Robert Taylor : Citation Profile

Are you Robert Taylor?

University of Essex

21

H index

41

i10 index

1290

Citations

RESEARCH PRODUCTION:

123

Articles

88

Papers

RESEARCH ACTIVITY:

   23 years (1995 - 2018). See details.
   Cites by year: 56
   Journals where Robert Taylor has often published
   Relations with other researchers
   Recent citing documents: 159.    Total self citations: 81 (5.91 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pta27
   Updated: 2019-01-20    RAS profile: 2018-11-09    
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Relations with other researchers

Works with:

Cavaliere, Giuseppe (27)

Leybourne, Stephen (15)

Harvey, David (11)

Nielsen, Morten (10)

Rodrigues, Paulo (9)

del Barrio Castro, Tomás (8)

Iacone, Fabrizio (4)

De Angelis, Luca (4)

Astill, Sam (3)

Trenkler, Carsten (3)

Boswijk, H. Peter (3)

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 (49)

Rodrigues, Paulo (45)

Demetrescu, Matei (39)

Perron, Pierre (37)

Skrobotov, Anton (37)

del Barrio Castro, Tomás (32)

Nielsen, Morten (29)

Sibbertsen, Philipp (28)

Smeekes, Stephan (27)

Harvey, David (27)

Kejriwal, Mohitosh (25)

Cites to:

Perron, Pierre (104)

Cavaliere, Giuseppe (76)

Phillips, Peter (75)

Leybourne, Stephen (54)

Stock, James (48)

Hansen, Bruce (45)

Vogelsang, Timothy (43)

Andrews, Donald (37)

Harvey, David (37)

Elliott, Graham (32)

Burridge, Peter (26)

Main data

Where Robert Taylor has published?

Journals with more than one article published# docs
Journal of Econometrics27
Econometric Theory26
Journal of Time Series Analysis22
Oxford Bulletin of Economics and Statistics12
Econometric Reviews8
Journal of Business & Economic Statistics5
Econometrics Journal3
Journal of Empirical Finance3
Economics Bulletin3
Studies in Nonlinear Dynamics & Econometrics2
Econometrics Journal2
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 School5
Quaderni di Dipartimento / Department of Statistics, University of Bologna5
Discussion Papers / University of Copenhagen. Department of Economics4
Working Papers / Queen's University, Department of Economics3
Research Memorandum / Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR)2
DEA Working Papers / Universitat de les Illes Balears, Departament d'Economa Aplicada2

Recent works citing Robert Taylor (2018 and 2017)

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

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2018The Dynamic Properties of Natural Resource Prices. (2018). Ghoshray, Atanu. In: 2018 Conference, July 28-August 2, 2018, Vancouver, British Columbia. RePEc:ags:iaae18:277210.

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2018A Matlab program and user’s guide for the fractionally cointegrated VAR model. (2018). Popiel, Michal ; Nielsen, Morten. In: Queen's Economics Department Working Papers. RePEc:ags:quedwp:274656.

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2018Testing for Common Breaks in a Multiple Equations System. (2018). Perron, Pierre ; Oka, Tatsushi. In: Papers. RePEc:arx:papers:1606.00092.

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2018Inference for Impulse Responses under Model Uncertainty. (2018). Smeekes, Stephan ; Lieb, Lenard. In: Papers. RePEc:arx:papers:1709.09583.

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2017A Justification of Conditional Confidence Intervals. (2017). Smeekes, Stephan ; Heinemann, Alexander ; Beutner, Eric. In: Papers. RePEc:arx:papers:1710.00643.

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2018A Second Order Cumulant Spectrum Based Test for Strict Stationarity. (2018). Patterson, Douglas ; Roberts, Denisa ; Hinich, Melvin. In: Papers. RePEc:arx:papers:1801.06727.

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2018Statistical inference for autoregressive models under heteroscedasticity of unknown form. (2018). Zhu, Ke. In: Papers. RePEc:arx:papers:1804.02348.

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2018Structural Breaks in Time Series. (2018). Perron, Pierre ; Casini, Alessandro. In: Papers. RePEc:arx:papers:1805.03807.

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2018Improved Inference on the Rank of a Matrix. (2018). Chen, Qihui ; Fang, Zheng. In: Papers. RePEc:arx:papers:1812.02337.

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2017Local explosion modelling by non-causal process. (2017). Zakoian, Jean-Michel ; gourieroux, christian. In: Journal of the Royal Statistical Society Series B. RePEc:bla:jorssb:v:79:y:2017:i:3:p:737-756.

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2017On the Consistency of Bootstrap Testing for a Parameter on the Boundary of the Parameter Space. (2017). Cavaliere, Giuseppe ; Rahbek, Anders ; Nielsen, Heino Bohn . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:38:y:2017:i:4:p:513-534.

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2017Detecting at-Most-m Changes in Linear Regression Models. (2017). Wang, Shixuan ; Pouliot, William ; Horvath, Lajos. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:38:y:2017:i:4:p:552-590.

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2017Estimation and Inference of Linear Trend Slope Ratios With an Application to Global Temperature Data. (2017). Perron, Pierre ; Nawaz, Nasreen ; Vogelsang, Timothy J ; Zorita, Eduardo . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:38:y:2017:i:5:p:640-667.

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2018Unit Root Testing with Unstable Volatility. (2018). Beare, Brendan. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:39:y:2018:i:6:p:816-835.

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2018Confidence Sets for the Date of a Structural Change at the End of a Sample. (2018). Kurozumi, Eiji. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:39:y:2018:i:6:p:850-862.

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2018Unit Root Testing in Multiple Smooth Break Models with Nonlinear Dynamics. (2018). Sandberg, Rickard. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:39:y:2018:i:6:p:942-952.

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2018Change Detection and the Causal Impact of the Yield Curve. (2018). Shi, Shuping ; Hurn, Stan ; PEter, . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:39:y:2018:i:6:p:966-987.

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2017Testing for Flexible Nonlinear Trends with an Integrated or Stationary Noise Component. (2017). Yabu, Tomoyoshi ; Shintani, Mototsugu ; Perron, Pierre. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:79:y:2017:i:5:p:822-850.

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2018On the Stability of Euro Area Money Demand and Its Implications for Monetary Policy. (2018). Conti, Antonio ; Barigozzi, Matteo. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:80:y:2018:i:4:p:755-787.

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2017Did bubbles migrate from the stock to the housing market in China between 2005 and 2010?. (2017). Shi, Shuping ; Joyeux, Roselyne ; girardin, eric ; Deng, Yongheng. In: Pacific Economic Review. RePEc:bla:pacecr:v:22:y:2017:i:3:p:276-292.

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2017WAVELET VARIANCE RATIO TEST AND WAVESTRAPPING FOR THE DETERMINATION OF THE COINTEGRATION RANK. (2017). Eroglu, Burak. In: Working Papers. RePEc:bli:wpaper:1706.

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2017FRACTIONAL SEASONAL VARIANCE RATIO UNIT ROOT TESTS. (2017). Eroglu, Burak ; Trokic, Mirza ; Gogebakan, Kemal Caglar. In: Working Papers. RePEc:bli:wpaper:1707.

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2017Money-Multiplier Shocks. (2017). Ireland, Peter ; Benati, Luca. In: Boston College Working Papers in Economics. RePEc:boc:bocoec:933.

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2017The Demand for Divisia Money: Theory and Evidence. (2017). Ireland, Peter ; Belongia, Michael. In: Boston College Working Papers in Economics. RePEc:boc:bocoec:937.

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2018Not all cities are alike : House price heterogeneity and the design of macro-prudential policies in China. (2018). Funke, Michael ; Zhu, Linxu ; Tsang, Andrew. In: BOFIT Discussion Papers. RePEc:bof:bofitp:2018_018.

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

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

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

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2018Demanda de dinero en América Latina, 1996-2016: una aplicación de cointegración en datos de panel. (2018). Torres García, Alejandro ; Velasquez, Hermilson ; Posada, Carlos Esteban ; Villca, Alfredo . In: DOCUMENTOS DE TRABAJO CIEF. RePEc:col:000122:017008.

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2017Asset Price Bubbles and Systemic Risk. (2017). Schnabel, Isabel ; Brunnermeier, Markus ; Rother, Simon . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12362.

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2017Detecting Financial Collapse and Ballooning Sovereign Risk. (2017). PEter, . In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2110.

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2017Detecting Financial Collapse and Ballooning Sovereign Risk. (2017). PEter, . In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:3010.

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2018The Electricity Security in South Africa: Analysing Significant Determinants to the Grid Reliability. (2018). Ateba, Benedict Belobo ; Prinsloo, Johannes Jurgens. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2018-06-10.

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2018Unit roots, flexible trends, and the Prebisch-Singer hypothesis. (2018). Winkelried, Diego. In: Journal of Development Economics. RePEc:eee:deveco:v:132:y:2018:i:c:p:1-17.

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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.

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2017Are there bubbles in exchange rates? Some new evidence from G10 and emerging market economies. (2017). Oxley, Les ; Hu, Yang. In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:419-442.

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2017Do bubbles have an explosive signature in markov switching models?. (2017). Fraser, Iain ; Balcombe, Kelvin. In: Economic Modelling. RePEc:eee:ecmode:v:66:y:2017:i:c:p:81-100.

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2018Testing for bubbles in the art markets: An empirical investigation. (2018). Assaf, Ata. In: Economic Modelling. RePEc:eee:ecmode:v:68:y:2018:i:c:p:340-355.

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2018On the dynamics of sovereign debt in China: Sustainability and structural change. (2018). Regis, Paulo ; Cuestas, Juan. In: Economic Modelling. RePEc:eee:ecmode:v:68:y:2018:i:c:p:356-359.

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2018Explosiveness in G11 currencies. (2018). Steenkamp, Daan. In: Economic Modelling. RePEc:eee:ecmode:v:68:y:2018:i:c:p:388-408.

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2018Subnational government tax revenue capacity and effort convergence: New evidence from sequential unit root tests. (2018). Mahdavi, Saeid ; Westerlund, Joakim. In: Economic Modelling. RePEc:eee:ecmode:v:73:y:2018:i:c:p:174-183.

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2017Two simple tests of the trend hypothesis under time-varying variance. (2017). Yang, Yang ; Wang, Shaoping. In: Economics Letters. RePEc:eee:ecolet:v:156:y:2017:i:c:p:123-128.

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2018Do 18th century ‘bubbles’ survive the scrutiny of 21st century time series econometrics?. (2018). Oxley, Les ; Hu, Yang. In: Economics Letters. RePEc:eee:ecolet:v:162:y:2018:i:c:p:131-134.

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2018A simple test on structural change in long-memory time series. (2018). Wenger, Kai ; Sibbertsen, Philipp ; Leschinski, Christian. In: Economics Letters. RePEc:eee:ecolet:v:163:y:2018:i:c:p:90-94.

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2018Powerful nonparametric seasonal unit root tests. (2018). Erolu, Burak Alparslan ; Troki, Mirza ; Goebakan, Kemal Alar. In: Economics Letters. RePEc:eee:ecolet:v:167:y:2018:i:c:p:75-80.

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2018On bootstrap implementation of likelihood ratio test for a unit root. (2018). Skrobotov, Anton. In: Economics Letters. RePEc:eee:ecolet:v:171:y:2018:i:c:p:154-158.

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2019Periodic and seasonal (co-)integration in the state space framework. (2019). Bauer, Dietmar . In: Economics Letters. RePEc:eee:ecolet:v:174:y:2019:i:c:p:165-168.

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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.

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

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2017A unifying theory of tests of rank. (2017). Al-Sadoon, Majid. In: Journal of Econometrics. RePEc:eee:econom:v:199:y:2017:i:1:p:49-62.

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2018Testing for common breaks in a multiple equations system. (2018). Perron, Pierre ; Oka, Tatsushi. In: Journal of Econometrics. RePEc:eee:econom:v:204:y:2018:i:1:p:66-85.

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2017On Bayesian analysis and unit root testing for autoregressive models in the presence of multiple structural breaks. (2017). Tzavalis, Elias ; Vrontos, Ioannis ; Meligkotsidou, Loukia. In: Econometrics and Statistics. RePEc:eee:ecosta:v:4:y:2017:i:c:p:70-90.

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2018Change point detection in heteroscedastic time series. (2018). Gorecki, Tomasz ; Kokoszka, Piotr ; Horvath, Lajos. In: Econometrics and Statistics. RePEc:eee:ecosta:v:7:y:2018:i:c:p:63-88.

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2017Identifying bubbles in Latin American equity markets: Phillips-Perron-based tests and linkages. (2017). Mellado, Cristhian ; Escobari, Diego ; Garcia, Sergio . In: Emerging Markets Review. RePEc:eee:ememar:v:33:y:2017:i:c:p:90-101.

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2018Dynamics of the Turkish paintings market: A comprehensive empirical study. (2018). Gözgör, Giray ; Demir, Ender ; Sari, Emre. In: Emerging Markets Review. RePEc:eee:ememar:v:36:y:2018:i:c:p:180-194.

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2018High-yield bond and energy markets. (2018). Soytas, Ugur ; Nazlioglu, Saban ; Gormus, Alper. In: Energy Economics. RePEc:eee:eneeco:v:69:y:2018:i:c:p:101-110.

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2018Identifying price bubble periods in the energy sector. (2018). Escobari, Diego ; Sharma, Shahil. In: Energy Economics. RePEc:eee:eneeco:v:69:y:2018:i:c:p:418-429.

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2018Stochastic convergence in per capita CO2 emissions. An approach from nonlinear stationarity analysis. (2018). Presno, Maria Jose ; Gonzalez, Paula Fernandez ; Landajo, Manuel . In: Energy Economics. RePEc:eee:eneeco:v:70:y:2018:i:c:p:563-581.

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2018Mapping algorithms, agricultural futures, and the relationship between commodity investment flows and crude oil futures prices. (2018). Yan, Lei ; Sanders, Dwight R ; Irwin, Scott H. In: Energy Economics. RePEc:eee:eneeco:v:72:y:2018:i:c:p:486-504.

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2017Multiple bubbles in the European Union Emission Trading Scheme. (2017). Creti, Anna ; Joets, Marc. In: Energy Policy. RePEc:eee:enepol:v:107:y:2017:i:c:p:119-130.

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2017Do cointegrated commodities bubble together? the case of hog, corn, and soybean. (2017). Bagnarosa, Guillaume ; Dowling, Michael ; Alexakis, Christos. In: Finance Research Letters. RePEc:eee:finlet:v:23:y:2017:i:c:p:96-102.

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2018Unit root quantile autoregression testing with smooth structural changes. (2018). Li, Haiqi ; Zheng, Chaowen . In: Finance Research Letters. RePEc:eee:finlet:v:25:y:2018:i:c:p:83-89.

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2018Sentiment and asset price bubble in the precious metals markets. (2018). Pan, Wei-Fong. In: Finance Research Letters. RePEc:eee:finlet:v:26:y:2018:i:c:p:106-111.

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2018Technical analysis and stock return predictability: An aligned approach. (2018). Lin, QI. In: Journal of Financial Markets. RePEc:eee:finmar:v:38:y:2018:i:c:p:103-123.

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2018Can bubble theory foresee banking crises?. (2018). Virtanen, Timo ; Taipalus, Katja ; Viren, Matti ; Tolo, Eero. In: Journal of Financial Stability. RePEc:eee:finsta:v:36:y:2018:i:c:p:66-81.

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2018Modeling trend processes in parametric mortality models. (2018). Borger, Matthias ; Schupp, Johannes. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:78:y:2018:i:c:p:369-380.

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2017The persistence in real interest rates: Does it solve the intertemporal consumption behavior puzzle?. (2017). Soon, Siew-Voon ; Baharumshah, Ahmad Zubaidi ; Mohamad, Nurul Sima . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:50:y:2017:i:c:p:36-51.

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2017A wavelet-based multivariate multiscale approach for forecasting. (2017). Rua, António. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:3:p:581-590.

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2018Bubble contagion: Evidence from Japan’s asset price bubble of the 1980-90s. (2018). Hu, Yang ; Oxley, Les. In: Journal of the Japanese and International Economies. RePEc:eee:jjieco:v:50:y:2018:i:c:p:89-95.

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2017Cointegrated market-neutral strategy for basket trading. (2017). , Philip ; Lu, Renjie . In: International Review of Economics & Finance. RePEc:eee:reveco:v:49:y:2017:i:c:p:112-124.

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2018Is there a bubble component in government debt? New international evidence. (2018). Chen, Shyh-Wei ; Wu, An-Chi . In: International Review of Economics & Finance. RePEc:eee:reveco:v:58:y:2018:i:c:p:467-486.

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2019Linear process bootstrap unit root test. (2019). Zou, Nan ; Politis, Dimitris N. In: Statistics & Probability Letters. RePEc:eee:stapro:v:145:y:2019:i:c:p:74-80.

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

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2018Time varying cointegration and the UK great ratios. (2018). Kapetanios, George ; Price, Simon ; Petrova, Katerina ; Millard, Stephen. In: CAMA Working Papers. RePEc:een:camaaa:2018-53.

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2018Infinite-Variance Error Structure in Finance and Economics. (2018). Serttas, Fatma Ozgu. In: International Econometric Review (IER). RePEc:erh:journl:v:10:y:2018:i:1:p:14-23.

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2018Time varying cointegration and the UK Great Ratios. (2018). Kapetanios, George ; Petrova, Katerina ; Price, Simon ; Millard, Stephen. In: Essex Finance Centre Working Papers. RePEc:esy:uefcwp:23320.

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

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

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2018On Bootstrap Implementation of Likelihood Ratio Test for a Unit Root. (2018). Skrobotov, Anton ; Anton, Skrobotov. In: Working Papers. RePEc:gai:wpaper:wpaper-2018-302.

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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.

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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.

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2017Selecting the Lag Length for the M GLS Unit Root Tests with Structural Change: A Warning Note for Practitioners Based on Simulations. (2017). Rodríguez, Gabriel ; Quineche, Ricardo ; Rodriguez, Gabriel. In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:2:p:17-:d:95932.

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2017Maximum Likelihood Estimation of the I(2) Model under Linear Restrictions. (2017). Doornik, Jurgen. In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:2:p:19-:d:98597.

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2017Short-Term Expectation Formation Versus Long-Term Equilibrium Conditions: The Danish Housing Market. (2017). Hetland, Andreas. In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:3:p:40-:d:110779.

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2017Bayesian Analysis of Bubbles in Asset Prices. (2017). Yu, Jun ; JunYu, ; Fulop, Andras. In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:4:p:47-:d:115992.

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2018The Relation between Monetary Policy and the Stock Market in Europe. (2018). Netšunajev, Aleksei ; Lütkepohl, Helmut ; Netunajev, Aleksei ; Lutkepohl, Helmut. In: Econometrics. RePEc:gam:jecnmx:v:6:y:2018:i:3:p:36-:d:162048.

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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.

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2018How resilient is La Réunion interms of international tourism attractiveness: an assessment from unit root tests with structural breaks from1981-2015. (2018). Hoarau, Jean-François ; Darne, Olivier ; Charles, Amelie. In: Working Papers. RePEc:hal:wpaper:hal-01943891.

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

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

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2017The Memory of Stock Return Volatility: Asset Pricing Implications. (2017). Sibbertsen, Philipp ; Prokopczuk, Marcel ; Benno, Duc Binh. In: Hannover Economic Papers (HEP). RePEc:han:dpaper:dp-613.

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2018Fixed-Bandwidth CUSUM Tests Under Long Memory. (2018). Wenger, Kai ; Leschinski, Christian. In: Hannover Economic Papers (HEP). RePEc:han:dpaper:dp-647.

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2018A Microfounded Model of Money Demand Under Uncertainty, and some Empirical Evidence. (2018). Tarassow, Artur ; Grol, Ingrid . In: Macroeconomics and Finance Series. RePEc:hep:macppr:201504.

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2018A Microfounded Model of Money Demand Under Uncertainty, and some Empirical Evidence. (2018). Tarassow, Artur ; Groessl, Ingrid . In: Macroeconomics and Finance Series. RePEc:hep:macppr:201802.

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2017The aggregate exports-GDP relation under the prism of infrequent trend breaks and multi-horizon causality. (2017). Konstantakopoulou, Ioanna. In: International Economics and Economic Policy. RePEc:kap:iecepo:v:14:y:2017:i:4:d:10.1007_s10368-016-0355-1.

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2017The impact of sex ratios before marriage on household saving in two Asian countries: The competitive saving motive revisited. (2017). Horioka, Charles ; Hagiwara, Akiko ; Terada-Hagiwara, Akiko. In: Review of Economics of the Household. RePEc:kap:reveho:v:15:y:2017:i:3:d:10.1007_s11150-016-9344-y.

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

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2018BOOTSTRAP INFERENCE ON THE BOUNDARY OF THE PARAMETER SPACE WITH APPLICATION TO CONDITIONAL VOLATILITY MODELS. (2018). Cavaliere, Giuseppe ; Rahbek, Anders ; Pedersen, Rasmus Sondergaard ; Nielsen, Heino Bohn . In: Discussion Papers. RePEc:kud:kuiedp:1810.

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2018Volatility-Induced Stationarity and Error-Correction in Macro-Finance Term Structure Modeling. (2018). Hansen, Anne Lundgaard. In: Discussion Papers. RePEc:kud:kuiedp:1812.

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2018How sustainable are fiscal budgets in the Kingdom of Swaziland?. (2018). Phiri, Andrew. In: Working Papers. RePEc:mnd:wpaper:1810.

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More than 100 citations found, this list is not complete...

Works by Robert Taylor:

YearTitleTypeCited
2008Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility In: CREATES Research Papers.
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2010Testing for co-integration in vector autoregressions with non-stationary volatility.(2010) In: Journal of Econometrics.
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2008Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility.(2008) In: Discussion Papers.
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This paper has another version. Agregated cites: 50		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: 50		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]		paper14
2011TESTING FOR UNIT ROOTS IN THE PRESENCE OF A POSSIBLE BREAK IN TREND AND NONSTATIONARY VOLATILITY.(2011) In: Econometric Theory.
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This paper has another version. Agregated cites: 14		article
2009Testing for unit roots in the presence of a possible break in trend and non-stationary volatility.(2009) In: Discussion Papers.
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This paper has another version. Agregated cites: 14		paper
2009Co-integration Rank Testing under Conditional Heteroskedasticity In: CREATES Research Papers.
[Full Text][Citation analysis]		paper31
2010COINTEGRATION RANK TESTING UNDER CONDITIONAL HETEROSKEDASTICITY.(2010) In: Econometric Theory.
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This paper has another version. Agregated cites: 31		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.
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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]		paper21
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: 21		paper
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.
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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]		paper1
2017Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form.(2017) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 1		article
2016Quasi-Maximum Likelihood Estimation and Bootstrap Inference in Fractional Time Series Models with Heteroskedasticity of Unknown Form.(2016) In: Working Papers.
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This paper has another version. Agregated cites: 1		paper
2013Bootstrap Score Tests for Fractional Integration in Heteroskedastic ARFIMA Models, with an Application to Price Dynamics in Commodity Spot and Futures Markets In: Queen's Economics Department Working Papers.
[Full Text][Citation analysis]		paper0
2016Quasi-Maximum Likelihood Estimation and Bootstrap Inference in Fractional Time Series Models with Heteroskedasticity of Unknown Form In: Queen's Economics Department Working Papers.
[Full Text][Citation analysis]		paper0
2018Adaptive inference in heteroskedastic fractional time series models In: Queen's Economics Department Working Papers.
[Full Text][Citation analysis]		paper0
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]		paper11
2003Testing against stochastic trend and seasonality in the presence of unattended breaks and unit roots.(2003) In: Journal of Econometrics.
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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.
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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]		article19
2002Regression-Based Unit Root Tests with Recursive Mean Adjustment for Seasonal and Nonseasonal Time Series. In: Journal of Business & Economic Statistics.
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2003Robust Stationarity Tests in Seasonal Time Series Processes. In: Journal of Business & Economic Statistics.
[Citation analysis]		article11
2003Variance Shifts, Structural Breaks, and Stationarity Tests. In: Journal of Business & Economic Statistics.
[Citation analysis]		article16
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.
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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.
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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.
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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]		paper20
2001On regression-based tests for seasonal unit roots in the presence of periodic heteroscedasticity.(2001) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 20		article
1999Regression-Based Seasonal Unit Root Tests with Recursive Mean Adjustment. In: Discussion Papers.
[Citation analysis]		paper1
1999Locally Optimal Tests Against Seasonal Unit Roots. In: Discussion Papers.
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1999The Finite Sample Effects of Deterministic Variables on Conventional Methods of Lag-Selection in Unit Root Tests. In: Discussion Papers.
[Citation analysis]		paper5
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.
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1999Regression-Based Seasonal Unit Root Tests. In: Discussion Papers.
[Citation analysis]		paper17
2009REGRESSION-BASED SEASONAL UNIT ROOT TESTS.(2009) In: Econometric Theory.
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2007Regression-based seasonal unit root tests.(2007) In: Discussion Papers.
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1998Testing for Unit Roots in Monthly Time Series In: Journal of Time Series Analysis.
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1999On the Definitions of (Co‐)integration In: Journal of Time Series Analysis.
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1999Likelihood Ratio Tests for Seasonal Unit Roots In: Journal of Time Series Analysis.
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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]		article9
2007CUSUM of Squares-Based Tests for a Change in Persistence In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article33
2008Time-Transformed Unit Root Tests for Models with Non-Stationary Volatility In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article15
2010The impact of the initial condition on robust tests for a linear trend In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article4
2009The impact of the initial condition on robust tests for a linear trend.(2009) In: Discussion Papers.
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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
2018Editorial Announcement.(2018) In: Journal of Time Series Analysis.
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2014A FIXED- b TEST FOR A BREAK IN LEVEL AT AN UNKNOWN TIME UNDER FRACTIONAL INTEGRATION In: Journal of Time Series Analysis.
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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.
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2017Unit Root Tests and Heavy-Tailed Innovations In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article2
2017Unit Root Tests and Heavy-Tailed Innovations.(2017) In: Essex Finance Centre Working Papers.
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2018Editorial, January 2018 In: Journal of Time Series Analysis.
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2018Editorial, September 2018 In: Journal of Time Series Analysis.
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2018Special Issue of the Journal of Time Series Analysis In Honour of Professor Paul Newbold: Guest Editors Introduction In: Journal of Time Series Analysis.
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2018Real‐Time Monitoring for Explosive Financial Bubbles In: Journal of Time Series Analysis.
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1999Detecting Seasonal Unit Roots: An Approach Based on the Sample Autocorrelation Function. In: Manchester School.
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2000 On the Power of GLS-Type Unit Root Tests. In: Oxford Bulletin of Economics and Statistics.
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2002 Can Tests for Stochastic Unit Roots Provide Useful Portmanteau Tests for Persistence? In: Oxford Bulletin of Economics and Statistics.
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2005Fluctuation Tests for a Change in Persistence In: Oxford Bulletin of Economics and Statistics.
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2006Regression-based Tests for a Change in Persistence In: Oxford Bulletin of Economics and Statistics.
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2006Testing for a Change in Persistence in the Presence of a Volatility Shift In: Oxford Bulletin of Economics and Statistics.
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2012The Flexible Fourier Form and Local Generalised Least Squares De-trended Unit Root Tests-super- In: Oxford Bulletin of Economics and Statistics.
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2014Unit Root Testing under a Local Break in Trend using Partial Information on the Break Date In: Oxford Bulletin of Economics and Statistics.
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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.
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2013A comparison of sequential and information-based methods for determining the co-integration rank in heteroskedastic VAR models.(2013) In: Quaderni di Dipartimento.
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2015On the Behaviour of Phillips–Perron Tests in the Presence of Persistent Cycles In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]		article3
2013On the Behaviour of Phillips-Perron Tests in the Presence of Persistent Cycles.(2013) In: CEFAGE-UE Working Papers.
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2015Bootstrap Co-integration Rank Testing: The Effect of Bias-Correcting Parameter Estimates In: Oxford Bulletin of Economics and Statistics.
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2013Bootstrap Co-integration Rank Testing: The Effect of Bias-Correcting Parameter Estimates.(2013) In: Working Papers.
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2015Robust and Powerful Tests for Nonlinear Deterministic Components In: Oxford Bulletin of Economics and Statistics.
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2011Wild bootstrap of the mean in the infinite variance case In: Quaderni di Dipartimento.
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2011Bootstrap determination of the co-integration rank in VAR models In: Quaderni di Dipartimento.
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2015Sieve-based inference for infinite-variance linear processes In: Quaderni di Dipartimento.
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2016Unit root inference for non-stationary linear processes driven by infinite variance innovations In: Quaderni di Dipartimento.
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2018UNIT ROOT INFERENCE FOR NON-STATIONARY LINEAR PROCESSES DRIVEN BY INFINITE VARIANCE INNOVATIONS.(2018) In: Econometric Theory.
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2007Detecting Multiple Changes in Persistence In: Studies in Nonlinear Dynamics & Econometrics.
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1995Additional Critical Values and Asymptotic Representations for Seasonal Unit Roots Tests. In: Cambridge Working Papers in Economics.
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1998Additional critical values and asymptotic representations for seasonal unit root tests.(1998) In: Journal of Econometrics.
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1995Additional Critical Values and Asymptotic Representations for Seasonal Unit Root Tests.(1995) In: Discussion Papers.
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2003On Tests for Double Differencing: Some Extensions and the Role of Initial Values In: Economic Working Papers at Centro de Estudios Andaluces.
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2004Robust Inference on Seasonal Unit Roots via a Bootstrap Applied to OECD Macroeconomic Series In: Working Papers.
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1996Linear Combinations of Stationary Processes In: Econometric Theory.
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2003ON THE ASYMPTOTIC PROPERTIES OF SOME SEASONAL UNIT ROOT TESTS In: Econometric Theory.
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2004ON TESTS FOR DOUBLE DIFFERENCING: METHODS OF DEMEANING AND DETRENDING AND THE ROLE OF INITIAL VALUES In: Econometric Theory.
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2004ASYMPTOTIC DISTRIBUTIONS FOR REGRESSION-BASED SEASONAL UNIT ROOT TEST STATISTICS IN A NEAR-INTEGRATED MODEL In: Econometric Theory.
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2005STATIONARITY TESTS FOR IRREGULARLY SPACED OBSERVATIONS AND THE EFFECTS OF SAMPLING FREQUENCY ON POWER In: Econometric Theory.
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2004Stationarity Tests for Irregularly Spaced Observations and the Effects of Sampling Frequency on Power.(2004) In: Econometric Society 2004 Far Eastern Meetings.
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2005STATIONARITY TESTS UNDER TIME-VARYING SECOND MOMENTS In: Econometric Theory.
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2008BOOTSTRAP UNIT ROOT TESTS FOR TIME SERIES WITH NONSTATIONARY VOLATILITY In: Econometric Theory.
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2009UNIT ROOT TESTING IN PRACTICE: DEALING WITH UNCERTAINTY OVER THE TREND AND INITIAL CONDITION In: Econometric Theory.
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2007Unit root testing in practice: dealing with uncertainty over the trend and initial condition.(2007) In: Discussion Papers.
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2009REJOINDER In: Econometric Theory.
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2009ECONOMETRIC THEORY MEMORIAL TO ALBERT REX BERGSTROM–INTRODUCTION In: Econometric Theory.
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2009SIMPLE, ROBUST, AND POWERFUL TESTS OF THE BREAKING TREND HYPOTHESIS In: Econometric Theory.
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2009HETEROSKEDASTIC TIME SERIES WITH A UNIT ROOT In: Econometric Theory.
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2009SPECIAL ISSUE OF ECONOMETRIC THEORY IN HONOR OF PAUL NEWBOLD: GUEST EDITORS’ INTRODUCTION In: Econometric Theory.
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2009TESTING FOR A UNIT ROOT IN THE PRESENCE OF A POSSIBLE BREAK IN TREND In: Econometric Theory.
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2007Testing for a unit root in the presence of a possible break in trend.(2007) In: Discussion Papers.
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2011SPECIAL ISSUE OF ECONOMETRIC THEORY ON BOOTSTRAP AND NUMERICAL METHODS IN TIME SERIES: GUEST EDITORS’ INTRODUCTION In: Econometric Theory.
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2012BOOTSTRAP UNION TESTS FOR UNIT ROOTS IN THE PRESENCE OF NONSTATIONARY VOLATILITY In: Econometric Theory.
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2010Bootstrap union tests for unit roots in the presence of nonstationary volatility.(2010) In: Discussion Papers.
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2010Bootstrap union tests for unit roots in the presence of nonstationary volatility.(2010) In: Research Memorandum.
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2012ON AUGMENTED HEGY TESTS FOR SEASONAL UNIT ROOTS In: Econometric Theory.
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2011On Augmented HEGY Tests for Seasonal Unit Roots.(2011) In: The School of Economics Discussion Paper Series.
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2013ON THE BEHAVIOR OF FIXED-b TREND BREAK TESTS UNDER FRACTIONAL INTEGRATION In: Econometric Theory.
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2011On the behaviour of fixed-b trend break tests under fractional integration.(2011) In: Discussion Papers.
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2013THE IMPACT OF PERSISTENT CYCLES ON ZERO FREQUENCY UNIT ROOT TESTS In: Econometric Theory.
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2018SPECIAL ISSUE OF ECONOMETRIC THEORY IN HONOR OF PROFESSOR RICHARD J. SMITH: GUEST EDITORS’ INTRODUCTION In: Econometric Theory.
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2018DETERMINING THE COINTEGRATION RANK IN HETEROSKEDASTIC VAR MODELS OF UNKNOWN ORDER In: Econometric Theory.
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2016Determining the Cointegration Rank in Heteroskedastic VAR Models of Unknown Order.(2016) In: Essex Finance Centre Working Papers.
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2018SEMI-PARAMETRIC SEASONAL UNIT ROOT TESTS In: Econometric Theory.
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2015Semi-Parametric Seasonal Unit Root Tests.(2015) In: Essex Finance Centre Working Papers.
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2015Semi-Parametric Seasonal Unit Root Tests.(2015) In: DEA Working Papers.
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2012Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility In: Cowles Foundation Discussion Papers.
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2015Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility.(2015) In: Econometric Reviews.
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2011Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility.(2011) In: Research Memorandum.
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2004Some New Tests for a Change in Persistence In: Economics Bulletin.
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2005On the limiting behaviour of augmented seasonal unit root tests In: Economics Bulletin.
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2007Conference in honour of Paul Newbold In: Economics Bulletin.
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1997Controversy: On Modelling the Long Run in Applied Economics. In: Economic Journal.
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2004Modified Tests for a Change in Persistence In: Econometric Society 2004 Australasian Meetings.
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2006Modified tests for a change in persistence.(2006) In: Journal of Econometrics.
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2012Bootstrap Determination of the Co‐Integration Rank in Vector Autoregressive Models In: Econometrica.
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2004Bootstrapping the HEGY Seasonal Unit Root Tests In: Econometric Society 2004 North American Summer Meetings.
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2004Bootstrapping the HEGY seasonal unit root tests.(2004) In: Journal of Econometrics.
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2008Seasonal unit root tests and the role of initial conditions In: Econometrics Journal.
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2008Seasonal unit root tests and the role of initial conditions.(2008) In: Discussion Papers.
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2000Determining the order of differencing in seasonal time series processes In: Econometrics Journal.
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1997Determining the Order of Differencing in Seasonal Time Series Processes.(1997) In: Discussion Papers.
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2014On infimum Dickey–Fuller unit root tests allowing for a trend break under the null In: Computational Statistics & Data Analysis.
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2004On tests for changes in persistence In: Economics Letters.
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2006Persistence change tests and shifting stable autoregressions In: Economics Letters.
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2001Recursive and rolling regression-based tests of the seasonal unit root hypothesis In: Journal of Econometrics.
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2003Corrigendum to Nonparametric tests for unit roots and cointegration [J. Econom. 108 (2002) 343-363] In: Journal of Econometrics.
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2004Alternative estimators and unit root tests for seasonal autoregressive processes In: Journal of Econometrics.
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2004Tests of stationarity against a change in persistence In: Journal of Econometrics.
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2005Variance ratio tests of the seasonal unit root hypothesis In: Journal of Econometrics.
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2007Testing for unit roots in time series models with non-stationary volatility In: Journal of Econometrics.
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2007A simple, robust and powerful test of the trend hypothesis In: Journal of Econometrics.
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2006A simple, robust and powerful test of the trend hypothesis.(2006) In: Discussion Papers.
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2007Efficient tests of the seasonal unit root hypothesis In: Journal of Econometrics.
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2004Efficient Tests of the Seasonal Unit Root Hypothesis.(2004) In: Economics Working Papers.
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2008Erratum to A simple, robust and powerful test of the trend hypothesis [Journal of Econometrics 141(2) (2007) 1302-1330] In: Journal of Econometrics.
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2008Testing for a change in persistence in the presence of non-stationary volatility In: Journal of Econometrics.
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2006Testing for a change in persistence in the presence of non-stationary volatility.(2006) In: Discussion Papers.
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2010Robust methods for detecting multiple level breaks in autocorrelated time series In: Journal of Econometrics.
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2010Robust methods for detecting multiple level breaks in autocorrelated time series.(2010) In: Discussion Papers.
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2011Robust methods for detecting multiple level breaks in autocorrelated time series.(2011) In: Discussion Papers.
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2012Unit root testing under a local break in trend In: Journal of Econometrics.
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2010Unit root testing under a local break in trend.(2010) In: Discussion Papers.
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