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Wald-type tests for detecting breaks in the trend function of a dynamic time series
Vogelsang, Timothy J. - In: Econometric theory 13 (1997) 6, pp. 818-849
Persistent link: https://www.econbiz.de/10001236162
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Sources of nonmonotonic power when testing for a shift in mean of a dynamic time series
Vogelsang, Timothy J. - In: Journal of econometrics 88 (1999) 2, pp. 283-299
Persistent link: https://www.econbiz.de/10001252783
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Testing for a shift in mean without having to estimate serial-correlation parameters
Vogelsang, Timothy J. - In: Journal of business & economic statistics : JBES ; a … 16 (1998) 1, pp. 73-80
Persistent link: https://www.econbiz.de/10001231038
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Nonstationarity and level shifts with an application to purchasing power parity
Perron, Pierre; Vogelsang, Timothy J. - 1991 - Rev
Persistent link: https://www.econbiz.de/10000831369
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Testing for a shift in trend at an unknown date : a fixed-B analysis of heteroskedasticity autocorrelation robust OLS-based tests
Sayginsoy, Özgen; Vogelsang, Timothy J. - In: Econometric theory 27 (2011) 5, pp. 992-1025
Persistent link: https://www.econbiz.de/10009379760
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Special issue of "Economic theory" on bootstrap and numerical methods in time series : guest editors' introduction
Taylor, Robert; Vogelsang, Timothy J. - In: Econometric theory 27 (2011) 5, pp. 929-932
Persistent link: https://www.econbiz.de/10009379769
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Multivariate trend comparisons between autocorrelated climate series with general trend regression
McKitrick, Ross; Vogelsang, Timothy J. - 2011
Persistent link: https://www.econbiz.de/10009500892
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A fixed-b perspective on the Phillips-Perron unit root tests
Vogelsang, Timothy J.; Wagner, Martin - 2011
We extend fixed-b asymptotic theory to the nonparametric Phillips-Perron (PP) unit root tests. We show that the fixed-b limits depend on nuisance parameters in a complicated way. These non-pivotal limits provide an alternative theoretical explanation for the well known finite sample problems of...
Persistent link: https://www.econbiz.de/10009267787
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Nonparametric rank tests for non-stationary panels
Pedroni, Peter Louis; Vogelsang, Timothy J.; Wagner, Martin - In: Journal of econometrics 185 (2015) 2, pp. 378-391
Persistent link: https://www.econbiz.de/10011349024
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A fixed-b perspective on the Phillips-Perron unit root tests
Vogelsang, Timothy J.; Wagner, Martin - 2011
We extend fixed-b asymptotic theory to the nonparametric Phillips-Perron (PP) unit root tests. We show that the fixed-b limits depend on nuisance parameters in a complicated way. These non-pivotal limits provide an alternative theoretical explanation for the well known finite sample problems of...
Persistent link: https://www.econbiz.de/10009686209