Robert Taylor : Citation Profile

Are you Robert Taylor?

University of Essex

17

H index

33

i10 index

1006

Citations

RESEARCH PRODUCTION:

108

Articles

85

Papers

RESEARCH ACTIVITY:

   22 years (1995 - 2017). See details.
   Cites by year: 45
   Journals where Robert Taylor has often published
   Relations with other researchers
   Recent citing documents: 99.    Total self citations: 70 (6.51 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pta27
   Updated: 2017-09-16    RAS profile: 2017-08-05    
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Relations with other researchers

Works with:

Cavaliere, Giuseppe (26)

del Barrio Castro, Tomás (8)

Rodrigues, Paulo (7)

Nielsen, Morten (6)

Rahbek, Anders (4)

Iacone, Fabrizio (4)

Trenkler, Carsten (3)

Smeekes, Stephan (3)

Boswijk, H. Peter (3)

De Angelis, Luca (3)

Osborn, Denise (3)

Astill, Sam (3)

Phillips, Peter (2)

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

Is cited by:

Kruse, Robinson (48)

Rodrigues, Paulo (38)

Demetrescu, Matei (31)

Skrobotov, Anton (28)

del Barrio Castro, Tomás (26)

Perron, Pierre (24)

Sibbertsen, Philipp (24)

Phillips, Peter (23)

Noriega, Antonio (21)

Kejriwal, Mohitosh (18)

Nielsen, Morten (17)

Cites to:

Perron, Pierre (82)

Phillips, Peter (67)

Cavaliere, Giuseppe (63)

Stock, James (39)

Hansen, Bruce (35)

Vogelsang, Timothy (28)

Elliott, Graham (25)

Andrews, Donald (23)

Burridge, Peter (23)

Rahbek, Anders (20)

Watson, Mark (20)

Main data

Where Robert Taylor has published?

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

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

Recent works citing Robert Taylor (2017 and 2016)

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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2017How 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.

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2017Structural 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.

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2017Further 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.

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

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

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

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

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

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

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2017Testing time series for the bubbles (with application to Russian data). (2017). Sinelnikova-Muryleva, Elena ; Skrobotov, Anton . In: Applied Econometrics. RePEc:ris:apltrx:0319.

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

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

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2017Spurious regression due to neglected of non-stationary volatility. (2017). Jin, Hao ; Zhang, Jinsuo . In: Computational Statistics. RePEc:spr:compst:v:32:y:2017:i:3:d:10.1007_s00180-016-0687-x.

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

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

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

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2017Are state–local government expenditures converging? New evidence based on sequential unit root tests. (2017). Mahdavi, Saeid ; Westerlund, Joakim . In: Empirical Economics. RePEc:spr:empeco:v:53:y:2017:i:2:d:10.1007_s00181-016-1123-3.

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

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

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

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

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

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

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

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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 Papers.
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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 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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1999Tests of the Seasonal Unit Root Hypothesis Against Heteroscedastic Seasonal Integration..(1999) In: Discussion Papers.
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2001On the Properties of Regression-Based Tests for Seasonal Unit Roots in the Presence of Higher-Order Serial Correlation. In: Journal of Business & Economic Statistics.
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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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2000An Optimal Test against a Random Walk Component in a Non-Orthogonal Unobserved Components Model. In: Discussion Papers.
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2002An optimal test against a random walk component in a non-orthogonal unobserved components model.(2002) In: Econometrics Journal.
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2005On Robust Trend Function Hypothesis Testing In: Discussion Papers.
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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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1999On Regression-Based Tests for Seasonal Unit Roots in the Presence of Periodic Heteroscedasticity. In: Discussion Papers.
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2001On regression-based tests for seasonal unit roots in the presence of periodic heteroscedasticity.(2001) In: Journal of Econometrics.
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1999Regression-Based Seasonal Unit Root Tests with Recursive Mean Adjustment. In: Discussion Papers.
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1999Locally Optimal Tests Against Seasonal Unit Roots. In: Discussion Papers.
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1999The Finite Sample Effects of Deterministic Variables on Conventional Methods of Lag-Selection in Unit Root Tests. In: Discussion Papers.
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2000 The Finite Sample Effects of Deterministic Variables on Conventional Methods of Lag-Selection in Unit Root Tests..(2000) In: Oxford Bulletin of Economics and Statistics.
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1999Regression-Based Seasonal Unit Root Tests. In: Discussion Papers.
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2009REGRESSION-BASED SEASONAL UNIT ROOT TESTS.(2009) In: Econometric Theory.
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2007Regression-based seasonal unit root tests.(2007) In: Discussion Papers.
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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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1999Detecting Seasonal Unit Roots: An Approach Based on the Sample Autocorrelation Function. In: Manchester School.
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2000 On the Power of GLS-Type Unit Root Tests. In: Oxford Bulletin of Economics and Statistics.
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2002 Can Tests for Stochastic Unit Roots Provide Useful Portmanteau Tests for Persistence? In: Oxford Bulletin of Economics and Statistics.
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2005Fluctuation Tests for a Change in Persistence In: Oxford Bulletin of Economics and Statistics.
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2006Regression-based Tests for a Change in Persistence In: Oxford Bulletin of Economics and Statistics.
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2006Testing for a Change in Persistence in the Presence of a Volatility Shift In: Oxford Bulletin of Economics and Statistics.
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2012The Flexible Fourier Form and Local Generalised Least Squares De-trended Unit Root Tests-super- In: Oxford Bulletin of Economics and Statistics.
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2014Unit Root Testing under a Local Break in Trend using Partial Information on the Break Date In: Oxford Bulletin of Economics and Statistics.
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2015A Comparison of Sequential and Information-based Methods for Determining the Co-integration Rank in Heteroskedastic VAR Models In: Oxford Bulletin of Economics and Statistics.
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2013A comparison of sequential and information-based methods for determining the co-integration rank in heteroskedastic VAR models.(2013) In: Quaderni di Dipartimento.
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2015On the Behaviour of Phillips–Perron Tests in the Presence of Persistent Cycles In: Oxford Bulletin of Economics and Statistics.
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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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2007Detecting Multiple Changes in Persistence In: Studies in Nonlinear Dynamics & Econometrics.
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1995Additional Critical Values and Asymptotic Representations for Seasonal Unit Roots Tests. In: Cambridge Working Papers in Economics.
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1998Additional critical values and asymptotic representations for seasonal unit root tests.(1998) In: Journal of Econometrics.
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1995Additional Critical Values and Asymptotic Representations for Seasonal Unit Root Tests.(1995) In: Discussion Papers.
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2003On Tests for Double Differencing: Some Extensions and the Role of Initial Values In: Economic Working Papers at Centro de Estudios Andaluces.
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2004Robust Inference on Seasonal Unit Roots via a Bootstrap Applied to OECD Macroeconomic Series In: Working Papers.
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1996Linear Combinations of Stationary Processes In: Econometric Theory.
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2003ON THE ASYMPTOTIC PROPERTIES OF SOME SEASONAL UNIT ROOT TESTS In: Econometric Theory.
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2004ON TESTS FOR DOUBLE DIFFERENCING: METHODS OF DEMEANING AND DETRENDING AND THE ROLE OF INITIAL VALUES In: Econometric Theory.
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2004ASYMPTOTIC DISTRIBUTIONS FOR REGRESSION-BASED SEASONAL UNIT ROOT TEST STATISTICS IN A NEAR-INTEGRATED MODEL In: Econometric Theory.
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2005STATIONARITY TESTS FOR IRREGULARLY SPACED OBSERVATIONS AND THE EFFECTS OF SAMPLING FREQUENCY ON POWER In: Econometric Theory.
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2004Stationarity Tests for Irregularly Spaced Observations and the Effects of Sampling Frequency on Power.(2004) In: Econometric Society 2004 Far Eastern Meetings.
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2005STATIONARITY TESTS UNDER TIME-VARYING SECOND MOMENTS In: Econometric Theory.
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2008BOOTSTRAP UNIT ROOT TESTS FOR TIME SERIES WITH NONSTATIONARY VOLATILITY In: Econometric Theory.
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2009UNIT ROOT TESTING IN PRACTICE: DEALING WITH UNCERTAINTY OVER THE TREND AND INITIAL CONDITION In: Econometric Theory.
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2007Unit root testing in practice: dealing with uncertainty over the trend and initial condition.(2007) In: Discussion Papers.
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2009REJOINDER In: Econometric Theory.
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2009ECONOMETRIC THEORY MEMORIAL TO ALBERT REX BERGSTROM–INTRODUCTION In: Econometric Theory.
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2009SIMPLE, ROBUST, AND POWERFUL TESTS OF THE BREAKING TREND HYPOTHESIS In: Econometric Theory.
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2009HETEROSKEDASTIC TIME SERIES WITH A UNIT ROOT In: Econometric Theory.
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2009SPECIAL ISSUE OF ECONOMETRIC THEORY IN HONOR OF PAUL NEWBOLD: GUEST EDITORS’ INTRODUCTION In: Econometric Theory.
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2009TESTING FOR A UNIT ROOT IN THE PRESENCE OF A POSSIBLE BREAK IN TREND In: Econometric Theory.
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2007Testing for a unit root in the presence of a possible break in trend.(2007) In: Discussion Papers.
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2011SPECIAL ISSUE OF ECONOMETRIC THEORY ON BOOTSTRAP AND NUMERICAL METHODS IN TIME SERIES: GUEST EDITORS’ INTRODUCTION In: Econometric Theory.
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2012BOOTSTRAP UNION TESTS FOR UNIT ROOTS IN THE PRESENCE OF NONSTATIONARY VOLATILITY In: Econometric Theory.
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2010Bootstrap union tests for unit roots in the presence of nonstationary volatility.(2010) In: Discussion Papers.
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2010Bootstrap union tests for unit roots in the presence of nonstationary volatility.(2010) In: Research Memorandum.
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2012ON AUGMENTED HEGY TESTS FOR SEASONAL UNIT ROOTS In: Econometric Theory.
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2011On Augmented HEGY Tests for Seasonal Unit Roots.(2011) In: The School of Economics Discussion Paper Series.
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2011On the behaviour of fixed-b trend break tests under fractional integration.(2011) In: Discussion Papers.
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2011The Impact of Persistent Cycles on Zero Frequency Unit Root Tests.(2011) In: Working Papers.
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2012Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility In: Cowles Foundation Discussion Papers.
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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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2006Modified tests for a change in persistence.(2006) In: Journal of Econometrics.
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2012Bootstrap Determination of the Co‐Integration Rank in Vector Autoregressive Models In: Econometrica.
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2004Bootstrapping the HEGY Seasonal Unit Root Tests In: Econometric Society 2004 North American Summer Meetings.
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2004Bootstrapping the HEGY seasonal unit root tests.(2004) In: Journal of Econometrics.
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2008Seasonal unit root tests and the role of initial conditions In: Econometrics Journal.
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2008Seasonal unit root tests and the role of initial conditions.(2008) In: Discussion Papers.
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2000Determining the order of differencing in seasonal time series processes In: Econometrics Journal.
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1997Determining the Order of Differencing in Seasonal Time Series Processes.(1997) In: Discussion Papers.
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2014On infimum Dickey–Fuller unit root tests allowing for a trend break under the null In: Computational Statistics & Data Analysis.
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2004On tests for changes in persistence In: Economics Letters.
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2006Persistence change tests and shifting stable autoregressions In: Economics Letters.
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2001Recursive and rolling regression-based tests of the seasonal unit root hypothesis In: Journal of Econometrics.
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2003Corrigendum to Nonparametric tests for unit roots and cointegration [J. Econom. 108 (2002) 343-363] In: Journal of Econometrics.
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2004Alternative estimators and unit root tests for seasonal autoregressive processes In: Journal of Econometrics.
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2004Tests of stationarity against a change in persistence In: Journal of Econometrics.
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2005Variance ratio tests of the seasonal unit root hypothesis In: Journal of Econometrics.
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2007Testing for unit roots in time series models with non-stationary volatility In: Journal of Econometrics.
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2007A simple, robust and powerful test of the trend hypothesis In: Journal of Econometrics.
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2006A simple, robust and powerful test of the trend hypothesis.(2006) In: Discussion Papers.
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2007Efficient tests of the seasonal unit root hypothesis In: Journal of Econometrics.
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2004Efficient Tests of the Seasonal Unit Root Hypothesis.(2004) In: Economics Working Papers.
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2008Erratum to A simple, robust and powerful test of the trend hypothesis [Journal of Econometrics 141(2) (2007) 1302-1330] In: Journal of Econometrics.
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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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2017Unit Root Tests and Heavy-Tailed Innovations In: Essex Finance Centre Working Papers.
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