Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions (with P Boswijk, G Cavaliere and A Rahbek), forthcoming, Journal of Econometrics
Bootstrap Score Tests for Fractional Integration in Heteroskedastic ARFIMA Models with an Application to Price Dynamics in Commodity Spot and Futures Markets (with G Cavaliere and M. Nielsen), 2015, Journal of Econometrics 187, 557-579.
Testing for Seasonal Unit Roots by Frequency Domain Regression (with M Chambers and J Ercolani), 2014, Journal of Econometrics 178, 243–258.
Robust Tests for a Linear Trend with an Application to Equity Indices (with S Astill, D Harvey and S Leybourne), 2014, Journal of Empirical Finance 29, 168–185.
Testing for Unit Roots in the Possible Presence of Multiple Trend Breaks Using Minimum Dickey-Fuller Statistics (with D.I. Harvey and S.J. Leybourne), 2013, Journal of Econometrics 177, 265-284.
Testing for a Break in Trend when the Order of Integration is Unknown (with F Iacone and S Leybourne), 2013, Journal of Econometrics 176, 30-45.
Bootstrap Determination of the Co-integration Rank in VAR Models (with G Cavaliere and A Rahbek), 2012, Econometrica, 80, 1721-1740.
Testing for Unit Roots in the Presence of Uncertainty over Both the Trend and Initial Condition (with D.I. Harvey and S.J. Leybourne), 2012, Journal of Econometrics 169, 188-195.
Unit Root Testing under a Local Break in Trend (with D Harvey and S Leybourne), 2012, Journal of Econometrics 167, 140-167.
Robust Methods for Detecting Multiple Level Breaks in Autocorrelated Time Series (with D. Harvey and S. Leybourne), 2010, Journal of Econometrics. 157 342-358.
Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility (with G. Cavaliere and A. Rahbek), 2010, Journal of Econometrics 158, 7-24.