Robert Taylor : Citation Profile

Are you Robert Taylor?

University of Essex

21

H index

42

i10 index

1406

Citations

RESEARCH PRODUCTION:

128

Articles

83

Papers

RESEARCH ACTIVITY:

   25 years (1995 - 2020). See details.
   Cites by year: 56
   Journals where Robert Taylor has often published
   Relations with other researchers
   Recent citing documents: 109.    Total self citations: 82 (5.51 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pta27
   Updated: 2020-08-01    RAS profile: 2020-07-19    
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Relations with other researchers

Works with:

Cavaliere, Giuseppe (21)

Leybourne, Stephen (12)

Rodrigues, Paulo (9)

Harvey, David (9)

Nielsen, Morten (9)

del Barrio Castro, Tomás (7)

De Angelis, Luca (3)

Skrobotov, Anton (2)

Iacone, Fabrizio (2)

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

Is cited by:

Kruse, Robinson (49)

Rodrigues, Paulo (45)

Perron, Pierre (41)

Demetrescu, Matei (39)

Skrobotov, Anton (37)

Sibbertsen, Philipp (33)

del Barrio Castro, Tomás (32)

Harvey, David (30)

Smeekes, Stephan (27)

Leybourne, Stephen (25)

Kejriwal, Mohitosh (25)

Cites to:

Perron, Pierre (110)

Phillips, Peter (84)

Cavaliere, Giuseppe (76)

Leybourne, Stephen (55)

Stock, James (51)

Hansen, Bruce (47)

Vogelsang, Timothy (43)

Elliott, Graham (40)

Harvey, David (38)

Andrews, Donald (37)

Burridge, Peter (23)

Main data

Where Robert Taylor has published?

Journals with more than one article published# docs
Journal of Time Series Analysis27
Journal of Econometrics27
Econometric Theory23
Oxford Bulletin of Economics and Statistics12
Econometric Reviews10
Journal of Business & Economic Statistics5
Journal of Empirical Finance3
Econometrics Journal3
Economics Bulletin3
Economics Letters2
Studies in Nonlinear Dynamics & Econometrics2
International Journal of Forecasting2
Econometrics Journal2

Working Papers Series with more than one paper published# docs
Quaderni di Dipartimento / Department of Statistics, University of Bologna5
Working Paper / Economics Department, Queen's University4
Essex Finance Centre Working Papers / University of Essex, Essex Business School4
Discussion Papers / University of Copenhagen. Department of Economics4
Working Papers / Banco de Portugal, Economics and Research Department3
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
Discussion Papers / Department of Economics, University of Birmingham2

Recent works citing Robert Taylor (2020 and 2019)

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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2019Comparing Tests for Identification of Bubbles. (2019). Bertelsen, Kristoffer Pons. In: CREATES Research Papers. RePEc:aah:create:2019-16.

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2020The Relationship between Unemployment Rates and Renewable Energy Consumption: Evidence from Fourier ADL Cointegration Test. (2020). Author-Nameemel, Veli Yilanci. In: Alphanumeric Journal. RePEc:anm:alpnmr:v:8:y:2020:i:1:p:17-28.

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2019Inference for Impulse Responses under Model Uncertainty. (2019). Smeekes, Stephan ; Lieb, Lenard. In: Papers. RePEc:arx:papers:1709.09583.

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2019A Justification of Conditional Confidence Intervals. (2019). Smeekes, Stephan ; Heinemann, Alexander ; Beutner, Eric. In: Papers. RePEc:arx:papers:1710.00643.

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2020A Second Order Cumulant Spectrum Based Test for Strict Stationarity. (2018). Roberts, Denisa ; Hinich, Melvin ; Patterson, Douglas . In: Papers. RePEc:arx:papers:1801.06727.

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2019Improved Inference on the Rank of a Matrix. (2019). Fang, Zheng ; Chen, Qihui. In: Papers. RePEc:arx:papers:1812.02337.

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2020Adaptive inference for a semiparametric generalized autoregressive conditional heteroscedastic model. (2019). Zhu, Ke ; Li, Dong ; Jiang, Feiyu. In: Papers. RePEc:arx:papers:1907.04147.

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2020Unit-root test within a threshold ARMA framework. (2020). Tong, Howell ; Goracci, Greta ; Giannerini, Simone ; Chan, Kung-Sik. In: Papers. RePEc:arx:papers:2002.09968.

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2020Unit Root Testing with Slowly Varying Trends. (2020). Otto, Sven. In: Papers. RePEc:arx:papers:2003.04066.

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2020Sequential monitoring for cointegrating regressions. (2020). Whitehouse, Emily ; Trapani, Lorenzo. In: Papers. RePEc:arx:papers:2003.12182.

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2020Revealing Cluster Structures Based on Mixed Sampling Frequencies. (2020). Ahn, Hie Joo ; Liu, Yun ; Rho, Yeonwoo. In: Papers. RePEc:arx:papers:2004.09770.

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2020New robust inference for predictive regressions. (2020). Skrobotov, Anton ; Kim, Jihyun ; Ibragimov, Rustam. In: Papers. RePEc:arx:papers:2006.01191.

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2020Cointegration in large VARs. (2020). Gorin, Vadim ; Bykhovskaya, Anna. In: Papers. RePEc:arx:papers:2006.14179.

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2018Change Detection and the Causal Impact of the Yield Curve. (2018). Shi, Shuping ; Phillips, Peter ; 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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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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2020A Robust Sequential Procedure for Estimating the Number of Structural Changes in Persistence. (2020). Kejriwal, Mohitosh. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:82:y:2020:i:3:p:669-685.

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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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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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2019Time-varying cointegration and the UK great ratios. (2019). Price, Simon ; Petrova, Katerina ; Millard, Stephen ; Kapetanios, George. In: Bank of England working papers. RePEc:boe:boeewp:0789.

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2019Structural Breaks in Time Series. (2018). Perron, Pierre ; Casini, Alessandro. In: Boston University - Department of Economics - Working Papers Series. RePEc:bos:wpaper:wp2019-002.

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2019Predictive Regressions. (2019). Pitarakis, Jean-Yves ; Gonzalo, Jesus. In: UC3M Working papers. Economics. RePEc:cte:werepe:28554.

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2019Moving block bootstrapping for a CUSUM test for correlation change. (2019). Shin, Dong Wan ; Choi, Ji-Eun. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:135:y:2019:i:c:p:95-106.

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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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2019Analyzing exchange rate uncertainty and bilateral export growth in China: A multivariate GARCH-based approach. (2019). Smallwood, Aaron D. In: Economic Modelling. RePEc:eee:ecmode:v:82:y:2019:i:c:p:332-344.

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2020Are unemployment rates in OECD countries stationary? Evidence from univariate and panel unit root tests. (2020). Shahbaz, Muhammad ; Khraief, Naceur ; Heshmati, Almas ; Azam, Muhammad. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940818301050.

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2020Stock prices, dividends, and structural changes in the long-term: The case of U.S.. (2020). Prats, María ; Navarro-Ibáñez, Manuel ; Navarro-Ibaez, Manuel ; Esteve, Vicente. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940819302633.

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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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2020A robust test for predictability with unknown persistence. (2020). Yao, Shuang ; Liu, Guannan. In: Economics Letters. RePEc:eee:ecolet:v:189:y:2020:i:c:s0165176520300483.

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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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2019Determination of vector error correction models in high dimensions. (2019). Schienle, Melanie ; Liang, Chong. In: Journal of Econometrics. RePEc:eee:econom:v:208:y:2019:i:2:p:418-441.

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2019Bootstrapping structural change tests. (2019). Hall, Alastair R ; Cornea-Madeira, Adriana ; Boldea, Otilia. In: Journal of Econometrics. RePEc:eee:econom:v:213:y:2019:i:2:p:359-397.

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2020Econometric modelling of climate systems: The equivalence of energy balance models and cointegrated vector autoregressions. (2020). Pretis, Felix. In: Journal of Econometrics. RePEc:eee:econom:v:214:y:2020:i:1:p:256-273.

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2020Inference in heavy-tailed vector error correction models. (2020). Ling, Shiqing ; Qingling, Shi ; She, Rui. In: Journal of Econometrics. RePEc:eee:econom:v:214:y:2020:i:2:p:433-450.

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2020Sequential monitoring for changes from stationarity to mild non-stationarity. (2020). Wang, Shixuan ; Horvath, Lajos ; Liu, Zhenya ; Rice, Gregory. In: Journal of Econometrics. RePEc:eee:econom:v:215:y:2020:i:1:p:209-238.

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2020Testing for Stationarity at High Frequency. (2020). Park, Joon Y ; Lu, YE ; Jiang, Bibo. In: Journal of Econometrics. RePEc:eee:econom:v:215:y:2020:i:2:p:341-374.

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2020Issues in the estimation of mis-specified models of fractionally integrated processes. (2020). Poskitt, D S ; Nadarajah, K ; Martin, Gael M. In: Journal of Econometrics. RePEc:eee:econom:v:215:y:2020:i:2:p:559-573.

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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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2019Replicating rockets and feathers. (2019). Fosten, Jack ; Cook, Steven. In: Energy Economics. RePEc:eee:eneeco:v:82:y:2019:i:c:p:139-151.

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2019On the stationarity of CO2 emissions in OECD and BRICS countries: A sequential testing approach. (2019). Darne, Olivier ; Zerbo, Eleazar. In: Energy Economics. RePEc:eee:eneeco:v:83:y:2019:i:c:p:319-332.

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2019Testing the predictive ability of house price bubbles for macroeconomic performance: A meta-analytic approach. (2019). Floro, Danvee. In: International Review of Financial Analysis. RePEc:eee:finana:v:62:y:2019:i:c:p:164-181.

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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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2020The memory of stock return volatility: Asset pricing implications. (2020). Sibbertsen, Philipp ; Prokopczuk, Marcel ; Benno, Duc Binh. In: Journal of Financial Markets. RePEc:eee:finmar:v:47:y:2020:i:c:s138641811830140x.

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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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2019Asset pricing factors and bank CDS spreads. (2019). Koutmos, Dimitrios. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:58:y:2019:i:c:p:19-41.

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2019Wavelet variance ratio cointegration test and wavestrapping. (2019). Erolu, Burak Alparslan. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:171:y:2019:i:c:p:298-319.

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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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2019Do stock markets follow a random walk? New evidence for an old question. (2019). KOK, Dundar ; Ispir, Serdar M ; Durusu-Ciftci, Dilek. In: International Review of Economics & Finance. RePEc:eee:reveco:v:64:y:2019:i:c:p:165-175.

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2020A new mechanism for anticipating price exuberance. (2020). Moreira, Afonso M ; Martins, Luis F. In: International Review of Economics & Finance. RePEc:eee:reveco:v:65:y:2020:i:c:p:199-221.

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2019Rational bubbles in the real housing stock market: Empirical evidence from Santiago de Chile. (2019). Gil-Alana, Luis ; Valenzuela, Mario ; Costamagna, Rodrigo ; Dettoni, Robinson. In: Research in International Business and Finance. RePEc:eee:riibaf:v:49:y:2019:i:c:p:269-281.

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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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2019Limit theory for moderate deviation from Integrated GARCH processes. (2019). Tao, Yubo. In: Statistics & Probability Letters. RePEc:eee:stapro:v:150:y:2019:i:c:p:126-136.

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2018On the stability of euro area money demand and its implications for monetary policy. (2018). Barigozzi, Matteo. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:87283.

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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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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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2019Partial Cointegrated Vector Autoregressive Models with Structural Breaks in Deterministic Terms. (2019). Nielsen, Bent ; Kurita, Takamitsu. In: Econometrics. RePEc:gam:jecnmx:v:7:y:2019:i:4:p:42-:d:273844.

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2020Frequency-Domain Evidence for Climate Change. (2020). Reschenhofer, Erhard ; Mangat, Manveer Kaur. In: Econometrics. RePEc:gam:jecnmx:v:8:y:2020:i:3:p:28-:d:387111.

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2019Detecting West Texas Intermediate (WTI) Prices’ Bubble Periods. (2019). Perifanis, Theodosios. In: Energies. RePEc:gam:jeners:v:12:y:2019:i:14:p:2649-:d:247267.

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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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2019On Combining Evidence from Heteroskedasticity Robust Panel Unit Root Tests in Pooled Regressions. (2019). Hanck, Christoph ; Arnold, Martin C. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:12:y:2019:i:3:p:117-:d:247852.

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2019How resilient is La Réunion in terms of international tourism attractiveness: an assessment from unit root tests with structural breaks from 1981-2015. (2019). Hoarau, Jean-François ; Darné, Olivier ; Darne, Olivier ; Charles, Amelie. In: Post-Print. RePEc:hal:journl:hal-02053296.

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2019Testing for breaks in the cointegrating relationship: On the stability of government bond markets equilibrium. (2019). Sibbertsen, Philipp ; Rodrigues, Paulo ; Voges, Michelle. In: Hannover Economic Papers (HEP). RePEc:han:dpaper:dp-656.

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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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2019On (bootstrapped) cointegration tests in partial systems. (2019). Schreiber, Sven. In: IMK Working Paper. RePEc:imk:wpaper:199-2019.

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2020Economic integration and the distribution of income in Europe: A between country analysis. (2020). Monfort, Mercedes ; Ordoez, Javier ; Ghoshray, Atanu. In: Working Papers. RePEc:jau:wpaper:2020/11.

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2019Testing for Periodic Integration with a Changing Mean. (2019). Tamarit, Cecilio ; del Barrio Castro, Tomás ; Camarero, Mariam. In: Computational Economics. RePEc:kap:compec:v:54:y:2019:i:1:d:10.1007_s10614-017-9680-x.

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2019Stock returns and inflation: a tale of two periods in India. (2019). Dar, Arif ; Bhanja, Niyati. In: Economic Change and Restructuring. RePEc:kap:ecopln:v:52:y:2019:i:4:d:10.1007_s10644-018-9231-z.

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2020Detecting Bubbles in the US and UK Real Estate Markets. (2020). Tunaru, Radu S ; Panopoulou, Ekaterini ; Kynigakis, Iason ; Fabozzi, Frank J. In: The Journal of Real Estate Finance and Economics. RePEc:kap:jrefec:v:60:y:2020:i:4:d:10.1007_s11146-018-9693-9.

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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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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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2020THE WEALTH OF PARENTS: TRENDS OVER TIME IN ASSORTATIVE MATING BASED ON PARENTAL HEALTH. (2019). Cavaliere, Giuseppe ; Rahbek, Anders. In: Discussion Papers. RePEc:kud:kuiedp:1903.

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2019Partially heterogeneous tests for Granger non-causality in panel data. (2019). Karavias, Yiannis ; Juodis, Arturas. In: Bank of Lithuania Working Paper Series. RePEc:lie:wpaper:59.

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2019Long-Run Changes in Radiative Forcing and Surface Temperature: The Effect of Human Activity over the Last Five Centuries.. (2019). Panagiotidis, Theodore ; Dergiades, Theologos ; Kaufmann, Robert K. In: Discussion Paper Series. RePEc:mcd:mcddps:2019_06.

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2019On the (in)efficiency of cryptocurrencies: Have they taken daily or weekly random walks?. (2019). Phiri, Andrew ; Apopo, Natalya. In: Working Papers. RePEc:mnd:wpaper:1904.

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2019Can the South African Reserve Bank (SARB) protect the purchasing power of citizens? A new look at Fisher’s hypothesis. (2019). Phiri, Andrew ; Mbekeni, Lutho. In: Working Papers. RePEc:mnd:wpaper:1906.

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2019Towards resolving the Purchasing Power Parity (PPP) ‘puzzle’ in Newly Industrialized Countries (NIC’s). (2019). Phiri, Andrew ; de Villiers, David. In: Working Papers. RePEc:mnd:wpaper:1908.

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2018Issues in the estimation of mis-specified models of fractionally integrated processes. (2018). Poskitt, Donald ; Nadarajah, K ; Martin, Gael M. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2018-18.

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2019A Feature-Based Framework for Detecting Technical Outliers in Water-Quality Data from In Situ Sensors. (2019). Talagala, Priyanga ; Hyndman, Rob ; Smith-Miles, Kate ; Mengersen, Kerrie ; Leigh, Catherine. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2019-1.

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2019Anomaly Detection in High Dimensional Data. (2019). Smith-Miles, Kate ; Hyndman, Rob J ; Talagala, Priyanga Dilini. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2019-20.

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2019Properties of the power envelope for tests against both stationary and explosive alternatives: the effect of trends. (2019). Marsh, Patrick. In: Discussion Papers. RePEc:not:notgts:19/03.

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2018Partial cointegrated vector autoregressive models with structural breaks in deterministic terms. (2018). Nielsen, B ; Kurita, Takamitsu. In: Economics Papers. RePEc:nuf:econwp:1803.

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2020Current account sustainability for 21 African economies: Evidence based on nonlinear flexible Fourier stationarity and unit-root tests. (2020). Husein, Jamal. In: MPRA Paper. RePEc:pra:mprapa:100410.

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2019Influence of US Presidential Terms on S&P500 Index Using a Time Series Analysis Approach. (2019). Ogbonna, Ahamuefula ; Yaya, Olaoluwa S ; Mudida, Robert ; Gil-Alana, Luis A ; Osuolale, Kazeem. In: MPRA Paper. RePEc:pra:mprapa:93941.

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2019On the (in)efficiency of cryptocurrencies: Have they taken daily or weekly random walks?. (2019). Phiri, Andrew ; Apopo, Natalay. In: MPRA Paper. RePEc:pra:mprapa:94712.

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2019Residual Augmented Fourier ADF Unit Root Test. (2019). Aydın, Mücahit ; YILANCI, Veli ; Aydin, Mehmet . In: MPRA Paper. RePEc:pra:mprapa:96797.

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2019Price and Volatility Linkages between International REITs and Oil Markets. (2019). Soytas, Ugur ; GUPTA, RANGAN ; Gormus, Alper ; Nazlioglu, Saban. In: Working Papers. RePEc:pre:wpaper:201954.

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2019A reexamination of inflation persistence dynamics in OECD countries: A new approach. (2019). Rodrigues, Paulo ; Nicolau, Joo ; Zsurkis, Gabriel. In: Working Papers. RePEc:ptu:wpaper:w201909.

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2020Inference on the dimension of the nonstationary subspace in functional time series. (2019). Nielsen, Morten ; Seong, Dakyung. In: Working Paper. RePEc:qed:wpaper:1420.

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2017Monetary Aggregates and Monetary Policy in Peru. (2017). Lahura, Erick. In: Working Papers. RePEc:rbp:wpaper:2017-003.

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2019The Small Open Economy New-Keynesian Phillips Curve: Specification, Structural Breaks and Robustness.. (2019). Aquino, Juan. In: Working Papers. RePEc:rbp:wpaper:2019-019.

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2017Power 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.

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2019Change-in-mean tests in long-memory time series: a review of recent developments. (2019). Sibbertsen, Philipp ; Leschinski, Christian ; Wenger, Kai. In: AStA Advances in Statistical Analysis. RePEc:spr:alstar:v:103:y:2019:i:2:d:10.1007_s10182-018-0328-5.

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2019Liquidity risk and the covered bond market in times of crisis: empirical evidence from Germany. (2019). Sibbertsen, Philipp ; Nguyen, Duc Khuong ; Wegener, Christoph ; Basse, Tobias. In: Annals of Operations Research. RePEc:spr:annopr:v:282:y:2019:i:1:d:10.1007_s10479-019-03326-8.

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2018A powerful wild bootstrap diagnosis of panel unit roots under linear trends and time-varying volatility. (2018). Walle, Yabibal ; Herwartz, Helmut. In: Computational Statistics. RePEc:spr:compst:v:33:y:2018:i:1:d:10.1007_s00180-017-0784-5.

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2019Unemployment rate hysteresis and the great recession: exploring the metropolitan evidence. (2019). Canarella, Giorgio ; Pollard, Stephen K ; Miller, Stephen M ; Gupta, Rangan. In: Empirical Economics. RePEc:spr:empeco:v:56:y:2019:i:1:d:10.1007_s00181-017-1361-z.

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2019Improving the Performance of a Long-Run Variance Ratio Test for a Unit Root. (2019). Ayuda, María-Isabel ; Aznar, Antonio ; Ferrer-Perez, Hugo. In: The Japanese Economic Review. RePEc:spr:jecrev:v:70:y:2019:i:2:d:10.1111_jere.12185.

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2019Characterizing growth instability: new evidence on unit roots and structural breaks in long run time series. (2019). Foster-McGregor, Neil ; Verpagen, Bart ; Russo, Emanuele. In: LEM Papers Series. RePEc:ssa:lemwps:2019/29.

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2019Adaptive Testing for Cointegration with Nonstationary Volatility. (2019). Boswijk, H. Peter ; Zu, Yang. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20190043.

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2019Bootstrapping Non-Stationary Stochastic Volatility. (2019). Cavaliere, Giuseppe ; Boswijk, H. Peter ; Rahbek, Anders ; Georgiev, Iliyan. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20190083.

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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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2007Testing for co-integration in vector autoregressions with non-stationary volatility.(2007) In: Discussion Papers.
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2008Testing for Unit Roots in the Presence of a Possible Break in Trend and Non-Stationary Volatility In: CREATES Research Papers.
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2011TESTING FOR UNIT ROOTS IN THE PRESENCE OF A POSSIBLE BREAK IN TREND AND NONSTATIONARY VOLATILITY.(2011) In: Econometric Theory.
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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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2009Co-integration Rank Testing under Conditional Heteroskedasticity In: CREATES Research Papers.
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2010COINTEGRATION RANK TESTING UNDER CONDITIONAL HETEROSKEDASTICITY.(2010) In: Econometric Theory.
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2010Bootstrap Sequential Determination of the Co-integration Rank in VAR Models In: CREATES Research Papers.
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2010Bootstrap Sequential Determination of the Co-integration Rank in VAR Models.(2010) In: Discussion Papers.
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2012Bootstrap Determination of the Co-integration Rank in Heteroskedastic VAR Models In: CREATES Research Papers.
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2012Bootstrap Determination of the Co-integration Rank in Heteroskedastic VAR Models.(2012) In: Discussion Papers.
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2014Bootstrap Determination of the Co-Integration Rank in Heteroskedastic VAR Models.(2014) In: Econometric Reviews.
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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.
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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 Paper.
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2017Quasi-Maximum Likelihood Estimation and Bootstrap Inference in Fractional Time Series Models with Heteroskedasticity of Unknown Form In: CREATES Research Papers.
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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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2016Quasi-maximum Likelihood Estimation And Bootstrap Inference In Fractional Time Series Models With Heteroskedasticity Of Unknown Form.(2016) In: Working Paper.
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2020Adaptive Inference in Heteroskedastic Fractional Time Series Models In: CREATES Research Papers.
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2003Testing against stochastic trend and seasonality in the presence of unattended breaks and unit roots In: Temi di discussione (Economic working papers).
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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.
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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.
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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.
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2003Variance Shifts, Structural Breaks, and Stationarity Tests. In: Journal of Business & Economic Statistics.
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2005On Robust Trend Function Hypothesis Testing In: Discussion Papers.
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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.
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2006Testing the Null of Co‐integration in the Presence of Variance Breaks.(2006) In: Journal of Time Series Analysis.
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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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1997On the Definitions of (Co-)Integration.(1997) In: Discussion Papers.
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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.
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2003Locally Optimal Tests Against Unit Roots in Seasonal Time Series Processes In: Journal of Time Series Analysis.
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2005On the use of Sub-sample Unit Root Tests to Detect Changes in Persistence In: Journal of Time Series Analysis.
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2006Additive Outlier Detection Via Extreme‐Value Theory In: Journal of Time Series Analysis.
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2007CUSUM of Squares‐Based Tests for a Change in Persistence In: Journal of Time Series Analysis.
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2008Time‐Transformed Unit Root Tests for Models with Non‐Stationary Volatility In: Journal of Time Series Analysis.
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2010The impact of the initial condition on robust tests for a linear trend In: Journal of Time Series Analysis.
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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.
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2013A bootstrap test for additive outliers in non-stationary time series In: Journal of Time Series Analysis.
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2013Editorial Announcement 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.
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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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2018Editorial Announcement 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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2019Editorial Announcement In: Journal of Time Series Analysis.
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2019A Generalised Fractional Differencing Bootstrap for Long Memory Processes In: Journal of Time Series Analysis.
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2019Temporal Aggregation of Seasonally Near‐Integrated Processes In: Journal of Time Series Analysis.
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2018Temporal Aggregation of Seasonally Near-Integrated Processes.(2018) In: DEA Working Papers.
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2020Deterministic Parameter Change Models in Continuous and Discrete Time In: Journal of Time Series Analysis.
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2020Editorial Announcement: Journal of Time Series Analysis Distinguished Authors 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 The Finite Sample Effects of Deterministic Variables on Conventional Methods of Lag-Selection in Unit Root Tests. In: Oxford Bulletin of Economics and Statistics.
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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.
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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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20041 In: Working Papers.
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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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2009REGRESSION-BASED SEASONAL UNIT ROOT TESTS In: Econometric Theory.
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2007Regression-based seasonal unit root tests.(2007) In: Discussion Papers.
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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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2009SIMPLE, ROBUST, AND POWERFUL TESTS OF THE BREAKING TREND HYPOTHESIS In: Econometric Theory.
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2006Simple, Robust and Powerful Tests of the Breaking Trend Hypothesis*.(2006) In: Discussion Papers.
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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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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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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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2019TESTING THE ORDER OF FRACTIONAL INTEGRATION OF A TIME SERIES IN THE POSSIBLE PRESENCE OF A TREND BREAK AT AN UNKNOWN POINT In: Econometric Theory.
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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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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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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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2002An optimal test against a random walk component in a non-orthogonal unobserved components model In: Econometrics Journal.
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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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2006Persistence change tests and shifting stable autoregressions In: Economics Letters.
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2001On regression-based tests for seasonal unit roots in the presence of periodic heteroscedasticity In: Journal of Econometrics.
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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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2004Efficient Tests of the Seasonal Unit Root Hypothesis.(2004) In: Economics Working Papers.
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2006Efficient Tests of the Seasonal Unit Root Hypothesis*.(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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2013Testing for unit roots in the possible presence of multiple trend breaks using minimum Dickey–Fuller statistics In: Journal of Econometrics.
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