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Robert Taylor

Global rank #402 99%

Institution: University of Essex

Primary Field: Econometrics (weighted toward more recent publications)

Homepage: https://robtaylor.droppages.site

First Publication: 1997

Most Recent: 2025

RePEc ID: pta27 ↗

Publication Scores

Scores use coauthorship adjustment: α/n credit per paper, where n = number of authors. α = 2.01: calibrated so average adjusted count equals average raw count (a zero-sum adjustment).

Period S (4x) A (2x) B (1x) C (½x) Total
Last 5 Years 0.00 4.86 1.51 0.00 11.23
Last 10 Years 0.00 8.38 5.03 0.00 21.78
All Time 0.00 28.82 40.55 0.00 99.20

Publication Statistics

Raw Publications 83
Coauthorship-Adjusted Count 71.69

Publications (83)

Year Article Journal Tier Authors
2025 Predictive quantile regressions with persistent and heteroskedastic predictors: A powerful 2SLS testing approach Journal of Econometrics A 3
2025 Bonferroni‐Type Tests for Return Predictability With Possibly Trending Predictors Journal of Applied Econometrics B 4
2024 Bonferroni Type Tests for Return Predictability and the Initial Condition Journal of Business & Economic Statistics A 4
2023 Extensions to IVX methods of inference for return predictability Journal of Econometrics A 4
2023 Transformed regression-based long-horizon predictability tests Journal of Econometrics A 3
2022 Adaptive Inference in Heteroscedastic Fractional Time Series Models Journal of Business & Economic Statistics A 3
2022 Testing for episodic predictability in stock returns Journal of Econometrics A 4
2022 Semiparametric Tests for the Order of Integration in the Possible Presence of Level Breaks Journal of Business & Economic Statistics A 3
2021 Simple tests for stock return predictability with good size and power properties Journal of Econometrics A 3
2021 Real‐time detection of regimes of predictability in the US equity premium Journal of Applied Econometrics B 4
2021 Multivariate fractional integration tests allowing for conditional heteroskedasticity with an application to return volatility and trading volume Journal of Applied Econometrics B 4
2020 Level shift estimation in the presence of non-stationary volatility with an application to the unit root testing problem Journal of Econometrics A 3
2019 A Bootstrap Stationarity Test for Predictive Regression Invalidity Journal of Business & Economic Statistics A 4
2019 TESTING THE ORDER OF FRACTIONAL INTEGRATION OF A TIME SERIES IN THE POSSIBLE PRESENCE OF A TREND BREAK AT AN UNKNOWN POINT Econometric Theory B 3
2018 UNIT ROOT INFERENCE FOR NON-STATIONARY LINEAR PROCESSES DRIVEN BY INFINITE VARIANCE INNOVATIONS Econometric Theory B 3
2018 DETERMINING THE COINTEGRATION RANK IN HETEROSKEDASTIC VAR MODELS OF UNKNOWN ORDER Econometric Theory B 4
2018 SEMI-PARAMETRIC SEASONAL UNIT ROOT TESTS Econometric Theory B 3
2018 Testing for parameter instability in predictive regression models Journal of Econometrics A 4
2018 SPECIAL ISSUE OF ECONOMETRIC THEORY IN HONOR OF PROFESSOR RICHARD J. SMITH: GUEST EDITORS’ INTRODUCTION Econometric Theory B 2
2017 Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form Journal of Econometrics A 3
2016 Inference on co-integration parameters in heteroskedastic vector autoregressions Journal of Econometrics A 4
2016 Tests of the co-integration rank in VAR models in the presence of a possible break in trend at an unknown point Journal of Econometrics A 3
2015 Robust and Powerful Tests for Nonlinear Deterministic Components Oxford Bulletin of Economics and Statistics B 4
2015 A Comparison of Sequential and Information-based Methods for Determining the Co-integration Rank in Heteroskedastic VAR Models Oxford Bulletin of Economics and Statistics B 4
2015 Bootstrap Co-integration Rank Testing: The Effect of Bias-Correcting Parameter Estimates Oxford Bulletin of Economics and Statistics B 3
2015 Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets Journal of Econometrics A 3
2015 On the Behaviour of Phillips–Perron Tests in the Presence of Persistent Cycles Oxford Bulletin of Economics and Statistics B 3
2014 Testing for seasonal unit roots by frequency domain regression Journal of Econometrics A 3
2014 Unit Root Testing under a Local Break in Trend using Partial Information on the Break Date Oxford Bulletin of Economics and Statistics B 3
2013 THE IMPACT OF PERSISTENT CYCLES ON ZERO FREQUENCY UNIT ROOT TESTS Econometric Theory B 3
2013 Testing for unit roots in the possible presence of multiple trend breaks using minimum Dickey–Fuller statistics Journal of Econometrics A 3
2013 ON THE BEHAVIOR OF FIXED-b TREND BREAK TESTS UNDER FRACTIONAL INTEGRATION Econometric Theory B 3
2013 Testing for a break in trend when the order of integration is unknown Journal of Econometrics A 3
2012 ON AUGMENTED HEGY TESTS FOR SEASONAL UNIT ROOTS Econometric Theory B 3
2012 Unit root testing under a local break in trend Journal of Econometrics A 3
2012 Testing for unit roots in the presence of uncertainty over both the trend and initial condition Journal of Econometrics A 3
2012 The Flexible Fourier Form and Local Generalised Least Squares De-trended Unit Root Tests-super- Oxford Bulletin of Economics and Statistics B 2
2012 BOOTSTRAP UNION TESTS FOR UNIT ROOTS IN THE PRESENCE OF NONSTATIONARY VOLATILITY Econometric Theory B 2
2011 TESTING FOR UNIT ROOTS IN THE PRESENCE OF A POSSIBLE BREAK IN TREND AND NONSTATIONARY VOLATILITY Econometric Theory B 4
2011 SPECIAL ISSUE OF ECONOMETRIC THEORY ON BOOTSTRAP AND NUMERICAL METHODS IN TIME SERIES: GUEST EDITORS’ INTRODUCTION Econometric Theory B 2
2010 COINTEGRATION RANK TESTING UNDER CONDITIONAL HETEROSKEDASTICITY Econometric Theory B 3
2010 Testing for co-integration in vector autoregressions with non-stationary volatility Journal of Econometrics A 3
2010 Robust methods for detecting multiple level breaks in autocorrelated time series Journal of Econometrics A 3
2009 HETEROSKEDASTIC TIME SERIES WITH A UNIT ROOT Econometric Theory B 2
2009 REGRESSION-BASED SEASONAL UNIT ROOT TESTS Econometric Theory B 3
2009 REJOINDER Econometric Theory B 3
2009 TESTING FOR A UNIT ROOT IN THE PRESENCE OF A POSSIBLE BREAK IN TREND Econometric Theory B 4
2009 SIMPLE, ROBUST, AND POWERFUL TESTS OF THE BREAKING TREND HYPOTHESIS Econometric Theory B 3
2009 UNIT ROOT TESTING IN PRACTICE: DEALING WITH UNCERTAINTY OVER THE TREND AND INITIAL CONDITION Econometric Theory B 3
2009 SPECIAL ISSUE OF ECONOMETRIC THEORY IN HONOR OF PAUL NEWBOLD: GUEST EDITORS’ INTRODUCTION Econometric Theory B 2
2008 BOOTSTRAP UNIT ROOT TESTS FOR TIME SERIES WITH NONSTATIONARY VOLATILITY Econometric Theory B 2
2008 Testing for a change in persistence in the presence of non-stationary volatility Journal of Econometrics A 2
2008 Erratum to "A simple, robust and powerful test of the trend hypothesis" [Journal of Econometrics 141(2) (2007) 1302-1330] Journal of Econometrics A 3
2007 Testing for unit roots in time series models with non-stationary volatility Journal of Econometrics A 2
2007 A simple, robust and powerful test of the trend hypothesis Journal of Econometrics A 3
2007 Efficient tests of the seasonal unit root hypothesis Journal of Econometrics A 2
2007 New Introduction to Multiple Time Series Analysis, Helmut Lutkepohl. Springer-Verlag (2005), ISBN 3-540-40172-5 (hardcover), 149.95 [euro], ISBN 3-540-26239-3 (softcover), 54.95 [euro], 764 pages. International Journal of Forecasting B 1
2006 Testing for a Change in Persistence in the Presence of a Volatility Shift* Oxford Bulletin of Economics and Statistics B 2
2006 Modified tests for a change in persistence Journal of Econometrics A 3
2006 Regression‐based Tests for a Change in Persistence* Oxford Bulletin of Economics and Statistics B 3
2006 Persistence change tests and shifting stable autoregressions Economics Letters C 2
2005 STATIONARITY TESTS FOR IRREGULARLY SPACED OBSERVATIONS AND THE EFFECTS OF SAMPLING FREQUENCY ON POWER Econometric Theory B 2
2005 STATIONARITY TESTS UNDER TIME-VARYING SECOND MOMENTS Econometric Theory B 2
2005 Fluctuation Tests for a Change in Persistence Oxford Bulletin of Economics and Statistics B 1
2005 Variance ratio tests of the seasonal unit root hypothesis Journal of Econometrics A 1
2004 Bootstrapping the HEGY seasonal unit root tests Journal of Econometrics A 2
2004 Tests of stationarity against a change in persistence Journal of Econometrics A 2
2004 On tests for changes in persistence Economics Letters C 2
2004 ON TESTS FOR DOUBLE DIFFERENCING: METHODS OF DEMEANING AND DETRENDING AND THE ROLE OF INITIAL VALUES Econometric Theory B 2
2004 ASYMPTOTIC DISTRIBUTIONS FOR REGRESSION-BASED SEASONAL UNIT ROOT TEST STATISTICS IN A NEAR-INTEGRATED MODEL Econometric Theory B 2
2004 Alternative estimators and unit root tests for seasonal autoregressive processes Journal of Econometrics A 2
2003 Corrigendum to "Nonparametric tests for unit roots and cointegration" [J. Econom. 108 (2002) 343-363] Journal of Econometrics A 2
2003 Testing against stochastic trend and seasonality in the presence of unattended breaks and unit roots Journal of Econometrics A 2
2003 ON THE ASYMPTOTIC PROPERTIES OF SOME SEASONAL UNIT ROOT TESTS Econometric Theory B 1
2002 Can Tests for Stochastic Unit Roots Provide Useful Portmanteau Tests for Persistence? Oxford Bulletin of Economics and Statistics B 2
2002 repec:bla:obuest:v:64:y:2002:i:4:p:381-97 Oxford Bulletin of Economics and Statistics B 2
2001 On regression-based tests for seasonal unit roots in the presence of periodic heteroscedasticity Journal of Econometrics A 2
2001 Recursive and rolling regression-based tests of the seasonal unit root hypothesis Journal of Econometrics A 2
2000 On the Power of GLS‐Type Unit Root Tests Oxford Bulletin of Economics and Statistics B 2
2000 The Finite Sample Effects of Deterministic Variables on Conventional Methods of Lag‐selection in Unit Root Tests Oxford Bulletin of Economics and Statistics B 1
2000 repec:bla:obuest:v:62:y:2000:i:5:p:633-45 Oxford Bulletin of Economics and Statistics B 1
1998 Additional critical values and asymptotic representations for seasonal unit root tests Journal of Econometrics A 2
1997 On the practical problems of computing seasonal unit root tests International Journal of Forecasting B 1