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Unit root tests with a break in innovation variance

Kim, Tae-Hwan; Leybourne, Stephen; Newbold, Paul - In: Journal of Econometrics 109 (2002) 2, pp. 365-387

Persistent link: https://www.econbiz.de/10005228670

Stochastic cointegration: estimation and inference

Harris, David; McCabe, Brendan; Leybourne, Stephen - In: Journal of Econometrics 111 (2002) 2, pp. 363-384

Persistent link: https://www.econbiz.de/10005192818

On regression-based tests for seasonal unit roots in the presence of periodic heteroscedasticity

Burridge, Peter; Taylor, A. M. Robert - In: Journal of Econometrics 104 (2001) 1, pp. 91-117

Persistent link: https://www.econbiz.de/10005228544

Testing against stochastic trend and seasonality in the presence of unattended breaks and unit roots

Busetti, Fabio; Taylor, A. M. Robert - In: Journal of Econometrics 117 (2003) 1, pp. 21-53

Persistent link: https://www.econbiz.de/10005228546

Alternative estimators and unit root tests for seasonal autoregressive processes

Rodrigues, Paulo M. M.; Taylor, A. M. Robert - In: Journal of Econometrics 120 (2004) 1, pp. 35-73

Persistent link: https://www.econbiz.de/10005228674

Tests of stationarity against a change in persistence

Busetti, Fabio; Taylor, A. M. Robert - In: Journal of Econometrics 123 (2004) 1, pp. 33-66

Persistent link: https://www.econbiz.de/10005285386

Additional critical values and asymptotic representations for seasonal unit root tests

Smith, Richard J.; Taylor, A. M. Robert - In: Journal of Econometrics 85 (1998) 2, pp. 269-288

Persistent link: https://www.econbiz.de/10005192331

Variance ratio tests of the seasonal unit root hypothesis

Taylor, A. M. Robert - In: Journal of Econometrics 124 (2005) 1, pp. 33-54

Persistent link: https://www.econbiz.de/10005192458

Corrigendum to "Nonparametric tests for unit roots and cointegration" [J. Econom. 108 (2002) 343-363]

Breitung, Jorg; Taylor, A. M. Robert - In: Journal of Econometrics 117 (2003) 2, pp. 401-404

Persistent link: https://www.econbiz.de/10005192522

Confidence sets for the date of a break in level and trend when the order of integration is unknown

Harvey, David I.; Leybourne, Stephen J. - In: Journal of Econometrics 184 (2015) 2, pp. 262-279

We propose methods for constructing confidence sets for the timing of a break in level and/or trend that have asymptotically correct coverage for both I(0) and I(1) processes. These are based on inverting a sequence of tests for the break location, evaluated across all possible break dates. We...

Persistent link: https://www.econbiz.de/10011117410