Robert Taylor : Citation Profile

Are you Robert Taylor?

University of Essex

24

H index

57

i10 index

2097

Citations

RESEARCH PRODUCTION:

146

Articles

86

Papers

1

Chapters

RESEARCH ACTIVITY:

   28 years (1995 - 2023). See details.
   Cites by year: 74
   Journals where Robert Taylor has often published
   Relations with other researchers
   Recent citing documents: 112.    Total self citations: 96 (4.38 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pta27
   Updated: 2023-11-04    RAS profile: 2023-09-08    
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Relations with other researchers

Works with:

Rodrigues, Paulo (8)

Cavaliere, Giuseppe (7)

Nielsen, Morten (6)

Harvey, David (5)

Leybourne, Stephen (4)

Iacone, Fabrizio (4)

Demetrescu, Matei (3)

del Barrio Castro, Tomás (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)

Demetrescu, Matei (45)

Phillips, Peter (44)

Kejriwal, Mohitosh (39)

Sibbertsen, Philipp (37)

Nielsen, Morten (36)

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 Econometrics30
Econometric Theory25
Oxford Bulletin of Economics and Statistics12
Econometric Reviews10
Journal of Business & Economic Statistics5
Journal of Empirical Finance4
Econometrics Journal3
Economics Bulletin3
Journal of Business & Economic Statistics3
Journal of Applied Econometrics2
Economics Letters2
International Journal of Forecasting2
Econometrics Journal2
Studies in Nonlinear Dynamics & Econometrics2

Working Papers Series with more than one paper published# docs
Working Papers / Banco de Portugal, Economics and Research Department5
Quaderni di Dipartimento / Department of Statistics, University of Bologna5
Working Paper / Economics Department, Queen's University4
Essex Finance Centre Working Papers / University of Essex, Essex Business School4
Discussion Papers / University of Copenhagen. Department of Economics4
Research Memorandum / Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR)2
DEA Working Papers / Universitat de les Illes Balears, Departament d'Economa Aplicada2
Discussion Papers / Department of Economics, University of Birmingham2

Recent works citing Robert Taylor (2023 and 2022)

YearTitle of citing document
2022Fractional integration and cointegration. (2022). Nielsen, Morten ; Haulde, Javier. In: CREATES Research Papers. RePEc:aah:create:2022-02.

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2022Truncated sum-of-squares estimation of fractional time series models with generalized power law trend. (2022). Nielsen, Morten ; Hualde, Javier. In: CREATES Research Papers. RePEc:aah:create:2022-07.

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2022.

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

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2022Predictive Quantile Regression with Mixed Roots and Increasing Dimensions. (2021). Shin, Youngki ; Lee, Ji Hyung ; Fan, Rui. In: Papers. RePEc:arx:papers:2101.11568.

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2022On the asymptotic behavior of bubble date estimators. (2021). Skrobotov, Anton ; Kurozumi, Eiji. In: Papers. RePEc:arx:papers:2110.04500.

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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.

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

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2022On the dependence structure of the trade/no trade sequence of illiquid assets. (2022). Raissi, Hamdi. In: Papers. RePEc:arx:papers:2203.08223.

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2022Cryptocurrency Bubble Detection: A New Stock Market Dataset, Financial Task & Hyperbolic Models. (2022). Chava, Sudheer ; Nanda, Vikram ; Rosso, Paolo ; Mittal, Vivek ; Agarwal, Shivam ; Sawhney, Ramit. In: Papers. RePEc:arx:papers:2206.06320.

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2022Testing for explosive bubbles: a review. (2022). Skrobotov, Anton. In: Papers. RePEc:arx:papers:2207.08249.

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2022A Residuals-Based Nonparametric Variance Ratio Test for Cointegration. (2022). Reichold, Karsten. In: Papers. RePEc:arx:papers:2211.06288.

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2022Fractional integration and cointegration. (2022). Nielsen, Morten ; Hualde, Javier. In: Papers. RePEc:arx:papers:2211.10235.

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

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

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

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

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

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

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

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

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

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2022The Rising Interconnectedness of the Insurance Sector. (2022). Jourde, Tristan. In: Working papers. RePEc:bfr:banfra:857.

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2022Uniform and Distribution-Free Inference with General Autoregressive Processes. (2022). Petrova, Katerina ; Magdalinos, Tassos. In: Working Papers. RePEc:bge:wpaper:1344.

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2022The prices of renewable commodities: a robust stationarity analysis. (2022). Presno, Maria Jose ; Landajo, Manuel. In: Australian Journal of Agricultural and Resource Economics. RePEc:bla:ajarec:v:66:y:2022:i:2:p:447-470.

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2022Persistence of investor sentiment and market mispricing. (2022). Eshraghi, Arman ; Danbolt, JO ; Sakkas, Nikolaos ; Han, Xiao. In: The Financial Review. RePEc:bla:finrev:v:57:y:2022:i:3:p:617-640.

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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.

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2022The rising interconnectedness of the insurance sector. (2022). Jourde, Tristan. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:89:y:2022:i:2:p:397-425.

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2022On causal and non?causal cointegrated vector autoregressive time series. (2022). Swensen, Anders Rygh ; RyghSwensen, Anders. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:43:y:2022:i:2:p:178-196.

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2022Structural change tests under heteroskedasticity: Joint estimation versus two?steps methods. (2022). Yamamoto, Yohei ; Perron, Pierre. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:43:y:2022:i:3:p:389-411.

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2022On cointegration for processes integrated at different frequencies. (2022). del Barrio Castro, Tomás ; Cubadda, Gianluca ; Osborn, Denise R. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:43:y:2022:i:3:p:412-435.

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2022Rank test of unit?root hypothesis with AR?GARCH errors. (2022). Zhang, Rongmao ; Liu, Qimeng ; Liao, Guili. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:43:y:2022:i:5:p:695-719.

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2022Johansen?type cointegration tests with a Fourier function. (2022). Lee, Junsoo ; Pascalau, Razvan ; Lu, Yan ; Nazlioglu, Saban. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:43:y:2022:i:5:p:828-852.

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2022Inference in functional factor models with applications to yield curves. (2022). Horvath, Lajos ; Wang, Shixuan ; Vanderdoes, Jeremy ; Kokoszka, Piotr. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:43:y:2022:i:6:p:872-894.

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2022.

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2022Testing for Co?explosive Behaviour in Financial Time Series. (2022). Leybourne, Stephen J ; Harvey, David I ; Evripidou, Andria C ; Sollis, Robert. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:84:y:2022:i:3:p:624-650.

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2023.

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2023.

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2022Small Sample Adjustment for Hypotheses Testing on Cointegrating Vectors. (2022). Canepa, Alessandra ; Alessandra, Canepa. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:14:y:2022:i:1:p:51-85:n:1.

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2022Econometric Analysis of Asset Price Bubbles. (2022). Phillips, Peter ; Shi, Shuping. In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2331.

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2022Robust Testing for Explosive Behavior with Strongly Dependent Errors. (2022). , Peter ; PEter, ; Yu, Jun ; JunYu, ; Lui, Yiu Lim. In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2350.

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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.

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2022Testing explosive bubbles with time-varying volatility: The case of the Spanish public debt, 1850–2021. (2022). Prats, Mara A ; Esteve, Vicente. In: Working Papers. RePEc:eec:wpaper:2205.

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2022Bootstrapping multivariate portmanteau tests for vector autoregressive models with weak assumptions on errors. (2022). Zhang, Yanfen ; Li, Muyi. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:165:y:2022:i:c:s0167947321001559.

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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.

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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.

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2022Unit roots in lower-bounded series with outliers. (2022). Alanya-Beltran, Willy. In: Economic Modelling. RePEc:eee:ecmode:v:115:y:2022:i:c:s0264999322002279.

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2022Evolving United States stock market volatility: The role of conventional and unconventional monetary policies. (2022). GUPTA, RANGAN ; Balcilar, Mehmet ; Ji, Qiang ; Plakandaras, Vasilios. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:60:y:2022:i:c:s1062940822000249.

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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.

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2022On robust testing for trend. (2022). Skrobotov, Anton. In: Economics Letters. RePEc:eee:ecolet:v:212:y:2022:i:c:s0165176522000040.

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2022Bootstrap inference on the boundary of the parameter space, with application to conditional volatility models. (2022). Cavaliere, Giuseppe ; Rahbek, Anders ; Pedersen, Rasmus Sondergaard ; Nielsen, Heino Bohn . In: Journal of Econometrics. RePEc:eee:econom:v:227:y:2022:i:1:p:241-263.

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2022Residual-augmented IVX predictive regression. (2022). Rodrigues, Paulo ; Demetrescu, Matei. In: Journal of Econometrics. RePEc:eee:econom:v:227:y:2022:i:2:p:429-460.

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2022Testing for parameter instability and structural change in persistent predictive regressions. (2022). Varneskov, Rasmus T ; Andersen, Torben G. In: Journal of Econometrics. RePEc:eee:econom:v:231:y:2022:i:2:p:361-386.

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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.

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2022Convergence of spectral density estimators in the locally stationary framework. (2022). Kawka, Rafael. In: Econometrics and Statistics. RePEc:eee:ecosta:v:24:y:2022:i:c:p:94-115.

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2022Testing predictability of stock returns under possible bubbles. (2022). Yang, Zihui ; Long, Wei. In: Journal of Empirical Finance. RePEc:eee:empfin:v:68:y:2022:i:c:p:246-260.

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2022Financial development, renewable energy and CO2 emission in G7 countries: New evidence from non-linear and asymmetric analysis. (2022). Sinha, Avik ; Ullah, Saif ; Hassan, Arshad ; Sheraz, Muhammad ; Xu, Deyi. In: Energy Economics. RePEc:eee:eneeco:v:109:y:2022:i:c:s0140988322001669.

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2022Multivariate long memory structure in the cryptocurrency market: The impact of COVID-19. (2022). Demir, Ender ; Bhandari, Avishek ; Assaf, Ata ; Charif, Husni. In: International Review of Financial Analysis. RePEc:eee:finana:v:82:y:2022:i:c:s1057521922001004.

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2022How to identify the different phases of stock market bubbles statistically?. (2022). Horvath, Lajos ; Liu, Zhenya. In: Finance Research Letters. RePEc:eee:finlet:v:46:y:2022:i:pa:s154461232100369x.

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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.

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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.

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2022Comparing probabilistic forecasts of the daily minimum and maximum temperature. (2022). Taylor, James W ; Meng, Xiaochun. In: International Journal of Forecasting. RePEc:eee:intfor:v:38:y:2022:i:1:p:267-281.

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2022Forecasting: theory and practice. (2022). Shang, Han Lin ; Rubaszek, Michał ; Martinez, Andrew ; Grossi, Luigi ; Franses, Philip Hans ; Fiszeder, Piotr ; Clements, Michael ; Castle, Jennifer ; Carnevale, Claudio ; Kolassa, Stephan ; Thorarinsdottir, Thordis ; Guo, Xiaojia ; Reade, James J ; Petropoulos, Fotios ; Nikolopoulos, Konstantinos ; Koehler, Anne B ; Thomakos, Dimitrios ; Browell, Jethro ; Rapach, David E ; Modis, Theodore ; Kang, Yanfei ; Tashman, Len ; Boylan, John E ; Gunter, Ulrich ; Ramos, Patricia ; Ellison, Joanne ; Meeran, Sheik ; Richmond, Victor ; Talagala, Thiyanga S ; Bijak, Jakub ; Guidolin, Massimo ; Pinson, Pierre ; Dokumentov, Alexander ; Jeon, Jooyoung ; Bessa, Ricardo J ; Pedregal, Diego J ; de Baets, Shari ; Ziel, Florian ; Syntetos, Aris A ; Bergmeir, Christoph
2022Gold as a financial instrument. (2022). Tan, David ; Shi, Shuping ; Gomis-Porqueras, Pedro. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:27:y:2022:i:c:s2405851321000519.

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2022Bubbles in US gasoline prices: Assessing the role of hurricanes and anti–price gouging laws. (2022). Oladosu, Gbadebo. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:27:y:2022:i:c:s2405851321000520.

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2022Asymmetric influences on Latin American stock markets: A quantile approach. (2022). Ceretta, Paulo Sergio ; Kruel, Maximiliano. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:26:y:2022:i:c:s1703494922000238.

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2022Financial development and natural resources. Is there a stock market resource curse?. (2022). , Faisal ; Ramakrishnan, Suresh ; Ali, Adnan. In: Resources Policy. RePEc:eee:jrpoli:v:75:y:2022:i:c:s0301420721004657.

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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.

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2022An analysis of the interactions between daily electricity demand levels in France. (2022). Marques, Antonio Cardoso ; Pereira, Diogo Santos. In: Utilities Policy. RePEc:eee:juipol:v:76:y:2022:i:c:s0957178722000339.

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2022Land availability and housing price in China: Empirical evidence from nonlinear autoregressive distributed lag (NARDL). (2022). Wong, Kar-Horn ; Tan, Yan-Yi ; Nerissa, Feng-Ting Shim ; Kwan, Xiao-Hui ; Ho, Wing-Ken ; Yii, Kwang-Jing. In: Land Use Policy. RePEc:eee:lauspo:v:113:y:2022:i:c:s0264837721006116.

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2022Detecting periodically collapsing bubbles in the S&P 500. (2022). Waters, George A ; Nguyen, Quynh Nhu. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:83:y:2022:i:c:p:83-91.

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2022Doubts on natural rate of unemployment: Evidence and policy implications. (2022). Cheng, Ka Ming. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:86:y:2022:i:c:p:230-239.

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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.

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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.

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2022Testing for Granger causality in quantiles between the wage share in income and productive capacity utilization. (2022). Lima, Gilberto Tadeu ; Marques, Andre M. In: Structural Change and Economic Dynamics. RePEc:eee:streco:v:62:y:2022:i:c:p:290-312.

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2022Is innovative technology a solution to Japans long-run energy insecurity? Dynamic evidence from the linear and nonlinear methods. (2022). Karasoy, Alper. In: Technology in Society. RePEc:eee:teinso:v:70:y:2022:i:c:s0160791x22001701.

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2022Testing for unit roots based on sample autocovariances. (2022). Yao, Qiwei ; Cheng, Guanghui ; Chang, Jinyuan. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:114620.

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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.

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2022Transformed Regression-based Long-Horizon Predictability Tests. (2021). Rodrigues, Paulo ; Demetrescu, Matei ; Taylor, Am Robert ; A M Robert Taylor, ; Mm, Paulo. In: Essex Finance Centre Working Papers. RePEc:esy:uefcwp:30620.

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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.

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2022Stochastic Local and Moderate Departures from a Unit Root and Its Application to Unit Root Testing. (2022). 黒住, 英司, ; Kurozumi, Eiji ; Nishi, Mikihito. In: Discussion Papers. RePEc:hit:econdp:2022-02.

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2022THE DISTRIBUTION OF ROLLING REGRESSION ESTIMATORS. (2022). Chen, Pixiong ; Cai, Zongwu. In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS. RePEc:kan:wpaper:202218.

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2022Multivariate Cointegration and Temporal Aggregation: Some Further Simulation Results. (2022). Papapanagiotou, Georgios ; Panagiotidis, Theodore ; Otero, Jesus. In: Computational Economics. RePEc:kap:compec:v:59:y:2022:i:1:d:10.1007_s10614-020-10062-w.

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2022Using Double Frequency in Fourier Dickey–Fuller Unit Root Test. (2022). Omay, Tolga ; Cai, Yifei. In: Computational Economics. RePEc:kap:compec:v:59:y:2022:i:2:d:10.1007_s10614-020-10075-5.

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2022Testing for unit roots based on sample autocovariances. (2022). Yao, Qiwei ; Cheng, Guanghui ; Chang, Jinyuan. In: Biometrika. RePEc:oup:biomet:v:109:y:2022:i:2:p:543-550..

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

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2022Nearly Efficient Likelihood Ratio Tests of a Unit Root in an Autoregressive Model of Arbitrary Order. (2022). Nielsen, Morten ; Jansson, Michael ; Brien, Samuel. In: Working Paper. RePEc:qed:wpaper:1429.

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2022Dimension Reduction for High Dimensional Vector Autoregressive Models. (2022). Hecq, Alain ; Cubadda, Gianluca. In: CEIS Research Paper. RePEc:rtv:ceisrp:534.

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2022Dimension Reduction for High Dimensional Vector Autoregressive Models. (2022). Hecq, Alain ; Cubadda, Gianluca . In: CEIS Research Paper. RePEc:rtv:ceisrp:534shoc.

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

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2022Tourism and economic growth: Multi-country evidence from mixed-frequency Granger causality tests. (2022). Wang, Yuan ; Enilov, Martin. In: Tourism Economics. RePEc:sae:toueco:v:28:y:2022:i:5:p:1216-1239.

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2022Non-parametric seasonal unit root tests under periodic non-stationary volatility. (2022). Eroglu, Burak Alparslan ; Gogebakan, Kemal Aglar. In: Computational Statistics. RePEc:spr:compst:v:37:y:2022:i:5:d:10.1007_s00180-022-01211-w.

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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.

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2022Extensions of the Pesaran, Shin and Smith (2001) bounds testing procedure. (2022). Tsionas, Mike ; Sakellaris, Plutarchos ; Bertsatos, Georgios. In: Empirical Economics. RePEc:spr:empeco:v:62:y:2022:i:2:d:10.1007_s00181-021-02041-3.

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2022On the long-run dynamics of income and wealth inequality. (2022). Ordóñez, Javier ; Ghoshray, Atanu ; Ordoez, Javier ; Malki, Issam. In: Empirical Economics. RePEc:spr:empeco:v:62:y:2022:i:2:d:10.1007_s00181-021-02043-1.

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2022Stochastic seasonality in commodity prices: the case of US natural gas. (2022). Zhu, Zhen ; Chiou-Wei, Song-Zan ; Chen, Sheng-Hung. In: Empirical Economics. RePEc:spr:empeco:v:62:y:2022:i:5:d:10.1007_s00181-021-02094-4.

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2022Fiscal reaction functions for the advanced economies revisited. (2022). Fachin, Stefano ; di Iorio, Francesca. In: Empirical Economics. RePEc:spr:empeco:v:62:y:2022:i:6:d:10.1007_s00181-021-02119-y.

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2022Tests for segmented cointegration: an application to US governments budgets. (2022). , Paulo ; Martins, Luis F. In: Empirical Economics. RePEc:spr:empeco:v:63:y:2022:i:2:d:10.1007_s00181-021-02156-7.

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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.

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2022Forecasting performance of Bayesian VEC-MSF models for financial data in the presence of long-run relationships. (2022). Wroblewska, Justyna ; Pajor, Anna. In: Eurasian Economic Review. RePEc:spr:eurase:v:12:y:2022:i:3:d:10.1007_s40822-022-00203-x.

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2022Can news-based economic sentiment predict bubbles in precious metal markets?. (2022). Maghyereh, Aktham ; Abdoh, Hussein. In: Financial Innovation. RePEc:spr:fininn:v:8:y:2022:i:1:d:10.1186_s40854-022-00341-w.

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

Works by Robert Taylor:

YearTitleTypeCited
2008Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility In: CREATES Research Papers.
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2010Testing for co-integration in vector autoregressions with non-stationary volatility.(2010) In: Journal of Econometrics.
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2008Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility.(2008) In: Discussion Papers.
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This paper has another version. Agregated cites: 65		paper
2007Testing for co-integration in vector autoregressions with non-stationary volatility.(2007) In: Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 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.
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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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This paper has another version. Agregated cites: 46		article
2010Bootstrap Sequential Determination of the Co-integration Rank in VAR Models In: CREATES Research Papers.
[Full Text][Citation analysis]		paper3
2010Bootstrap Sequential Determination of the Co-integration Rank in VAR Models.(2010) In: Discussion Papers.
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This paper has another version. Agregated cites: 3		paper
2012Bootstrap Determination of the Co-integration Rank in Heteroskedastic VAR Models In: CREATES Research Papers.
[Full Text][Citation analysis]		paper28
2012Bootstrap Determination of the Co-integration Rank in Heteroskedastic VAR Models.(2012) In: Discussion Papers.
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This paper has another version. Agregated cites: 28		paper
2014Bootstrap Determination of the Co-Integration Rank in Heteroskedastic VAR Models.(2014) In: Econometric Reviews.
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This paper has another 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.
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2015Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets.(2015) In: Journal of Econometrics.
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2013Bootstrap Score Tests For Fractional Integration In Heteroskedastic Arfima Models, With An Application To Price Dynamics In Commodity Spot And Futures Markets.(2013) In: Working Paper.
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2017Quasi-Maximum Likelihood Estimation and Bootstrap Inference in Fractional Time Series Models with Heteroskedasticity of Unknown Form In: CREATES Research Papers.
[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.
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2016Quasi-maximum Likelihood Estimation And Bootstrap Inference In Fractional Time Series Models With Heteroskedasticity Of Unknown Form.(2016) In: Working Paper.
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2020Adaptive Inference in Heteroskedastic Fractional Time Series Models In: CREATES Research Papers.
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2019Adaptive Inference In Heteroskedastic Fractional Time Series Models.(2019) In: Working Paper.
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2022Adaptive Inference in Heteroscedastic Fractional Time Series Models.(2022) In: Journal of Business & Economic Statistics.
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2021Semiparametric Tests for the Order of Integration in the Possible Presence of Level Breaks In: CREATES Research Papers.
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2020Semiparametric Tests for the Order of Integration in the Possible Presence of Level Breaks.(2020) In: Working Paper.
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2022Semiparametric Tests for the Order of Integration in the Possible Presence of Level Breaks.(2022) In: Journal of Business & Economic Statistics.
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2022Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models In: Papers.
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2003Testing against stochastic trend and seasonality in the presence of unattended breaks and unit roots In: Temi di discussione (Economic working papers).
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2003Testing against stochastic trend and seasonality in the presence of unattended breaks and unit roots.(2003) In: Journal of Econometrics.
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2001Tests of the Seasonal Unit-Root Hypothesis against Heteroscedastic Seasonal Integration. In: Journal of Business & Economic Statistics.
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2001On the Properties of Regression-Based Tests for Seasonal Unit Roots in the Presence of Higher-Order Serial Correlation. In: Journal of Business & Economic Statistics.
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2002Regression-Based Unit Root Tests with Recursive Mean Adjustment for Seasonal and Nonseasonal Time Series. In: Journal of Business & Economic Statistics.
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2003Robust Stationarity Tests in Seasonal Time Series Processes. In: Journal of Business & Economic Statistics.
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2003Variance Shifts, Structural Breaks, and Stationarity Tests. In: Journal of Business & Economic Statistics.
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2005On Robust Trend Function Hypothesis Testing In: Discussion Papers.
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2006On Robust Trend Function Hypothesis Testing.(2006) In: Studies in Nonlinear Dynamics & Econometrics.
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2005Testing the Null of Co-integration in the Presence of Variance Breaks In: Discussion Papers.
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2006Testing the Null of Co?integration in the Presence of Variance Breaks.(2006) In: Journal of Time Series Analysis.
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1998Testing for Unit Roots in Monthly Time Series In: Journal of Time Series Analysis.
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1999On the Definitions of (Co?)integration In: Journal of Time Series Analysis.
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1997On the Definitions of (Co-)Integration.(1997) In: Discussion Papers.
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1999Likelihood Ratio Tests for Seasonal Unit Roots In: Journal of Time Series Analysis.
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2003Seasonal Unit Root Tests Based on Forward and Reverse Estimation In: Journal of Time Series Analysis.
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2003Locally Optimal Tests Against Unit Roots in Seasonal Time Series Processes In: Journal of Time Series Analysis.
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2005On the use of Sub?sample Unit Root Tests to Detect Changes in Persistence In: Journal of Time Series Analysis.
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2006Additive Outlier Detection Via Extreme?Value Theory In: Journal of Time Series Analysis.
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2007CUSUM of Squares?Based Tests for a Change in Persistence In: Journal of Time Series Analysis.
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2008Time?Transformed Unit Root Tests for Models with Non?Stationary Volatility In: Journal of Time Series Analysis.
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2010The impact of the initial condition on robust tests for a linear trend In: Journal of Time Series Analysis.
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2009The impact of the initial condition on robust tests for a linear trend.(2009) In: Discussion Papers.
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2013Editorial In: Journal of Time Series Analysis.
[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.
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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.
[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.
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2017Unit Root Tests and Heavy-Tailed Innovations In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article2
2017Unit Root Tests and Heavy-Tailed Innovations.(2017) In: Essex Finance Centre Working Papers.
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2018Editorial, January 2018 In: Journal of Time Series Analysis.
[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.
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2018Special Issue of the Journal of Time Series Analysis In Honour of Professor Paul Newbold: Guest Editors Introduction In: Journal of Time Series Analysis.
[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.
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2019Temporal Aggregation of Seasonally Near?Integrated Processes In: Journal of Time Series Analysis.
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2018Temporal Aggregation of Seasonally Near-Integrated Processes.(2018) In: DEA Working Papers.
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2020Deterministic Parameter Change Models in Continuous and Discrete Time In: Journal of Time Series Analysis.
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2020Editorial Announcement: Journal of Time Series Analysis Distinguished Authors In: Journal of Time Series Analysis.
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2021Editorial announcement: Journal of Time Series Analysis Distinguished Authors 2020 In: Journal of Time Series Analysis.
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2021Editorial Announcement In: Journal of Time Series Analysis.
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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.
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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.
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2023Editorial announcement 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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2000The Finite Sample Effects of Deterministic Variables on Conventional Methods of Lag?selection in Unit Root Tests In: Oxford Bulletin of Economics and Statistics.
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2000On the Power of GLS?Type Unit Root Tests In: Oxford Bulletin of Economics and Statistics.
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2002Can Tests for Stochastic Unit Roots Provide Useful Portmanteau Tests for Persistence? In: Oxford Bulletin of Economics and Statistics.
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2005Fluctuation Tests for a Change in Persistence In: Oxford Bulletin of Economics and Statistics.
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2006Regression?based Tests for a Change in Persistence* In: Oxford Bulletin of Economics and Statistics.
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2006Testing for a Change in Persistence in the Presence of a Volatility Shift* In: Oxford Bulletin of Economics and Statistics.
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2012The Flexible Fourier Form and Local Generalised Least Squares De-trended Unit Root Tests-super- In: Oxford Bulletin of Economics and Statistics.
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2014Unit Root Testing under a Local Break in Trend using Partial Information on the Break Date In: Oxford Bulletin of Economics and Statistics.
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2015A Comparison of Sequential and Information-based Methods for Determining the Co-integration Rank in Heteroskedastic VAR Models In: Oxford Bulletin of Economics and Statistics.
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2013A comparison of sequential and information-based methods for determining the co-integration rank in heteroskedastic VAR models.(2013) In: Quaderni di Dipartimento.
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2015On the Behaviour of Phillips–Perron Tests in the Presence of Persistent Cycles In: Oxford Bulletin of Economics and Statistics.
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2013On the Behaviour of Phillips-Perron Tests in the Presence of Persistent Cycles.(2013) In: CEFAGE-UE Working Papers.
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2015Bootstrap Co-integration Rank Testing: The Effect of Bias-Correcting Parameter Estimates In: Oxford Bulletin of Economics and Statistics.
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2013Bootstrap Co-integration Rank Testing: The Effect of Bias-Correcting Parameter Estimates.(2013) In: Working Papers.
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2015Robust and Powerful Tests for Nonlinear Deterministic Components In: Oxford Bulletin of Economics and Statistics.
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2011Wild bootstrap of the mean in the infinite variance case In: Quaderni di Dipartimento.
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2011Bootstrap determination of the co-integration rank in VAR models In: Quaderni di Dipartimento.
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2015Sieve-based inference for infinite-variance linear processes In: Quaderni di Dipartimento.
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2016Unit root inference for non-stationary linear processes driven by infinite variance innovations In: Quaderni di Dipartimento.
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2018UNIT ROOT INFERENCE FOR NON-STATIONARY LINEAR PROCESSES DRIVEN BY INFINITE VARIANCE INNOVATIONS.(2018) In: Econometric Theory.
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2007Detecting Multiple Changes in Persistence In: Studies in Nonlinear Dynamics & Econometrics.
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1995Additional Critical Values and Asymptotic Representations for Seasonal Unit Roots Tests. In: Cambridge Working Papers in Economics.
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1998Additional critical values and asymptotic representations for seasonal unit root tests.(1998) In: Journal of Econometrics.
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1995Additional Critical Values and Asymptotic Representations for Seasonal Unit Root Tests.(1995) In: Discussion Papers.
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2003On Tests for Double Differencing: Some Extensions and the Role of Initial Values In: Economic Working Papers at Centro de Estudios Andaluces.
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2003ON THE ASYMPTOTIC PROPERTIES OF SOME SEASONAL UNIT ROOT TESTS In: Econometric Theory.
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2004ON TESTS FOR DOUBLE DIFFERENCING: METHODS OF DEMEANING AND DETRENDING AND THE ROLE OF INITIAL VALUES In: Econometric Theory.
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2004ASYMPTOTIC DISTRIBUTIONS FOR REGRESSION-BASED SEASONAL UNIT ROOT TEST STATISTICS IN A NEAR-INTEGRATED MODEL In: Econometric Theory.
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2005STATIONARITY TESTS FOR IRREGULARLY SPACED OBSERVATIONS AND THE EFFECTS OF SAMPLING FREQUENCY ON POWER In: Econometric Theory.
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2004Stationarity Tests for Irregularly Spaced Observations and the Effects of Sampling Frequency on Power.(2004) In: Econometric Society 2004 Far Eastern Meetings.
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2005STATIONARITY TESTS UNDER TIME-VARYING SECOND MOMENTS In: Econometric Theory.
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2008BOOTSTRAP UNIT ROOT TESTS FOR TIME SERIES WITH NONSTATIONARY VOLATILITY In: Econometric Theory.
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2009REGRESSION-BASED SEASONAL UNIT ROOT TESTS In: Econometric Theory.
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2007Regression-based seasonal unit root tests.(2007) In: Discussion Papers.
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2009UNIT ROOT TESTING IN PRACTICE: DEALING WITH UNCERTAINTY OVER THE TREND AND INITIAL CONDITION In: Econometric Theory.
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2007Unit root testing in practice: dealing with uncertainty over the trend and initial condition.(2007) In: Discussion Papers.
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2009REJOINDER In: Econometric Theory.
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2009SIMPLE, ROBUST, AND POWERFUL TESTS OF THE BREAKING TREND HYPOTHESIS In: Econometric Theory.
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2006Simple, Robust and Powerful Tests of the Breaking Trend Hypothesis*.(2006) In: Discussion Papers.
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2009HETEROSKEDASTIC TIME SERIES WITH A UNIT ROOT In: Econometric Theory.
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2009SPECIAL ISSUE OF ECONOMETRIC THEORY IN HONOR OF PAUL NEWBOLD: GUEST EDITORS’ INTRODUCTION In: Econometric Theory.
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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: Economics Discussion Paper Series.
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2013ON THE BEHAVIOR OF FIXED-b TREND BREAK TESTS UNDER FRACTIONAL INTEGRATION In: Econometric Theory.
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2011On the behaviour of fixed-b trend break tests under fractional integration.(2011) In: Discussion Papers.
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2013THE IMPACT OF PERSISTENT CYCLES ON ZERO FREQUENCY UNIT ROOT TESTS In: Econometric Theory.
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2011The Impact of Persistent Cycles on Zero Frequency Unit Root Tests.(2011) In: Working Papers.
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2018SPECIAL ISSUE OF ECONOMETRIC THEORY IN HONOR OF PROFESSOR RICHARD J. SMITH: GUEST EDITORS’ INTRODUCTION In: Econometric Theory.
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2018DETERMINING THE COINTEGRATION RANK IN HETEROSKEDASTIC VAR MODELS OF UNKNOWN ORDER In: Econometric Theory.
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2016Determining the Cointegration Rank in Heteroskedastic VAR Models of Unknown Order.(2016) In: Essex Finance Centre Working Papers.
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2018SEMI-PARAMETRIC SEASONAL UNIT ROOT TESTS In: Econometric Theory.
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2015Semi-Parametric Seasonal Unit Root Tests.(2015) In: Essex Finance Centre Working Papers.
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2015Semi-Parametric Seasonal Unit Root Tests.(2015) In: DEA Working Papers.
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2019TESTING THE ORDER OF FRACTIONAL INTEGRATION OF A TIME SERIES IN THE POSSIBLE PRESENCE OF A TREND BREAK AT AN UNKNOWN POINT In: Econometric Theory.
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2012Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility In: Cowles Foundation Discussion Papers.
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2015Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility.(2015) In: Econometric Reviews.
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2011Lag length selection for unit root tests in the presence of nonstationary volatility.(2011) In: Research Memorandum.
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2004Some New Tests for a Change in Persistence In: Economics Bulletin.
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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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1997Determining the Order of Differencing in Seasonal Time Series Processes.(1997) In: Discussion Papers.
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2002An optimal test against a random walk component in a non-orthogonal unobserved components model In: Econometrics Journal.
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2014On infimum Dickey–Fuller unit root tests allowing for a trend break under the null In: Computational Statistics & Data Analysis.
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2004On tests for changes in persistence In: Economics Letters.
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