| Publication | Date of Publication | Type |
|---|
| A Bootstrap Stationarity Test for Predictive Regression Invalidity | 2024-11-08 | Paper |
| Bonferroni Type Tests for Return Predictability and the Initial Condition | 2024-10-28 | Paper |
| Semiparametric Tests for the Order of Integration in the Possible Presence of Level Breaks | 2024-10-17 | Paper |
| Adaptive Inference in Heteroscedastic Fractional Time Series Models | 2024-10-17 | Paper |
| Improved tests for stock return predictability | 2023-12-07 | Paper |
| Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models | 2023-12-07 | Paper |
| Transformed regression-based long-horizon predictability tests | 2023-11-17 | Paper |
| Extensions to IVX methods of inference for return predictability | 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 cointegration rank testing: the role of deterministic variables and initial values in the bootstrap recursion | 2022-05-31 | Paper |
| Wild bootstrap of the sample mean in the infinite variance case | 2022-05-31 | Paper |
| Lag length selection for unit root tests in the presence of nonstationary volatility | 2022-05-31 | Paper |
| Bootstrap determination of the co-integration rank in heteroskedastic VAR models | 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 |
| 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 |
| Unit root inference for non-stationary linear processes driven by infinite variance innovations | 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 |
| Testing for co-integration in vector autoregressions with non-stationary volatility | 2016-08-04 | Paper |
| Robust methods for detecting multiple level breaks in autocorrelated time series | 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 |
| Tests of the co-integration rank in VAR models in the presence of a possible break in trend at an unknown point | 2016-05-10 | 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-\(b\) test 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 |
| SIMPLE, ROBUST, AND POWERFUL TESTS OF THE BREAKING TREND HYPOTHESIS | 2009-09-30 | 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 |
| BootstrapMUnit Root Tests | 2009-08-28 | Paper |
| REGRESSION-BASED SEASONAL UNIT ROOT TESTS | 2009-06-11 | Paper |
| BOOTSTRAP UNIT ROOT TESTS FOR TIME SERIES WITH NONSTATIONARY VOLATILITY | 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 |
| Additive Outlier Detection Via Extreme-Value Theory | 2007-05-29 | Paper |
| Testing the Null of Co-integration in the Presence of Variance Breaks | 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 |
