| Publication | Date of Publication | Type |
|---|
A Bootstrap Stationarity Test for Predictive Regression Invalidity
Journal of Business and Economic Statistics | 2024-11-08 | Paper |
Bonferroni Type Tests for Return Predictability and the Initial Condition
Journal of Business and Economic Statistics | 2024-10-28 | Paper |
Semiparametric Tests for the Order of Integration in the Possible Presence of Level Breaks
Journal of Business and Economic Statistics | 2024-10-17 | Paper |
Adaptive Inference in Heteroscedastic Fractional Time Series Models
Journal of Business and Economic Statistics | 2024-10-17 | Paper |
Improved tests for stock return predictability
Econometric Reviews | 2023-12-07 | Paper |
Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models
Econometric Reviews | 2023-12-07 | Paper |
Transformed regression-based long-horizon predictability tests
Journal of Econometrics | 2023-11-17 | Paper |
Extensions to IVX methods of inference for return predictability
Journal of Econometrics | 2023-11-17 | Paper |
Robust tests for deterministic seasonality and seasonal mean shifts
Econometrics Journal | 2022-06-24 | Paper |
Tests for an end-of-sample bubble in financial time series
Econometric Reviews | 2022-06-08 | Paper |
The performance of lag selection and detrending methods for HEGY seasonal unit root tests
Econometric Reviews | 2022-06-07 | Paper |
Bootstrap cointegration rank testing: the role of deterministic variables and initial values in the bootstrap recursion
Econometric Reviews | 2022-05-31 | Paper |
Wild bootstrap of the sample mean in the infinite variance case
Econometric Reviews | 2022-05-31 | Paper |
Lag length selection for unit root tests in the presence of nonstationary volatility
Econometric Reviews | 2022-05-31 | Paper |
Bootstrap determination of the co-integration rank in heteroskedastic VAR models
Econometric Reviews | 2022-05-31 | Paper |
Testing for episodic predictability in stock returns
Journal of Econometrics | 2022-03-16 | Paper |
Wild bootstrap seasonal unit root tests for time series with periodic nonstationary volatility
Econometric Reviews | 2022-03-04 | Paper |
Simple tests for stock return predictability with good size and power properties
Journal of Econometrics | 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
Journal of Time Series Analysis | 2021-07-16 | Paper |
Deterministic parameter change models in continuous and discrete time
Journal of Time Series Analysis | 2020-05-27 | Paper |
Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form
Journal of Econometrics | 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
Econometric Theory | 2019-12-11 | Paper |
Temporal aggregation of seasonally near-integrated processes
Journal of Time Series Analysis | 2019-12-06 | Paper |
A generalised fractional differencing bootstrap for long memory processes
Journal of Time Series Analysis | 2019-07-30 | Paper |
On the asymptotic properties of some seasonal unit root tests
Econometric Theory | 2018-12-14 | Paper |
On infimum Dickey-Fuller unit root tests allowing for a trend break under the null
Computational Statistics and Data Analysis | 2018-11-23 | Paper |
Real-time monitoring for explosive financial bubbles
Journal of Time Series Analysis | 2018-11-16 | Paper |
Determining the cointegration rank in heteroskedastic VAR models of unknown order
Econometric Theory | 2018-04-25 | Paper |
SEMI-PARAMETRIC SEASONAL UNIT ROOT TESTS
Econometric Theory | 2018-04-25 | Paper |
Unit root inference for non-stationary linear processes driven by infinite variance innovations
Econometric Theory | 2018-04-25 | Paper |
Testing for parameter instability in predictive regression models
Journal of Econometrics | 2018-04-18 | Paper |
Testing for a change in mean under fractional integration
Journal of Time Series Econometrics | 2018-02-07 | Paper |
Unit root tests and heavy-tailed innovations
Journal of Time Series Analysis | 2017-09-18 | Paper |
Corrigendum to ``Modified tests for a change in persistence
Journal of Econometrics | 2017-05-12 | Paper |
Testing for unit roots in the presence of uncertainty over both the trend and initial condition
Journal of Econometrics | 2017-05-12 | Paper |
Testing for unit roots in the presence of uncertainty over both the trend and initial condition
Journal of Econometrics | 2017-05-12 | Paper |
Sieve-based inference for infinite-variance linear processes
The Annals of Statistics | 2016-09-07 | Paper |
Unit root testing under a local break in trend
Journal of Econometrics | 2016-08-15 | Paper |
Testing for co-integration in vector autoregressions with non-stationary volatility
Journal of Econometrics | 2016-08-04 | Paper |
Robust methods for detecting multiple level breaks in autocorrelated time series
Journal of Econometrics | 2016-08-04 | Paper |
Testing for a change in persistence in the presence of non-stationary volatility
Journal of Econometrics | 2016-06-22 | Paper |
Erratum to: ``A simple, robust and powerful test of the trend hypothesis
Journal of Econometrics | 2016-06-06 | Paper |
Efficient tests of the seasonal unit root hypothesis
Journal of Econometrics | 2016-05-27 | Paper |
A simple, robust and powerful test of the trend hypothesis
Journal of Econometrics | 2016-05-27 | Paper |
Tests of the co-integration rank in VAR models in the presence of a possible break in trend at an unknown point
Journal of Econometrics | 2016-05-10 | Paper |
Modified tests for a change in persistence
Journal of Econometrics | 2016-05-02 | Paper |
Variance ratio tests of the seasonal unit root hypothesis
Journal of Econometrics | 2016-03-24 | Paper |
Inference on co-integration parameters in heteroskedastic vector autoregressions
Journal of Econometrics | 2016-03-01 | Paper |
Tests of stationarity against a change in persistence
Journal of Econometrics | 2015-12-29 | Paper |
Bootstrapping the HEGY seasonal unit root tests
Journal of Econometrics | 2015-12-29 | Paper |
Testing for unit roots under multiple possible trend breaks and non-stationary volatility using bootstrap minimum Dickey-Fuller statistics
Journal of Time Series Analysis | 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
Journal of Econometrics | 2015-06-08 | Paper |
Bootstrap Determination of the Co‐Integration Rank in VAR Models with Unrestricted Deterministic Components
Journal of Time Series Analysis | 2015-05-20 | Paper |
A fixed-\(b\) test for a break in level at an unknown time under fractional integration
Journal of Time Series Analysis | 2014-12-10 | Paper |
Testing for seasonal unit roots by frequency domain regression
Journal of Econometrics | 2014-08-06 | Paper |
THE IMPACT OF PERSISTENT CYCLES ON ZERO FREQUENCY UNIT ROOT TESTS
Econometric Theory | 2014-06-23 | Paper |
Testing for unit roots in the possible presence of multiple trend breaks using minimum Dickey-Fuller statistics
Journal of Econometrics | 2014-06-06 | Paper |
Heteroskedastic time series with a unit root
Econometric Theory | 2014-04-23 | Paper |
Testing for a break in trend when the order of integration is unknown
Journal of Econometrics | 2014-04-04 | Paper |
Alternative estimators and unit root tests for seasonal autoregressive processes
Journal of Econometrics | 2014-03-07 | Paper |
A bootstrap test for additive outliers in non-stationary time series
Journal of Time Series Analysis | 2013-11-26 | Paper |
Bootstrap determination of the co-integration rank in vector autoregressive models
Econometrica | 2013-11-08 | Paper |
On the behavior of fixed-\(b\) trend break tests under fractional integration
Econometric Theory | 2013-09-11 | Paper |
Persistence change tests and shifting stable autoregressions
Economics Letters | 2013-01-07 | Paper |
On tests for changes in persistence
Economics Letters | 2013-01-01 | Paper |
On augmented HEGY tests for seasonal unit roots
Econometric Theory | 2012-10-31 | Paper |
Testing for unit roots in time series models with non-stationary volatility
Journal of Econometrics | 2012-09-23 | Paper |
Bootstrap union tests for unit roots in the presence of nonstationary volatility
Econometric Theory | 2012-04-24 | Paper |
The impact of the initial condition on robust tests for a linear trend
Journal of Time Series Analysis | 2011-11-26 | Paper |
TESTING FOR UNIT ROOTS IN THE PRESENCE OF A POSSIBLE BREAK IN TREND AND NONSTATIONARY VOLATILITY
Econometric Theory | 2011-11-22 | Paper |
Testing for unit roots and the impact of quadratic trends, with an application to relative primary commodity prices
Econometric Reviews | 2011-07-28 | Paper |
Cointegration rank testing under conditional heteroskedasticity
Econometric Theory | 2011-04-21 | Paper |
A Note on Testing Covariance Stationarity
Econometric Reviews | 2009-10-21 | Paper |
SIMPLE, ROBUST, AND POWERFUL TESTS OF THE BREAKING TREND HYPOTHESIS
Econometric Theory | 2009-09-30 | Paper |
UNIT ROOT TESTING IN PRACTICE: DEALING WITH UNCERTAINTY OVER THE TREND AND INITIAL CONDITION
Econometric Theory | 2009-09-30 | Paper |
REJOINDER
Econometric Theory | 2009-09-30 | Paper |
ECONOMETRIC THEORY MEMORIAL TO ALBERT REX BERGSTROM–INTRODUCTION
Econometric Theory | 2009-09-30 | Paper |
BootstrapMUnit Root Tests
Econometric Reviews | 2009-08-28 | Paper |
REGRESSION-BASED SEASONAL UNIT ROOT TESTS
Econometric Theory | 2009-06-11 | Paper |
BOOTSTRAP UNIT ROOT TESTS FOR TIME SERIES WITH NONSTATIONARY VOLATILITY
Econometric Theory | 2009-06-11 | Paper |
Time-Transformed Unit Root Tests for Models with Non-Stationary Volatility
Journal of Time Series Analysis | 2009-02-28 | Paper |
Seasonal unit root tests and the role of initial conditions
Econometrics Journal | 2008-12-15 | Paper |
On Robust Trend Function Hypothesis Testing
Studies in Nonlinear Dynamics & Econometrics | 2008-04-04 | Paper |
Detecting Multiple Changes in Persistence
Studies in Nonlinear Dynamics & Econometrics | 2008-04-04 | Paper |
Additive Outlier Detection Via Extreme-Value Theory
Journal of Time Series Analysis | 2007-05-29 | Paper |
Testing the Null of Co-integration in the Presence of Variance Breaks
Journal of Time Series Analysis | 2007-05-29 | Paper |
Modified tests for a change in persistence
Journal of Econometrics | 2006-10-01 | Paper |
On the use of Sub‐sample Unit Root Tests to Detect Changes in Persistence
Journal of Time Series Analysis | 2006-05-24 | Paper |
STATIONARITY TESTS UNDER TIME-VARYING SECOND MOMENTS
Econometric Theory | 2006-03-22 | Paper |
STATIONARITY TESTS FOR IRREGULARLY SPACED OBSERVATIONS AND THE EFFECTS OF SAMPLING FREQUENCY ON POWER
Econometric Theory | 2006-03-22 | Paper |
ASYMPTOTIC DISTRIBUTIONS FOR REGRESSION-BASED SEASONAL UNIT ROOT TEST STATISTICS IN A NEAR-INTEGRATED MODEL
Econometric Theory | 2006-01-17 | Paper |
Tests of stationarity against a change in persistence
Journal of Econometrics | 2004-11-01 | Paper |
ON TESTS FOR DOUBLE DIFFERENCING: METHODS OF DEMEANING AND DETRENDING AND THE ROLE OF INITIAL VALUES
Econometric Theory | 2004-09-07 | Paper |
On tests for changes in persistence
Economics Letters | 2004-07-01 | Paper |
Seasonal Unit Root Tests Based on Forward and Reverse Estimation
Journal of Time Series Analysis | 2004-03-16 | Paper |
Locally Optimal Tests Against Unit Roots in Seasonal Time Series Processes
Journal of Time Series Analysis | 2004-03-16 | Paper |
Testing against stochastic trend and seasonality in the presence of unattended breaks and unit roots
Journal of Econometrics | 2003-10-14 | Paper |
An optimal test against a random walk component in a non‐orthogonal unobserved components model
Econometrics Journal | 2003-08-07 | Paper |
Recursive and rolling regression-based tests of the seasonal unit root hypothesis
Journal of Econometrics | 2002-06-27 | Paper |
On regression-based tests for seasonal unit roots in the presence of periodic heteroscedasticity
Journal of Econometrics | 2002-02-05 | Paper |
Determining the order of differencing in seasonal time series processes
The Econometrics Journal | 2001-04-04 | Paper |
Additional critical values and asymptotic representations for seasonal unit root tests
Journal of Econometrics | 1999-11-23 | Paper |
Testing for Unit Roots in Monthly Time Series
Journal of Time Series Analysis | 1998-08-09 | Paper |
