| Publication | Date of Publication | Type |
|---|
| Simultaneous bandwidths determination for DK-HAC estimators and long-run variance estimation in nonparametric settings | 2023-07-25 | Paper |
| Robust testing of time trend and mean with unknown integration order errors | 2022-12-13 | Paper |
| Structural change tests under heteroskedasticity: Joint estimation versus two‐steps methods | 2022-08-08 | Paper |
| Residuals‐based tests for cointegration with generalized least‐squares detrended data | 2022-08-02 | Paper |
| A stochastic volatility model with random level shifts and its applications to S&P 500 and NASDAQ return indices | 2022-07-26 | Paper |
| Estimating and testing multiple structural changes in linear models using band spectral regressions | 2022-07-26 | Paper |
| On the Usefulness or Lack Thereof of Optimality Criteria for Structural Change Tests | 2022-06-07 | Paper |
| GENERALIZED LAPLACE INFERENCE IN MULTIPLE CHANGE-POINTS MODELS | 2022-03-21 | Paper |
| A two‐step procedure for testing partial parameter stability in cointegrated regression models | 2022-03-17 | Paper |
| A comparison of alternative methods to construct confidence intervals for the estimate of a break date in linear regression models | 2022-03-09 | Paper |
| Continuous record Laplace-based inference about the break date in structural change models | 2021-07-30 | Paper |
| Testing jointly for structural changes in the error variance and coefficients of a linear regression model | 2021-06-03 | Paper |
| Bootstrap procedures for detecting multiple persistence shifts in heteroskedastic time series | 2020-11-20 | Paper |
| Inference related to common breaks in a multivariate system with joined segmented trends with applications to global and hemispheric temperatures | 2019-12-19 | Paper |
| Combining long memory and level shifts in modelling and forecasting the volatility of asset returns | 2018-11-14 | Paper |
| Testing for common breaks in a multiple equations system | 2018-04-18 | Paper |
| Continuous Record Laplace-based Inference about the Break Date in Structural Change Models | 2018-03-31 | Paper |
| Improved Tests for Forecast Comparisons in the Presence of Instabilities | 2016-08-30 | Paper |
| Estimating deterministic trends with an integrated or stationary noise component | 2016-07-18 | Paper |
| Unit root tests allowing for a break in the trend function at an unknown time under both the null and alternative hypotheses | 2016-07-04 | Paper |
| Assessing the relative power of structural break tests using a framework based on the approximate Bahadur slope | 2016-07-04 | Paper |
| Inference on a Structural Break in Trend with Fractionally Integrated Errors | 2016-06-27 | Paper |
| The limit distribution of the estimates in cointegrated regression models with multiple structural changes | 2016-06-13 | Paper |
| A non-local perspective on the power properties of the CUSUM and CUSUM of squares tests for structural change | 2016-06-03 | Paper |
| Estimating restricted structural change models | 2016-05-02 | Paper |
| Structural breaks with deterministic and stochastic trends | 2016-04-01 | Paper |
| Detection and attribution of climate change through econometric methods | 2015-02-06 | Paper |
| A NOTE ON ESTIMATING AND TESTING FOR MULTIPLE STRUCTURAL CHANGES IN MODELS WITH ENDOGENOUS REGRESSORS VIA 2SLS | 2014-09-05 | Paper |
| Modified local Whittle estimator for long memory processes in the presence of low frequency (and other) contaminations | 2014-08-06 | Paper |
| MEMORY PARAMETER ESTIMATION IN THE PRESENCE OF LEVEL SHIFTS AND DETERMINISTIC TRENDS | 2014-06-23 | Paper |
| A note on estimating a structural change in persistence | 2014-03-18 | Paper |
| Testing the random walk hypothesis: power versus frequency of observation | 2013-10-24 | Paper |
| WALD TESTS FOR DETECTING MULTIPLE STRUCTURAL CHANGES IN PERSISTENCE | 2013-09-11 | Paper |
| On the Irrelevance of Impossibility Theorems: The Case of the Long-run Variance | 2013-06-14 | Paper |
| Testing for Trend in the Presence of Autoregressive Error: A Comment | 2013-04-22 | Paper |
| A simple modification to improve the finite sample properties of Ng and Perron's unit root tests | 2013-01-09 | Paper |
| A MODIFIED INFORMATION CRITERION FOR COINTEGRATION TESTS BASED ON A VAR APPROXIMATION | 2012-05-14 | Paper |
| A sequential procedure to determine the number of breaks in trend with an integrated or stationary noise component | 2011-11-26 | Paper |
| Testing for Multiple Structural Changes in Cointegrated Regression Models | 2010-12-30 | Paper |
| Long-Memory and Level Shifts in the Volatility of Stock Market Return Indices | 2010-10-11 | Paper |
| GLS-BASED UNIT ROOT TESTS WITH MULTIPLE STRUCTURAL BREAKS UNDER BOTH THE NULL AND THE ALTERNATIVE HYPOTHESES | 2009-12-15 | Paper |
| THE LIMIT DISTRIBUTION OF THE CUSUM OF SQUARES TEST UNDER GENERAL MIXING CONDITIONS | 2009-06-11 | Paper |
| DATA DEPENDENT RULES FOR SELECTION OF THE NUMBER OF LEADS AND LAGS IN THE DYNAMIC OLS COINTEGRATING REGRESSION | 2009-06-11 | Paper |
| Estimating and Testing Structural Changes in Multivariate Regressions | 2008-01-28 | Paper |
| SEARCHING FOR ADDITIVE OUTLIERS IN NONSTATIONARY TIME SERIES* | 2007-05-29 | Paper |
| A comparison of alternative asymptotic frameworks to analyse a structural change in a linear time trend | 2007-02-13 | Paper |
| THE VARIANCE RATIO TEST: AN ANALYSIS OF SIZE AND POWER BASED ON A CONTINUOUS-TIME ASYMPTOTIC FRAMEWORK | 2005-10-18 | Paper |
| Asymptotic approximations in the near‐integrated model with a non‐zero initial condition | 2004-02-04 | Paper |
| Comment on “Statistical Adequacy and the Testing of Trend Versus Difference Stationarity” by Andreou and Spanos (Number 1) | 2003-07-24 | Paper |
| GLS detrending, efficient unit root tests and structural change. | 2003-06-09 | Paper |
| Critical values for multiple structural change tests | 2003-01-01 | Paper |
| A look at the quality of the approximation of the functional central limit theorem | 2002-07-24 | Paper |
| Estimating and Testing Linear Models with Multiple Structural Changes | 2002-05-28 | Paper |
| LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power | 2002-05-28 | Paper |
| Further evidence on breaking trend functions in macroeconomic variables | 2001-07-31 | Paper |
| Estimation and inference in nearly unbalanced nearly cointegrated systems | 1997-08-03 | Paper |
| THE EXACT ERROR IN ESTIMATING THE SPECTRAL DENSITY AT THE ORIGIN | 1996-11-18 | Paper |
| Useful Modifications to some Unit Root Tests with Dependent Errors and their Local Asymptotic Properties | 1996-11-07 | Paper |
| Approximations to some exact distributions in the rrasr orderautoregressive model with dependenterrors | 1996-06-06 | Paper |
| The adequacy of asymptotic approximations in the near-integrated autoregressive model with dependent errors | 1996-04-08 | Paper |
| The effect of linear filters on dynamic time series with structural change | 1996-02-12 | Paper |
| Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag | 1995-06-21 | Paper |
| Local asymptotic distribution related to the AR(1) model with dependent errors | 1995-02-16 | Paper |
| The effect of seasonal adjustment filters on tests for a unit root (with discussion) | 1993-02-04 | Paper |
| The limiting distribution of the least‐squares estimator in nearly integrated seasonal models | 1993-01-17 | Paper |
| A Continuous Time Approximation to the Unstable First-Order Autoregressive Process: The Case Without an Intercept | 1991-01-01 | Paper |
| The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis | 1989-01-01 | Paper |
| Trends and random walks in macroeconomic time series | 1988-01-01 | Paper |
| Testing for a unit root in time series regression | 1988-01-01 | Paper |
