working Paper Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility, CREATES Research Papers (2008) Downloads View citations (13) (2008)
  4. The impact of the initial condition on robust tests for a linear trend
    Journal of Time Series Analysis, 2010, 31, (4), 292-302 Downloads View citations (5)
    See also Working Paper The impact of the initial condition on robust tests for a linear trend, Discussion Papers (2009) Downloads (2009)

2009

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

2008

  1. BOOTSTRAP UNIT ROOT TESTS FOR TIME SERIES WITH NONSTATIONARY VOLATILITY
    Econometric Theory, 2008, 24, (1), 43-71 Downloads View citations (98)
  2. 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 Downloads
  3. 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) Downloads View citations (1) (2008)
  4. Testing for a change in persistence in the presence of non-stationary volatility
    Journal of Econometrics, 2008, 147, (1), 84-98 Downloads View citations (17)
    See also Working Paper Testing for a change in persistence in the presence of non-stationary volatility, Discussion Papers (2006) Downloads View citations (7) (2006)
  5. Time‐Transformed Unit Root Tests for Models with Non‐Stationary Volatility
    Journal of Time Series Analysis, 2008, 29, (2), 300-330 Downloads View citations (33)

2007

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

2006

  1. Additive Outlier Detection Via Extreme‐Value Theory
    Journal of Time Series Analysis, 2006, 27, (5), 685-701 Downloads View citations (19)
  2. Modified tests for a change in persistence
    Journal of Econometrics, 2006, 134, (2), 441-469 Downloads View citations (75)
    See also Working Paper Modified Tests for a Change in Persistence, Econometric Society 2004 Australasian Meetings (2004) Downloads View citations (7) (2004)
  3. On Robust Trend Function Hypothesis Testing
    Studies in Nonlinear Dynamics & Econometrics, 2006, 10, (1), 27 Downloads View citations (1)
    See also Working Paper On Robust Trend Function Hypothesis Testing, Discussion Papers (2005) (2005)
  4. Persistence change tests and shifting stable autoregressions
    Economics Letters, 2006, 91, (1), 44-49 Downloads View citations (5)
  5. Regression‐based Tests for a Change in Persistence*
    Oxford Bulletin of Economics and Statistics, 2006, 68, (5), 595-621 Downloads View citations (17)
  6. Testing for a Change in Persistence in the Presence of a Volatility Shift*
    Oxford Bulletin of Economics and Statistics, 2006, 68, (s1), 761-781 Downloads View citations (10)
  7. Testing the Null of Co‐integration in the Presence of Variance Breaks
    Journal of Time Series Analysis, 2006, 27, (4), 613-636 Downloads View citations (5)
    See also Working Paper Testing the Null of Co-integration in the Presence of Variance Breaks, Discussion Papers (2005) (2005)

2005

  1. Fluctuation Tests for a Change in Persistence
    Oxford Bulletin of Economics and Statistics, 2005, 67, (2), 207-230 Downloads View citations (11)
  2. On the limiting behaviour of augmented seasonal unit root tests
    Economics Bulletin, 2005, 3, (3), 1-10 Downloads
  3. On the use of Sub‐sample Unit Root Tests to Detect Changes in Persistence
    Journal of Time Series Analysis, 2005, 26, (5), 759-778 Downloads View citations (7)
  4. STATIONARITY TESTS FOR IRREGULARLY SPACED OBSERVATIONS AND THE EFFECTS OF SAMPLING FREQUENCY ON POWER
    Econometric Theory, 2005, 21, (4), 757-794 Downloads 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) Downloads (2004)
  5. STATIONARITY TESTS UNDER TIME-VARYING SECOND MOMENTS
    Econometric Theory, 2005, 21, (6), 1112-1129 Downloads View citations (31)
  6. Variance ratio tests of the seasonal unit root hypothesis
    Journal of Econometrics, 2005, 124, (1), 33-54 Downloads View citations (16)

2004

  1. ASYMPTOTIC DISTRIBUTIONS FOR REGRESSION-BASED SEASONAL UNIT ROOT TEST STATISTICS IN A NEAR-INTEGRATED MODEL
    Econometric Theory, 2004, 20, (4), 645-670 Downloads View citations (10)
  2. Alternative estimators and unit root tests for seasonal autoregressive processes
    Journal of Econometrics, 2004, 120, (1), 35-73 Downloads View citations (11)
  3. Bootstrapping the HEGY seasonal unit root tests
    Journal of Econometrics, 2004, 123, (1), 67-87 Downloads View citations (16)
    See also Working Paper Bootstrapping the HEGY Seasonal Unit Root Tests, Econometric Society 2004 North American Summer Meetings (2004) Downloads View citations (14) (2004)
  4. ON TESTS FOR DOUBLE DIFFERENCING: METHODS OF DEMEANING AND DETRENDING AND THE ROLE OF INITIAL VALUES
    Econometric Theory, 2004, 20, (1), 95-115 Downloads View citations (1)
  5. On tests for changes in persistence
    Economics Letters, 2004, 84, (1), 107-115 Downloads View citations (17)
  6. Some New Tests for a Change in Persistence
    Economics Bulletin, 2004, 3, (39), 1-10 Downloads View citations (8)
  7. Tests of stationarity against a change in persistence
    Journal of Econometrics, 2004, 123, (1), 33-66 Downloads View citations (152)

2003

  1. Corrigendum to "Nonparametric tests for unit roots and cointegration" [J. Econom. 108 (2002) 343-363]
    Journal of Econometrics, 2003, 117, (2), 401-404 Downloads View citations (25)
  2. Locally Optimal Tests Against Unit Roots in Seasonal Time Series Processes
    Journal of Time Series Analysis, 2003, 24, (5), 591-612 Downloads View citations (9)
  3. ON THE ASYMPTOTIC PROPERTIES OF SOME SEASONAL UNIT ROOT TESTS
    Econometric Theory, 2003, 19, (2), 311-321 Downloads View citations (4)
  4. Robust Stationarity Tests in Seasonal Time Series Processes
    Journal of Business & Economic Statistics, 2003, 21, (1), 156-63 View citations (16)
  5. Seasonal Unit Root Tests Based on Forward and Reverse Estimation
    Journal of Time Series Analysis, 2003, 24, (4), 441-460 Downloads View citations (2)
  6. Testing against stochastic trend and seasonality in the presence of unattended breaks and unit roots
    Journal of Econometrics, 2003, 117, (1), 21-53 Downloads 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) Downloads View citations (12) (2003)
  7. Variance Shifts, Structural Breaks, and Stationarity Tests
    Journal of Business & Economic Statistics, 2003, 21, (4), 510-31 View citations (22)

2002

  1. 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)
  2. Can Tests for Stochastic Unit Roots Provide Useful Portmanteau Tests for Persistence?
    Oxford Bulletin of Economics and Statistics, 2002, 64, (4), 381-397 Downloads View citations (6)
  3. 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

  1. On regression-based tests for seasonal unit roots in the presence of periodic heteroscedasticity
    Journal of Econometrics, 2001, 104, (1), 91-117 Downloads View citations (32)
  2. 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)
  3. Recursive and rolling regression-based tests of the seasonal unit root hypothesis
    Journal of Econometrics, 2001, 105, (2), 309-336 Downloads View citations (6)
  4. 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

  1. 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)
  2. On the Power of GLS‐Type Unit Root Tests
    Oxford Bulletin of Economics and Statistics, 2000, 62, (5), 633-645 Downloads View citations (2)
  3. 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 Downloads View citations (7)

1999

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

1998

  1. Additional critical values and asymptotic representations for seasonal unit root tests
    Journal of Econometrics, 1998, 85, (2), 269-288 Downloads 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)
  2. Testing for Unit Roots in Monthly Time Series
    Journal of Time Series Analysis, 1998, 19, (3), 349-368 Downloads View citations (33)

1997

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

Chapters

2022

  1. Introduction and Overview
    Springer View citations (1)
 
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