Robert Taylor : Citation Profile

Are you Robert Taylor?

University of Essex

24

H index

57

i10 index

2114

Citations

RESEARCH PRODUCTION:

151

Articles

86

Papers

1

Chapters

RESEARCH ACTIVITY:

   28 years (1995 - 2023). See details.
   Cites by year: 75
   Journals where Robert Taylor has often published
   Relations with other researchers
   Recent citing documents: 54.    Total self citations: 96 (4.34 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pta27
   Updated: 2024-04-18    RAS profile: 2023-11-07    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers

Works with:

Rodrigues, Paulo (8)

Cavaliere, Giuseppe (6)

Nielsen, Morten (6)

Demetrescu, Matei (5)

Iacone, Fabrizio (4)

Harvey, David (3)

Kapetanios, George (2)

De Angelis, Luca (2)

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

Is cited by:

Skrobotov, Anton (91)

del Barrio Castro, Tomás (61)

Rodrigues, Paulo (60)

Perron, Pierre (59)

Cavaliere, Giuseppe (58)

Kruse, Robinson (50)

Phillips, Peter (45)

Demetrescu, Matei (45)

Osborn, Denise (40)

Kejriwal, Mohitosh (39)

Sibbertsen, Philipp (37)

Cites to:

Perron, Pierre (126)

Phillips, Peter (97)

Cavaliere, Giuseppe (92)

Leybourne, Stephen (82)

Stock, James (60)

Harvey, David (59)

Hansen, Bruce (56)

Elliott, Graham (50)

Vogelsang, Timothy (46)

Campbell, John (45)

Andrews, Donald (44)

Main data

Where Robert Taylor has published?

Journals with more than one article published# docs
Journal of Time Series Analysis34
Journal of Econometrics32
Econometric Theory25
Econometric Reviews13
Oxford Bulletin of Economics and Statistics12
Journal of Business & Economic Statistics5
Journal of Empirical Finance4
Economics Bulletin3
Econometrics Journal3
Journal of Business & Economic Statistics3
Econometrics Journal2
Economics Letters2
Journal of Applied Econometrics2
Studies in Nonlinear Dynamics & Econometrics2
International Journal of Forecasting2

Working Papers Series with more than one paper published# docs
Quaderni di Dipartimento / Department of Statistics, University of Bologna5
Working Papers / Banco de Portugal, Economics and Research Department5
Discussion Papers / University of Copenhagen. Department of Economics4
Working Paper / Economics Department, Queen's University4
Essex Finance Centre Working Papers / University of Essex, Essex Business School4
Discussion Papers / Department of Economics, University of Birmingham2
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'Economía Aplicada2

Recent works citing Robert Taylor (2024 and 2023)

YearTitle of citing document
2023New robust inference for predictive regressions. (2020). Skrobotov, Anton ; Kim, Jihyun ; Ibragimov, Rustam. In: Papers. RePEc:arx:papers:2006.01191.

Full description at Econpapers || Download paper

2023Testing for Nonlinear Cointegration under Heteroskedasticity. (2021). Massing, Till ; Hanck, Christoph. In: Papers. RePEc:arx:papers:2102.08809.

Full description at Econpapers || Download paper

2023Testing for long-range dependence in non-stationary time series time-varying regression. (2021). Wu, Weichi ; Bai, Lujia. In: Papers. RePEc:arx:papers:2110.08089.

Full description at Econpapers || Download paper

2023Asymptotics of Cointegration Tests for High-Dimensional VAR($k$). (2022). Bykhovskaya, Anna ; Gorin, Vadim. In: Papers. RePEc:arx:papers:2202.07150.

Full description at Econpapers || Download paper

2023High-Dimensional Causality for Climatic Attribution. (2023). Smeekes, Stephan ; Margaritella, Luca ; Friedrich, Marina. In: Papers. RePEc:arx:papers:2302.03996.

Full description at Econpapers || Download paper

2023Structural Break Detection in Quantile Predictive Regression Models with Persistent Covariates. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2302.05193.

Full description at Econpapers || Download paper

2023Estimation and Inference in Threshold Predictive Regression Models with Locally Explosive Regressors. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2305.00860.

Full description at Econpapers || Download paper

2023Improving the accuracy of bubble date estimators under time-varying volatility. (2023). Skrobotov, Anton ; Kurozumi, Eiji. In: Papers. RePEc:arx:papers:2306.02977.

Full description at Econpapers || Download paper

2023Bootstrapping Nonstationary Autoregressive Processes with Predictive Regression Models. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2307.14463.

Full description at Econpapers || Download paper

2023Predictability Tests Robust against Parameter Instability. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2307.15151.

Full description at Econpapers || Download paper

2023Limit Theory under Network Dependence and Nonstationarity. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2308.01418.

Full description at Econpapers || Download paper

2023Break-Point Date Estimation for Nonstationary Autoregressive and Predictive Regression Models. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2308.13915.

Full description at Econpapers || Download paper

2024Testing for Stationary or Persistent Coefficient Randomness in Predictive Regressions. (2023). Nishi, Mikihito. In: Papers. RePEc:arx:papers:2309.04926.

Full description at Econpapers || Download paper

2023A simulated electronic market with speculative behaviour and bubble formation. (2023). Mosionek-Schweda, Magdalena ; Cofre, Nicolas. In: Papers. RePEc:arx:papers:2311.12247.

Full description at Econpapers || Download paper

2023.

Full description at Econpapers || Download paper

2023Diagnosing housing fever with an econometric thermometer. (2023). Phillips, Peter ; Shi, Shuping. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:37:y:2023:i:1:p:159-186.

Full description at Econpapers || Download paper

2023.

Full description at Econpapers || Download paper

2023.

Full description at Econpapers || Download paper

2023Pass-through of exchange rate shocks in Brazil as a small open economy. (2023). Feijo, Carmem Aparecida ; Cerqueira, Luiz Fernando ; de Assis, Thallis Macedo. In: Revista CEPAL. RePEc:ecr:col070:48973.

Full description at Econpapers || Download paper

2023Can we estimate macroforecasters’ mis-behavior?. (2023). Chini, Emilio Zanetti. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:149:y:2023:i:c:s0165188923000386.

Full description at Econpapers || Download paper

2023Rational bubbles: Too many to be true?. (2023). Sola, Martin ; Psaradakis, Zacharias ; Caravello, Tomas E. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:151:y:2023:i:c:s0165188923000726.

Full description at Econpapers || Download paper

2023Testing factor models when asset bubbles occur: A time-varying perspective. (2023). Li, Yanglin ; Yu, LU. In: Economic Modelling. RePEc:eee:ecmode:v:124:y:2023:i:c:s0264999323001232.

Full description at Econpapers || Download paper

2023Inter-regional dependence of J-REIT stock prices: A heteroscedasticity-robust time series approach. (2023). Iitsuka, Yoshitaka ; Motegi, Kaiji. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:64:y:2023:i:c:s1062940822001759.

Full description at Econpapers || Download paper

2023Bootstrap inference for Hawkes and general point processes. (2023). Cavaliere, Giuseppe ; Stark-Ostergaard, Jacob ; Rahbek, Anders ; Lu, YE. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:1:p:133-165.

Full description at Econpapers || Download paper

2023The distribution of rolling regression estimators. (2023). Juhl, Ted ; Cai, Zongwu. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1447-1463.

Full description at Econpapers || Download paper

2023Robust inference with stochastic local unit root regressors in predictive regressions. (2023). Phillips, Peter ; Liu, Yanbo. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:563-591.

Full description at Econpapers || Download paper

2023Forecasting European stock volatility: The role of the UK. (2023). Gu, Chen ; Gao, Xiang. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923002442.

Full description at Econpapers || Download paper

2023Testing explosive bubbles with time-varying volatility: The case of Spanish public debt. (2023). Prats, Maria A ; Esteve, Vicente. In: Finance Research Letters. RePEc:eee:finlet:v:51:y:2023:i:c:s1544612322005098.

Full description at Econpapers || Download paper

2023Testing for short explosive bubbles: A case of Brent oil futures price. (2023). Gao, DA ; Feng, Hao ; Wang, Shaoping. In: Finance Research Letters. RePEc:eee:finlet:v:52:y:2023:i:c:s1544612322006730.

Full description at Econpapers || Download paper

2023Price bubbles in the European natural gas market between 2011 and 2020. (2023). Kocaaslan, Ozge Kandemir ; Akcora, Begum. In: Resources Policy. RePEc:eee:jrpoli:v:80:y:2023:i:c:s0301420722006298.

Full description at Econpapers || Download paper

2023Natural resources revenues, shadow economy and financial institutions depth: The way forward. (2023). Ali, Adnan ; Ur, Sami ; Ul, Zahoor ; Amin, Muhammad Yusuf ; Faisal, Faisal. In: Resources Policy. RePEc:eee:jrpoli:v:85:y:2023:i:pb:s0301420723005603.

Full description at Econpapers || Download paper

2023Discerning trends in international metal prices in the presence of nonstationary volatility. (2023). Ghoshray, Atanu ; Addison, Tony. In: Resource and Energy Economics. RePEc:eee:resene:v:71:y:2023:i:c:s0928765522000513.

Full description at Econpapers || Download paper

2023Long memory in the high frequency cryptocurrency markets using fractal connectivity analysis: The impact of COVID-19. (2023). Bhandari, Avishek ; Yousaf, Imran ; Mokni, Khaled ; Assaf, Ata. In: Research in International Business and Finance. RePEc:eee:riibaf:v:64:y:2023:i:c:s0275531922002070.

Full description at Econpapers || Download paper

2023Testing explosive bubbles with time-varying volatility: the case of Spanish public debt. (2022). Prats, Maria A ; Esteve, Vicente. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:116980.

Full description at Econpapers || Download paper

2023A Systematic Literature Review on ESG during the COVID-19 Pandemic. (2023). Ventimiglia, Francesca ; Dandrassi, Edoardo ; Savio, Riccardo. In: Sustainability. RePEc:gam:jsusta:v:15:y:2023:i:3:p:2020-:d:1042796.

Full description at Econpapers || Download paper

2023Periodic Integration and Seasonal Unit Roots. (2023). del Barrio Castro, Tomás ; Osborn, Denise R. In: MPRA Paper. RePEc:pra:mprapa:117935.

Full description at Econpapers || Download paper

2023The Vector Error Correction Index Model: Representation, Estimation and Identification. (2023). Cubadda, Gianluca ; Mazzali, Marco. In: CEIS Research Paper. RePEc:rtv:ceisrp:556.

Full description at Econpapers || Download paper

2023Unemployment persistence with an evolutionary perspective: job creation or destruction (or both)?. (2023). Liu, De-Chih. In: Evolutionary and Institutional Economics Review. RePEc:spr:eaiere:v:20:y:2023:i:1:d:10.1007_s40844-022-00246-4.

Full description at Econpapers || Download paper

2023Price bubbles of agricultural commodities: evidence from China’s futures market. (2023). Kang, Hanwen ; Yan, BO ; Chen, Zhuo. In: Empirical Economics. RePEc:spr:empeco:v:64:y:2023:i:1:d:10.1007_s00181-022-02254-0.

Full description at Econpapers || Download paper

2023The unemployment hysteresis by territory, gender, and age groups in Iran. (2023). Gil-Alana, Luis ; Gil-Alaa, Luis A ; Goltabar, Saleh ; Cheratian, Iman. In: SN Business & Economics. RePEc:spr:snbeco:v:3:y:2023:i:2:d:10.1007_s43546-023-00424-5.

Full description at Econpapers || Download paper

2023Robust bootstrap inference for linear time-varying coefficient models: Some Monte Carlo evidence. (2023). Song, Mingxuan ; Lin, Yicong. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20230049.

Full description at Econpapers || Download paper

2023Johansen Test with Fourier-Type Smooth Nonlinear Trends in Cointegrating Relations. (2023). Shintani, Mototsugu ; Kurita, Takamitsu. In: CIRJE F-Series. RePEc:tky:fseres:2023cf1216.

Full description at Econpapers || Download paper

2023Testing for explosive bubbles: a review. (2023). Anton, Skrobotov. In: Dependence Modeling. RePEc:vrs:demode:v:11:y:2023:i:1:p:26:n:1.

Full description at Econpapers || Download paper

2023The problem of annual inflation rate indicator. (2023). Arlt, Josef. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:28:y:2023:i:3:p:2772-2788.

Full description at Econpapers || Download paper

2023Testing for multiple level shifts with an integrated or stationary noise component. (2023). Gadea, Maria Dolores ; Carrionisilvestre, Josep Lluis. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:38:y:2023:i:6:p:801-819.

Full description at Econpapers || Download paper

Works by Robert Taylor:

YearTitleTypeCited
2008Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility In: CREATES Research Papers.
[Full Text][Citation analysis]		paper65
2010Testing for co-integration in vector autoregressions with non-stationary volatility.(2010) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 65		article
2008Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility.(2008) In: Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 65		paper
2007Testing for co-integration in vector autoregressions with non-stationary volatility.(2007) In: Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 65		paper
2008Testing for Unit Roots in the Presence of a Possible Break in Trend and Non-Stationary Volatility In: CREATES Research Papers.
[Full Text][Citation analysis]		paper26
2011TESTING FOR UNIT ROOTS IN THE PRESENCE OF A POSSIBLE BREAK IN TREND AND NONSTATIONARY VOLATILITY.(2011) In: Econometric Theory.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 26		article
2009Testing for unit roots in the presence of a possible break in trend and non-stationary volatility.(2009) In: Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 26		paper
2009Co-integration Rank Testing under Conditional Heteroskedasticity In: CREATES Research Papers.
[Full Text][Citation analysis]		paper47
2010COINTEGRATION RANK TESTING UNDER CONDITIONAL HETEROSKEDASTICITY.(2010) In: Econometric Theory.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 47		article
2010Bootstrap Sequential Determination of the Co-integration Rank in VAR Models In: CREATES Research Papers.
[Full Text][Citation analysis]		paper3
2010Bootstrap Sequential Determination of the Co-integration Rank in VAR Models.(2010) In: Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 3		paper
2012Bootstrap Determination of the Co-integration Rank in Heteroskedastic VAR Models In: CREATES Research Papers.
[Full Text][Citation analysis]		paper28
2012Bootstrap Determination of the Co-integration Rank in Heteroskedastic VAR Models.(2012) In: Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 28		paper
2014Bootstrap Determination of the Co-Integration Rank in Heteroskedastic VAR Models.(2014) In: Econometric Reviews.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 28		article
2014Bootstrap Score Tests for Fractional Integration in Heteroskedastic ARFIMA Models, with an Application to Price Dynamics in Commodity Spot and Futures Markets In: CREATES Research Papers.
[Full Text][Citation analysis]		paper12
2015Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets.(2015) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 12		article
2013Bootstrap Score Tests For Fractional Integration In Heteroskedastic Arfima Models, With An Application To Price Dynamics In Commodity Spot And Futures Markets.(2013) In: Working Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 12		paper
2017Quasi-Maximum Likelihood Estimation and Bootstrap Inference in Fractional Time Series Models with Heteroskedasticity of Unknown Form In: CREATES Research Papers.
[Full Text][Citation analysis]		paper10
2017Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form.(2017) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 10		article
2016Quasi-maximum Likelihood Estimation And Bootstrap Inference In Fractional Time Series Models With Heteroskedasticity Of Unknown Form.(2016) In: Working Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 10		paper
2020Adaptive Inference in Heteroskedastic Fractional Time Series Models In: CREATES Research Papers.
[Full Text][Citation analysis]		paper6
2019Adaptive Inference In Heteroskedastic Fractional Time Series Models.(2019) In: Working Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 6		paper
2022Adaptive Inference in Heteroscedastic Fractional Time Series Models.(2022) In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 6		article
2021Semiparametric Tests for the Order of Integration in the Possible Presence of Level Breaks In: CREATES Research Papers.
[Full Text][Citation analysis]		paper3
2020Semiparametric Tests for the Order of Integration in the Possible Presence of Level Breaks.(2020) In: Working Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 3		paper
2022Semiparametric Tests for the Order of Integration in the Possible Presence of Level Breaks.(2022) In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 3		article
2022Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models In: Papers.
[Full Text][Citation analysis]		paper0
2023Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models.(2023) In: Econometric Reviews.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		article
2003Testing against stochastic trend and seasonality in the presence of unattended breaks and unit roots In: Temi di discussione (Economic working papers).
[Full Text][Citation analysis]		paper12
2003Testing against stochastic trend and seasonality in the presence of unattended breaks and unit roots.(2003) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 12		article
2001Tests of the Seasonal Unit-Root Hypothesis against Heteroscedastic Seasonal Integration. In: Journal of Business & Economic Statistics.
[Citation analysis]		article5
2001On the Properties of Regression-Based Tests for Seasonal Unit Roots in the Presence of Higher-Order Serial Correlation. In: Journal of Business & Economic Statistics.
[Citation analysis]		article25
2002Regression-Based Unit Root Tests with Recursive Mean Adjustment for Seasonal and Nonseasonal Time Series. In: Journal of Business & Economic Statistics.
[Citation analysis]		article31
2003Robust Stationarity Tests in Seasonal Time Series Processes. In: Journal of Business & Economic Statistics.
[Citation analysis]		article12
2003Variance Shifts, Structural Breaks, and Stationarity Tests. In: Journal of Business & Economic Statistics.
[Citation analysis]		article18
2005On Robust Trend Function Hypothesis Testing In: Discussion Papers.
[Citation analysis]		paper1
2006On Robust Trend Function Hypothesis Testing.(2006) In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		article
2005Testing the Null of Co-integration in the Presence of Variance Breaks In: Discussion Papers.
[Citation analysis]		paper1
2006Testing the Null of Co?integration in the Presence of Variance Breaks.(2006) In: Journal of Time Series Analysis.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		article
1998Testing for Unit Roots in Monthly Time Series In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article25
1999On the Definitions of (Co?)integration In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article15
1997On the Definitions of (Co-)Integration.(1997) In: Discussion Papers.
[Citation analysis]
This paper has nother version. Agregated cites: 15		paper
1999Likelihood Ratio Tests for Seasonal Unit Roots In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article15
2003Seasonal Unit Root Tests Based on Forward and Reverse Estimation In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article2
2003Locally Optimal Tests Against Unit Roots in Seasonal Time Series Processes In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article8
2005On the use of Sub?sample Unit Root Tests to Detect Changes in Persistence In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article7
2006Additive Outlier Detection Via Extreme?Value Theory In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article15
2007CUSUM of Squares?Based Tests for a Change in Persistence In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article45
2008Time?Transformed Unit Root Tests for Models with Non?Stationary Volatility In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article24
2010The impact of the initial condition on robust tests for a linear trend In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article5
2009The impact of the initial condition on robust tests for a linear trend.(2009) In: Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 5		paper
2013Editorial In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article0
2013A bootstrap test for additive outliers in non-stationary time series In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article2
2013Editorial Announcement In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article0
2014A FIXED- b TEST FOR A BREAK IN LEVEL AT AN UNKNOWN TIME UNDER FRACTIONAL INTEGRATION In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article11
2015Testing for Unit Roots Under Multiple Possible Trend Breaks and Non-Stationary Volatility Using Bootstrap Minimum Dickey–Fuller Statistics In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article3
2017Unit Root Tests and Heavy-Tailed Innovations In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article2
2017Unit Root Tests and Heavy-Tailed Innovations.(2017) In: Essex Finance Centre Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		paper
2018Editorial, January 2018 In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article0
2018Editorial, September 2018 In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article0
2018Editorial Announcement In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article0
2018Special Issue of the Journal of Time Series Analysis In Honour of Professor Paul Newbold: Guest Editors Introduction In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article0
2018Real?Time Monitoring for Explosive Financial Bubbles In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article5
2019Editorial Announcement In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article0
2019A Generalised Fractional Differencing Bootstrap for Long Memory Processes In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article4
2019Temporal Aggregation of Seasonally Near?Integrated Processes In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article4
2018Temporal Aggregation of Seasonally Near-Integrated Processes.(2018) In: DEA Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 4		paper
2020Deterministic Parameter Change Models in Continuous and Discrete Time In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article1
2020Editorial Announcement: Journal of Time Series Analysis Distinguished Authors In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article0
2021Editorial announcement: Journal of Time Series Analysis Distinguished Authors 2020 In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article0
2021Editorial Announcement In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article0
2021Corrigendum to “A Generalised Fractional Differencing Bootstrap for Long Memory Processes†Journal of Time Series Analysis 40: 467?492 (2019) DOI: 10.1111/jtsa.12460 In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article0
2022Editorial Announcement: Professor Michael McAleer In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article0
2022Editorial Announcement: Journal of Time Series Analysis Distinguished Authors 2021 In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article0
2023Editorial Announcement: Journal of Time Series Analysis Distinguished Authors 2022 In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article0
2023Editorial announcement In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article0
1999Detecting Seasonal Unit Roots: an Approach Based on the Sample Autocorrelation Function In: Manchester School.
[Full Text][Citation analysis]		article1
2000The Finite Sample Effects of Deterministic Variables on Conventional Methods of Lag?selection in Unit Root Tests In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]		article6
2000On the Power of GLS?Type Unit Root Tests In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]		article3
2002Can Tests for Stochastic Unit Roots Provide Useful Portmanteau Tests for Persistence? In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]		article6
2005Fluctuation Tests for a Change in Persistence In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]		article11
2006Regression?based Tests for a Change in Persistence* In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]		article18
2006Testing for a Change in Persistence in the Presence of a Volatility Shift* In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]		article9
2012The Flexible Fourier Form and Local Generalised Least Squares De-trended Unit Root Tests-super- In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]		article58
2014Unit Root Testing under a Local Break in Trend using Partial Information on the Break Date In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]		article4
2015A Comparison of Sequential and Information-based Methods for Determining the Co-integration Rank in Heteroskedastic VAR Models In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]		article6
2013A comparison of sequential and information-based methods for determining the co-integration rank in heteroskedastic VAR models.(2013) In: Quaderni di Dipartimento.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 6		paper
2015On the Behaviour of Phillips–Perron Tests in the Presence of Persistent Cycles In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]		article5
2013On the Behaviour of Phillips-Perron Tests in the Presence of Persistent Cycles.(2013) In: CEFAGE-UE Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 5		paper
2015Bootstrap Co-integration Rank Testing: The Effect of Bias-Correcting Parameter Estimates In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]		article1
2013Bootstrap Co-integration Rank Testing: The Effect of Bias-Correcting Parameter Estimates.(2013) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		paper
2015Robust and Powerful Tests for Nonlinear Deterministic Components In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]		article9
2011Wild bootstrap of the mean in the infinite variance case In: Quaderni di Dipartimento.
[Full Text][Citation analysis]		paper0
2011Bootstrap determination of the co-integration rank in VAR models In: Quaderni di Dipartimento.
[Full Text][Citation analysis]		paper9
2015Sieve-based inference for infinite-variance linear processes In: Quaderni di Dipartimento.
[Full Text][Citation analysis]		paper4
2016Unit root inference for non-stationary linear processes driven by infinite variance innovations In: Quaderni di Dipartimento.
[Full Text][Citation analysis]		paper9
2018UNIT ROOT INFERENCE FOR NON-STATIONARY LINEAR PROCESSES DRIVEN BY INFINITE VARIANCE INNOVATIONS.(2018) In: Econometric Theory.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 9		article
2007Detecting Multiple Changes in Persistence In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]		article54
1995Additional Critical Values and Asymptotic Representations for Seasonal Unit Roots Tests. In: Cambridge Working Papers in Economics.
[Citation analysis]		paper31
1998Additional critical values and asymptotic representations for seasonal unit root tests.(1998) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 31		article
1995Additional Critical Values and Asymptotic Representations for Seasonal Unit Root Tests.(1995) In: Discussion Papers.
[Citation analysis]
This paper has nother version. Agregated cites: 31		paper
2003On Tests for Double Differencing: Some Extensions and the Role of Initial Values In: Economic Working Papers at Centro de Estudios Andaluces.
[Full Text][Citation analysis]		paper0
2003ON THE ASYMPTOTIC PROPERTIES OF SOME SEASONAL UNIT ROOT TESTS In: Econometric Theory.
[Full Text][Citation analysis]		article3
2004ON TESTS FOR DOUBLE DIFFERENCING: METHODS OF DEMEANING AND DETRENDING AND THE ROLE OF INITIAL VALUES In: Econometric Theory.
[Full Text][Citation analysis]		article1
2004ASYMPTOTIC DISTRIBUTIONS FOR REGRESSION-BASED SEASONAL UNIT ROOT TEST STATISTICS IN A NEAR-INTEGRATED MODEL In: Econometric Theory.
[Full Text][Citation analysis]		article6
2005STATIONARITY TESTS FOR IRREGULARLY SPACED OBSERVATIONS AND THE EFFECTS OF SAMPLING FREQUENCY ON POWER In: Econometric Theory.
[Full Text][Citation analysis]		article4
2004Stationarity Tests for Irregularly Spaced Observations and the Effects of Sampling Frequency on Power.(2004) In: Econometric Society 2004 Far Eastern Meetings.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 4		paper
2005STATIONARITY TESTS UNDER TIME-VARYING SECOND MOMENTS In: Econometric Theory.
[Full Text][Citation analysis]		article17
2008BOOTSTRAP UNIT ROOT TESTS FOR TIME SERIES WITH NONSTATIONARY VOLATILITY In: Econometric Theory.
[Full Text][Citation analysis]		article72
2009REGRESSION-BASED SEASONAL UNIT ROOT TESTS In: Econometric Theory.
[Full Text][Citation analysis]		article24
2007Regression-based seasonal unit root tests.(2007) In: Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 24		paper
2009UNIT ROOT TESTING IN PRACTICE: DEALING WITH UNCERTAINTY OVER THE TREND AND INITIAL CONDITION In: Econometric Theory.
[Full Text][Citation analysis]		article67
2007Unit root testing in practice: dealing with uncertainty over the trend and initial condition.(2007) In: Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 67		paper
2009REJOINDER In: Econometric Theory.
[Full Text][Citation analysis]		article0
2009SIMPLE, ROBUST, AND POWERFUL TESTS OF THE BREAKING TREND HYPOTHESIS In: Econometric Theory.
[Full Text][Citation analysis]		article66
2006Simple, Robust and Powerful Tests of the Breaking Trend Hypothesis*.(2006) In: Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 66		paper
2009HETEROSKEDASTIC TIME SERIES WITH A UNIT ROOT In: Econometric Theory.
[Full Text][Citation analysis]		article46
2009SPECIAL ISSUE OF ECONOMETRIC THEORY IN HONOR OF PAUL NEWBOLD: GUEST EDITORS’ INTRODUCTION In: Econometric Theory.
[Full Text][Citation analysis]		article0
2009TESTING FOR A UNIT ROOT IN THE PRESENCE OF A POSSIBLE BREAK IN TREND In: Econometric Theory.
[Full Text][Citation analysis]		article34
2007Testing for a unit root in the presence of a possible break in trend.(2007) In: Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 34		paper
2011SPECIAL ISSUE OF ECONOMETRIC THEORY ON BOOTSTRAP AND NUMERICAL METHODS IN TIME SERIES: GUEST EDITORS’ INTRODUCTION In: Econometric Theory.
[Full Text][Citation analysis]		article0
2012BOOTSTRAP UNION TESTS FOR UNIT ROOTS IN THE PRESENCE OF NONSTATIONARY VOLATILITY In: Econometric Theory.
[Full Text][Citation analysis]		article16
2010Bootstrap union tests for unit roots in the presence of nonstationary volatility.(2010) In: Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 16		paper
2010Bootstrap union tests for unit roots in the presence of nonstationary volatility.(2010) In: Research Memorandum.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 16		paper
2012ON AUGMENTED HEGY TESTS FOR SEASONAL UNIT ROOTS In: Econometric Theory.
[Full Text][Citation analysis]		article12
2011On Augmented HEGY Tests for Seasonal Unit Roots.(2011) In: Economics Discussion Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 12		paper
2013ON THE BEHAVIOR OF FIXED-b TREND BREAK TESTS UNDER FRACTIONAL INTEGRATION In: Econometric Theory.
[Full Text][Citation analysis]		article7
2011On the behaviour of fixed-b trend break tests under fractional integration.(2011) In: Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 7		paper
2013THE IMPACT OF PERSISTENT CYCLES ON ZERO FREQUENCY UNIT ROOT TESTS In: Econometric Theory.
[Full Text][Citation analysis]		article3
2011The Impact of Persistent Cycles on Zero Frequency Unit Root Tests.(2011) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 3		paper
2018SPECIAL ISSUE OF ECONOMETRIC THEORY IN HONOR OF PROFESSOR RICHARD J. SMITH: GUEST EDITORS’ INTRODUCTION In: Econometric Theory.
[Full Text][Citation analysis]		article0
2018DETERMINING THE COINTEGRATION RANK IN HETEROSKEDASTIC VAR MODELS OF UNKNOWN ORDER In: Econometric Theory.
[Full Text][Citation analysis]		article10
2016Determining the Cointegration Rank in Heteroskedastic VAR Models of Unknown Order.(2016) In: Essex Finance Centre Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 10		paper
2018SEMI-PARAMETRIC SEASONAL UNIT ROOT TESTS In: Econometric Theory.
[Full Text][Citation analysis]		article7
2015Semi-Parametric Seasonal Unit Root Tests.(2015) In: Essex Finance Centre Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 7		paper
2015Semi-Parametric Seasonal Unit Root Tests.(2015) In: DEA Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 7		paper
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.
[Full Text][Citation analysis]		article4
2012Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper12
2015Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility.(2015) In: Econometric Reviews.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 12		article
2011Lag length selection for unit root tests in the presence of nonstationary volatility.(2011) In: Research Memorandum.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 12		paper
2004Some New Tests for a Change in Persistence In: Economics Bulletin.
[Full Text][Citation analysis]		article7
2005On the limiting behaviour of augmented seasonal unit root tests In: Economics Bulletin.
[Full Text][Citation analysis]		article0
2007Conference in honour of Paul Newbold In: Economics Bulletin.
[Full Text][Citation analysis]		article0
1997Controversy: On Modelling the Long Run in Applied Economics. In: Economic Journal.
[Full Text][Citation analysis]		article1
2004Modified Tests for a Change in Persistence In: Econometric Society 2004 Australasian Meetings.
[Full Text][Citation analysis]		paper77
2006Modified tests for a change in persistence.(2006) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 77		article
2012Bootstrap Determination of the Coâ€ÂIntegration Rank in Vector Autoregressive Models In: Econometrica.
[Full Text][Citation analysis]		article72
2004Bootstrapping the HEGY Seasonal Unit Root Tests In: Econometric Society 2004 North American Summer Meetings.
[Full Text][Citation analysis]		paper15
2004Bootstrapping the HEGY seasonal unit root tests.(2004) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 15		article
2008Seasonal unit root tests and the role of initial conditions In: Econometrics Journal.
[Full Text][Citation analysis]		article1
2008Seasonal unit root tests and the role of initial conditions.(2008) In: Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		paper
2000Determining the order of differencing in seasonal time series processes In: Econometrics Journal.
[Citation analysis]		article5
1997Determining the Order of Differencing in Seasonal Time Series Processes.(1997) In: Discussion Papers.
[Citation analysis]
This paper has nother version. Agregated cites: 5		paper
2002An optimal test against a random walk component in a non-orthogonal unobserved components model In: Econometrics Journal.
[Full Text][Citation analysis]		article5
2014On infimum Dickey–Fuller unit root tests allowing for a trend break under the null In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article3
2004On tests for changes in persistence In: Economics Letters.
[Full Text][Citation analysis]		article12
2006Persistence change tests and shifting stable autoregressions In: Economics Letters.
[Full Text][Citation analysis]		article5
2001On regression-based tests for seasonal unit roots in the presence of periodic heteroscedasticity In: Journal of Econometrics.
[Full Text][Citation analysis]		article23
2001Recursive and rolling regression-based tests of the seasonal unit root hypothesis In: Journal of Econometrics.
[Full Text][Citation analysis]		article5
2003Corrigendum to Nonparametric tests for unit roots and cointegration [J. Econom. 108 (2002) 343-363] In: Journal of Econometrics.
[Full Text][Citation analysis]		article24
2004Alternative estimators and unit root tests for seasonal autoregressive processes In: Journal of Econometrics.
[Full Text][Citation analysis]		article8
2004Tests of stationarity against a change in persistence In: Journal of Econometrics.
[Full Text][Citation analysis]		article137
2005Variance ratio tests of the seasonal unit root hypothesis In: Journal of Econometrics.
[Full Text][Citation analysis]		article13
2007Testing for unit roots in time series models with non-stationary volatility In: Journal of Econometrics.
[Full Text][Citation analysis]		article98
2007A simple, robust and powerful test of the trend hypothesis In: Journal of Econometrics.
[Full Text][Citation analysis]		article51
2006A simple, robust and powerful test of the trend hypothesis.(2006) In: Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 51		paper
2007Efficient tests of the seasonal unit root hypothesis In: Journal of Econometrics.
[Full Text][Citation analysis]		article20
2004Efficient Tests of the Seasonal Unit Root Hypothesis.(2004) In: Economics Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 20		paper
2006Efficient Tests of the Seasonal Unit Root Hypothesis*.(2006) In: Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 20		paper
2008Erratum to A simple, robust and powerful test of the trend hypothesis [Journal of Econometrics 141(2) (2007) 1302-1330] In: Journal of Econometrics.
[Full Text][Citation analysis]		article0
2008Testing for a change in persistence in the presence of non-stationary volatility In: Journal of Econometrics.
[Full Text][Citation analysis]		article20
2006Testing for a change in persistence in the presence of non-stationary volatility.(2006) In: Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 20		paper
2010Robust methods for detecting multiple level breaks in autocorrelated time series In: Journal of Econometrics.
[Full Text][Citation analysis]		article38
2010Robust methods for detecting multiple level breaks in autocorrelated time series.(2010) In: Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 38		paper
2011Robust methods for detecting multiple level breaks in autocorrelated time series.(2011) In: Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 38		paper
2012Unit root testing under a local break in trend In: Journal of Econometrics.
[Full Text][Citation analysis]		article7
2010Unit root testing under a local break in trend.(2010) In: Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 7		paper
2011Unit root testing under a local break in trend.(2011) In: Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 7		paper
2012Testing for unit roots in the presence of uncertainty over both the trend and initial condition In: Journal of Econometrics.
[Full Text][Citation analysis]		article20
2008Testing for unit roots in the presence of uncertainty over both the trend and initial condition.(2008) In: Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 20		paper
2013Testing for a break in trend when the order of integration is unknown In: Journal of Econometrics.
[Full Text][Citation analysis]		article13
2013Testing for unit roots in the possible presence of multiple trend breaks using minimum Dickey–Fuller statistics In: Journal of Econometrics.
[Full Text][Citation analysis]		article41
2014Testing for seasonal unit roots by frequency domain regression In: Journal of Econometrics.
[Full Text][Citation analysis]		article5
2010Testing for seasonal unit roots by frequency domain regression.(2010) In: Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 5		paper
2016Inference on co-integration parameters in heteroskedastic vector autoregressions In: Journal of Econometrics.
[Full Text][Citation analysis]		article22
2013Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions.(2013) In: Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 22		paper
2013Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions.(2013) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 22		paper
2016Tests of the co-integration rank in VAR models in the presence of a possible break in trend at an unknown point In: Journal of Econometrics.
[Full Text][Citation analysis]		article6
2016Tests of the Co-integration Rank in VAR Models in the Presence of a Possible Break in Trend at an Unknown Point.(2016) In: Essex Finance Centre Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 6		paper
2018Testing for parameter instability in predictive regression models In: Journal of Econometrics.
[Full Text][Citation analysis]		article17
2020Level shift estimation in the presence of non-stationary volatility with an application to the unit root testing problem In: Journal of Econometrics.
[Full Text][Citation analysis]		article2
2020Level Shift Estimation in the Presence of Non-stationary Volatility with an Application to the Unit Root Testing Problem.(2020) In: Monash Econometrics and Business Statistics Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		paper
2021Simple tests for stock return predictability with good size and power properties In: Journal of Econometrics.
[Full Text][Citation analysis]		article3
2022Testing for episodic predictability in stock returns In: Journal of Econometrics.
[Full Text][Citation analysis]		article3
2019Testing for Episodic Predictability in Stock Returns.(2019) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 3		paper
2023Extensions to IVX methods of inference for return predictability In: Journal of Econometrics.
[Full Text][Citation analysis]		article6
2021Extensions to IVX methods of inference for return predictability.(2021) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 6		paper
2023Transformed regression-based long-horizon predictability tests In: Journal of Econometrics.
[Full Text][Citation analysis]		article0
2014Robust tests for a linear trend with an application to equity indices In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article0
2016Special issue of the Journal of Empirical Finance Guest Editors introduction In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article0
2016Tests for explosive financial bubbles in the presence of non-stationary volatility In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article74
2023Using covariates to improve the efficacy of univariate bubble detection methods In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article1
1997On the practical problems of computing seasonal unit root tests In: International Journal of Forecasting.
[Full Text][Citation analysis]		article10
2007New Introduction to Multiple Time Series Analysis, Helmut Lutkepohl. Springer-Verlag (2005), ISBN 3-540-40172-5 (hardcover), 149.95 [euro], ISBN 3-540-26239-3 (softcover), 54.95 [euro], 764 pages. In: International Journal of Forecasting.
[Full Text][Citation analysis]		article2
1999Testing for Stochastic Unit Roots - Some Monte Carlo evidence In: Econometric Institute Research Papers.
[Citation analysis]		paper2
2016Wild Bootstrap Seasonal Unit Root Tests for Time Series with Periodic Non-Stationary Volatility In: Working Papers.
[Full Text][Citation analysis]		paper3
2019Wild bootstrap seasonal unit root tests for time series with periodic nonstationary volatility.(2019) In: Econometric Reviews.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 3		article
2010Determination of the Number of Common Stochastic Trends Under Conditional Heteroskedasticity/Determinación del número de tendencias estocásticas comunes bajo heteroscedasticidad condicional In: Estudios de Economia Aplicada.
[Full Text][Citation analysis]		article0
2012The Performance of Lag Selection and Detrending Methods for HEGY Seasonal Unit Root Tests In: Economics Discussion Paper Series.
[Full Text][Citation analysis]		paper12
2016The Performance of Lag Selection and Detrending Methods for HEGY Seasonal Unit Root Tests.(2016) In: Econometric Reviews.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 12		article
2007Testing for a unit root when uncertain about the trend [Revised to become 07/03 above] In: Discussion Papers.
[Full Text][Citation analysis]		paper0
2008Testing for unit roots and the impact of quadratic trends, with an application to relative primary commodity prices In: Discussion Papers.
[Full Text][Citation analysis]		paper18
2011Testing for Unit Roots and the Impact of Quadratic Trends, with an Application to Relative Primary Commodity Prices.(2011) In: Econometric Reviews.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 18		article
2009Robust methods for detecting multiple level breaks in autocorrelated time series [Revised to become No. 10/01 above] In: Discussion Papers.
[Full Text][Citation analysis]		paper1
2009Co-integration rank tests under conditional heteroskedasticity In: Discussion Papers.
[Full Text][Citation analysis]		paper0
2010Bootstrap co-integration rank testing: the role of deterministic variables and initial values in the bootstrap recursion In: Discussion Papers.
[Full Text][Citation analysis]		paper5
2013Bootstrap Cointegration Rank Testing: The Role of Deterministic Variables and Initial Values in the Bootstrap Recursion.(2013) In: Econometric Reviews.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 5		article
2016Tests for an end-of-sample bubble in financial time series In: Discussion Papers.
[Full Text][Citation analysis]		paper9
2017Tests for an end-of-sample bubble in financial time series.(2017) In: Econometric Reviews.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 9		article
2017A bootstrap stationarity test for predictive regression invalidity In: Discussion Papers.
[Full Text][Citation analysis]		paper7
2019A Bootstrap Stationarity Test for Predictive Regression Invalidity.(2019) In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 7		article
2023CUSUM-Based Monitoring for Explosive Episodes in Financial Data in the Presence of Time-Varying Volatility* In: Journal of Financial Econometrics.
[Full Text][Citation analysis]		article0
2009The Flexible Fourier Form and Local GLS De-trended Unit Root Tests In: Working Papers.
[Full Text][Citation analysis]		paper8
2021Multivariate Fractional Integration Tests allowing for Conditional Heteroskedasticity with an Application to Return Volatility and Trading Volume In: Working Papers.
[Full Text][Citation analysis]		paper0
2021Multivariate fractional integration tests allowing for conditional heteroskedasticity with an application to return volatility and trading volume.(2021) In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		article
2022Introduction and Overview In: Contributions to Economics.
[Citation analysis]		chapter1
1997Book Reviews In: Asia Pacific Business Review.
[Full Text][Citation analysis]		article0
2009A Note on Testing Covariance Stationarity In: Econometric Reviews.
[Full Text][Citation analysis]		article1
2009Bootstrap M Unit Root Tests In: Econometric Reviews.
[Full Text][Citation analysis]		article11
2013Wild Bootstrap of the Sample Mean in the Infinite Variance Case In: Econometric Reviews.
[Full Text][Citation analysis]		article4
2023In memory of Michael McAleer: special issue of Econometric Reviews In: Econometric Reviews.
[Full Text][Citation analysis]		article0
2023Improved tests for stock return predictability In: Econometric Reviews.
[Full Text][Citation analysis]		article0
2013A Review of Unit Root Tests in Time Series: Volumes 1 and 2 In: Econometrics Journal.
[Full Text][Citation analysis]		article0
2018Robust tests for deterministic seasonality and seasonal mean shifts In: Econometrics Journal.
[Full Text][Citation analysis]		article0
2021Real?time detection of regimes of predictability in the US equity premium In: Journal of Applied Econometrics.
[Full Text][Citation analysis]		article6
1995Testing for Seasonal Unit Roots: a simple alternative to HEGY In: Discussion Papers.
[Citation analysis]		paper0
1996On the Practical Problems of Computing Seasonal Unit Root Tests: The Case of Non-Durable Consumers Expenditures In: Discussion Papers.
[Citation analysis]		paper0
1996Additional Critical Values and Asymptotic Representations for Monthly Seasonal Unit Root Tests In: Discussion Papers.
[Citation analysis]		paper1

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated March, 4 2024. Contact: CitEc Team