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Testing for co-integration in vector autoregressions with non-stationary volatility
Cavaliere, Giuseppe; Rahbek, Anders; Taylor, Robert - In: Journal of econometrics 158 (2010) 1, pp. 7-24
Persistent link: https://www.econbiz.de/10008826880
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Efficient tests of the seasonal unit root hypothesis
Rodrigues, Paulo M. M.; Taylor, Robert - In: Journal of econometrics 141 (2007) 2, pp. 548-573
Persistent link: https://www.econbiz.de/10003571323
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Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets
Cavaliere, Giuseppe; Nielsen, Morten Ørregaard; … - In: Journal of econometrics 187 (2015) 2, pp. 557-579
Persistent link: https://www.econbiz.de/10011499761
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Tests of stationarity against a change in persistence
Busetti, Fabio; Taylor, Robert - In: Journal of econometrics 123 (2004) 1, pp. 33-66
Persistent link: https://www.econbiz.de/10002223712
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Testing against stochastic trend and seasonality in the presence of unattended breaks and unit roots
Busetti, Fabio; Taylor, Robert - In: Journal of econometrics 117 (2003) 1, pp. 21-53
Persistent link: https://www.econbiz.de/10001787600
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Recursive and rolling regression-based tests of the seasonal unit root hypothesis
Smith, Richard J.; Taylor, Robert - In: Journal of econometrics 105 (2001) 2, pp. 309-336
Persistent link: https://www.econbiz.de/10001633661
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Additional critical values and asymptotic representations for seasonal unit root tests
Smith, Richard J. - In: Journal of econometrics 85 (1998) 2, pp. 269-288
Persistent link: https://www.econbiz.de/10001240193
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On regression-based tests for seasonal unit roots in the presence of periodic heteroscedasticity
Burridge, Peter; Taylor, Robert - In: Journal of econometrics 104 (2001) 1, pp. 91-117
Persistent link: https://www.econbiz.de/10001589527
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Simple tests for stock return predictability with good size and power properties
Harvey, David I.; Leybourne, Stephen James; Taylor, Robert - In: Journal of econometrics 224 (2021) 1, pp. 198-214
Persistent link: https://www.econbiz.de/10013275372