Robert Taylor : Citation Profile

Are you Robert Taylor?

University of Essex

17

H index

33

i10 index

986

Citations

RESEARCH PRODUCTION:

108

Articles

84

Papers

RESEARCH ACTIVITY:

   22 years (1995 - 2017). See details.
   Cites by year: 44
   Journals where Robert Taylor has often published
   Relations with other researchers
   Recent citing documents: 86.    Total self citations: 69 (6.54 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pta27
   Updated: 2017-07-22    RAS profile: 2017-07-06    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers

Works with:

Cavaliere, Giuseppe (25)

del Barrio Castro, Tomás (8)

Rodrigues, Paulo (7)

Nielsen, Morten (6)

Rahbek, Anders (4)

De Angelis, Luca (3)

Astill, Sam (3)

Trenkler, Carsten (3)

Boswijk, H. Peter (3)

Osborn, Denise (3)

Iacone, Fabrizio (3)

Smeekes, Stephan (3)

Phillips, Peter (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Robert Taylor.

Is cited by:

Kruse, Robinson (48)

Rodrigues, Paulo (38)

Demetrescu, Matei (31)

Skrobotov, Anton (28)

del Barrio Castro, Tomás (26)

Perron, Pierre (24)

Sibbertsen, Philipp (23)

Phillips, Peter (23)

Noriega, Antonio (21)

Kejriwal, Mohitosh (18)

Nielsen, Morten (17)

Cites to:

Perron, Pierre (78)

Phillips, Peter (66)

Cavaliere, Giuseppe (59)

Stock, James (39)

Hansen, Bruce (34)

Vogelsang, Timothy (28)

Elliott, Graham (25)

Andrews, Donald (23)

Watson, Mark (20)

Burridge, Peter (19)

Schmidt, Peter (19)

Main data

Where Robert Taylor has published?

Journals with more than one article published# docs
Journal of Econometrics26
Econometric Theory22
Journal of Time Series Analysis13
Oxford Bulletin of Economics and Statistics12
Econometric Reviews8
Journal of Business & Economic Statistics5
Journal of Empirical Finance3
Econometrics Journal3
Economics Bulletin3
Studies in Nonlinear Dynamics & Econometrics2
Economics Letters2
International Journal of Forecasting2

Working Papers Series with more than one paper published# docs
Discussion Papers / Department of Economics, University of Birmingham9
Essex Finance Centre Working Papers / University of Essex, Essex Business School6
Quaderni di Dipartimento / Department of Statistics, University of Bologna5
Discussion Papers / University of Copenhagen. Department of Economics4
Research Memorandum / Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR)2
Working Papers / Banco de Portugal, Economics and Research Department2
Working Papers / Queen's University, Department of Economics2

Recent works citing Robert Taylor (2017 and 2016)

YearTitle of citing document
2016Fixed-b Inference in the Presence of Time-Varying Volatility. (2016). Kruse, Robinson ; Demetrescu, Matei ; Hanck, Christoph . In: CREATES Research Papers. RePEc:aah:create:2016-01.

Full description at Econpapers || Download paper

2016The cointegrated vector autoregressive model with general deterministic terms. (2016). Nielsen, Morten ; Johansen, Soren. In: CREATES Research Papers. RePEc:aah:create:2016-22.

Full description at Econpapers || Download paper

2017The role of cointegration for optimal hedging with heteroscedastic error term. (2017). Gatarek, Lukasz ; Johansen, Soren . In: CREATES Research Papers. RePEc:aah:create:2017-12.

Full description at Econpapers || Download paper

2016Changes in sovereign debt dynamics in Central and Eastern Europe. (2016). Cuestas, Juan. In: Working Papers. RePEc:aee:wpaper:1610.

Full description at Econpapers || Download paper

2016The Impact of Pre-marital Sex Ratios on Household Saving in Two Asian Countries: The Competitive Saving Motive Revisited. (2016). Horioka, Charles ; Hagiwara, Akiko ; Terada-Hagiwara, Akiko . In: AGI Working Paper Series. RePEc:agi:wpaper:00000111.

Full description at Econpapers || Download paper

2016Has the pricing of stocks become more global?. (2016). Schrimpf, Andreas ; Petzev, Ivan ; Wagner, Alexander F. In: BIS Working Papers. RePEc:bis:biswps:560.

Full description at Econpapers || Download paper

2016Use of unit root methods in early warning of financial crises. (2016). Virtanen, Timo ; Taipalus, Katja ; Viren, Matti ; Tolo, Eero . In: Research Discussion Papers. RePEc:bof:bofrdp:2016_027.

Full description at Econpapers || Download paper

2017Testing for a Change in Mean under Fractional Integration. (2017). Iacone, Fabrizio ; Taylor, Robert ; Stephen, Leybourne ; Fabrizio, Iacone . In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:9:y:2017:i:1:p:8:n:2.

Full description at Econpapers || Download paper

2016Grain prices, oil prices, and multiple smooth breaks in a VAR. (2016). Enders, Walter ; Walter, Enders ; Paul, Jones . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:20:y:2016:i:4:p:399-419:n:3.

Full description at Econpapers || Download paper

2016HEGY test under seasonal heterogeneity. (2016). Politis, Dimitris . In: University of California at San Diego, Economics Working Paper Series. RePEc:cdl:ucsdec:qt2q4054kf.

Full description at Econpapers || Download paper

2017The Impact of Monetary Strategies on Inflation Persistence. (2017). Kočenda, Evžen ; Kocenda, Even ; Varga, Balazs . In: CESifo Working Paper Series. RePEc:ces:ceswps:_6306.

Full description at Econpapers || Download paper

2017The Local Power of the IPS Test with Both Initial Conditions and Incidental Trends. (2017). Liang, Zhongwen ; Lahiri, Kajal ; Peng, Huaming . In: CESifo Working Paper Series. RePEc:ces:ceswps:_6313.

Full description at Econpapers || Download paper

2016Change Detection and the Causal Impact of the Yield Curve. (2016). Shi, Shuping ; Phillips, Peter ; Hurn, Stan ; PEter, . In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2058.

Full description at Econpapers || Download paper

2016The Impact of Pre-marital Sex Ratios on Household Saving in Two Asian Countries: The Competitive Saving Motive Revisited. (2016). Horioka, Charles ; Hagiwara, Akiko ; Terada-Hagiwara, Akiko . In: ISER Discussion Paper. RePEc:dpr:wpaper:0975.

Full description at Econpapers || Download paper

2016Spectral approach to parameter-free unit root testing. (2016). Bailey, Natalia ; Giraitis, Liudas . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:4-16.

Full description at Econpapers || Download paper

2016Moment Ratio estimation of autoregressive/unit root parameters and autocorrelation-consistent standard errors. (2016). McCulloch, Huston J. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:712-733.

Full description at Econpapers || Download paper

2016A Gini-based unit root test. (2016). Shelef, Amit. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:763-772.

Full description at Econpapers || Download paper

2016Trends, unit roots, structural changes, and time-varying asymmetries in U.S. macroeconomic data: the Stock and Watson data re-examined. (2016). Sandberg, Rickard . In: Economic Modelling. RePEc:eee:ecmode:v:52:y:2016:i:pb:p:699-713.

Full description at Econpapers || Download paper

2016Stochastic unit root processes: Maximum likelihood estimation, and new Lagrange multiplier and likelihood ratio tests. (2016). Yoon, Gawon . In: Economic Modelling. RePEc:eee:ecmode:v:52:y:2016:i:pb:p:725-732.

Full description at Econpapers || Download paper

2017Inflation-targeting and real interest rate parity: A bias correction approach. (2017). Kim, Jaebeom ; Ding, Hui . In: Economic Modelling. RePEc:eee:ecmode:v:60:y:2017:i:c:p:132-137.

Full description at Econpapers || Download paper

2016A simple proposal to improve the power of income convergence tests. (2016). Silva Lopes, Artur. In: Economics Letters. RePEc:eee:ecolet:v:138:y:2016:i:c:p:92-95.

Full description at Econpapers || Download paper

2016Sieve bootstrap monitoring for change from short to long memory. (2016). Chen, Zhanshou ; Li, Fuxiao ; Xing, Yuhong . In: Economics Letters. RePEc:eee:ecolet:v:140:y:2016:i:c:p:53-56.

Full description at Econpapers || Download paper

2016A nonparametric unit root test under nonstationary volatility. (2016). Yigit, Taner ; Yiit, Taner ; Erolu, Burak Alparslan . In: Economics Letters. RePEc:eee:ecolet:v:140:y:2016:i:c:p:6-10.

Full description at Econpapers || Download paper

2016Inference on the long-memory properties of time series with non-stationary volatility. (2016). Sibbertsen, Philipp ; Demetrescu, Matei. In: Economics Letters. RePEc:eee:ecolet:v:144:y:2016:i:c:p:80-84.

Full description at Econpapers || Download paper

2016Improving the length of confidence sets for the date of a break in level and trend when the order of integration is unknown. (2016). Harvey, David I ; Leybourne, Stephen J. In: Economics Letters. RePEc:eee:ecolet:v:145:y:2016:i:c:p:239-245.

Full description at Econpapers || Download paper

2016Testing for deterministic seasonality in mixed-frequency VARs. (2016). Hecq, Alain ; del Barrio Castro, Tomás. In: Economics Letters. RePEc:eee:ecolet:v:149:y:2016:i:c:p:20-24.

Full description at Econpapers || Download paper

2016Inference in VARs with conditional heteroskedasticity of unknown form. (2016). Trenkler, Carsten ; Jentsch, Carsten ; Bruggemann, Ralf . In: Journal of Econometrics. RePEc:eee:econom:v:191:y:2016:i:1:p:69-85.

Full description at Econpapers || Download paper

2016A reexamination of stock return predictability. (2016). Choi, Yongok ; Park, Joon Y ; Jacewitz, Stefan . In: Journal of Econometrics. RePEc:eee:econom:v:192:y:2016:i:1:p:168-189.

Full description at Econpapers || Download paper

2016Testing for Granger causality in large mixed-frequency VARs. (2016). Smeekes, Stephan ; Hecq, Alain ; Götz, Thomas ; Gotz, Thomas B. In: Journal of Econometrics. RePEc:eee:econom:v:193:y:2016:i:2:p:418-432.

Full description at Econpapers || Download paper

2017Forecasting cointegrated nonstationary time series with time-varying variance. (2017). Yi, Yanping ; Tu, Yundong . In: Journal of Econometrics. RePEc:eee:econom:v:196:y:2017:i:1:p:83-98.

Full description at Econpapers || Download paper

2017A heteroskedasticity robust Breusch–Pagan test for Contemporaneous correlation in dynamic panel data models. (2017). Halunga, Andreea G ; Yamagata, Takashi ; Orme, Chris D. In: Journal of Econometrics. RePEc:eee:econom:v:198:y:2017:i:2:p:209-230.

Full description at Econpapers || Download paper

2016Smooth volatility shifts and spillovers in U.S. crude oil and corn futures markets. (2016). Enders, Walter ; Brooks, Robert ; Teterin, Pavel . In: Journal of Empirical Finance. RePEc:eee:empfin:v:38:y:2016:i:pa:p:22-36.

Full description at Econpapers || Download paper

2016The shine of precious metals around the global financial crisis. (2016). Figuerola-Ferretti, Isabel ; McCrorie, Roderick J. In: Journal of Empirical Finance. RePEc:eee:empfin:v:38:y:2016:i:pb:p:717-738.

Full description at Econpapers || Download paper

2016‘Nonlinear causality between crude oil price and exchange rate: A comparative study of China and India’ — A failed replication (negative Type 1 and Type 2). (2016). Trachanas, Emmanouil ; de Vita, Glauco . In: Energy Economics. RePEc:eee:eneeco:v:56:y:2016:i:c:p:150-160.

Full description at Econpapers || Download paper

2016Stationarity changes in long-run energy commodity prices. (2016). Zaklan, Aleksandar ; Neumann, Anne ; Abrell, Jan . In: Energy Economics. RePEc:eee:eneeco:v:59:y:2016:i:c:p:96-103.

Full description at Econpapers || Download paper

2016Oil prices and real estate investment trusts (REITs): Gradual-shift causality and volatility transmission analysis. (2016). Soytas, Ugur ; Nazlioglu, Saban ; Gormus, Alper N. In: Energy Economics. RePEc:eee:eneeco:v:60:y:2016:i:c:p:168-175.

Full description at Econpapers || Download paper

2016Reducing CO2 emissions in Chinas manufacturing industry: Evidence from nonparametric additive regression models. (2016). Lin, Boqiang ; Xu, Bin . In: Energy. RePEc:eee:energy:v:101:y:2016:i:c:p:161-173.

Full description at Econpapers || Download paper

2016Forecasting using sparse cointegration. (2016). Croux, Christophe ; Wilms, Ines . In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:4:p:1256-1267.

Full description at Econpapers || Download paper

2016Long-run changes in radiative forcing and surface temperature: The effect of human activity over the last five centuries. (2016). Panagiotidis, Theodore ; Kaufmann, Robert ; Dergiades, Theologos. In: Journal of Environmental Economics and Management. RePEc:eee:jeeman:v:76:y:2016:i:c:p:67-85.

Full description at Econpapers || Download paper

2016Short interest and aggregate stock returns. (2016). Zhou, Guofu ; Ringgenberg, Matthew ; Rapach, David E. In: Journal of Financial Economics. RePEc:eee:jfinec:v:121:y:2016:i:1:p:46-65.

Full description at Econpapers || Download paper

2016Multivariate trend function testing with mixed stationary and integrated disturbances. (2016). . In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:147:y:2016:i:c:p:38-57.

Full description at Econpapers || Download paper

2016Exploring the oil prices and exchange rates nexus in some African economies. (2016). Molero, Juan Carlos ; Pershin, Vitaly ; de Gracia, Fernando Perez . In: Journal of Policy Modeling. RePEc:eee:jpolmo:v:38:y:2016:i:1:p:166-180.

Full description at Econpapers || Download paper

2016Shipping investor sentiment and international stock return predictability. (2016). Papapostolou, Nikos ; Nomikos, Nikos K ; Pouliasis, Panos K ; Kyriakou, Ioannis . In: Transportation Research Part E: Logistics and Transportation Review. RePEc:eee:transe:v:96:y:2016:i:c:p:81-94.

Full description at Econpapers || Download paper

2017Long-Run Commodity Prices, Economic Growth, and Interest Rates: 17th Century to the Present Day. (2017). Wohar, Mark ; Madsen, Jakob ; Kellard, Neil ; Harvey, David I. In: World Development. RePEc:eee:wdevel:v:89:y:2017:i:c:p:57-70.

Full description at Econpapers || Download paper

2016Crecimiento económico en México: restricción por la balanza de pagos.. (2016). Morones, Ana Lourdes . In: Ensayos Revista de Economia. RePEc:ere:journl:v:xxxv:y:2016:i:1:p:39-58.

Full description at Econpapers || Download paper

2017International Evidence on Long-Run Money Demand. (2017). Nicolini, Juan Pablo ; Lucas, Robert ; Weber, Warren E ; Benati, Luca . In: Working Papers. RePEc:fip:fedmwp:737.

Full description at Econpapers || Download paper

2017Online Appendix for: International Evidence on Long-Run Money Demand. (2017). Nicolini, Juan Pablo ; Lucas, Robert ; Weber, Warren E ; Benati, Luca . In: Working Papers. RePEc:fip:fedmwp:738.

Full description at Econpapers || Download paper

2016On Trend Breaks and Initial Condition in Unit Root Testing. (2016). Skrobotov, Anton. In: Working Papers. RePEc:gai:wpaper:0097.

Full description at Econpapers || Download paper

2017Consistency of Trend Break Point Estimator with Underspecified Break Number. (2017). Yang, Jingjing . In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:1:p:4-:d:86944.

Full description at Econpapers || Download paper

2017Fractional Unit Root Tests Allowing for a Structural Change in Trend under Both the Null and Alternative Hypotheses. (2017). Perron, Pierre ; Chang, Seong Yeon . In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:1:p:5-:d:87211.

Full description at Econpapers || Download paper

2016Year Ahead Demand Forecast of City Natural Gas Using Seasonal Time Series Methods. (2016). Akpinar, Mustafa ; Yumusak, Nejat . In: Energies. RePEc:gam:jeners:v:9:y:2016:i:9:p:727-:d:77779.

Full description at Econpapers || Download paper

2017On the Power and Size Properties of Cointegration Tests in the Light of High-Frequency Stylized Facts. (2017). Krauss, Christopher ; Herrmann, Klaus . In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:10:y:2017:i:1:p:7-:d:89525.

Full description at Econpapers || Download paper

2017Changes in Persistence in Outlier Contaminated Time Series. (2017). Hirsch, Tristan ; Rinke, Saskia . In: Hannover Economic Papers (HEP). RePEc:han:dpaper:dp-583.

Full description at Econpapers || Download paper

2017Change-in-Mean Tests in Long-memory Time Series: A Review of Recent Developments. (2017). Leschinski, Christian ; Sibbertsen, Philipp ; Wenger, Kai . In: Hannover Economic Papers (HEP). RePEc:han:dpaper:dp-598.

Full description at Econpapers || Download paper

2016A Modified ADF Test for Geometric ARMA Processes. (2016). Lien, Donald ; Firoozi, Fathali . In: International Journal of Business and Economics. RePEc:ijb:journl:v:15:y:2016:i:2:p:173-179.

Full description at Econpapers || Download paper

2016Algebra of Integrated Time Series: Evidence from Unit Root Analysis. (2016). Luitel, Hari ; Mahar, Gerry J. In: International Advances in Economic Research. RePEc:kap:iaecre:v:22:y:2016:i:2:d:10.1007_s11294-016-9577-9.

Full description at Econpapers || Download paper

2016Episodes of Exuberance in Housing Markets: In Search of the Smoking Gun. (2016). Peel, David ; Pavlidis, Efthymios ; Martínez García, Enrique ; Yusupova, Alisa ; Grossman, Valerie ; Mack, Adrienne ; Martinez-Garcia, Enrique ; Paya, Ivan . In: The Journal of Real Estate Finance and Economics. RePEc:kap:jrefec:v:53:y:2016:i:4:d:10.1007_s11146-015-9531-2.

Full description at Econpapers || Download paper

2017The role of cointegration for optimal hedging with heteroscedastic error term. (2017). Johansen, Soren ; Gatarek, Lukasz . In: Discussion Papers. RePEc:kud:kuiedp:1703.

Full description at Econpapers || Download paper

2016The impact of monetary strategies on inflation persistence. (2016). Kočenda, Evžen ; Kocenda, Evzen ; Varga, Balazs . In: KIER Working Papers. RePEc:kyo:wpaper:938.

Full description at Econpapers || Download paper

2016The Impact of Pre-marital Sex Ratios on Household Saving in Two Asian Countries: The Competitive Saving Motive Revisited. (2016). Horioka, Charles ; Hagiwara, Akiko ; Terada-Hagiwara, Akiko . In: NBER Working Papers. RePEc:nbr:nberwo:22412.

Full description at Econpapers || Download paper

2016International Evidence on Long Run Money Demand. (2016). Nicolini, Juan Pablo ; Lucas, Robert ; Benati, Luca ; Weber, Warren ; Robert, JR. In: NBER Working Papers. RePEc:nbr:nberwo:22475.

Full description at Econpapers || Download paper

2017Explosiveness in G11 currencies. (2017). Steenkamp, Daan. In: Reserve Bank of New Zealand Discussion Paper Series. RePEc:nzb:nzbdps:2017/2.

Full description at Econpapers || Download paper

2017How bubbly is the New Zealand dollar?. (2017). Steenkamp, Daan. In: Reserve Bank of New Zealand Discussion Paper Series. RePEc:nzb:nzbdps:2017/3.

Full description at Econpapers || Download paper

2016Local Explosion Modelling by Noncausal Process. (2016). Zakoian, Jean-Michel ; gourieroux, christian. In: MPRA Paper. RePEc:pra:mprapa:71105.

Full description at Econpapers || Download paper

2016Modelling mortality: Are we heading in the right direction?. (2016). Li, Youwei ; O'Hare, Colin . In: MPRA Paper. RePEc:pra:mprapa:71392.

Full description at Econpapers || Download paper

2016The Oil Price Crash in 2014/15: Was There a (Negative) Financial Bubble?. (2016). Fantazzini, Dean. In: MPRA Paper. RePEc:pra:mprapa:72094.

Full description at Econpapers || Download paper

2016Do Seasonal Adjustments Induce Noncausal Dynamics in Inflation Rates?. (2016). Telg, Sean ; Lieb, Lenard ; Hecq, Alain. In: MPRA Paper. RePEc:pra:mprapa:74922.

Full description at Econpapers || Download paper

2017How free admittance affects charged visits to museums: An analysis of the Italian case. (2017). Cellini, Roberto ; Cuccia, Tiziana . In: MPRA Paper. RePEc:pra:mprapa:78067.

Full description at Econpapers || Download paper

2017Examination of Seasonal Volatility in HICP for Baltic Region Countries: Non-Parametric Test versus Forecasting Experiment. (2017). Lenart, Ukasz . In: Central European Journal of Economic Modelling and Econometrics. RePEc:psc:journl:v:9:y:2017:i:1:p:29-67.

Full description at Econpapers || Download paper

2016Residual-augmented IVX predictive regression. (2016). Rodrigues, Paulo ; Demetrescu, Matei. In: Working Papers. RePEc:ptu:wpaper:w201605.

Full description at Econpapers || Download paper

2016A wavelet-based multivariate multiscale approach for forecasting. (2016). Rua, Antonio . In: Working Papers. RePEc:ptu:wpaper:w201612.

Full description at Econpapers || Download paper

2016Interest rate pass-through: a nonlinear vector error-correction approach. (2016). Popiel, Michal. In: Working Papers. RePEc:qed:wpaper:1352.

Full description at Econpapers || Download paper

2016The cointegrated vector autoregressive model with general deterministic terms. (2016). Nielsen, Morten ; Johansen, Soren. In: Working Papers. RePEc:qed:wpaper:1363.

Full description at Econpapers || Download paper

2016The Impact of a People’s Republic of China Slowdown on Commodity Prices and Detecting the Asymmetric Responses of Economic Activity in Asian Countries to Commodity Price Shocks. (2016). Pundit, Madhavi ; Ghoshray, Atanu. In: ADB Economics Working Paper Series. RePEc:ris:adbewp:0493.

Full description at Econpapers || Download paper

2016The Econometric Model for the Economic and Financial Analysis of Romanian International Trade. (2016). Mario, ; Anghel, Madalina Gabriela ; Manole, Alexandru ; Anghelache, Constantin . In: Romanian Statistical Review. RePEc:rsr:journl:v:64:y:2016:i:3:p:53-66.

Full description at Econpapers || Download paper

2016Using the Autoregressive Model for the Economic Forecast during the Period 2014- 2018. (2016). Anghelache, Constantin ; Dima, Ioan Constantin . In: Romanian Statistical Review Supplement. RePEc:rsr:supplm:v:64:y:2016:i:1:p:21-31.

Full description at Econpapers || Download paper

2016Cyclical non-stationarity in commodity prices. (2016). Asche, Frank ; Oglend, Atle . In: Empirical Economics. RePEc:spr:empeco:v:51:y:2016:i:4:d:10.1007_s00181-015-1060-6.

Full description at Econpapers || Download paper

2017Measuring species concentration, diversification and dependency in a macro-fishery. (2017). Díaz-Emparanza, Ignacio ; Diaz-Emparanza, Ignacio ; Astorkiza, Kepa ; Valle, Ikerne . In: Empirical Economics. RePEc:spr:empeco:v:52:y:2017:i:4:d:10.1007_s00181-016-1102-8.

Full description at Econpapers || Download paper

2017Combination of “combinations of p values”. (2017). Cheng, Lan ; Sheng, Xuguang Simon . In: Empirical Economics. RePEc:spr:empeco:v:53:y:2017:i:1:d:10.1007_s00181-017-1230-9.

Full description at Econpapers || Download paper

2016Does the Impact of the Tobacco Epidemic Explain Structural Changes in the Decline of Mortality?. (2016). Nusselder, W J ; Peters, F ; MacKenbach, J P. In: European Journal of Population. RePEc:spr:eurpop:v:32:y:2016:i:5:d:10.1007_s10680-016-9384-2.

Full description at Econpapers || Download paper

2017Robust Dickey–Fuller tests based on ranks for time series with additive outliers. (2017). Boistard, H ; Bourguignon, M ; Levy-Leduc, C ; Reisen, V A. In: Metrika: International Journal for Theoretical and Applied Statistics. RePEc:spr:metrik:v:80:y:2017:i:1:d:10.1007_s00184-016-0594-8.

Full description at Econpapers || Download paper

2016(Pro?)-cyclicality of collateral haircuts and systemic illiquidity. (2016). Glaser, Florian ; Panz, Sven . In: ESRB Working Paper Series. RePEc:srk:srkwps:201627.

Full description at Econpapers || Download paper

2016Testing for Deterministic Seasonality in Mixed-Frequency VARs. (2016). Hecq, Alain ; del Barrio Castro, Tomás. In: DEA Working Papers. RePEc:ubi:deawps:76.

Full description at Econpapers || Download paper

2016A data-driven selection of an appropriate seasonal adjustment approach. (2016). Webel, Karsten . In: Discussion Papers. RePEc:zbw:bubdps:072016.

Full description at Econpapers || Download paper

2017Heteroskedasticity-robust unit root testing for trending panels. (2017). Walle, Yabibal ; Maxand, Simone ; Herwartz, Helmut . In: Center for European, Governance and Economic Development Research Discussion Papers. RePEc:zbw:cegedp:314.

Full description at Econpapers || Download paper

2016Monitoring regionaler Immobilienpreise 2016: Gefahr einer Überhitzung am Häusermarkt gestiegen. (2016). Micheli, Martin ; Budde, Rudiger . In: RWI Konjunkturberichte. RePEc:zbw:rwikon:145328.

Full description at Econpapers || Download paper

Works by Robert Taylor:

YearTitleTypeCited
2008Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility In: CREATES Research Papers.
[Full Text][Citation analysis]		paper40
2010Testing for co-integration in vector autoregressions with non-stationary volatility.(2010) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 40		article
2008Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility.(2008) In: Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 40		paper
2007Testing for co-integration in vector autoregressions with non-stationary volatility.(2007) In: Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 40		paper
2008Testing for Unit Roots in the Presence of a Possible Break in Trend and Non-Stationary Volatility In: CREATES Research Papers.
[Full Text][Citation analysis]		paper11
2011TESTING FOR UNIT ROOTS IN THE PRESENCE OF A POSSIBLE BREAK IN TREND AND NONSTATIONARY VOLATILITY.(2011) In: Econometric Theory.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 11		article
2009Testing for unit roots in the presence of a possible break in trend and non-stationary volatility.(2009) In: Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 11		paper
2009Co-integration Rank Testing under Conditional Heteroskedasticity In: CREATES Research Papers.
[Full Text][Citation analysis]		paper25
2010COINTEGRATION RANK TESTING UNDER CONDITIONAL HETEROSKEDASTICITY.(2010) In: Econometric Theory.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 25		article
2010Bootstrap Sequential Determination of the Co-integration Rank in VAR Models In: CREATES Research Papers.
[Full Text][Citation analysis]		paper3
2010Bootstrap Sequential Determination of the Co-integration Rank in VAR Models.(2010) In: Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3		paper
2012Bootstrap Determination of the Co-integration Rank in Heteroskedastic VAR Models In: CREATES Research Papers.
[Full Text][Citation analysis]		paper7
2012Bootstrap Determination of the Co-integration Rank in Heteroskedastic VAR Models.(2012) In: Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 7		paper
2014Bootstrap Determination of the Co-Integration Rank in Heteroskedastic VAR Models.(2014) In: Econometric Reviews.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 7		article
2014Bootstrap Score Tests for Fractional Integration in Heteroskedastic ARFIMA Models, with an Application to Price Dynamics in Commodity Spot and Futures Markets In: CREATES Research Papers.
[Full Text][Citation analysis]		paper7
2015Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets.(2015) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 7		article
2013Bootstrap Score Tests for Fractional Integration in Heteroskedastic ARFIMA Models, with an Application to Price Dynamics in Commodity Spot and Futures Markets.(2013) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 7		paper
2017Quasi-Maximum Likelihood Estimation and Bootstrap Inference in Fractional Time Series Models with Heteroskedasticity of Unknown Form In: CREATES Research Papers.
[Full Text][Citation analysis]		paper0
2017Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form.(2017) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		article
2016Quasi-Maximum Likelihood Estimation and Bootstrap Inference in Fractional Time Series Models with Heteroskedasticity of Unknown Form.(2016) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		paper
2003Testing against stochastic trend and seasonality in the presence of unattended breaks and unit roots In: Temi di discussione (Economic working papers).
[Full Text][Citation analysis]		paper10
2003Testing against stochastic trend and seasonality in the presence of unattended breaks and unit roots.(2003) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 10		article
2001Tests of the Seasonal Unit-Root Hypothesis against Heteroscedastic Seasonal Integration. In: Journal of Business & Economic Statistics.
[Citation analysis]		article4
1999Tests of the Seasonal Unit Root Hypothesis Against Heteroscedastic Seasonal Integration..(1999) In: Discussion Papers.
[Citation analysis]
This paper has another version. Agregated cites: 4		paper
2001On the Properties of Regression-Based Tests for Seasonal Unit Roots in the Presence of Higher-Order Serial Correlation. In: Journal of Business & Economic Statistics.
[Citation analysis]		article16
2002Regression-Based Unit Root Tests with Recursive Mean Adjustment for Seasonal and Nonseasonal Time Series. In: Journal of Business & Economic Statistics.
[Citation analysis]		article19
2003Robust Stationarity Tests in Seasonal Time Series Processes. In: Journal of Business & Economic Statistics.
[Citation analysis]		article10
2003Variance Shifts, Structural Breaks, and Stationarity Tests. In: Journal of Business & Economic Statistics.
[Citation analysis]		article12
2000An Optimal Test against a Random Walk Component in a Non-Orthogonal Unobserved Components Model. In: Discussion Papers.
[Citation analysis]		paper5
2002An optimal test against a random walk component in a non-orthogonal unobserved components model.(2002) In: Econometrics Journal.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5		article
2005On Robust Trend Function Hypothesis Testing In: Discussion Papers.
[Citation analysis]		paper1
2006On Robust Trend Function Hypothesis Testing.(2006) In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1		article
2005Testing the Null of Co-integration in the Presence of Variance Breaks In: Discussion Papers.
[Citation analysis]		paper1
2006Testing the Null of Co-integration in the Presence of Variance Breaks.(2006) In: Journal of Time Series Analysis.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1		article
1999On Regression-Based Tests for Seasonal Unit Roots in the Presence of Periodic Heteroscedasticity. In: Discussion Papers.
[Citation analysis]		paper16
2001On regression-based tests for seasonal unit roots in the presence of periodic heteroscedasticity.(2001) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 16		article
1999Regression-Based Seasonal Unit Root Tests with Recursive Mean Adjustment. In: Discussion Papers.
[Citation analysis]		paper0
1999Locally Optimal Tests Against Seasonal Unit Roots. In: Discussion Papers.
[Citation analysis]		paper2
1999The Finite Sample Effects of Deterministic Variables on Conventional Methods of Lag-Selection in Unit Root Tests. In: Discussion Papers.
[Citation analysis]		paper3
2000 The Finite Sample Effects of Deterministic Variables on Conventional Methods of Lag-Selection in Unit Root Tests..(2000) In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3		article
1999Regression-Based Seasonal Unit Root Tests. In: Discussion Papers.
[Citation analysis]		paper14
2009REGRESSION-BASED SEASONAL UNIT ROOT TESTS.(2009) In: Econometric Theory.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 14		article
2007Regression-based seasonal unit root tests.(2007) In: Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 14		paper
2003Seasonal Unit Root Tests Based on Forward and Reverse Estimation In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article2
2003Locally Optimal Tests Against Unit Roots in Seasonal Time Series Processes In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article7
2005On the use of Sub-sample Unit Root Tests to Detect Changes in Persistence In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article5
2006Additive Outlier Detection Via Extreme-Value Theory In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article6
2007CUSUM of Squares-Based Tests for a Change in Persistence In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article31
2008Time-Transformed Unit Root Tests for Models with Non-Stationary Volatility In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article13
2010The impact of the initial condition on robust tests for a linear trend In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article2
2009The impact of the initial condition on robust tests for a linear trend.(2009) In: Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2		paper
2013Editorial In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article0
2013A bootstrap test for additive outliers in non-stationary time series In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article1
2013Editorial Announcement In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article0
2014A FIXED- b TEST FOR A BREAK IN LEVEL AT AN UNKNOWN TIME UNDER FRACTIONAL INTEGRATION In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article3
2015Testing for Unit Roots Under Multiple Possible Trend Breaks and Non-Stationary Volatility Using Bootstrap Minimum Dickey–Fuller Statistics In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article1
1999Detecting Seasonal Unit Roots: An Approach Based on the Sample Autocorrelation Function. In: Manchester School.
[Full Text][Citation analysis]		article1
2000 On the Power of GLS-Type Unit Root Tests. In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]		article3
2002 Can Tests for Stochastic Unit Roots Provide Useful Portmanteau Tests for Persistence? In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]		article4
2005Fluctuation Tests for a Change in Persistence In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]		article6
2006Regression-based Tests for a Change in Persistence In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]		article9
2006Testing for a Change in Persistence in the Presence of a Volatility Shift In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]		article6
2012The Flexible Fourier Form and Local Generalised Least Squares De-trended Unit Root Tests-super- In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]		article10
2014Unit Root Testing under a Local Break in Trend using Partial Information on the Break Date In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]		article1
2015A Comparison of Sequential and Information-based Methods for Determining the Co-integration Rank in Heteroskedastic VAR Models In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]		article0
2013A comparison of sequential and information-based methods for determining the co-integration rank in heteroskedastic VAR models.(2013) In: Quaderni di Dipartimento.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		paper
2015On the Behaviour of Phillips–Perron Tests in the Presence of Persistent Cycles In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]		article0
2013On the Behaviour of Phillips-Perron Tests in the Presence of Persistent Cycles.(2013) In: CEFAGE-UE Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		paper
2015Bootstrap Co-integration Rank Testing: The Effect of Bias-Correcting Parameter Estimates In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]		article1
2013Bootstrap Co-integration Rank Testing: The Effect of Bias-Correcting Parameter Estimates.(2013) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1		paper
2015Robust and Powerful Tests for Nonlinear Deterministic Components In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]		article4
2011Wild bootstrap of the mean in the infinite variance case In: Quaderni di Dipartimento.
[Full Text][Citation analysis]		paper0
2011Bootstrap determination of the co-integration rank in VAR models In: Quaderni di Dipartimento.
[Full Text][Citation analysis]		paper4
2015Sieve-based inference for infinite-variance linear processes In: Quaderni di Dipartimento.
[Full Text][Citation analysis]		paper0
2016Unit root inference for non-stationary linear processes driven by infinite variance innovations In: Quaderni di Dipartimento.
[Full Text][Citation analysis]		paper0
2007Detecting Multiple Changes in Persistence In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]		article27
1995Additional Critical Values and Asymptotic Representations for Seasonal Unit Roots Tests. In: Cambridge Working Papers in Economics.
[Citation analysis]		paper25
1998Additional critical values and asymptotic representations for seasonal unit root tests.(1998) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 25		article
1995Additional Critical Values and Asymptotic Representations for Seasonal Unit Root Tests.(1995) In: Discussion Papers.
[Citation analysis]
This paper has another version. Agregated cites: 25		paper
2003On Tests for Double Differencing: Some Extensions and the Role of Initial Values In: Economic Working Papers at Centro de Estudios Andaluces.
[Full Text][Citation analysis]		paper0
2004Robust Inference on Seasonal Unit Roots via a Bootstrap Applied to OECD Macroeconomic Series In: Working Papers.
[Full Text][Citation analysis]		paper0
1996Linear Combinations of Stationary Processes In: Econometric Theory.
[Full Text][Citation analysis]		article0
2003ON THE ASYMPTOTIC PROPERTIES OF SOME SEASONAL UNIT ROOT TESTS In: Econometric Theory.
[Full Text][Citation analysis]		article3
2004ON TESTS FOR DOUBLE DIFFERENCING: METHODS OF DEMEANING AND DETRENDING AND THE ROLE OF INITIAL VALUES In: Econometric Theory.
[Full Text][Citation analysis]		article1
2004ASYMPTOTIC DISTRIBUTIONS FOR REGRESSION-BASED SEASONAL UNIT ROOT TEST STATISTICS IN A NEAR-INTEGRATED MODEL In: Econometric Theory.
[Full Text][Citation analysis]		article4
2005STATIONARITY TESTS FOR IRREGULARLY SPACED OBSERVATIONS AND THE EFFECTS OF SAMPLING FREQUENCY ON POWER In: Econometric Theory.
[Full Text][Citation analysis]		article0
2004Stationarity Tests for Irregularly Spaced Observations and the Effects of Sampling Frequency on Power.(2004) In: Econometric Society 2004 Far Eastern Meetings.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		paper
2005STATIONARITY TESTS UNDER TIME-VARYING SECOND MOMENTS In: Econometric Theory.
[Full Text][Citation analysis]		article11
2008BOOTSTRAP UNIT ROOT TESTS FOR TIME SERIES WITH NONSTATIONARY VOLATILITY In: Econometric Theory.
[Full Text][Citation analysis]		article29
2009UNIT ROOT TESTING IN PRACTICE: DEALING WITH UNCERTAINTY OVER THE TREND AND INITIAL CONDITION In: Econometric Theory.
[Full Text][Citation analysis]		article38
2007Unit root testing in practice: dealing with uncertainty over the trend and initial condition.(2007) In: Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 38		paper
2009REJOINDER In: Econometric Theory.
[Full Text][Citation analysis]		article0
2009ECONOMETRIC THEORY MEMORIAL TO ALBERT REX BERGSTROM–INTRODUCTION In: Econometric Theory.
[Full Text][Citation analysis]		article0
2009SIMPLE, ROBUST, AND POWERFUL TESTS OF THE BREAKING TREND HYPOTHESIS In: Econometric Theory.
[Full Text][Citation analysis]		article45
Simple, Robust and Powerful Tests of the Breaking Trend Hypothesis*.() In: Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 45		paper
2009HETEROSKEDASTIC TIME SERIES WITH A UNIT ROOT In: Econometric Theory.
[Full Text][Citation analysis]		article16
2009SPECIAL ISSUE OF ECONOMETRIC THEORY IN HONOR OF PAUL NEWBOLD: GUEST EDITORS’ INTRODUCTION In: Econometric Theory.
[Full Text][Citation analysis]		article0
2009TESTING FOR A UNIT ROOT IN THE PRESENCE OF A POSSIBLE BREAK IN TREND In: Econometric Theory.
[Full Text][Citation analysis]		article25
2007Testing for a unit root in the presence of a possible break in trend.(2007) In: Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 25		paper
2011SPECIAL ISSUE OF ECONOMETRIC THEORY ON BOOTSTRAP AND NUMERICAL METHODS IN TIME SERIES: GUEST EDITORS’ INTRODUCTION In: Econometric Theory.
[Full Text][Citation analysis]		article0
2012BOOTSTRAP UNION TESTS FOR UNIT ROOTS IN THE PRESENCE OF NONSTATIONARY VOLATILITY In: Econometric Theory.
[Full Text][Citation analysis]		article3
2010Bootstrap union tests for unit roots in the presence of nonstationary volatility.(2010) In: Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3		paper
2010Bootstrap union tests for unit roots in the presence of nonstationary volatility.(2010) In: Research Memorandum.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3		paper
2012ON AUGMENTED HEGY TESTS FOR SEASONAL UNIT ROOTS In: Econometric Theory.
[Full Text][Citation analysis]		article3
2011On Augmented HEGY Tests for Seasonal Unit Roots.(2011) In: The School of Economics Discussion Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3		paper
2013ON THE BEHAVIOR OF FIXED-b TREND BREAK TESTS UNDER FRACTIONAL INTEGRATION In: Econometric Theory.
[Full Text][Citation analysis]		article2
2011On the behaviour of fixed-b trend break tests under fractional integration.(2011) In: Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2		paper
2013THE IMPACT OF PERSISTENT CYCLES ON ZERO FREQUENCY UNIT ROOT TESTS In: Econometric Theory.
[Full Text][Citation analysis]		article1
2011The Impact of Persistent Cycles on Zero Frequency Unit Root Tests.(2011) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1		paper
2012Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper3
2015Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility.(2015) In: Econometric Reviews.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3		article
2011Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility.(2011) In: Research Memorandum.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3		paper
2004Some New Tests for a Change in Persistence In: Economics Bulletin.
[Full Text][Citation analysis]		article2
2005On the limiting behaviour of augmented seasonal unit root tests In: Economics Bulletin.
[Full Text][Citation analysis]		article0
2007Conference in honour of Paul Newbold In: Economics Bulletin.
[Full Text][Citation analysis]		article0
1997Controversy: On Modelling the Long Run in Applied Economics. In: Economic Journal.
[Full Text][Citation analysis]		article1
2004Modified Tests for a Change in Persistence In: Econometric Society 2004 Australasian Meetings.
[Full Text][Citation analysis]		paper46
2006Modified tests for a change in persistence.(2006) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 46		article
2012Bootstrap Determination of the Co‐Integration Rank in Vector Autoregressive Models In: Econometrica.
[Full Text][Citation analysis]		article14
2004Bootstrapping the HEGY Seasonal Unit Root Tests In: Econometric Society 2004 North American Summer Meetings.
[Full Text][Citation analysis]		paper9
2004Bootstrapping the HEGY seasonal unit root tests.(2004) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 9		article
2008Seasonal unit root tests and the role of initial conditions In: Econometrics Journal.
[Full Text][Citation analysis]		article1
2008Seasonal unit root tests and the role of initial conditions.(2008) In: Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1		paper
2000Determining the order of differencing in seasonal time series processes In: Econometrics Journal.
[Citation analysis]		article2
1997Determining the Order of Differencing in Seasonal Time Series Processes.(1997) In: Discussion Papers.
[Citation analysis]
This paper has another version. Agregated cites: 2		paper
2014On infimum Dickey–Fuller unit root tests allowing for a trend break under the null In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article2
2004On tests for changes in persistence In: Economics Letters.
[Full Text][Citation analysis]		article7
2006Persistence change tests and shifting stable autoregressions In: Economics Letters.
[Full Text][Citation analysis]		article2
2001Recursive and rolling regression-based tests of the seasonal unit root hypothesis In: Journal of Econometrics.
[Full Text][Citation analysis]		article5
2003Corrigendum to Nonparametric tests for unit roots and cointegration [J. Econom. 108 (2002) 343-363] In: Journal of Econometrics.
[Full Text][Citation analysis]		article19
2004Alternative estimators and unit root tests for seasonal autoregressive processes In: Journal of Econometrics.
[Full Text][Citation analysis]		article5
2004Tests of stationarity against a change in persistence In: Journal of Econometrics.
[Full Text][Citation analysis]		article82
2005Variance ratio tests of the seasonal unit root hypothesis In: Journal of Econometrics.
[Full Text][Citation analysis]		article9
2007Testing for unit roots in time series models with non-stationary volatility In: Journal of Econometrics.
[Full Text][Citation analysis]		article43
2007A simple, robust and powerful test of the trend hypothesis In: Journal of Econometrics.
[Full Text][Citation analysis]		article36
2006A simple, robust and powerful test of the trend hypothesis.(2006) In: Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 36		paper
2007Efficient tests of the seasonal unit root hypothesis In: Journal of Econometrics.
[Full Text][Citation analysis]		article13
2004Efficient Tests of the Seasonal Unit Root Hypothesis.(2004) In: Economics Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 13		paper
Efficient Tests of the Seasonal Unit Root Hypothesis*.() In: Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 13		paper
2008Erratum to A simple, robust and powerful test of the trend hypothesis [Journal of Econometrics 141(2) (2007) 1302-1330] In: Journal of Econometrics.
[Full Text][Citation analysis]		article0
2008Testing for a change in persistence in the presence of non-stationary volatility In: Journal of Econometrics.
[Full Text][Citation analysis]		article13
2006Testing for a change in persistence in the presence of non-stationary volatility.(2006) In: Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 13		paper
2010Robust methods for detecting multiple level breaks in autocorrelated time series In: Journal of Econometrics.
[Full Text][Citation analysis]		article18
2010Robust methods for detecting multiple level breaks in autocorrelated time series.(2010) In: Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 18		paper
2011Robust methods for detecting multiple level breaks in autocorrelated time series.(2011) In: Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 18		paper
2012Unit root testing under a local break in trend In: Journal of Econometrics.
[Full Text][Citation analysis]		article3
2010Unit root testing under a local break in trend.(2010) In: Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3		paper
2011Unit root testing under a local break in trend.(2011) In: Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3		paper
2012Testing for unit roots in the presence of uncertainty over both the trend and initial condition In: Journal of Econometrics.
[Full Text][Citation analysis]		article10
2008Testing for unit roots in the presence of uncertainty over both the trend and initial condition.(2008) In: Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 10		paper
2013Testing for a break in trend when the order of integration is unknown In: Journal of Econometrics.
[Full Text][Citation analysis]		article8
2013Testing for unit roots in the possible presence of multiple trend breaks using minimum Dickey–Fuller statistics In: Journal of Econometrics.
[Full Text][Citation analysis]		article17
2014Testing for seasonal unit roots by frequency domain regression In: Journal of Econometrics.
[Full Text][Citation analysis]		article1
2010Testing for seasonal unit roots by frequency domain regression.(2010) In: Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1		paper
2016Inference on co-integration parameters in heteroskedastic vector autoregressions In: Journal of Econometrics.
[Full Text][Citation analysis]		article5
2013Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions.(2013) In: Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5		paper
2013Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions.(2013) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5		paper
2016Tests of the co-integration rank in VAR models in the presence of a possible break in trend at an unknown point In: Journal of Econometrics.
[Full Text][Citation analysis]		article0
2016Tests of the Co-integration Rank in VAR Models in the Presence of a Possible Break in Trend at an Unknown Point.(2016) In: Essex Finance Centre Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		paper
2014Robust tests for a linear trend with an application to equity indices In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article0
2016Special issue of the Journal of Empirical Finance Guest Editors introduction In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article0
2016Tests for explosive financial bubbles in the presence of non-stationary volatility In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article3
1997On the practical problems of computing seasonal unit root tests In: International Journal of Forecasting.
[Full Text][Citation analysis]		article8
2007New 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. In: International Journal of Forecasting.
[Full Text][Citation analysis]		article0
1999Testing for Stochastic Unit Roots - Some Monte Carlo evidence In: Econometric Institute Research Papers.
[Citation analysis]		paper2
2015A Bootstrap Stationarity Test for Predictive Regression Invalidity In: Essex Finance Centre Working Papers.
[Full Text][Citation analysis]		paper0
2015Semi-Parametric Seasonal Unit Root Tests In: Essex Finance Centre Working Papers.
[Full Text][Citation analysis]		paper1
2015Semi-Parametric Seasonal Unit Root Tests.(2015) In: DEA Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1		paper
2016Determining the Cointegration Rank in Heteroskedastic VAR Models of Unknown Order In: Essex Finance Centre Working Papers.
[Full Text][Citation analysis]		paper0
2017Unit Root Tests and Heavy-Tailed Innovations In: Essex Finance Centre Working Papers.
[Full Text][Citation analysis]		paper0
2017Testing the Order of Fractional Integration of a Time Series in the Possible Presence of a Trend Break at an Unknown Point In: Essex Finance Centre Working Papers.
[Full Text][Citation analysis]		paper0
2010Determination of the Number of Common Stochastic Trends Under Conditional Heteroskedasticity/Determinación del número de tendencias estocásticas comunes bajo heteroscedasticidad condicional In: Estudios de Economía Aplicada.
[Full Text][Citation analysis]		article0
2012The Performance of Lag Selection and Detrending Methods for HEGY Seasonal Unit Root Tests In: The School of Economics Discussion Paper Series.
[Full Text][Citation analysis]		paper5
2016The Performance of Lag Selection and Detrending Methods for HEGY Seasonal Unit Root Tests.(2016) In: Econometric Reviews.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5		article
2007Testing for a unit root when uncertain about the trend [Revised to become 07/03 above] In: Discussion Papers.
[Full Text][Citation analysis]		paper0
2008Testing for unit roots and the impact of quadratic trends, with an application to relative primary commodity prices In: Discussion Papers.
[Full Text][Citation analysis]		paper8
2011Testing for Unit Roots and the Impact of Quadratic Trends, with an Application to Relative Primary Commodity Prices.(2011) In: Econometric Reviews.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 8		article
2009Robust methods for detecting multiple level breaks in autocorrelated time series [Revised to become No. 10/01 above] In: Discussion Papers.
[Full Text][Citation analysis]		paper1
2009Co-integration rank tests under conditional heteroskedasticity In: Discussion Papers.
[Full Text][Citation analysis]		paper0
2010Bootstrap co-integration rank testing: the role of deterministic variables and initial values in the bootstrap recursion In: Discussion Papers.
[Full Text][Citation analysis]		paper3
2013Bootstrap Cointegration Rank Testing: The Role of Deterministic Variables and Initial Values in the Bootstrap Recursion.(2013) In: Econometric Reviews.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3		article
2002Tests for an end-of-sample bubble in financial time series In: Discussion Papers.
[Full Text][Citation analysis]		paper0
2009The Flexible Fourier Form and Local GLS De-trended Unit Root Tests In: Working Papers.
[Full Text][Citation analysis]		paper2
1997Book Reviews In: Asia Pacific Business Review.
[Full Text][Citation analysis]		article0
2009A Note on Testing Covariance Stationarity In: Econometric Reviews.
[Full Text][Citation analysis]		article0
2009Bootstrap M Unit Root Tests In: Econometric Reviews.
[Full Text][Citation analysis]		article4
2013Wild Bootstrap of the Sample Mean in the Infinite Variance Case In: Econometric Reviews.
[Full Text][Citation analysis]		article0
2013A Review of Unit Root Tests in Time Series: Volumes 1 and 2 In: Econometrics Journal.
[Full Text][Citation analysis]		article0
1995Testing for Seasonal Unit Roots: a simple alternative to HEGY In: Discussion Papers.
[Citation analysis]		paper0
1996On the Practical Problems of Computing Seasonal Unit Root Tests: The Case of Non-Durable Consumers Expenditures In: Discussion Papers.
[Citation analysis]		paper0
1996Additional Critical Values and Asymptotic Representations for Monthly Seasonal Unit Root Tests In: Discussion Papers.
[Citation analysis]		paper1
1997On the Definitions of (Co-)Integration In: Discussion Papers.
[Citation analysis]		paper13

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated June, 1st 2017. Contact: CitEc Team