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Research
 

Journal Articles

"Bootstrap Union Tests for Unit Roots in the Presence of Nonstationary Volatility" (2011), with A. M. Robert Taylor. Econometric Theory, forthcoming.
► Abstract     Full Text (Cambridge Journals)     Discussion Paper (additional simulation results)     Code

"Detrending Bootstrap Unit Root Tests" (2011). Econometric Reviews, forthcoming.
► Abstract    

"Cross-Sectional Dependence Robust Block Bootstrap Panel Unit Root Tests" (2011), with Franz C. Palm and Jean-Pierre Urbain. Journal of Econometrics, 163 (1), 85-104.
► Abstract     Full text (ScienceDirect)     Code

"A Sieve Bootstrap Test for Cointegration in a Conditional Error Correction Model" (2010), with Franz C. Palm and Jean-Pierre Urbain. Econometric Theory, 26 (3), 647-681.
► Abstract     Full text (Cambridge Journals)     Detailed proofs     Additional simulations     Code

"Bootstrap Unit Root Tests: Comparison and Extensions" (2008), with Franz C. Palm and Jean-Pierre Urbain. Journal of Time Series Analysis, 29 (2), 371-401.
► Abstract     Full text (Wiley)     Additional results

Other Publications

"Bootstrapping unit root tests" (2006). Medium Econometrische Toepassingen, 14 (4), 24-28.
► Abstract     PDF

Working Papers

"Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility" (2011), with Giuseppe Cavaliere, Peter C. B. Phillips and A. M. Robert Taylor. METEOR Research Memorandum RM/11/056. (submitted)
► Abstract     PDF

"On the Applicability of the Sieve Bootstrap in Time Series Panels" (2011), with Jean-Pierre Urbain. METEOR Research Memorandum RM/11/055. (submitted)
► Abstract     PDF

"Bootstrap Sequential Tests to Determine the Stationary Units in a Panel" (2011). METEOR Research Memorandum RM/11/003. (under revision)
► Abstract     PDF     Code

Work in Progress

"Unit Root Testing Using Modified Wild Bootstrap Methods" (2011), with Jean-Pierre Urbain.
► Abstract    

Code

GAUSS code (OxGauss version) for the bootstrap sequential quantile tests developed in the paper "Bootstrap Sequential Tests to Determine the Stationary Units in a Panel".

GAUSS code (OxGauss version) for the bootstrap union tests developed in the paper "Bootstrap Union Tests for Unit Roots in the Presence of Nonstationary Volatility", with A. M. Robert Taylor.

GAUSS code (OxGauss version) for the bootstrap panel unit root tests developed in the paper "Cross-Sectional Dependence Robust Block Bootstrap Panel Unit Root Tests", with Franz C. Palm and Jean-Pierre Urbain.

GAUSS code (OxGauss version) for the bootstrap ECM cointegration tests developed in the paper "A Sieve Bootstrap Test for Cointegration in a Conditional Error Correction Model", with Franz C. Palm and Jean-Pierre Urbain.