Details about Robert Taylor

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 2023-11-07. Update your information in the RePEc Author Service.

Short-id: pta27

---

Jump to Journal Articles Chapters

Working Papers

2022

1. 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

2. Extensions to IVX methods of inference for return predictability
   Working Papers, Banco de Portugal, Economics and Research Department View citations (4)
3. 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)
4. 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

5. 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)
6. 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

7. 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

8. 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

9. 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)
10. 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)
11. 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

12. 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)
13. 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)
14. 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)
15. 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)
16. 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

17. 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)
18. Sieve-based inference for infinite-variance linear processes
    Quaderni di Dipartimento, Department of Statistics, University of Bologna View citations (4)

2014

19. 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

20. 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)
21. 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)
22. 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)
23. 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

24. 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)
25. 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)
26. 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

27. Bootstrap determination of the co-integration rank in VAR models
    Quaderni di Dipartimento, Department of Statistics, University of Bologna View citations (8)
28. 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)
29. 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)
30. 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)
31. 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)
32. 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)
33. Wild bootstrap of the mean in the infinite variance case
    Quaderni di Dipartimento, Department of Statistics, University of Bologna

2010

34. 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)
35. 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)
36. 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)
37. 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

38. 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)
39. Co-integration rank tests under conditional heteroskedasticity
    Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics
40. 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)
41. 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)
42. The Flexible Fourier Form and Local GLS De-trended Unit Root Tests
    Working Papers, Banco de Portugal, Economics and Research Department View citations (8)
43. 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

44. 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)
45. 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)
46. 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)
47. 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

48. 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)
49. 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)
50. 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
51. 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

52. 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)
53. 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)
54. 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)
55. 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

56. 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)
57. 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

58. 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)
59. 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)
60. 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

61. 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
62. 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

63. 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

64. 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

65. Additional Critical Values and Asymptotic Representations for Monthly Seasonal Unit Root Tests
    Discussion Papers, Department of Economics, University of York View citations (1)
66. 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)
67. 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)
68. 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)
69. Testing for Seasonal Unit Roots: a simple alternative to HEGY
    Discussion Papers, Department of Economics, University of York View citations (1)

Journal Articles

2023

1. 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)
2. 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
3. Editorial Announcement
   Journal of Time Series Analysis, 2023, 44, (5-6), 439-439
4. Editorial Announcement: Journal of Time Series Analysis Distinguished Authors 2022
   Journal of Time Series Analysis, 2023, 44, (1), 3-3
5. Editorial announcement
   Journal of Time Series Analysis, 2023, 44, (4), 335-335
6. Improved tests for stock return predictability
   Econometric Reviews, 2023, 42, (9-10), 834-861
7. In memory of Michael McAleer: special issue of Econometric Reviews
   Econometric Reviews, 2023, 42, (9-10), 700-702
8. Using covariates to improve the efficacy of univariate bubble detection methods
   Journal of Empirical Finance, 2023, 70, (C), 342-366

2022

9. 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)
10. Editorial Announcement: Journal of Time Series Analysis Distinguished Authors 2021
    Journal of Time Series Analysis, 2022, 43, (1), 4-4
11. Editorial Announcement: Professor Michael McAleer
    Journal of Time Series Analysis, 2022, 43, (1), 3-3
12. 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)
13. Testing for episodic predictability in stock returns
    Journal of Econometrics, 2022, 227, (1), 85-113
    See also Working Paper (2019)

2021

14. 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
15. Editorial Announcement
    Journal of Time Series Analysis, 2021, 42, (2), 139-139
16. Editorial announcement: Journal of Time Series Analysis Distinguished Authors 2020
    Journal of Time Series Analysis, 2021, 42, (1), 3-3
17. 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)
18. Real‐time detection of regimes of predictability in the US equity premium
    Journal of Applied Econometrics, 2021, 36, (1), 45-70 View citations (4)
19. Simple tests for stock return predictability with good size and power properties
    Journal of Econometrics, 2021, 224, (1), 198-214 View citations (2)

2020

20. Deterministic Parameter Change Models in Continuous and Discrete Time
    Journal of Time Series Analysis, 2020, 41, (1), 134-145
21. Editorial Announcement: Journal of Time Series Analysis Distinguished Authors
    Journal of Time Series Analysis, 2020, 41, (4), 489-490
22. 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

23. 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)
24. A Generalised Fractional Differencing Bootstrap for Long Memory Processes
    Journal of Time Series Analysis, 2019, 40, (4), 467-492 View citations (4)
25. Editorial Announcement
    Journal of Time Series Analysis, 2019, 40, (4), 385-385
26. 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)
27. 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)
28. 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

29. 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)
30. Editorial Announcement
    Journal of Time Series Analysis, 2018, 39, (6), 813-813
31. Editorial, January 2018
    Journal of Time Series Analysis, 2018, 39, (1), 3-3
32. Editorial, September 2018
    Journal of Time Series Analysis, 2018, 39, (5), 639-639
33. Real‐Time Monitoring for Explosive Financial Bubbles
    Journal of Time Series Analysis, 2018, 39, (6), 863-891 View citations (6)
34. Robust tests for deterministic seasonality and seasonal mean shifts
    Econometrics Journal, 2018, 21, (3), 277-297
35. SEMI-PARAMETRIC SEASONAL UNIT ROOT TESTS
    Econometric Theory, 2018, 34, (2), 447-476 View citations (5)
    See also Working Paper (2015)
36. SPECIAL ISSUE OF ECONOMETRIC THEORY IN HONOR OF PROFESSOR RICHARD J. SMITH: GUEST EDITORS’ INTRODUCTION
    Econometric Theory, 2018, 34, (2), 247-252
37. 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
38. Testing for parameter instability in predictive regression models
    Journal of Econometrics, 2018, 204, (1), 101-118 View citations (14)
39. 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

40. 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)
41. 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)
42. 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

43. 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)
44. Special issue of the Journal of Empirical Finance Guest Editors' introduction
    Journal of Empirical Finance, 2016, 38, (PB), 513-515
45. Tests for explosive financial bubbles in the presence of non-stationary volatility
    Journal of Empirical Finance, 2016, 38, (PB), 548-574 View citations (76)
46. 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)
47. 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

48. 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)
49. 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)
50. 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)
51. 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)
52. 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)
53. Robust and Powerful Tests for Nonlinear Deterministic Components
    Oxford Bulletin of Economics and Statistics, 2015, 77, (6), 780-799 View citations (8)
54. 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

55. 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)
56. 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)
57. 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)
58. Robust tests for a linear trend with an application to equity indices
    Journal of Empirical Finance, 2014, 29, (C), 168-185
59. 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)
60. 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

61. A Review of Unit Root Tests in Time Series: Volumes 1 and 2
    Econometrics Journal, 2013, 16, (3), B5-B8
62. A bootstrap test for additive outliers in non-stationary time series
    Journal of Time Series Analysis, 2013, 34, (4), 454-465 View citations (2)
63. 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)
64. Editorial
    Journal of Time Series Analysis, 2013, 34, (2), 139-140
65. Editorial Announcement
    Journal of Time Series Analysis, 2013, 34, (6), 605-605
66. 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)
67. 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)
68. Testing for a break in trend when the order of integration is unknown
    Journal of Econometrics, 2013, 176, (1), 30-45 View citations (13)
69. 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)
70. Wild Bootstrap of the Sample Mean in the Infinite Variance Case
    Econometric Reviews, 2013, 32, (2), 204-219 View citations (4)

2012

71. 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)
72. Bootstrap Determination of the Co‐Integration Rank in Vector Autoregressive Models
    Econometrica, 2012, 80, (4), 1721-1740 View citations (73)
73. ON AUGMENTED HEGY TESTS FOR SEASONAL UNIT ROOTS
    Econometric Theory, 2012, 28, (5), 1121-1143 View citations (15)
    See also Working Paper (2011)
74. 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)
75. 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)
76. 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

77. SPECIAL ISSUE OF ECONOMETRIC THEORY ON BOOTSTRAP AND NUMERICAL METHODS IN TIME SERIES: GUEST EDITORS’ INTRODUCTION
    Econometric Theory, 2011, 27, (5), 929-932
78. 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)
79. 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

80. COINTEGRATION RANK TESTING UNDER CONDITIONAL HETEROSKEDASTICITY
    Econometric Theory, 2010, 26, (6), 1719-1760 View citations (44)
    See also Working Paper (2009)
81. 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)
82. 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)
83. 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

84. A Note on Testing Covariance Stationarity
    Econometric Reviews, 2009, 28, (4), 364-371 View citations (1)
85. Bootstrap M Unit Root Tests
    Econometric Reviews, 2009, 28, (5), 393-421 View citations (15)
86. HETEROSKEDASTIC TIME SERIES WITH A UNIT ROOT
    Econometric Theory, 2009, 25, (5), 1228-1276 View citations (56)
87. REGRESSION-BASED SEASONAL UNIT ROOT TESTS
    Econometric Theory, 2009, 25, (2), 527-560 View citations (30)
    See also Working Paper (2007)
88. REJOINDER
    Econometric Theory, 2009, 25, (3), 658-667 View citations (1)
89. 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)
90. SPECIAL ISSUE OF ECONOMETRIC THEORY IN HONOR OF PAUL NEWBOLD: GUEST EDITORS’ INTRODUCTION
    Econometric Theory, 2009, 25, (6), 1451-1456
91. 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)
92. 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

93. BOOTSTRAP UNIT ROOT TESTS FOR TIME SERIES WITH NONSTATIONARY VOLATILITY
    Econometric Theory, 2008, 24, (1), 43-71 View citations (95)
94. 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
95. Seasonal unit root tests and the role of initial conditions
    Econometrics Journal, 2008, 11, (3), 409-442
    See also Working Paper (2008)
96. 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)
97. 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

98. 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)
99. CUSUM of Squares‐Based Tests for a Change in Persistence
    Journal of Time Series Analysis, 2007, 28, (3), 408-433 View citations (42)
100. Conference in honour of Paul Newbold
     Economics Bulletin, 2007, 28, (31), A0
101. Detecting Multiple Changes in Persistence
     Studies in Nonlinear Dynamics & Econometrics, 2007, 11, (3), 1-34 View citations (54)
102. Efficient tests of the seasonal unit root hypothesis
     Journal of Econometrics, 2007, 141, (2), 548-573 View citations (22)
     See also Working Paper (2006)
103. 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)
104. Testing for unit roots in time series models with non-stationary volatility
     Journal of Econometrics, 2007, 140, (2), 919-947 View citations (119)

2006

105. Additive Outlier Detection Via Extreme‐Value Theory
     Journal of Time Series Analysis, 2006, 27, (5), 685-701 View citations (19)
106. Modified tests for a change in persistence
     Journal of Econometrics, 2006, 134, (2), 441-469 View citations (71)
     See also Working Paper (2004)
107. On Robust Trend Function Hypothesis Testing
     Studies in Nonlinear Dynamics & Econometrics, 2006, 10, (1), 1-27 View citations (1)
     See also Working Paper (2005)
108. Persistence change tests and shifting stable autoregressions
     Economics Letters, 2006, 91, (1), 44-49 View citations (5)
109. Regression‐based Tests for a Change in Persistence*
     Oxford Bulletin of Economics and Statistics, 2006, 68, (5), 595-621 View citations (16)
110. 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)
111. 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

112. Fluctuation Tests for a Change in Persistence
     Oxford Bulletin of Economics and Statistics, 2005, 67, (2), 207-230 View citations (10)
113. On the limiting behaviour of augmented seasonal unit root tests
     Economics Bulletin, 2005, 3, (3), 1-10
114. 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)
115. 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)
116. STATIONARITY TESTS UNDER TIME-VARYING SECOND MOMENTS
     Econometric Theory, 2005, 21, (6), 1112-1129 View citations (30)
117. Variance ratio tests of the seasonal unit root hypothesis
     Journal of Econometrics, 2005, 124, (1), 33-54 View citations (15)

2004

118. 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)
119. Alternative estimators and unit root tests for seasonal autoregressive processes
     Journal of Econometrics, 2004, 120, (1), 35-73 View citations (11)
120. Bootstrapping the HEGY seasonal unit root tests
     Journal of Econometrics, 2004, 123, (1), 67-87 View citations (16)
     See also Working Paper (2004)
121. 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)
122. On tests for changes in persistence
     Economics Letters, 2004, 84, (1), 107-115 View citations (17)
123. Some New Tests for a Change in Persistence
     Economics Bulletin, 2004, 3, (39), 1-10 View citations (8)
124. Tests of stationarity against a change in persistence
     Journal of Econometrics, 2004, 123, (1), 33-66 View citations (145)

2003

125. 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)
126. Locally Optimal Tests Against Unit Roots in Seasonal Time Series Processes
     Journal of Time Series Analysis, 2003, 24, (5), 591-612 View citations (9)
127. ON THE ASYMPTOTIC PROPERTIES OF SOME SEASONAL UNIT ROOT TESTS
     Econometric Theory, 2003, 19, (2), 311-321 View citations (4)
128. Robust Stationarity Tests in Seasonal Time Series Processes
     Journal of Business & Economic Statistics, 2003, 21, (1), 156-63 View citations (16)
129. Seasonal Unit Root Tests Based on Forward and Reverse Estimation
     Journal of Time Series Analysis, 2003, 24, (4), 441-460 View citations (2)
130. 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)
131. Variance Shifts, Structural Breaks, and Stationarity Tests
     Journal of Business & Economic Statistics, 2003, 21, (4), 510-31 View citations (22)

2002

132. 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)
133. 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)
134. 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

135. 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)
136. 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)
137. Recursive and rolling regression-based tests of the seasonal unit root hypothesis
     Journal of Econometrics, 2001, 105, (2), 309-336 View citations (5)
138. 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

139. Determining the order of differencing in seasonal time series processes
     Econometrics Journal, 2000, 3, (2), 250-264 View citations (4)
     See also Working Paper
140. On the Power of GLS‐Type Unit Root Tests
     Oxford Bulletin of Economics and Statistics, 2000, 62, (5), 633-645 View citations (2)
141. 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

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

1998

145. 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)
146. Testing for Unit Roots in Monthly Time Series
     Journal of Time Series Analysis, 1998, 19, (3), 349-368 View citations (33)

1997

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

Chapters

2022

1. Introduction and Overview
   Springer View citations (1)