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COINTEGRATION RANK TESTING UNDER CONDITIONAL HETEROSKEDASTICITY
Cavaliere, Giuseppe; Rahbek, Anders; Taylor, A.M. Robert - In: Econometric theory 26 (2010) 6, pp. 1719-1761
Persistent link: https://www.econbiz.de/10008719749
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TESTING FOR UNIT ROOTS IN THE PRESENCE OF A POSSIBLE BREAK IN TREND AND NONSTATIONARY VOLATILITY
Cavaliere, Giuseppe; Harvey, David I.; Leybourne, Stephen J. - In: Econometric theory 27 (2011) 5, pp. 957-992
Persistent link: https://www.econbiz.de/10009287897
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Testing for a change in persistence in the presence of non-stationary volatility
Cavaliere, Giuseppe; Taylor, A.M. Robert - In: Journal of econometrics 147 (2008) 1, pp. 84-99
Persistent link: https://www.econbiz.de/10008898203
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Determination of the number of common stochastic trends under conditional heteroskedasticity
Cavaliere, Giuseppe; Rahbek, Anders; Taylor, A. M. Robert - In: Estudios de economía aplicada : revista promovida por … 28 (2010) 3, pp. 519-551
Persistent link: https://www.econbiz.de/10010097157
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Bootstrap Determination of the Co‐Integration Rank in Vector Autoregressive Models
Cavaliere, Giuseppe; Rahbek, Anders; Taylor, A. M. Robert - In: Econometrica : journal of the Econometric Society, an … 80 (2012) 4, pp. 1721-1741
Persistent link: https://www.econbiz.de/10009997697
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Bootstrap M Unit Root Tests
Cavaliere, Giuseppe; Robert Taylor, A.M. - In: Econometric reviews 28 (2009) 5, pp. 393-421
Persistent link: https://www.econbiz.de/10008212744
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BOOTSTRAP UNION TESTS FOR UNIT ROOTS IN THE PRESENCE OF NONSTATIONARY VOLATILITY
Smeekes, Stephan; Taylor, A.M. Robert - In: Econometric theory 28 (2011) 2, pp. 422-457
Persistent link: https://www.econbiz.de/10009847394
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ON THE BEHAVIOR OF FIXED-b TREND BREAK TESTS UNDER FRACTIONAL INTEGRATION
Iacone, Fabrizio; Leybourne, Stephen J.; Taylor, A.M. Robert - In: Econometric theory 29 (2012) 2, pp. 393-418
Persistent link: https://www.econbiz.de/10010099085
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Corrigendum to “Modified tests for a change in persistence” [J. Econom. 134 (2006) 441–469]
Harvey, David I.; Leybourne, Stephen J.; Taylor, A.M. Robert - In: Journal of econometrics 168 (2012) 2, pp. 407-408
Persistent link: https://www.econbiz.de/10009969409
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Testing for unit roots in the presence of uncertainty over both the trend and initial condition
Harvey, David I.; Leybourne, Stephen J.; Taylor, A.M. Robert - In: Journal of econometrics 169 (2012) 2, pp. 188-196
Persistent link: https://www.econbiz.de/10009987057