← All authors Robert Taylor University of Amsterdam (from arXiv:2202.02532, 2022) · ORCID · OpenAlex
151 papers in scope · 151 published · 1 on the econ.EM arXiv · 3,861 citations · h-index 34 (over the papers listed here)
Papers (1 of 151)
COVARIATE-AUGMENTED CUSUM BUBBLE MONITORING PROCEDURES
published 2026 · Econometric Theory
with Sam Astill, Yang Zu
Editorial Introduction to the 40th Anniversary Special Issue
published 2026 · Oxford Bulletin of Economics and Statistics
Editorial Announcement: Journal of Time Series Analysis Distinguished Authors 2025
published 2025 · Journal of Time Series Analysis
Nonparametric Detection of a Time‐Varying Mean
published 2025 · Journal of Time Series Analysis · 1 citations
Predictive quantile regressions with persistent and heteroskedastic predictors: A powerful 2SLS testing approach
published 2025 · Journal of Econometrics · 2 citations · first circulated 2024
Editorial Announcement: Journal of Time Series Analysis Distinguished Authors 2024
published 2025 · Journal of Time Series Analysis
Bonferroni‐Type Tests for Return Predictability With Possibly Trending Predictors
published 2024 · Journal of Applied Econometrics · 1 citations
with Sam Astill, David I. Harvey, Stephen J. Leybourne
A new heteroskedasticity‐robust test for explosive bubbles
published 2024 · Journal of Time Series Analysis
Editorial announcement: Journal of Time Series Analysis Distinguished Authors 2023
published 2023 · Journal of Time Series Analysis · 2 citations
In memory of Michael McAleer: special issue of Econometric Reviews
published 2023 · Econometric Reviews
Editorial Announcement
published 2023 · Journal of Time Series Analysis
Predictive modeling of financial data
published 2023 · Journal of Econometrics · 1 citations
Improved tests for stock return predictability
published 2023 · Econometric Reviews · 3 citations
with David I. Harvey, Stephen J. Leybourne
published 2023 · Econometric Reviews · 4 citations · first circulated 2022
Call for Papers: Special Issue on Recent Developments in Time Series Methods for Detecting Bubbles and Crashes
published 2023 · Journal of Time Series Analysis
Bonferroni Type Tests for Return Predictability and the Initial Condition
published 2023 · Journal of Business and Economic Statistics
with Sam Astill, David I. Harvey, Stephen J. Leybourne
Editorial announcement
published 2023 · Journal of Time Series Analysis
Using covariates to improve the efficacy of univariate bubble detection methods
published 2022 · Journal of Empirical Finance · 12 citations
with Sam Astill, Neil Kellard, Ioannis Korkos
Editorial Announcement: Journal of Time Series Analysis Distinguished Authors 2021
published 2021 · Journal of Time Series Analysis
Multivariate fractional integration tests allowing for conditional heteroskedasticity with an application to return volatility and trading volume
published 2021 · Journal of Applied Econometrics · 1 citations
Simple tests for stock return predictability with good size and power properties
published 2021 · Journal of Econometrics · 14 citations
with David I. Harvey, Stephen J. Leybourne
Semiparametric Tests for the Order of Integration in the Possible Presence of Level Breaks
published 2021 · Journal of Business and Economic Statistics · 3 citations
Real‐time detection of regimes of predictability in the US equity premium
published 2020 · Journal of Applied Econometrics · 15 citations
with David I. Harvey, Stephen J. Leybourne, Robert Sollis
Adaptive Inference in Heteroscedastic Fractional Time Series Models
published 2020 · Journal of Business and Economic Statistics · 12 citations
Editorial Announcement: Journal of Time Series Analysis Distinguished Authors
published 2020 · Journal of Time Series Analysis · 1 citations
Level shift estimation in the presence of non-stationary volatility with an application to the unit root testing problem
published 2020 · Journal of Econometrics · 8 citations · first circulated 2019
with David Harris, Hsein Kew
Testing for episodic predictability in stock returns
published 2020 · Journal of Econometrics · 43 citations · first circulated 2019
A Generalised Fractional Differencing Bootstrap for Long Memory Processes” Journal of Time Series Analysis 40: 467‐492 (2019) DOI : 10.1111/jtsa.12460
published 2019 · Journal of Time Series Analysis · 13 citations
Deterministic Parameter Change Models in Continuous and Discrete Time
published 2019 · Journal of Time Series Analysis · 5 citations
with Marcus J. Chambers
Temporal Aggregation of Seasonally Near‐Integrated Processes
published 2019 · Journal of Time Series Analysis · 9 citations · first circulated 2018
TESTING THE ORDER OF FRACTIONAL INTEGRATION OF A TIME SERIES IN THE POSSIBLE PRESENCE OF A TREND BREAK AT AN UNKNOWN POINT
published 2018 · Econometric Theory · 7 citations · first circulated 2017
Special Issue of the Journal of Time Series Analysis In Honour of Professor Paul Newbold: Guest Editors' Introduction
published 2018 · Journal of Time Series Analysis
with Stephen J. Leybourne
Editorial, September 2018
published 2018 · Journal of Time Series Analysis
Real‐Time Monitoring for Explosive Financial Bubbles
published 2018 · Journal of Time Series Analysis · 29 citations
with Sam Astill, David I. Harvey, Stephen J. Leybourne, Robert Sollis
Testing for parameter instability in predictive regression models
published 2018 · Journal of Econometrics · 32 citations
Robust tests for deterministic seasonality and seasonal mean shifts
published 2018 · Econometrics Journal
with Sam Astill
Editorial, January 2018
published 2017 · Journal of Time Series Analysis · 1 citations
A Bootstrap Stationarity Test for Predictive Regression Invalidity
published 2017 · Journal of Business and Economic Statistics · 18 citations
SPECIAL ISSUE OF ECONOMETRIC THEORY IN HONOR OF PROFESSOR RICHARD J. SMITH: GUEST EDITORS’ INTRODUCTION
published 2017 · Econometric Theory
SEMI-PARAMETRIC SEASONAL UNIT ROOT TESTS
published 2017 · Econometric Theory · 13 citations · first circulated 2015
Unit Root Tests and Heavy‐Tailed Innovations
published 2017 · Journal of Time Series Analysis · 6 citations
Tests for an end-of-sample bubble in financial time series
published 2017 · Econometric Reviews · 32 citations · first circulated 2016
with Sam Astill, David I. Harvey, Stephen J. Leybourne
Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form
published 2017 · Journal of Econometrics · 21 citations · first circulated 2016
DETERMINING THE COINTEGRATION RANK IN HETEROSKEDASTIC VAR MODELS OF UNKNOWN ORDER
published 2016 · Econometric Theory · 24 citations
Special issue of the Journal of Empirical Finance Guest Editors' introduction
published 2016 · Journal of Empirical Finance
with Neil Kellard
Testing for a Change in Mean under Fractional Integration
published 2016 · Journal of Time Series Econometrics · 4 citations
Sieve-based inference for infinite-variance linear processes
published 2016 · The Annals of Statistics · 14 citations · first circulated 2015
UNIT ROOT INFERENCE FOR NON-STATIONARY LINEAR PROCESSES DRIVEN BY INFINITE VARIANCE INNOVATIONS
published 2016 · Econometric Theory · 24 citations
Special issue on Time Series Econometrics
published 2016 · Computational Statistics & Data Analysis
Tests of the co-integration rank in VAR models in the presence of a possible break in trend at an unknown point
published 2016 · Journal of Econometrics · 14 citations
with David Harris, Stephen J. Leybourne
Inference on co-integration parameters in heteroskedastic vector autoregressions
published 2015 · Journal of Econometrics · 38 citations · first circulated 2013
Tests for explosive financial bubbles in the presence of non-stationary volatility
published 2015 · Journal of Empirical Finance · 173 citations
with David I. Harvey, Stephen J. Leybourne, Robert Sollis
Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets
published 2015 · Journal of Econometrics · 30 citations · first circulated 2013
On the Behaviour of Phillips–Perron Tests in the Presence of Persistent Cycles
published 2015 · Oxford Bulletin of Economics and Statistics · 17 citations · first circulated 2013
Bootstrap Co‐integration Rank Testing: The Effect of Bias‐Correcting Parameter Estimates
published 2015 · Oxford Bulletin of Economics and Statistics · 6 citations · first circulated 2013
A Comparison of Sequential and Information‐based Methods for Determining the Co‐integration Rank in Heteroskedastic VAR Models
published 2015 · Oxford Bulletin of Economics and Statistics · 14 citations · first circulated 2014
Robust and Powerful Tests for Nonlinear Deterministic Components
published 2014 · Oxford Bulletin of Economics and Statistics · 10 citations
with Sam Astill, David I. Harvey, Stephen J. Leybourne
The Performance of Lag Selection and Detrending Methods for HEGY Seasonal Unit Root Tests
published 2014 · Econometric Reviews · 18 citations · first circulated 2012
Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility
published 2014 · Econometric Reviews · 27 citations · first circulated 2012
CFEnetwork: The Annals of Computational and Financial Econometrics
published 2014 · Computational Statistics & Data Analysis
Robust tests for a linear trend with an application to equity indices
published 2014 · Journal of Empirical Finance
with Sam Astill, David I. Harvey, Stephen J. Leybourne
Testing for Unit Roots Under Multiple Possible Trend Breaks and Non‐Stationary Volatility Using Bootstrap Minimum Dickey–Fuller Statistics
published 2014 · Journal of Time Series Analysis · 5 citations
Bootstrap Determination of the Co‐Integration Rank in VAR Models with Unrestricted Deterministic Components
published 2013 · Econometric Reviews · 32 citations · first circulated 2010
A FIXED‐ b TEST FOR A BREAK IN LEVEL AT AN UNKNOWN TIME UNDER FRACTIONAL INTEGRATION
published 2013 · Journal of Time Series Analysis · 15 citations
Editorial Announcement
published 2013 · Journal of Time Series Analysis
Annals issue of Journal of Econometrics “Recent Advances in Time Series Econometrics” Guest Editors’ introduction
published 2013 · Journal of Econometrics
Testing for seasonal unit roots by frequency domain regression
published 2013 · Journal of Econometrics · 10 citations · first circulated 2010
with Marcus J. Chambers, Joanne S. Ercolani
THE IMPACT OF PERSISTENT CYCLES ON ZERO FREQUENCY UNIT ROOT TESTS
published 2013 · Econometric Theory · 6 citations · first circulated 2011
A bootstrap test for additive outliers in non‐stationary time series
published 2013 · Journal of Time Series Analysis · 6 citations
with Sam Astill, David I. Harvey
Testing for unit roots in the possible presence of multiple trend breaks using minimum Dickey–Fuller statistics
published 2013 · Journal of Econometrics · 67 citations
with David I. Harvey, Stephen J. Leybourne
Testing for a break in trend when the order of integration is unknown
published 2013 · Journal of Econometrics · 14 citations
A Review of Unit Root Tests in Time Series: Volumes 1 and 2
published 2013 · Econometrics Journal
Bootstrap Cointegration Rank Testing: The Role of Deterministic Variables and Initial Values in the Bootstrap Recursion
published 2013 · Econometric Reviews · 7 citations · first circulated 2010
Editorial
published 2013 · Journal of Time Series Analysis
On infimum Dickey–Fuller unit root tests allowing for a trend break under the null
published 2012 · Computational Statistics & Data Analysis · 13 citations
with David I. Harvey, Stephen J. Leybourne
Wild Bootstrap of the Sample Mean in the Infinite Variance Case
published 2012 · Econometric Reviews · 13 citations · first circulated 2011
ON THE BEHAVIOR OF FIXED-b TREND BREAK TESTS UNDER FRACTIONAL INTEGRATION
published 2012 · Econometric Theory · 6 citations · first circulated 2011
ON AUGMENTED HEGY TESTS FOR SEASONAL UNIT ROOTS
published 2012 · Econometric Theory · 20 citations · first circulated 2011
Modified tests for a change in persistence” [J. Econom. 134 (2006) 441–469
published 2012 · Journal of Econometrics · 1 citations
with David I. Harvey, Stephen J. Leybourne
Testing for unit roots in the presence of uncertainty over both the trend and initial condition
published 2012 · Journal of Econometrics · 47 citations · first circulated 2008
with David I. Harvey, Stephen J. Leybourne
Bootstrap Determination of the Co-Integration Rank in Vector Autoregressive Models
published 2012 · Econometrica · 116 citations
Unit Root Testing under a Local Break in Trend using Partial Information on the Break Date*
published 2011 · Journal of Econometrics · 22 citations
with David I. Harvey, Stephen J. Leybourne
The Flexible Fourier Form and Local Generalised Least Squares De‐trended Unit Root Tests *
published 2011 · Oxford Bulletin of Economics and Statistics · 110 citations
BOOTSTRAP UNION TESTS FOR UNIT ROOTS IN THE PRESENCE OF NONSTATIONARY VOLATILITY
published 2011 · Econometric Theory · 34 citations · first circulated 2010
Testing for Unit Roots and the Impact of Quadratic Trends, with an Application to Relative Primary Commodity Prices
published 2011 · Econometric Reviews · 20 citations · first circulated 2008
with David I. Harvey, Stephen J. Leybourne
SPECIAL ISSUE OF ECONOMETRIC THEORY ON BOOTSTRAP AND NUMERICAL METHODS IN TIME SERIES: GUEST EDITORS’ INTRODUCTION
published 2011 · Econometric Theory
The impact of the initial condition on robust tests for a linear trend
published 2010 · Journal of Time Series Analysis · 8 citations · first circulated 2009
with David I. Harvey, Stephen J. Leybourne
COINTEGRATION RANK TESTING UNDER CONDITIONAL HETEROSKEDASTICITY
published 2010 · Econometric Theory · 86 citations
Robust methods for detecting multiple level breaks in autocorrelated time series
published 2010 · Journal of Econometrics · 34 citations · first circulated 2009
with David I. Harvey, Stephen J. Leybourne
Determination of the Number of Common Stochastic Trends Under Conditional Heteroskedasticity/Determinación del número de tendencias estocásticas comunes bajo heteroscedasticidad condicional
published 2010 · Studies of Applied Economics
TESTING FOR UNIT ROOTS IN THE PRESENCE OF A POSSIBLE BREAK IN TREND AND NONSTATIONARY VOLATILITY
published 2009 · Econometric Theory · 81 citations · first circulated 2007
HETEROSKEDASTIC TIME SERIES WITH A UNIT ROOT
published 2009 · Econometric Theory · 82 citations
SPECIAL ISSUE OF ECONOMETRIC THEORY IN HONOR OF PAUL NEWBOLD: GUEST EDITORS’ INTRODUCTION
published 2009 · Econometric Theory
with Stephen J. Leybourne
ECONOMETRIC THEORY MEMORIAL TO ALBERT REX BERGSTROM–INTRODUCTION
published 2009 · Econometric Theory · 1 citations
A simple, robust and powerful test of the trend hypothesis” [Journal of Econometrics 141(2) (2007) 1302–1330
published 2009 · Econometric Theory · 108 citations · first circulated 2006
with David I. Harvey, Stephen J. Leybourne
Wild bootstrap seasonal unit root tests for time series with periodic nonstationary volatility
published 2009 · Econometric Reviews · 39 citations
REJOINDER
published 2009 · Econometric Theory · 1 citations
with David I. Harvey, Stephen J. Leybourne
A Note on Testing Covariance Stationarity
published 2009 · Econometric Reviews · 3 citations
UNIT ROOT TESTING IN PRACTICE: DEALING WITH UNCERTAINTY OVER THE TREND AND INITIAL CONDITION
published 2009 · Econometric Theory · 127 citations · first circulated 2007
with David I. Harvey, Stephen J. Leybourne
Co-integration Rank Testing under Conditional Heteroskedasticity
published 2009 · CREATES Research Papers · 26 citations
Seasonal unit root tests and the role of initial conditions
published 2008 · Econometrics Journal · 3 citations
with David I. Harvey, Stephen J. Leybourne
Testing for a change in persistence in the presence of non-stationary volatility
published 2008 · Journal of Econometrics · 43 citations · first circulated 2006
Testing for Co-Integration in Vector Autoregressions with Non-Stationary Volatility
published 2008 · Journal of Econometrics · 24 citations
Time‐Transformed Unit Root Tests for Models with Non‐Stationary Volatility
published 2007 · Journal of Time Series Analysis · 62 citations
BOOTSTRAP UNIT ROOT TESTS FOR TIME SERIES WITH NONSTATIONARY VOLATILITY
published 2007 · Econometric Theory · 149 citations
Detecting Multiple Changes in Persistence
published 2007 · Studies in Nonlinear Dynamics and Econometrics · 89 citations
with Stephen J. Leybourne, Tae-Hwan Kim
Efficient tests of the seasonal unit root hypothesis
published 2006 · Journal of Econometrics · 33 citations · first circulated 2004
Testing for a Change in Persistence in the Presence of a Volatility Shift*
published 2006 · Oxford Bulletin of Economics and Statistics · 9 citations
CUSUM of Squares‐Based Tests for a Change in Persistence
published 2006 · Journal of Time Series Analysis · 81 citations
with Stephen J. Leybourne, Tae-Hwan Kim
Regression‐based Tests for a Change in Persistence*
published 2006 · Oxford Bulletin of Economics and Statistics · 17 citations
with Stephen J. Leybourne, Tae-Hwan Kim
Testing for unit roots in time series models with non-stationary volatility
published 2006 · Journal of Econometrics · 175 citations
Additive Outlier Detection Via Extreme‐Value Theory
published 2006 · Journal of Time Series Analysis · 45 citations
with Peter Burridge
Persistence change tests and shifting stable autoregressions
published 2006 · Economics Letters · 17 citations
with Stephen J. Leybourne
Testing the Null of Co‐integration in the Presence of Variance Breaks
published 2006 · Journal of Time Series Analysis · 9 citations · first circulated 2005
On Robust Trend Function Hypothesis Testing
published 2006 · Studies in Nonlinear Dynamics and Econometrics · 4 citations · first circulated 2005
with David I. Harvey, Stephen J. Leybourne
STATIONARITY TESTS UNDER TIME-VARYING SECOND MOMENTS
published 2005 · Econometric Theory · 42 citations
Modified tests for a change in persistence
published 2005 · Journal of Econometrics · 93 citations · first circulated 2004
with David I. Harvey, Stephen J. Leybourne
STATIONARITY TESTS FOR IRREGULARLY SPACED OBSERVATIONS AND THE EFFECTS OF SAMPLING FREQUENCY ON POWER
published 2005 · Econometric Theory · 3 citations · first circulated 2004
with Fabio Busetti
Fluctuation Tests for a Change in Persistence*
published 2005 · Oxford Bulletin of Economics and Statistics
On the limiting behaviour of augmented seasonal unit root tests
published 2005 · Economics bulletin · 3 citations
no link
Some New Tests for a Change in Persistence
published 2004 · Economics bulletin · 6 citations
with Stephen J. Leybourne
no link
ASYMPTOTIC DISTRIBUTIONS FOR REGRESSION-BASED SEASONAL UNIT ROOT TEST STATISTICS IN A NEAR-INTEGRATED MODEL
published 2004 · Econometric Theory · 16 citations
On tests for changes in persistence
published 2004 · Economics Letters · 26 citations
with Stephen J. Leybourne
Variance ratio tests of the seasonal unit root hypothesis
published 2004 · Journal of Econometrics · 27 citations
ON TESTS FOR DOUBLE DIFFERENCING: METHODS OF DEMEANING AND DETRENDING AND THE ROLE OF INITIAL VALUES
published 2004 · Econometric Theory · 1 citations
Bootstrapping the HEGY seasonal unit root tests
published 2004 · Journal of Econometrics · 26 citations
with Peter Burridge
Tests of stationarity against a change in persistence
published 2004 · Journal of Econometrics · 253 citations
with Fabio Busetti
Variance Shifts, Structural Breaks, and Stationarity Tests
published 2003 · Journal of Business and Economic Statistics · 64 citations
with Fabio Busetti
Locally Optimal Tests Against Unit Roots in Seasonal Time Series Processes
published 2003 · Journal of Time Series Analysis · 14 citations · first circulated 1999
Alternative estimators and unit root tests for seasonal autoregressive processes
published 2003 · Journal of Econometrics · 21 citations
Nonparametric tests for unit roots and cointegration” [J. Econom. 108 (2002) 343–363
published 2003 · Journal of Econometrics · 21 citations
Seasonal Unit Root Tests Based on Forward and Reverse Estimation
published 2003 · Journal of Time Series Analysis · 1 citations
with Stephen J. Leybourne
Testing against stochastic trend and seasonality in the presence of unattended breaks and unit roots
published 2003 · Journal of Econometrics · 99 citations
with Fabio Busetti
ON THE ASYMPTOTIC PROPERTIES OF SOME SEASONAL UNIT ROOT TESTS
published 2003 · Econometric Theory · 12 citations
Robust Stationarity Tests in Seasonal Time Series Processes
published 2003 · Journal of Business and Economic Statistics · 27 citations
An optimal test against a random walk component in a non‐orthogonal unobserved components model
published 2002 · Econometrics Journal · 11 citations · first circulated 2000
with R. W. Bailey
Can Tests for Stochastic Unit Roots Provide Useful Portmanteau Tests for Persistence?*
published 2002 · Oxford Bulletin of Economics and Statistics · 2 citations
with Dick van Dijk
Regression-Based Unit Root Tests With Recursive Mean Adjustment for Seasonal and Nonseasonal Time Series
published 2002 · Journal of Business and Economic Statistics · 47 citations · first circulated 1999
Recursive and rolling regression-based tests of the seasonal unit root hypothesis
published 2001 · Journal of Econometrics · 36 citations
with Richard J. Smith
On regression-based tests for seasonal unit roots in the presence of periodic heteroscedasticity
published 2001 · Journal of Econometrics · 49 citations · first circulated 1999
with Peter Burridge
On the Properties of Regression-Based Tests for Seasonal Unit Roots in the Presence of Higher-Order Serial Correlation
published 2001 · Journal of Business and Economic Statistics · 39 citations
with Peter Burridge
Tests of the Seasonal Unit-Root Hypothesis Against Heteroscedastic Seasonal Integration
published 2001 · Journal of Business and Economic Statistics · 27 citations · first circulated 1999
with Richard J. Smith
On the Power of GLS‐Type Unit Root Tests
published 2000 · Oxford Bulletin of Economics and Statistics · 11 citations
with Peter Burridge
The Finite Sample Effects of Deterministic Variables on Conventional Methods of Lag‐selection in Unit Root Tests
published 2000 · Oxford Bulletin of Economics and Statistics · 12 citations · first circulated 1999
Likelihood Ratio Tests for Seasonal Unit Roots
published 1999 · Journal of Time Series Analysis · 54 citations
with Richard J. Smith
Detecting Seasonal Unit Roots: an Approach Based on the Sample Autocorrelation Function
published 1999 · Manchester School · 3 citations
with Stephen J. Leybourne
Additional critical values and asymptotic representations for seasonal unit root tests
published 1998 · Journal of Econometrics · 89 citations · first circulated 1995
with Richard J. Smith
Testing for Unit Roots in Monthly Time Series
published 1998 · Journal of Time Series Analysis · 55 citations
On the practical problems of computing seasonal unit root tests
published 1997 · International Journal of Forecasting · 24 citations
Introduction
published 1997 · The Economic Journal · 5 citations
with Huw David Dixon
Linear Combinations of Stationary Processes
published 1996 · Econometric Theory
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