| Publication | Date of Publication | Type |
|---|
| Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models | 2023-12-07 | Paper |
| Improved tests for stock return predictability | 2023-12-07 | Paper |
| Extensions to IVX methods of inference for return predictability | 2023-11-17 | Paper |
| Transformed regression-based long-horizon predictability tests | 2023-11-17 | Paper |
| Robust tests for deterministic seasonality and seasonal mean shifts | 2022-06-24 | Paper |
| Tests for an end-of-sample bubble in financial time series | 2022-06-08 | Paper |
| The Performance of Lag Selection and Detrending Methods for HEGY Seasonal Unit Root Tests | 2022-06-07 | Paper |
| Bootstrap Determination of the Co-Integration Rank in Heteroskedastic VAR Models | 2022-05-31 | Paper |
| Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility | 2022-05-31 | Paper |
| Wild Bootstrap of the Sample Mean in the Infinite Variance Case | 2022-05-31 | Paper |
| Bootstrap Cointegration Rank Testing: The Role of Deterministic Variables and Initial Values in the Bootstrap Recursion | 2022-05-31 | Paper |
| Testing for episodic predictability in stock returns | 2022-03-16 | Paper |
| Wild bootstrap seasonal unit root tests for time series with periodic nonstationary volatility | 2022-03-04 | Paper |
| Simple tests for stock return predictability with good size and power properties | 2021-07-30 | Paper |
| Corrigendum to “A Generalised Fractional Differencing Bootstrap for Long Memory Processes” Journal of Time Series Analysis 40: 467‐492 (2019) <scp>DOI</scp>: 10.1111/jtsa.12460 | 2021-07-16 | Paper |
| Deterministic Parameter Change Models in Continuous and Discrete Time | 2020-05-27 | Paper |
| Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form | 2020-02-11 | Paper |
| TESTING THE ORDER OF FRACTIONAL INTEGRATION OF A TIME SERIES IN THE POSSIBLE PRESENCE OF A TREND BREAK AT AN UNKNOWN POINT | 2019-12-11 | Paper |
| Temporal Aggregation of Seasonally Near‐Integrated Processes | 2019-12-06 | Paper |
| A Generalised Fractional Differencing Bootstrap for Long Memory Processes | 2019-07-30 | Paper |
| ON THE ASYMPTOTIC PROPERTIES OF SOME SEASONAL UNIT ROOT TESTS | 2018-12-14 | Paper |
| On infimum Dickey-Fuller unit root tests allowing for a trend break under the null | 2018-11-23 | Paper |
| Real‐Time Monitoring for Explosive Financial Bubbles | 2018-11-16 | Paper |
| UNIT ROOT INFERENCE FOR NON-STATIONARY LINEAR PROCESSES DRIVEN BY INFINITE VARIANCE INNOVATIONS | 2018-04-25 | Paper |
| DETERMINING THE COINTEGRATION RANK IN HETEROSKEDASTIC VAR MODELS OF UNKNOWN ORDER | 2018-04-25 | Paper |
| SEMI-PARAMETRIC SEASONAL UNIT ROOT TESTS | 2018-04-25 | Paper |
| Testing for parameter instability in predictive regression models | 2018-04-18 | Paper |
| Testing for a change in mean under fractional integration | 2018-02-07 | Paper |
| Unit Root Tests and Heavy‐Tailed Innovations | 2017-09-18 | Paper |
| Corrigendum to ``Modified tests for a change in persistence | 2017-05-12 | Paper |
| Testing for unit roots in the presence of uncertainty over both the trend and initial condition | 2017-05-12 | Paper |
| Sieve-based inference for infinite-variance linear processes | 2016-09-07 | Paper |
| Unit root testing under a local break in trend | 2016-08-15 | Paper |
| Robust methods for detecting multiple level breaks in autocorrelated time series | 2016-08-04 | Paper |
| Testing for co-integration in vector autoregressions with non-stationary volatility | 2016-08-04 | Paper |
| Testing for a change in persistence in the presence of non-stationary volatility | 2016-06-22 | Paper |
| Erratum to: ``A simple, robust and powerful test of the trend hypothesis | 2016-06-06 | Paper |
| Efficient tests of the seasonal unit root hypothesis | 2016-05-27 | Paper |
| A simple, robust and powerful test of the trend hypothesis | 2016-05-27 | Paper |
| Modified tests for a change in persistence | 2016-05-02 | Paper |
| Variance ratio tests of the seasonal unit root hypothesis | 2016-03-24 | Paper |
| Inference on co-integration parameters in heteroskedastic vector autoregressions | 2016-03-01 | Paper |
| Tests of stationarity against a change in persistence | 2015-12-29 | Paper |
| Bootstrapping the HEGY seasonal unit root tests | 2015-12-29 | Paper |
| Testing for Unit Roots Under Multiple Possible Trend Breaks and Non-Stationary Volatility Using Bootstrap Minimum Dickey-Fuller Statistics | 2015-10-12 | Paper |
| Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets | 2015-06-08 | Paper |
| Bootstrap Determination of the Co‐Integration Rank in VAR Models with Unrestricted Deterministic Components | 2015-05-20 | Paper |
| A FIXED-bTEST FOR A BREAK IN LEVEL AT AN UNKNOWN TIME UNDER FRACTIONAL INTEGRATION | 2014-12-10 | Paper |
| Testing for seasonal unit roots by frequency domain regression | 2014-08-06 | Paper |
| THE IMPACT OF PERSISTENT CYCLES ON ZERO FREQUENCY UNIT ROOT TESTS | 2014-06-23 | Paper |
| Testing for unit roots in the possible presence of multiple trend breaks using minimum Dickey-Fuller statistics | 2014-06-06 | Paper |
| HETEROSKEDASTIC TIME SERIES WITH A UNIT ROOT | 2014-04-23 | Paper |
| Testing for a break in trend when the order of integration is unknown | 2014-04-04 | Paper |
| Alternative estimators and unit root tests for seasonal autoregressive processes | 2014-03-07 | Paper |
| A bootstrap test for additive outliers in non-stationary time series | 2013-11-26 | Paper |
| Bootstrap Determination of the Co-Integration Rank in Vector Autoregressive Models | 2013-11-08 | Paper |
| ON THE BEHAVIOR OF FIXED-b TREND BREAK TESTS UNDER FRACTIONAL INTEGRATION | 2013-09-11 | Paper |
| Persistence change tests and shifting stable autoregressions | 2013-01-07 | Paper |
| On tests for changes in persistence | 2013-01-01 | Paper |
| ON AUGMENTED HEGY TESTS FOR SEASONAL UNIT ROOTS | 2012-10-31 | Paper |
| Testing for unit roots in time series models with non-stationary volatility | 2012-09-23 | Paper |
| BOOTSTRAP UNION TESTS FOR UNIT ROOTS IN THE PRESENCE OF NONSTATIONARY VOLATILITY | 2012-04-24 | Paper |
| The impact of the initial condition on robust tests for a linear trend | 2011-11-26 | Paper |
| TESTING FOR UNIT ROOTS IN THE PRESENCE OF A POSSIBLE BREAK IN TREND AND NONSTATIONARY VOLATILITY | 2011-11-22 | Paper |
| Testing for Unit Roots and the Impact of Quadratic Trends, with an Application to Relative Primary Commodity Prices | 2011-07-28 | Paper |
| COINTEGRATION RANK TESTING UNDER CONDITIONAL HETEROSKEDASTICITY | 2011-04-21 | Paper |
| A Note on Testing Covariance Stationarity | 2009-10-21 | Paper |
| UNIT ROOT TESTING IN PRACTICE: DEALING WITH UNCERTAINTY OVER THE TREND AND INITIAL CONDITION | 2009-09-30 | Paper |
| REJOINDER | 2009-09-30 | Paper |
| ECONOMETRIC THEORY MEMORIAL TO ALBERT REX BERGSTROM–INTRODUCTION | 2009-09-30 | Paper |
| SIMPLE, ROBUST, AND POWERFUL TESTS OF THE BREAKING TREND HYPOTHESIS | 2009-09-30 | Paper |
| BootstrapMUnit Root Tests | 2009-08-28 | Paper |
| BOOTSTRAP UNIT ROOT TESTS FOR TIME SERIES WITH NONSTATIONARY VOLATILITY | 2009-06-11 | Paper |
| REGRESSION-BASED SEASONAL UNIT ROOT TESTS | 2009-06-11 | Paper |
| Time-Transformed Unit Root Tests for Models with Non-Stationary Volatility | 2009-02-28 | Paper |
| Seasonal unit root tests and the role of initial conditions | 2008-12-15 | Paper |
| On Robust Trend Function Hypothesis Testing | 2008-04-04 | Paper |
| Detecting Multiple Changes in Persistence | 2008-04-04 | Paper |
| Testing the Null of Co-integration in the Presence of Variance Breaks | 2007-05-29 | Paper |
| Additive Outlier Detection Via Extreme-Value Theory | 2007-05-29 | Paper |
| Modified tests for a change in persistence | 2006-10-01 | Paper |
| On the use of Sub‐sample Unit Root Tests to Detect Changes in Persistence | 2006-05-24 | Paper |
| STATIONARITY TESTS UNDER TIME-VARYING SECOND MOMENTS | 2006-03-22 | Paper |
| STATIONARITY TESTS FOR IRREGULARLY SPACED OBSERVATIONS AND THE EFFECTS OF SAMPLING FREQUENCY ON POWER | 2006-03-22 | Paper |
| ASYMPTOTIC DISTRIBUTIONS FOR REGRESSION-BASED SEASONAL UNIT ROOT TEST STATISTICS IN A NEAR-INTEGRATED MODEL | 2006-01-17 | Paper |
| Tests of stationarity against a change in persistence | 2004-11-01 | Paper |
| ON TESTS FOR DOUBLE DIFFERENCING: METHODS OF DEMEANING AND DETRENDING AND THE ROLE OF INITIAL VALUES | 2004-09-07 | Paper |
| On tests for changes in persistence | 2004-07-01 | Paper |
| Seasonal Unit Root Tests Based on Forward and Reverse Estimation | 2004-03-16 | Paper |
| Locally Optimal Tests Against Unit Roots in Seasonal Time Series Processes | 2004-03-16 | Paper |
| Testing against stochastic trend and seasonality in the presence of unattended breaks and unit roots | 2003-10-14 | Paper |
| An optimal test against a random walk component in a non‐orthogonal unobserved components model | 2003-08-07 | Paper |
| Recursive and rolling regression-based tests of the seasonal unit root hypothesis | 2002-06-27 | Paper |
| On regression-based tests for seasonal unit roots in the presence of periodic heteroscedasticity | 2002-02-05 | Paper |
| Determining the order of differencing in seasonal time series processes | 2001-04-04 | Paper |
| Additional critical values and asymptotic representations for seasonal unit root tests | 1999-11-23 | Paper |
| Testing for Unit Roots in Monthly Time Series | 1998-08-09 | Paper |
