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Nonstationarity and level shifts with an application to purchasing power parity

Perron, Pierre - In: Journal of business & economic statistics : JBES ; a … 10 (1992) 3, pp. 301-320

Persistent link: https://www.econbiz.de/10001126535

A note on the asymptotic distributions of unit root tests in the additive outlier model with breaks

Perron, Pierre - In: Revista de econometria 13 (1993) 2, pp. 181-201

Persistent link: https://www.econbiz.de/10001163783

Testing for seasonal unit roots in the presence of changing seasonal means

Franses, Philip Hans; Vogelsang, Timothy J. - 1995

Persistent link: https://www.econbiz.de/10000924663

Additional tests for a unit root allowing for a break in the trend function at an unknown time

Vogelsang, Timothy J. - In: International economic review 39 (1998) 4, pp. 1073-1100

Persistent link: https://www.econbiz.de/10001338799

Forecasting autoregressive time series in the presence of deterministic components

Ng, Serena; Vogelsang, Timothy J. - In: The econometrics journal 5 (2002) 1, pp. 196-224

Persistent link: https://www.econbiz.de/10001683704

Inference in time series models using smoothed-clustered standard errors

Rho, Seunghwa; Vogelsang, Timothy J. - In: Journal of econometrics 224 (2021) 1, pp. 113-133

Persistent link: https://www.econbiz.de/10013275365

Annals issue : PI-Day Honoring Pierre Perron

Ng, Serena; Qu, Zhongjun; Vogelsang, Timothy J. - In: Journal of econometrics 224 (2021) 1, pp. 1-2

Persistent link: https://www.econbiz.de/10013275375

A fixed-b perspective on the Phillips-Perron unit root tests

Vogelsang, Timothy J.; Wagner, Martin - In: Econometric theory 29 (2013) 3, pp. 609-628

Persistent link: https://www.econbiz.de/10009778503

HAR inference : recommendations for practice : rejoinder

Lazarus, Eben; Lewis, Daniel J.; Stock, James H.; … - In: Journal of business & economic statistics : JBES ; a … 36 (2018) 4, pp. 574-575

Persistent link: https://www.econbiz.de/10012249385

Fixed-b inference for testing structural change in a time series regression

Cho, Cheol-keun; Vogelsang, Timothy J.; Montañés, Antonio - In: Econometrics : open access journal 5 (2017) 1, pp. 1-26

This paper addresses tests for structural change in a weakly dependent time series regression. The cases of full structural change and partial structural change are considered. Heteroskedasticity-autocorrelation (HAC) robust Wald tests based on nonparametric covariance matrix estimators are...

Persistent link: https://www.econbiz.de/10011653607