20
H index
40
i10 index
1227
Citations
Robert Taylor : Citation Profile
University of Essex | RESEARCH PRODUCTION: 113 Articles 90 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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23 years (1995 - 2018). Relations with other researchers
Works with:
Authors registered in RePEc who have co-authored more than one work in the last five years with Robert Taylor. | Is cited by:
| Cites to:
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Main data
Where Robert Taylor has published?
Recent works citing Robert Taylor (2018 and 2017)
| Year | Title of citing document | |
|---|---|---|
| 2017 | The role of cointegration for optimal hedging with heteroscedastic error term. (2017). Johansen, Soren ; Gatarek, Lukasz . In: CREATES Research Papers. RePEc:aah:create:2017-12. Full description at Econpapers || Download paper | |
| 2018 | A Matlab program and user’s guide for the fractionally cointegrated VAR model. (2018). Nielsen, Morten ; Popiel, Michac Ksawery. In: Queen's Economics Department Working Papers. RePEc:ags:quedwp:274656. Full description at Econpapers || Download paper | |
| 2018 | Testing for Common Breaks in a Multiple Equations System. (2018). Perron, Pierre ; Oka, Tatsushi. In: Papers. RePEc:arx:papers:1606.00092. Full description at Econpapers || Download paper | |
| 2018 | Inference for Impulse Responses under Model Uncertainty. (2018). Smeekes, Stephan ; Lieb, Lenard. In: Papers. RePEc:arx:papers:1709.09583. Full description at Econpapers || Download paper | |
| 2017 | A Justification of Conditional Confidence Intervals. (2017). Smeekes, Stephan ; Heinemann, Alexander ; Beutner, Eric. In: Papers. RePEc:arx:papers:1710.00643. Full description at Econpapers || Download paper | |
| 2018 | A Second Order Cumulant Spectrum Based Test for Strict Stationarity. (2018). Patterson, Douglas ; Roberts, Denisa ; Hinich, Melvin. In: Papers. RePEc:arx:papers:1801.06727. Full description at Econpapers || Download paper | |
| 2018 | Statistical inference for autoregressive models under heteroscedasticity of unknown form. (2018). Zhu, Ke. In: Papers. RePEc:arx:papers:1804.02348. Full description at Econpapers || Download paper | |
| 2018 | Structural Breaks in Time Series. (2018). Perron, Pierre ; Casini, Alessandro. In: Papers. RePEc:arx:papers:1805.03807. Full description at Econpapers || Download paper | |
| 2017 | Local 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. Full description at Econpapers || Download paper | |
| 2017 | On 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. Full description at Econpapers || Download paper | |
| 2017 | Detecting at-Most-m Changes in Linear Regression Models. (2017). Pouliot, William ; Horvath, Lajos ; Wang, Shixuan. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:38:y:2017:i:4:p:552-590. Full description at Econpapers || Download paper | |
| 2017 | Estimation 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. Full description at Econpapers || Download paper | |
| 2017 | Testing 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. Full description at Econpapers || Download paper | |
| 2017 | Did bubbles migrate from the stock to the housing market in China between 2005 and 2010?. (2017). Joyeux, Roselyne ; girardin, eric ; Deng, Yongheng ; Shi, Shuping. In: Pacific Economic Review. RePEc:bla:pacecr:v:22:y:2017:i:3:p:276-292. Full description at Econpapers || Download paper | |
| 2017 | WAVELET VARIANCE RATIO TEST AND WAVESTRAPPING FOR THE DETERMINATION OF THE COINTEGRATION RANK. (2017). Eroglu, Burak. In: Working Papers. RePEc:bli:wpaper:1706. Full description at Econpapers || Download paper | |
| 2017 | FRACTIONAL SEASONAL VARIANCE RATIO UNIT ROOT TESTS. (2017). Eroglu, Burak ; Trokic, Mirza ; Gogebakan, Kemal Caglar. In: Working Papers. RePEc:bli:wpaper:1707. Full description at Econpapers || Download paper | |
| 2017 | Money-Multiplier Shocks. (2017). Ireland, Peter ; Benati, Luca. In: Boston College Working Papers in Economics. RePEc:boc:bocoec:933. Full description at Econpapers || Download paper | |
| 2017 | The Demand for Divisia Money: Theory and Evidence. (2017). Ireland, Peter ; Belongia, Michael. In: Boston College Working Papers in Economics. RePEc:boc:bocoec:937. Full description at Econpapers || Download paper | |
| 2017 | Testing 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. Full description at Econpapers || Download paper | |
| 2017 | The 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 | |
| 2017 | The 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. Full description at Econpapers || Download paper | |
| 2017 | Detecting Financial Collapse and Ballooning Sovereign Risk. (2017). PEter, . In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2110. Full description at Econpapers || Download paper | |
| 2017 | Detecting Financial Collapse and Ballooning Sovereign Risk. (2017). PEter, . In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:3010. Full description at Econpapers || Download paper | |
| 2018 | Unit 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. Full description at Econpapers || Download paper | |
| 2017 | Inflation-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 | |
| 2017 | Are 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. Full description at Econpapers || Download paper | |
| 2017 | Do 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. Full description at Econpapers || Download paper | |
| 2018 | Testing 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. Full description at Econpapers || Download paper | |
| 2018 | On 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. Full description at Econpapers || Download paper | |
| 2018 | Explosiveness in G11 currencies. (2018). Steenkamp, Daan. In: Economic Modelling. RePEc:eee:ecmode:v:68:y:2018:i:c:p:388-408. Full description at Econpapers || Download paper | |
| 2017 | Two 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. Full description at Econpapers || Download paper | |
| 2018 | Do 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. Full description at Econpapers || Download paper | |
| 2018 | A 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. Full description at Econpapers || Download paper | |
| 2018 | Powerful 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. Full description at Econpapers || Download paper | |
| 2017 | Forecasting 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 | |
| 2017 | A 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. Full description at Econpapers || Download paper | |
| 2017 | A 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. Full description at Econpapers || Download paper | |
| 2018 | Testing 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. Full description at Econpapers || Download paper | |
| 2017 | On 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. Full description at Econpapers || Download paper | |
| 2017 | Identifying 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. Full description at Econpapers || Download paper | |
| 2018 | High-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. Full description at Econpapers || Download paper | |
| 2018 | Identifying 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. Full description at Econpapers || Download paper | |
| 2018 | Stochastic 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. Full description at Econpapers || Download paper | |
| 2018 | Mapping 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. Full description at Econpapers || Download paper | |
| 2017 | Multiple 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. Full description at Econpapers || Download paper | |
| 2017 | Do 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. Full description at Econpapers || Download paper | |
| 2018 | Unit 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. Full description at Econpapers || Download paper | |
| 2018 | Technical 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. Full description at Econpapers || Download paper | |
| 2018 | Can 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. Full description at Econpapers || Download paper | |
| 2018 | Modeling 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. Full description at Econpapers || Download paper | |
| 2017 | The 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. Full description at Econpapers || Download paper | |
| 2017 | A 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. Full description at Econpapers || Download paper | |
| 2017 | Cointegrated 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. Full description at Econpapers || Download paper | |
| 2017 | Long-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. Full description at Econpapers || Download paper | |
| 2018 | Infinite-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. Full description at Econpapers || Download paper | |
| 2017 | International Evidence on Long-Run Money Demand. (2017). Weber, Warren ; Nicolini, Juan Pablo ; Lucas, Robert ; Benati, Luca. In: Working Papers. RePEc:fip:fedmwp:737. Full description at Econpapers || Download paper | |
| 2017 | Online 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. Full description at Econpapers || Download paper | |
| 2018 | On Bootstrap Implementation of Likelihood Ratio Test for a Unit Root. (2018). Skrobotov, Anton ; Anton, Skrobotov. In: Working Papers. RePEc:gai:wpaper:wpaper-2018-302. Full description at Econpapers || Download paper | |
| 2017 | Consistency 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 | |
| 2017 | Fractional 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 | |
| 2017 | Selecting the Lag Length for the M GLS Unit Root Tests with Structural Change: A Warning Note for Practitioners Based on Simulations. (2017). RodrÃguez, Gabriel ; Rodriguez, Gabriel ; Quineche, Ricardo. In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:2:p:17-:d:95932. Full description at Econpapers || Download paper | |
| 2017 | Maximum 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. Full description at Econpapers || Download paper | |
| 2017 | Short-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. Full description at Econpapers || Download paper | |
| 2017 | Bayesian 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. Full description at Econpapers || Download paper | |
| 2018 | The 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. Full description at Econpapers || Download paper | |
| 2017 | On 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 | |
| 2017 | Changes 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 | |
| 2017 | Change-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. Full description at Econpapers || Download paper | |
| 2017 | The 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. Full description at Econpapers || Download paper | |
| 2018 | A 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. Full description at Econpapers || Download paper | |
| 2018 | A 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. Full description at Econpapers || Download paper | |
| 2017 | The 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. Full description at Econpapers || Download paper | |
| 2017 | The 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. Full description at Econpapers || Download paper | |
| 2018 | Tax Evasion and Inequality. (2018). Johansen, Soren ; Gatarek, Lukasz . In: Discussion Papers. RePEc:kud:kuiedp:1703. Full description at Econpapers || Download paper | |
| 2018 | How sustainable are fiscal budgets in the Kingdom of Swaziland?. (2018). Phiri, Andrew. In: Working Papers. RePEc:mnd:wpaper:1810. Full description at Econpapers || Download paper | |
| 2018 | Fiscal sustainability in BRICS countries: Evidence from asymmetric unit root test augmented with Fourier function. (2018). Phiri, Andrew. In: Working Papers. RePEc:mnd:wpaper:1814. Full description at Econpapers || Download paper | |
| 2018 | Is it the natural rate or hysteresis hypothesis for unemployment in Newly Industrialized Economies?. (2018). Phiri, Andrew ; Moyo, Clement ; Khobai, hlalefang ; Nach, Mirada ; Nsenga, Dieu. In: Working Papers. RePEc:mnd:wpaper:1817. Full description at Econpapers || Download paper | |
| 2018 | Robust analysis of convergence in per capita GDP in BRICS economies. (2018). Phiri, Andrew. In: Working Papers. RePEc:mnd:wpaper:1822. Full description at Econpapers || Download paper | |
| 2018 | Testing for common breaks in a multiple equations system. (2018). Perron, Pierre ; Oka, Tatsushi. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2018-3. Full description at Econpapers || Download paper | |
| 2018 | Anomaly detection in streaming nonstationary temporal data. (2018). Hyndman, Rob ; Munoz, Mario A ; Kandanaarachchi, Sevvandi ; Smith-Miles, Kate ; Talagala, Priyanga Dilini. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2018-4. Full description at Econpapers || Download paper | |
| 2017 | Explosiveness 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 | |
| 2017 | How 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 | |
| 2017 | How free admittance affects charged visits to museums: An analysis of the Italian case. (2017). Cuccia, Tiziana ; Cellini, Roberto. In: MPRA Paper. RePEc:pra:mprapa:78067. Full description at Econpapers || Download paper | |
| 2017 | Structural change in non-stationary AR(1) models. (2017). CHONG, Terence Tai Leung ; Liang, Yanling ; Zhang, Danna ; Pang, Tianxiao . In: MPRA Paper. RePEc:pra:mprapa:80510. Full description at Econpapers || Download paper | |
| 2017 | Further Results on Size and Power of Heteroskedasticity and Autocorrelation Robust Tests, with an Application to Trend Testing. (2017). Pötscher, Benedikt ; Preinerstorfer, David ; Potscher, Benedikt M. In: MPRA Paper. RePEc:pra:mprapa:81053. Full description at Econpapers || Download paper | |
| 2017 | Identifying Bubbles in Latin American Equity Markets: Phillips-Perron-based Tests and Linkages. (2017). Mellado, Cristhian ; Escobari, Diego ; Garcia, Sergio . In: MPRA Paper. RePEc:pra:mprapa:81453. Full description at Econpapers || Download paper | |
| 2017 | Identifying Price Bubble Periods in the Energy Sector. (2017). Escobari, Diego ; Sharma, Shahil. In: MPRA Paper. RePEc:pra:mprapa:83355. Full description at Econpapers || Download paper | |
| 2018 | How sustainable are fiscal budgets in the Kingdom of Swaziland?. (2018). Phiri, Andrew. In: MPRA Paper. RePEc:pra:mprapa:85149. Full description at Econpapers || Download paper | |
| 2018 | Fiscal sustainability in BRICS countries: Evidence from asymmetric unit root tests augmented with Fourier fucntion. (2018). Phiri, Andrew. In: MPRA Paper. RePEc:pra:mprapa:85501. Full description at Econpapers || Download paper | |
| 2018 | Is it the natural rate or hysteresis hypothesis for unemployment rates in Newly Industrialized Economies?. (2018). Phiri, Andrew ; Moyo, Clement ; Khobai, hlalefang ; Nach, Mirada ; Nsenga, Dieu. In: MPRA Paper. RePEc:pra:mprapa:86274. Full description at Econpapers || Download paper | |
| 2018 | Robust analysis of convergence in per capita GDP in BRICS economies. (2018). Phiri, Andrew. In: MPRA Paper. RePEc:pra:mprapa:86936. Full description at Econpapers || Download paper | |
| 2018 | Is Swaziland on a path of convergence towards her main trading partners?. (2018). Phiri, Andrew. In: MPRA Paper. RePEc:pra:mprapa:88790. Full description at Econpapers || Download paper | |
| 2017 | Examination of Seasonal Volatility in HICP for Baltic Region Countries: Non-Parametric Test versus Forecasting Experiment. (2017). Lenart, Łukasz. 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 | |
| 2017 | A Robust Sequential Procedure for Estimating the Number of Structural Changes in Persistence. (2017). Kejriwal, Mohitosh. In: Purdue University Economics Working Papers. RePEc:pur:prukra:1303. Full description at Econpapers || Download paper | |
| 2017 | Monetary Aggregates and Monetary Policy in Peru. (2017). Lahura, Erick. In: Working Papers. RePEc:rbp:wpaper:2017-003. Full description at Econpapers || Download paper | |
| 2017 | International Evidence on Long Run Money Demand. (2017). Weber, Warren ; Lucas, Robert ; Benati, Luca ; Nicolini, Juan Pablo. In: 2017 Meeting Papers. RePEc:red:sed017:1154. Full description at Econpapers || Download paper | |
| 2017 | Testing time series for the bubbles (with application to Russian data). (2017). Skrobotov, Anton ; Sinelnikova-Muryleva, Elena. In: Applied Econometrics. RePEc:ris:apltrx:0319. Full description at Econpapers || Download paper | |
| 2017 | Power and Size analysis of Co-integration tests in Conditional Heteroskedascity: A Monte Carlo Simulation. (2017). Osarumwense, Osabuohien-Irabor ; Mbegbu, Julian I. In: Romanian Statistical Review. RePEc:rsr:journl:v:65:y:2017:i:3:p:17-34. Full description at Econpapers || Download paper | |
| 2017 | Impacts of corn price and imported beef price on domestic beef price in South Korea. (2017). Kim, Gwanseon ; Mark, Tyler. In: Agricultural and Food Economics. RePEc:spr:agfoec:v:5:y:2017:i:1:d:10.1186_s40100-017-0074-0. Full description at Econpapers || Download paper | |
| 2018 | Evolutionary-based return forecasting with nonlinear STAR models: evidence from the Eurozone peripheral stock markets. (2018). Bekiros, Stelios ; Boubaker, Sabri ; Avdoulas, Christos. In: Annals of Operations Research. RePEc:spr:annopr:v:262:y:2018:i:2:d:10.1007_s10479-015-2078-z. Full description at Econpapers || Download paper | |
| 2018 | Interdependencies between CDS spreads in the European Union: Is Greece the black sheep or black swan?. (2018). Koutmos, Dimitrios. In: Annals of Operations Research. RePEc:spr:annopr:v:266:y:2018:i:1:d:10.1007_s10479-018-2788-0. Full description at Econpapers || Download paper | |
| More than 100 citations found, this list is not complete... |
Works by Robert Taylor:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2008 | Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 50 |
| 2010 | Testing 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: 50 | article | |
| 2008 | Testing 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: 50 | paper | |
| 2007 | Testing 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 | |
| 2008 | Testing for Unit Roots in the Presence of a Possible Break in Trend and Non-Stationary Volatility In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 15 |
| 2011 | TESTING 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: 15 | article | |
| 2009 | Testing 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: 15 | paper | |
| 2009 | Co-integration Rank Testing under Conditional Heteroskedasticity In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 30 |
| 2010 | COINTEGRATION RANK TESTING UNDER CONDITIONAL HETEROSKEDASTICITY.(2010) In: Econometric Theory. [Full Text][Citation analysis] This paper has another version. Agregated cites: 30 | article | |
| 2010 | Bootstrap Sequential Determination of the Co-integration Rank in VAR Models In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 3 |
| 2010 | Bootstrap 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 | |
| 2012 | Bootstrap Determination of the Co-integration Rank in Heteroskedastic VAR Models In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 19 |
| 2012 | Bootstrap 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: 19 | paper | |
| 2014 | Bootstrap 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: 19 | article | |
| 2014 | Bootstrap 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] | paper | 7 |
| 2015 | Bootstrap 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 | |
| 2013 | Bootstrap 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 | |
| 2017 | Quasi-Maximum Likelihood Estimation and Bootstrap Inference in Fractional Time Series Models with Heteroskedasticity of Unknown Form In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 0 |
| 2017 | Quasi-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 | |
| 2016 | Quasi-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 | |
| 2013 | Bootstrap 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] | paper | 0 |
| 2016 | Quasi-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] | paper | 0 |
| 2018 | Adaptive inference in heteroskedastic fractional time series models In: Queen's Economics Department Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2003 | Testing 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] | paper | 11 |
| 2003 | Testing 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: 11 | article | |
| 2001 | Tests of the Seasonal Unit-Root Hypothesis against Heteroscedastic Seasonal Integration. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 4 |
| 1999 | Tests 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 | |
| 2001 | On 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] | article | 19 |
| 2002 | Regression-Based Unit Root Tests with Recursive Mean Adjustment for Seasonal and Nonseasonal Time Series. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 21 |
| 2003 | Robust Stationarity Tests in Seasonal Time Series Processes. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 10 |
| 2003 | Variance Shifts, Structural Breaks, and Stationarity Tests. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 16 |
| 2000 | An Optimal Test against a Random Walk Component in a Non-Orthogonal Unobserved Components Model. In: Discussion Papers. [Citation analysis] | paper | 5 |
| 2002 | An 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 | |
| 2005 | On Robust Trend Function Hypothesis Testing In: Discussion Papers. [Citation analysis] | paper | 1 |
| 2006 | On 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 | |
| 2005 | Testing the Null of Co-integration in the Presence of Variance Breaks In: Discussion Papers. [Citation analysis] | paper | 1 |
| 2006 | Testing 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 | |
| 1999 | On Regression-Based Tests for Seasonal Unit Roots in the Presence of Periodic Heteroscedasticity. In: Discussion Papers. [Citation analysis] | paper | 20 |
| 2001 | On 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: 20 | article | |
| 1999 | Regression-Based Seasonal Unit Root Tests with Recursive Mean Adjustment. In: Discussion Papers. [Citation analysis] | paper | 1 |
| 1999 | Locally Optimal Tests Against Seasonal Unit Roots. In: Discussion Papers. [Citation analysis] | paper | 2 |
| 1999 | The Finite Sample Effects of Deterministic Variables on Conventional Methods of Lag-Selection in Unit Root Tests. In: Discussion Papers. [Citation analysis] | paper | 5 |
| 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: 5 | article | |
| 1999 | Regression-Based Seasonal Unit Root Tests. In: Discussion Papers. [Citation analysis] | paper | 17 |
| 2009 | REGRESSION-BASED SEASONAL UNIT ROOT TESTS.(2009) In: Econometric Theory. [Full Text][Citation analysis] This paper has another version. Agregated cites: 17 | article | |
| 2007 | Regression-based seasonal unit root tests.(2007) In: Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 17 | paper | |
| 2003 | Seasonal Unit Root Tests Based on Forward and Reverse Estimation In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 2 |
| 2003 | Locally Optimal Tests Against Unit Roots in Seasonal Time Series Processes In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 7 |
| 2005 | On the use of Sub-sample Unit Root Tests to Detect Changes in Persistence In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 5 |
| 2006 | Additive Outlier Detection Via Extreme-Value Theory In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 9 |
| 2007 | CUSUM of Squares-Based Tests for a Change in Persistence In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 33 |
| 2008 | Time-Transformed Unit Root Tests for Models with Non-Stationary Volatility In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 14 |
| 2010 | The impact of the initial condition on robust tests for a linear trend In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 4 |
| 2009 | The 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: 4 | paper | |
| 2013 | Editorial In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 0 |
| 2013 | A bootstrap test for additive outliers in non-stationary time series In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 1 |
| 2013 | Editorial Announcement In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 0 |
| 2014 | A 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] | article | 5 |
| 2015 | Testing 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] | article | 1 |
| 2017 | Unit Root Tests and Heavy-Tailed Innovations In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 1 |
| 2017 | Unit Root Tests and Heavy-Tailed Innovations.(2017) In: Essex Finance Centre Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
| 1999 | Detecting Seasonal Unit Roots: An Approach Based on the Sample Autocorrelation Function. In: Manchester School. [Full Text][Citation analysis] | article | 1 |
| 2000 | On the Power of GLS-Type Unit Root Tests. In: Oxford Bulletin of Economics and Statistics. [Full Text][Citation analysis] | article | 3 |
| 2002 | Can Tests for Stochastic Unit Roots Provide Useful Portmanteau Tests for Persistence? In: Oxford Bulletin of Economics and Statistics. [Full Text][Citation analysis] | article | 5 |
| 2005 | Fluctuation Tests for a Change in Persistence In: Oxford Bulletin of Economics and Statistics. [Full Text][Citation analysis] | article | 8 |
| 2006 | Regression-based Tests for a Change in Persistence In: Oxford Bulletin of Economics and Statistics. [Full Text][Citation analysis] | article | 11 |
| 2006 | Testing for a Change in Persistence in the Presence of a Volatility Shift In: Oxford Bulletin of Economics and Statistics. [Full Text][Citation analysis] | article | 7 |
| 2012 | The 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] | article | 24 |
| 2014 | Unit 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] | article | 3 |
| 2015 | A 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] | article | 0 |
| 2013 | A 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 | |
| 2015 | On the Behaviour of Phillips–Perron Tests in the Presence of Persistent Cycles In: Oxford Bulletin of Economics and Statistics. [Full Text][Citation analysis] | article | 2 |
| 2013 | On 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: 2 | paper | |
| 2015 | Bootstrap Co-integration Rank Testing: The Effect of Bias-Correcting Parameter Estimates In: Oxford Bulletin of Economics and Statistics. [Full Text][Citation analysis] | article | 1 |
| 2013 | Bootstrap 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 | |
| 2015 | Robust and Powerful Tests for Nonlinear Deterministic Components In: Oxford Bulletin of Economics and Statistics. [Full Text][Citation analysis] | article | 6 |
| 2011 | Wild bootstrap of the mean in the infinite variance case In: Quaderni di Dipartimento. [Full Text][Citation analysis] | paper | 0 |
| 2011 | Bootstrap determination of the co-integration rank in VAR models In: Quaderni di Dipartimento. [Full Text][Citation analysis] | paper | 4 |
| 2015 | Sieve-based inference for infinite-variance linear processes In: Quaderni di Dipartimento. [Full Text][Citation analysis] | paper | 0 |
| 2016 | Unit root inference for non-stationary linear processes driven by infinite variance innovations In: Quaderni di Dipartimento. [Full Text][Citation analysis] | paper | 1 |
| 2018 | UNIT ROOT INFERENCE FOR NON-STATIONARY LINEAR PROCESSES DRIVEN BY INFINITE VARIANCE INNOVATIONS.(2018) In: Econometric Theory. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | article | |
| 2007 | Detecting Multiple Changes in Persistence In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] | article | 29 |
| 1995 | Additional Critical Values and Asymptotic Representations for Seasonal Unit Roots Tests. In: Cambridge Working Papers in Economics. [Citation analysis] | paper | 27 |
| 1998 | Additional 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: 27 | article | |
| 1995 | Additional Critical Values and Asymptotic Representations for Seasonal Unit Root Tests.(1995) In: Discussion Papers. [Citation analysis] This paper has another version. Agregated cites: 27 | paper | |
| 2003 | On 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] | paper | 0 |
| 2004 | Robust Inference on Seasonal Unit Roots via a Bootstrap Applied to OECD Macroeconomic Series In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 1996 | Linear Combinations of Stationary Processes In: Econometric Theory. [Full Text][Citation analysis] | article | 0 |
| 2003 | ON THE ASYMPTOTIC PROPERTIES OF SOME SEASONAL UNIT ROOT TESTS In: Econometric Theory. [Full Text][Citation analysis] | article | 3 |
| 2004 | ON TESTS FOR DOUBLE DIFFERENCING: METHODS OF DEMEANING AND DETRENDING AND THE ROLE OF INITIAL VALUES In: Econometric Theory. [Full Text][Citation analysis] | article | 1 |
| 2004 | ASYMPTOTIC DISTRIBUTIONS FOR REGRESSION-BASED SEASONAL UNIT ROOT TEST STATISTICS IN A NEAR-INTEGRATED MODEL In: Econometric Theory. [Full Text][Citation analysis] | article | 6 |
| 2005 | STATIONARITY TESTS FOR IRREGULARLY SPACED OBSERVATIONS AND THE EFFECTS OF SAMPLING FREQUENCY ON POWER In: Econometric Theory. [Full Text][Citation analysis] | article | 2 |
| 2004 | Stationarity 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: 2 | paper | |
| 2005 | STATIONARITY TESTS UNDER TIME-VARYING SECOND MOMENTS In: Econometric Theory. [Full Text][Citation analysis] | article | 13 |
| 2008 | BOOTSTRAP UNIT ROOT TESTS FOR TIME SERIES WITH NONSTATIONARY VOLATILITY In: Econometric Theory. [Full Text][Citation analysis] | article | 34 |
| 2009 | UNIT ROOT TESTING IN PRACTICE: DEALING WITH UNCERTAINTY OVER THE TREND AND INITIAL CONDITION In: Econometric Theory. [Full Text][Citation analysis] | article | 45 |
| 2007 | Unit 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: 45 | paper | |
| 2009 | REJOINDER In: Econometric Theory. [Full Text][Citation analysis] | article | 0 |
| 2009 | ECONOMETRIC THEORY MEMORIAL TO ALBERT REX BERGSTROM–INTRODUCTION In: Econometric Theory. [Full Text][Citation analysis] | article | 0 |
| 2009 | SIMPLE, ROBUST, AND POWERFUL TESTS OF THE BREAKING TREND HYPOTHESIS In: Econometric Theory. [Full Text][Citation analysis] | article | 55 |
| Simple, Robust and Powerful Tests of the Breaking Trend Hypothesis*.() In: Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 55 | paper | ||
| 2009 | HETEROSKEDASTIC TIME SERIES WITH A UNIT ROOT In: Econometric Theory. [Full Text][Citation analysis] | article | 20 |
| 2009 | SPECIAL ISSUE OF ECONOMETRIC THEORY IN HONOR OF PAUL NEWBOLD: GUEST EDITORS’ INTRODUCTION In: Econometric Theory. [Full Text][Citation analysis] | article | 0 |
| 2009 | TESTING FOR A UNIT ROOT IN THE PRESENCE OF A POSSIBLE BREAK IN TREND In: Econometric Theory. [Full Text][Citation analysis] | article | 26 |
| 2007 | Testing 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: 26 | paper | |
| 2011 | SPECIAL ISSUE OF ECONOMETRIC THEORY ON BOOTSTRAP AND NUMERICAL METHODS IN TIME SERIES: GUEST EDITORS’ INTRODUCTION In: Econometric Theory. [Full Text][Citation analysis] | article | 0 |
| 2012 | BOOTSTRAP UNION TESTS FOR UNIT ROOTS IN THE PRESENCE OF NONSTATIONARY VOLATILITY In: Econometric Theory. [Full Text][Citation analysis] | article | 5 |
| 2010 | Bootstrap 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: 5 | paper | |
| 2010 | Bootstrap 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: 5 | paper | |
| 2012 | ON AUGMENTED HEGY TESTS FOR SEASONAL UNIT ROOTS In: Econometric Theory. [Full Text][Citation analysis] | article | 4 |
| 2011 | On 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: 4 | paper | |
| 2013 | ON THE BEHAVIOR OF FIXED-b TREND BREAK TESTS UNDER FRACTIONAL INTEGRATION In: Econometric Theory. [Full Text][Citation analysis] | article | 4 |
| 2011 | On 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: 4 | paper | |
| 2013 | THE IMPACT OF PERSISTENT CYCLES ON ZERO FREQUENCY UNIT ROOT TESTS In: Econometric Theory. [Full Text][Citation analysis] | article | 3 |
| 2011 | The 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: 3 | paper | |
| 2018 | SPECIAL ISSUE OF ECONOMETRIC THEORY IN HONOR OF PROFESSOR RICHARD J. SMITH: GUEST EDITORS’ INTRODUCTION In: Econometric Theory. [Full Text][Citation analysis] | article | 0 |
| 2012 | Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility In: Cowles Foundation Discussion Papers. [Full Text][Citation analysis] | paper | 7 |
| 2015 | Lag 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: 7 | article | |
| 2011 | Lag 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: 7 | paper | |
| 2004 | Some New Tests for a Change in Persistence In: Economics Bulletin. [Full Text][Citation analysis] | article | 2 |
| 2005 | On the limiting behaviour of augmented seasonal unit root tests In: Economics Bulletin. [Full Text][Citation analysis] | article | 0 |
| 2007 | Conference in honour of Paul Newbold In: Economics Bulletin. [Full Text][Citation analysis] | article | 0 |
| 1997 | Controversy: On Modelling the Long Run in Applied Economics. In: Economic Journal. [Full Text][Citation analysis] | article | 1 |
| 2004 | Modified Tests for a Change in Persistence In: Econometric Society 2004 Australasian Meetings. [Full Text][Citation analysis] | paper | 50 |
| 2006 | Modified tests for a change in persistence.(2006) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 50 | article | |
| 2012 | Bootstrap Determination of the Co‐Integration Rank in Vector Autoregressive Models In: Econometrica. [Full Text][Citation analysis] | article | 24 |
| 2004 | Bootstrapping the HEGY Seasonal Unit Root Tests In: Econometric Society 2004 North American Summer Meetings. [Full Text][Citation analysis] | paper | 11 |
| 2004 | Bootstrapping the HEGY seasonal unit root tests.(2004) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 11 | article | |
| 2008 | Seasonal unit root tests and the role of initial conditions In: Econometrics Journal. [Full Text][Citation analysis] | article | 1 |
| 2008 | Seasonal 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 | |
| 2000 | Determining the order of differencing in seasonal time series processes In: Econometrics Journal. [Citation analysis] | article | 2 |
| 1997 | Determining the Order of Differencing in Seasonal Time Series Processes.(1997) In: Discussion Papers. [Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
| 2014 | On infimum Dickey–Fuller unit root tests allowing for a trend break under the null In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 1 |
| 2004 | On tests for changes in persistence In: Economics Letters. [Full Text][Citation analysis] | article | 7 |
| 2006 | Persistence change tests and shifting stable autoregressions In: Economics Letters. [Full Text][Citation analysis] | article | 3 |
| 2001 | Recursive and rolling regression-based tests of the seasonal unit root hypothesis In: Journal of Econometrics. [Full Text][Citation analysis] | article | 5 |
| 2003 | Corrigendum to Nonparametric tests for unit roots and cointegration [J. Econom. 108 (2002) 343-363] In: Journal of Econometrics. [Full Text][Citation analysis] | article | 21 |
| 2004 | Alternative estimators and unit root tests for seasonal autoregressive processes In: Journal of Econometrics. [Full Text][Citation analysis] | article | 5 |
| 2004 | Tests of stationarity against a change in persistence In: Journal of Econometrics. [Full Text][Citation analysis] | article | 96 |
| 2005 | Variance ratio tests of the seasonal unit root hypothesis In: Journal of Econometrics. [Full Text][Citation analysis] | article | 14 |
| 2007 | Testing for unit roots in time series models with non-stationary volatility In: Journal of Econometrics. [Full Text][Citation analysis] | article | 54 |
| 2007 | A simple, robust and powerful test of the trend hypothesis In: Journal of Econometrics. [Full Text][Citation analysis] | article | 40 |
| 2006 | A simple, robust and powerful test of the trend hypothesis.(2006) In: Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 40 | paper | |
| 2007 | Efficient tests of the seasonal unit root hypothesis In: Journal of Econometrics. [Full Text][Citation analysis] | article | 17 |
| 2004 | Efficient Tests of the Seasonal Unit Root Hypothesis.(2004) In: Economics Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 17 | paper | |
| Efficient Tests of the Seasonal Unit Root Hypothesis*.() In: Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 17 | paper | ||
| 2008 | Erratum 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] | article | 0 |
| 2008 | Testing for a change in persistence in the presence of non-stationary volatility In: Journal of Econometrics. [Full Text][Citation analysis] | article | 16 |
| 2006 | Testing 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: 16 | paper | |
| 2010 | Robust methods for detecting multiple level breaks in autocorrelated time series In: Journal of Econometrics. [Full Text][Citation analysis] | article | 22 |
| 2010 | Robust 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: 22 | paper | |
| 2011 | Robust 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: 22 | paper | |
| 2012 | Unit root testing under a local break in trend In: Journal of Econometrics. [Full Text][Citation analysis] | article | 5 |
| 2010 | Unit root testing under a local break in trend.(2010) In: Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 5 | paper | |
| 2011 | Unit root testing under a local break in trend.(2011) In: Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 5 | paper | |
| 2012 | Testing for unit roots in the presence of uncertainty over both the trend and initial condition In: Journal of Econometrics. [Full Text][Citation analysis] | article | 13 |
| 2008 | Testing 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: 13 | paper | |
| 2013 | Testing for a break in trend when the order of integration is unknown In: Journal of Econometrics. [Full Text][Citation analysis] | article | 10 |
| 2013 | Testing for unit roots in the possible presence of multiple trend breaks using minimum Dickey–Fuller statistics In: Journal of Econometrics. [Full Text][Citation analysis] | article | 23 |
| 2014 | Testing for seasonal unit roots by frequency domain regression In: Journal of Econometrics. [Full Text][Citation analysis] | article | 3 |
| 2010 | Testing for seasonal unit roots by frequency domain regression.(2010) In: Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | paper | |
| 2016 | Inference on co-integration parameters in heteroskedastic vector autoregressions In: Journal of Econometrics. [Full Text][Citation analysis] | article | 9 |
| 2013 | Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions.(2013) In: Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 9 | paper | |
| 2013 | Inference 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: 9 | paper | |
| 2016 | Tests 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] | article | 0 |
| 2016 | Tests 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 | |
| 2018 | Testing for parameter instability in predictive regression models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 0 |
| 2014 | Robust tests for a linear trend with an application to equity indices In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 0 |
| 2016 | Special issue of the Journal of Empirical Finance Guest Editors introduction In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 0 |
| 2016 | Tests for explosive financial bubbles in the presence of non-stationary volatility In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 16 |
| 1997 | On the practical problems of computing seasonal unit root tests In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 9 |
| 2007 | New Introduction to Multiple Time Series Analysis, Helmut Lutkepohl. Springer-Verlag (2005), ISBN 3-540-40172-5 (hardcover), 149.95 [euro], ISBN 3-540-26239-3 (softcover), 54.95 [euro], 764 pages. In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 0 |
| 1999 | Testing for Stochastic Unit Roots - Some Monte Carlo evidence In: Econometric Institute Research Papers. [Citation analysis] | paper | 2 |
| 2015 | Semi-Parametric Seasonal Unit Root Tests In: Essex Finance Centre Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2015 | Semi-Parametric Seasonal Unit Root Tests.(2015) In: DEA Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
| 2016 | Determining the Cointegration Rank in Heteroskedastic VAR Models of Unknown Order In: Essex Finance Centre Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2017 | Testing 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] | paper | 0 |
| 2016 | Wild Bootstrap Seasonal Unit Root Tests for Time Series with Periodic Non-Stationary Volatility In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2010 | Determination 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] | article | 0 |
| 2012 | The 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] | paper | 7 |
| 2016 | The 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: 7 | article | |
| 2007 | Testing for a unit root when uncertain about the trend [Revised to become 07/03 above] In: Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 2008 | Testing for unit roots and the impact of quadratic trends, with an application to relative primary commodity prices In: Discussion Papers. [Full Text][Citation analysis] | paper | 10 |
| 2011 | Testing 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: 10 | article | |
| 2009 | Robust methods for detecting multiple level breaks in autocorrelated time series [Revised to become No. 10/01 above] In: Discussion Papers. [Full Text][Citation analysis] | paper | 1 |
| 2009 | Co-integration rank tests under conditional heteroskedasticity In: Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 2010 | Bootstrap co-integration rank testing: the role of deterministic variables and initial values in the bootstrap recursion In: Discussion Papers. [Full Text][Citation analysis] | paper | 4 |
| 2013 | Bootstrap 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: 4 | article | |
| 2002 | Tests for an end-of-sample bubble in financial time series In: Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 2017 | Tests for an end-of-sample bubble in financial time series.(2017) In: Econometric Reviews. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | article | |
| A bootstrap stationarity test for predictive regression invalidity In: Discussion Papers. [Full Text][Citation analysis] | paper | 0 | |
| 2009 | The Flexible Fourier Form and Local GLS De-trended Unit Root Tests In: Working Papers. [Full Text][Citation analysis] | paper | 2 |
| 2018 | Adaptive inference in heteroskedastic fractional time series models In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 1997 | Book Reviews In: Asia Pacific Business Review. [Full Text][Citation analysis] | article | 0 |
| 2009 | A Note on Testing Covariance Stationarity In: Econometric Reviews. [Full Text][Citation analysis] | article | 0 |
| 2009 | Bootstrap M Unit Root Tests In: Econometric Reviews. [Full Text][Citation analysis] | article | 5 |
| 2013 | Wild Bootstrap of the Sample Mean in the Infinite Variance Case In: Econometric Reviews. [Full Text][Citation analysis] | article | 2 |
| 2018 | Temporal Aggregation of Seasonally Near-Integrated Processes In: DEA Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2013 | A Review of Unit Root Tests in Time Series: Volumes 1 and 2 In: Econometrics Journal. [Full Text][Citation analysis] | article | 0 |
| 1995 | Testing for Seasonal Unit Roots: a simple alternative to HEGY In: Discussion Papers. [Citation analysis] | paper | 0 |
| 1996 | On the Practical Problems of Computing Seasonal Unit Root Tests: The Case of Non-Durable Consumers Expenditures In: Discussion Papers. [Citation analysis] | paper | 0 |
| 1996 | Additional Critical Values and Asymptotic Representations for Monthly Seasonal Unit Root Tests In: Discussion Papers. [Citation analysis] | paper | 1 |
| 1997 | On the Definitions of (Co-)Integration In: Discussion Papers. [Citation analysis] | paper | 13 |
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