| Publication | Date of Publication | Type |
|---|
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 |
First passage times in portfolio optimization: a novel nonparametric approach
European Journal of Operational Research | 2023-11-15 | Paper |
Tail index estimation in the presence of covariates: stock returns' tail risk dynamics
Journal of Econometrics | 2023-06-29 | Paper |
The persistence of wages
Journal of Econometrics | 2023-03-24 | Paper |
Structural changes in the duration of bull markets and business cycle dynamics
Asia-Pacific Financial Markets | 2022-08-23 | Paper |
Testing for episodic predictability in stock returns
Journal of Econometrics | 2022-03-16 | Paper |
Residual-augmented IVX predictive regression
Journal of Econometrics | 2022-03-16 | Paper |
The expected time to cross a threshold and its determinants: a simple and flexible framework
Journal of Economic Dynamics and Control | 2021-11-16 | Paper |
Finite sample performance of frequency- and time-domain tests for seasonal fractional integration
Journal of Statistical Computation and Simulation | 2020-03-06 | Paper |
Temporal aggregation of seasonally near-integrated processes
Journal of Time Series Analysis | 2019-12-06 | Paper |
Modeling and forecasting interval time series with threshold models
Advances in Data Analysis and Classification. ADAC | 2019-06-03 | Paper |
Testing for persistence change in fractionally integrated models: an application to world inflation rates
Computational Statistics and Data Analysis | 2018-11-23 | Paper |
SEMI-PARAMETRIC SEASONAL UNIT ROOT TESTS
Econometric Theory | 2018-04-25 | Paper |
Unit root tests and heavy-tailed innovations
Journal of Time Series Analysis | 2017-09-18 | Paper |
Efficient tests of the seasonal unit root hypothesis
Journal of Econometrics | 2016-05-27 | Paper |
THE IMPACT OF PERSISTENT CYCLES ON ZERO FREQUENCY UNIT ROOT TESTS
Econometric Theory | 2014-06-23 | Paper |
On LM-type tests for seasonal unit roots in the presence of a break in trend
Journal of Time Series Analysis | 2014-06-16 | Paper |
Alternative estimators and unit root tests for seasonal autoregressive processes
Journal of Econometrics | 2014-03-07 | Paper |
Recursive adjustment, unit root tests and structural breaks
Journal of Time Series Analysis | 2013-10-09 | Paper |
Testing for causality in variance under nonstationarity in variance
Economics Letters | 2013-01-28 | Paper |
Properties of recursive trend-adjusted unit root tests
Economics Letters | 2013-01-07 | Paper |
The performance of unit root tests under level-dependent heteroskedasticity
Economics Letters | 2013-01-03 | Paper |
TESTING FOR GENERAL FRACTIONAL INTEGRATION IN THE TIME DOMAIN
Econometric Theory | 2009-12-15 | Paper |
A note on testing for nonstationarity in autoregressive processes with level dependent conditional heteroskedasticity
Statistical Papers | 2008-09-22 | Paper |
A sequential approach to testing seasonal unit roots in high frequency data
Journal of Applied Statistics | 2007-09-11 | Paper |
Threshold Cointegration and the PPP Hypothesis
Journal of Applied Statistics | 2007-09-04 | Paper |
ASYMPTOTIC DISTRIBUTIONS FOR REGRESSION-BASED SEASONAL UNIT ROOT TEST STATISTICS IN A NEAR-INTEGRATED MODEL
Econometric Theory | 2006-01-17 | Paper |
Seasonal Unit Root Tests Under Structural Breaks*
Journal of Time Series Analysis | 2004-11-24 | Paper |
ON TESTS FOR DOUBLE DIFFERENCING: METHODS OF DEMEANING AND DETRENDING AND THE ROLE OF INITIAL VALUES
Econometric Theory | 2004-09-07 | Paper |
On LM type tests for seasonal unit roots in quarterly data
Econometrics Journal | 2003-05-05 | Paper |
Near seasonal integration
Econometric Theory | 2002-01-08 | Paper |
ASYMPTOTIC DISTRIBUTIONS OF SEASONAL UNIT ROOT TESTS: A UNIFYING APPROACH
Econometric Reviews | 2002-01-01 | Paper |
A note on the application of the DF test to seasonal data
Statistics & Probability Letters | 2001-10-04 | Paper |
Performance of seasonal unit root tests for monthly data
Journal of Applied Statistics | 2000-07-24 | Paper |
