ARTICLES PUBLISHED

1. "Testing the Random Walk Hypothesis: Power versus Frequency of Observation,'' Economics Letters 18 (1985), 381-386 (with Robert J. Shiller). Reprinted in Financial Econometrics, A. Lo (ed.), Edward Elgar Publishing Ltd.

2. "Does GNP Have a Unit Root? A Reevaluation,'' Economics Letters 23 (1987), 139-145 (with Peter C.B. Phillips).

3. "Trends and Random Walks in Macroeconomic Time Series: Further Evidence from a New Approach,'' Journal of Economic Dynamics and Control 12 (1988), 297-332.

4. "Testing for a Unit Root in Time Series Regression,'' Biometrika 75 (1988), 335-346 (with Peter C.B. Phillips). Reprinted in Time Series Econometrics (T.C. Mills, ed.), Critical Concepts in Economics, Routledge, 2015.

5. "The Calculation of the Limiting Distribution of the Least-Squares Estimator in a Near-Integrated Model,'' Econometric Theory 5 (1989), 241-255.

6. "Testing for a Random Walk: A Simulation Experiment of Power when the Sampling Interval is Varied,'' in Advances in Econometrics and Modeling, Baldev Raj (ed.), Kluwer Academic Publisher (1989), 47-68.

7. "The Great Crash, the Oil Price Shock and the Unit Root Hypothesis,'' Econometrica 57 (1989), 1361-1401. Reprinted in Long Term Trends and Business Cycles (T. C. Mills, ed.), The International Library of Critical Writings in Economics (Series Editor: Mark Blaug), Edward Elgar Publishing. Reprinted in Time Series Econometrics (T.C. Mills, ed.), Critical Concepts in Economics, Routledge, 2015.

8. "Tests of Joint Hypotheses in Time Series Regression with a Unit Root,'' in Advances in Econometrics: Co-integration, Spurious Regression and Unit Roots, Vol. 8, G.F. Rhodes and T.B. Fomby (eds.), JAI Press (1990), 135-159.

9. "Testing for a Unit Root in a Time Series Regression with a Changing Mean,'' Journal of Business and Economic Statistics 8 (1990), 153-162.

10. "A Continuous Time Approximation to the Unstable First-order Autoregressive Model: the Case Without an Intercept,'' Econometrica 59 (1991), 211-236.

11. "A Continuous Time Approximation to the Stationary First-order Autoregressive Model,'' Econometric Theory 7 (1991), 236-252.

12. "Test Consistency with Varying Sampling Frequency,'' Econometric Theory 7 (1991), 341-368.

13. "Pitfalls and Opportunities: What Macroeconomists Should Know About Unit Roots,'' NBER Macroeconomics Annual, Vol. 6 (1991), O.J. Blanchard and S. Fisher (eds.) (with John Y. Campbell).

14. "Nonstationarity and Level Shifts with an Application to Purchasing Power Parity,'' (with T.J. Vogelsang), Journal of Business and Economic Statistics 10 (1992), 301-320.

15. "The Limiting Distribution of the Least-Squares Estimator in Nearly Integrated Seasonal Models,'' Canadian Journal of Statistics 20 (1992), 121-134.

16. "Racines Unitaires en Macroeconomie: Le Cas Multidimensionnel,'' (with John Y. Campbell), Annales d'Economie et de Statistique 27 (1992), 1-50.

17. "Testing for a Unit Root in a Time Series with a Changing Mean: Corrections and Extensions,'' (with T.J. Vogelsang), Journal of Business and Economic Statistics 10 (1992), 467-470.

18. "The Effect of Seasonal Adjustment Filters on Tests for a Unit Root,'' (with Eric Ghysels) Journal of Econometrics 55 (1993), 57-98 .

19. "Racines Unitaires en Macroeconomie: Le Cas d'une Variable,'' Actualite Economique 68 (1992), 325-356; Reprinted in Macroeconomie: Developpements Recents, P. Malgrange and L. Salvas-Bronsard (eds.), Presses de l'Universite du Quebec (1993).

20. "Trend, Unit Root and Structural Change: A Multi-Country Study with Historical Data,'' Proceedings of the Business and Economic Statistics Section, American Statistical Association, 1992, 144-149.

21. "The Great Crash, the Oil Price Shock and the Unit Root Hypothesis: Erratum,'' Econometrica 61 (1993), 248-249 (prepared with T. J. Vogelsang).

22. "Comments on: A Nine Variable Probabilistic Macroeconomic Forecasting Model by Christopher Sims,'' in Business Cycles, Indicators and Forecasting, J.H. Stock and M.W. Watson (eds.), NBER Studies in Business Cycles, Vol. 28 (1993), The University of Chicago Press, 204-212.

23. "The Humped Shaped Behavior of Macroeconomic Fluctuations,'' Empirical Economics 18 (1993) (special issue), 707-727; also in New Developments in Time Series Econometrics, J.-M. Dufour and B. Raj (eds.), Physica-Verlag Heidelberg, 151-171.

24. "A Note on Johansen's Cointegration Procedure when Trends are Present,'' (with John Y. Campbell), Empirical Economics (special issue), 18 (1993), 777-789; also in New Developments in Time Series Econometrics, J.-M. Dufour and B. Raj (eds.), Physica-Verlag Heidelberg, 221-233.

25. "A Note on the Additive Outlier Model with Breaks,'' (with T.J. Vogelsang), Revista de Econometria 13 (1993), 181-201.

26. "Local Asymptotic Distribution Related to the AR(1) Model with Dependent Errors,'' (with Seiji Nabeya), Journal of Econometrics 62 (1994), 229-264.

27. "Nonstationarities and Nonlinearities in Canadian Inflation,'' in Economic Behavior and Policy Choice under Price Stability, Bank of Canada, 1994, 235-291 (Also available in french as ``Non-stationnarites et non-linearites dans le processus d'inflation au Canada,'' in Comportement des agents economiques et formulation des politiques en regime de stabilite des prix, Banque du Canada, 1994, 267-327).

28. "Trend, Unit Root and Structural Change in Macroeconomic Time Series,'' in Cointegration for the Applied Economist, B.B. Rao (ed.), 1994, Basingstoke: Macmillan Press, 113-146.

29. "Unit Root Tests in ARMA Models With Data Dependent Methods for Selection of the Truncation Lag,'' (with Serena Ng), Journal of the American Statistical Association 90 (1995), 268-281. Reprinted in Recent Developments in Time Series (P. Newbold and S.J. Leybourne, eds.), The International Library of Critical Writings in Econometrics (Series Editors: M. Blaug and A. Darnell), Edward Elgar Publishing.

30. "Approximations to Some Exact Distributions in the First Order Autoregressive Model with Dependent Errors,'' (with Seiji Nabeya), Econometric Reviews 14 (1995), 421-457.

31. "The Effect of Linear Filters on Dynamic Time Series with Structural Change,'' (with Eric Ghysels), Journal of Econometrics 70 (1996), 69-97.

32. "The Adequacy of Asymptotic Approximations in the Near-Integrated Autoregressive Model with Dependent Errors,'' Journal of Econometrics 70 (1996), 317-350.

33. "An Analysis of the Real Interest Rate under Regime Shifts,'' (with Rene Garcia), Review of Economics and Statistics 78 (1996), 111-125.

34. "Useful Modifications to Some Unit Root Tests with Dependent Errors and Their Local Asymptotic Properties,'' (with Serena Ng), Review of Economic Studies 63 (1996), 435-463.

35. "The Exact Error in Estimating the Spectral Density at the Origin,'' (with Serena Ng), Journal of Time Series Analysis 17 (1996), 379-408.

36. "Estimation and Inference in Nearly Unbalanced Nearly Cointegrated Systems,'' (with Serena Ng), Journal of Econometrics 79 (1997), 53-81.

37. "Further Evidence from Breaking Trend Functions in Macroeconomic Variables,'' Journal of Econometrics 80 (1997), 355-385.

38. "L'estimation de modeles avec changements structurels multiples'', Actualite Economique 73 (1997), 457-505 (special issue in honour of Lise Salvas Bronsard).

39. "Estimating and Testing Linear Models with Multiple Structural Changes,'' (with Jushan Bai), Econometrica 66 (1998), 47-78. To be reprinted in The Economics of Structural Change (H. Hagemann, M. Landesmann, and R. Scazzieri, eds.), The International Library of Critical Writings in Economics (Series Editor: Mark Blaug), Edward Elgar Publishing. Also reprinted in Recent Developments in Time Series (P. Newbold and S.J. Leybourne, eds.), The International Library of Critical Writings in Econometrics (Series Editors: M. Blaug and A. Darnell), Edward Elgar Publishing.

40. "An Autoregressive Spectral Density Estimator at Frequency Zero for Nonstationarity Tests,'' (with Serena Ng), Econometric Theory 14 (1998), 560-603.

41. "Additional Tests for a Unit Root Allowing the Possibility of Breaks in the Trend Function,'' (with T.J. Vogelsang), International Economic Review 39 (1998), 1073-1100. Reprinted in Recent Developments in Time Series (P. Newbold and S.J. Leybourne, eds.), The International Library of Critical Writings in Econometrics (Series Editors: M. Blaug and A. Darnell), Edward Elgar Publishing.

42. "Unit Roots in the Presence of Abrupt Governmental Interventions with an Application to Brazilian Data,'' (with Regina C. Cati and Marcio G.P. Garcia), Journal of Applied Econometrics 14 (1999), 27-56.

43. "A Look at the Quality of the Approximation of the Functional Central Limit Theorem,'' (with Sylvie Mallet) Economics Letters 68 (2000), 225-234.

44. "Asymptotic Approximations in the Near-integrated Model with a Non-zero Initial Condition," (with Cosme Vodounou), Econometrics Journal, 4 (2001), 143-169. Paper in pdf format available here, by permission of the Royal Economic Society.

45. "Lag Length Selection and the Construction of Unit Root Tests With Good Size and Power,'' (with Serena Ng), Econometrica, 69 (2001), 1519-1554. Reprinted in Time Series Econometrics (T.C. Mills, ed.), Critical Concepts in Economics, Routledge, 2015.

46. "PPP MAy Not Hold AfterAll: Futher Investigation," (with Serena Ng), Annals of Economics and Finance 3 (2002), 43-64.

47. "Computation and Analysis of Multiple Structural Change Models," (with Jushan Bai), Journal of Applied Econometrics 18 (2003), 1-22.

48. "Searching for Additive Outliers in Nonstationary Time Series,'' (with Gabriel Rodriguez), Journal of Time Series Analysis 24 (2003), 193-220.

49. "GLS Detrending, Efficient Unit Root Tests and Structural Change," (with Gabriel Rodriguez), Journal of Econometrics 115 (2003), 1-27. Reprinted in Spanish as: "GLS para eliminiar los componentes determin¨ªsticos, estad¨ªsticos de ra¨ªz unitaria eficientes y cambio estructural," Econom¨ªa 35 (2012), 174-203.

50. "Critical Values for Multiple Structural Change Tests," (with Jushan Bai), Econometrics Journal 6 (2003), 72-78 (full set of tables are available here). Paper in pdf format available here, by permission of the Royal Economic Society.

51. "Statistical Adequacy and the Testing of Trend versus Difference Stationarity: Some Comments," Econometric Reviews 22 (2003), 239-245.

52. "Tests of Return Predictability: An Analysis of Their Poperties based on a Continuous Time Asymptotic Framework," (with Cosme Vodounou), Journal of Empirical Finance, 11 (2004), 203-230.

53. "A Note on the Seclection of Time Series Models" (with Serena Ng), Oxford Bulletin of Economics and Statistics 67 (2005), 115-134.

54. ¡°The Variance Ratio Test: An Analysis of Size and Power based on a Continuous Time Asymptotic Framework,¡± (with Cosme Vodounou), Econometric Theory 21 (2005), 562-592.

55. ¡°Structural Breaks with Deterministic and Stochastic Trends,¡± (with Xiaokang Zhu), Journal of Econometrics 129 (2005), 65-119.

56. "Multiple Structural Change Models: A Simulation Analysis," in Econometric Theory and Practice: Frontiers of Analysis and Applied Research, (with Jushan Bai), D. Corbea, S. Durlauf and B. E. Hansen (eds.), Cambridge University Press, 2006, 212-237 (working paper version).

57. "Dealing with Structural Breaks," in Palgrave Handbook of Econometrics, Vol. 1: Econometric Theory, K. Patterson and T.C. Mills (eds.), Palgrave Macmillan, 2006, 278-352 (working paper version).

58. "Estimating Restricted Structural Change Models," (with Zhongjun Qu), Journal of Econometrics 134 (2006), 373-399.

59. "A Comparison of Alternative Asymptotic Frameworks to Analyze a Structural Change in a Linear Time Trend," (with Ai Deng), Econometrics Journal 9 (2006), 423-447. Paper in pdf format available here, by permission of the Royal Economic Society.

60. "A Simple Modification to Improve the Finite Sample Properties of Ng and Perron's Unit Root Tests," (with Zhongjun Qu), Economics Letters 94 (2007), 12-19.

61. "Estimating and Testing Multiple Structural Changes in Multivariate Regressions" (with Zhongjun Qu), Econometrica 75, 459-502 (Supplemental material available here) .

62. "A Modified Information Criterion for Cointegration Tests based on a VAR Approximation" (with Zhongjun Qu), Econometric Theory 23 (2007), 638-685.

63. "A Non-local Perspective on the Power Properties of the CUSUM and CUSUM of Squares Tests for Structural Change" (with Ai Deng), Journal of Econometrics 142 (2008), 212-240.

64. "The Limit Distribution of the CUSUM of Squares Test Under General Mixing Conditions" (with Ai Deng), Econometric Theory 24 (2008), 809-822.

65. "Structural Change" in The New Palgrave Dictionary of Economics, 2nd ed, S. Durlauf and L. Blume (eds.), 2008, Palgrave Macmillan.

66. "Data Dependent Rules for the Selection of the Number of Leads and Lags in the Dynamic OLS Cointegrating Regression" (with Mohitosh Kejriwal), Econometric Theory 24 (2008), 1425-1441.

67. "The Limit Distribution of the Estimates in Cointegrated Regression Models with Multiple Structural Changes (with Mohitosh Kejriwal),  Journal of Econometrics 146 (2008), 59-73.

68. "Unit Roots Tests Allowing for a Break in the Trend Function at an Unknown Time Under both the Null and Alternative Hypotheses," Journal of Econometrics 148 (2009), 1-13. Reprinted in Time Series Econometrics (T.C. Mills, ed.), Critical Concepts in Economics, Routledge, 2015.

69 "Assessing the Relative Power of Structural Break Tests Using a Framework Based on the Approximate Bahadur Slope," (with Dukpa Kim), Journal of Econometrics 149 (2009), 26-51.

70. "Estimating Deterministic Trends with an Integrated or Stationary Noise Component" (with Tomoyoshi Yabu), Journal of Econometrics 151 (2009), 56-69.

71. "Testing for Shifts in Trend with an Integrated or Stationary Noise Component, (with Tomoyoshi Yabu), Journal of Business and Economic Statistics 27 (2009), 369-396.

72. "Let's Take a Break: Trends and Cycles in U.S. Real GDP" (with Tatsuma Wada), Journal of Monetary Economics 56 (2009), 749-765.

73. "GLS-based Unit Root Tests with Multiple Structural Breaks both Under the Null and the Alternative Hypotheses," (with Josep Llu¨ªs Carrion-i-Silvestre and Dukpa Kim), Econometric Theory 25 (2009), 1754-1792.

74. "Modeling and Forecasting Stock Return Volatility Using a Random Level Shift Model," (with Yang K. Lu), Journal of Empirical Finance 17 (2010), 138-156.

75. "Long-Memory and Level Shifts in the Volatility of Stock Market Return Indices," (with Zhongjun Qu), Journal of Business and Economic Statistics (2010) 28, 275-290.

76. "A Sequential Procedure to Determine the Number of Breaks in Trend with an Integrated or Stationary Noise Component," (with Mohitosh Kejriwal), Journal of Time Series Analysis 31 (2010), 305-328.

77. "Testing for Multiple Structural Changes in Cointegrated Regression Models," (with Mohitosh Kejriwal), Journal of Business and Economic Statistics 28 (2010), 503-522 (additional tables of critical values available here).

78. "On the Irrelevance of Impossibility Theorems: The Case of the Long-run Variance" (with Linxia Ren), Journal of Time Series Econometrics (2011), 3(1), Article 1.

79. "Testing for Trend in the Presence of Autoregressive Error: A Comment" (with Tomoyoshi Yabu), Journal of the American Statistical Association 107 (2012), 844 (with online supplement).

80. "A Note on Estimating a Structural Change in Persistence," (with Mohitosh Kejriwal), Economics Letters 117 (2012), 932-935.

81. "Comparisons of Robust Tests for Shifts in Trend with an Application to Trend Deviations of Real Exchange Rates in the Long Run," (with Sungju Chun), Applied Economics 45 (2013), 3512-3528.

82. "Sampling Interval and Estimated Betas: Implications for the Presence of Transitory Components in Stock Returns," (with Sungju Chun and Cosme Vodounou), Journal of Empirical Finance 20 (2013), 42-62.

83. "Wald Tests for Detecting Multiple Structural Changes in Persistence," (with Mohitosh Kejriwal and Jing Zhou), Econometric Theory 29 (2013), 289-323.

84. "A time-series analysis of the 20th century climate simulations produced for the IPCC's AR4," (with Francisco Estrada, Carlos Gay-Garc¨ªa and Benjam¨ªn Mart¨ªnez-L¨®pez), PLoS ONE 8(3) (2013), e60017.

85. "Memory Parameter Estimation in the Presence of Level Shifts and Deterministic Trends" (with Adam McCloskey), Econometric Theory 29 (2013), 1196-1237.

86. "A Stochastic Volatility Model with Random Level Shifts and its Application to S&P 500 and NASDAQ Return Indices," (with Zhongjun Qu), Econometrics Journal 16 (2013), 309-339.

87. "Estimating and Testing Multiple Structural Changes in Linear Models Using Band Spectral Regressions" (with Yohei Yamamoto), Econometrics Journal 16 (2013), 400-429.

88. "Statistically-derived Contributions of Diverse Human Influences to 20th Century Temperature Changes" (with Francisco Estrada and Benjamin Martinez-L¨®pez), Nature Geoscience 6 (2013), 1050-1055 (doi:10.1038/ngeo1999 with Supplementary Material, 41 pages).

89. "A Note on Estimating and Testing for Multiple Structural Changes in Models with Endogenous Regressors via 2SLS," (with Yohei Yamamoto), Econometric Theory 30 (2014), 491-507.

90. "Forecasting Return Volatility: Level Shifts with Varying Jump Probability and Mean Reversion," (with Jiawen Xu), International Journal of Forecasting 30 (2014), 449-463.

91. "Detection and Attribution of Climate Change Through Econometric Methods," (with Francisco Estrada), Buletin de la Sociedad Matematica Mexicana 20 (2014), 107-136.

92. "Modified Local Whittle Estimator for Long memory Processes in the Presence of Low Frequency (and Other) Contaminations," (with Jie Hou), Journal of Econometrics 182 (2014), 309-328.

93. "Using OLS to Estimate and Test for Structural Changes in Models with Endogenous Regressors," (with Yohei Yamamoto), Journal of Applied Econometrics 30 (2015), 119-144.

94. "On the Usefulness or Lack Thereof of Optimality Criteria for Structural Change Tests," (with Yohei Yamamoto), Econometric Reviews 35 (2016), 782-844.

95. "Residuals-based Tests for Cointegration with GLS Detrended Data," (with Gabriel Rodriguez), Econometrics Journal 19 (2016), 84-111.

96. "Comments on "In-sample Confidence Bands and Out-of-sample Forecast Bands for Time-varying Parameters in Observation Driven Models" (with Jiawen Xu), International Journal of Forecasting 32 (2016), 891-892.

97. "Inference on a Structural Break in Trend with Fractionally Integrated Errors," (with Seongyeon Chang), Journal of Time Series Analysis 37 (2016), 555-574.

98. "Measuring Business Cycles with Structural Breaks and Outliers: Applications to International Data," (with Tatsuma Wada), Research in Economics 70 (2016), 281-303.

99. "Improved Tests for Forecast Comparisons in the Presence of Instabilities" (with Luis Filipe Martins), Journal of Time Series Analysis 37 (2016), 650-659.

100. "Inference on Locally Ordered Breaks in Multiple Regressions," (with Ye Li), Econometric Reviews 36 (2017), 289-353.

101. "Fractional Unit Root Tests Allowing for a Structural Change in Trend under Both the Null and Alternative Hypotheses" (with Seong Yeon Chang), Econometrics 5 (2017), 5, 1-26.

102. "Modelling Exchange Rate Volatility with Random Level Shifts," (with Ye Li and Jiawen Xu), Applied Economics 49 (2017), 2579-2589.

103. ¡°Characterizing and Attributing the Warming Trend in Sea and Land Surface Temperatures,¡± (with Francisco Estrada and Luis Filipe Martins), Atmosfera 30 (2017), 163-187.

104. "Editorial: Unit roots and structural breaks," Econometrics 5 (2017), 22, 1-3.

105. "Editorial: Time series methods applied to climate change," (with Eduardo Zorita), Journal of Time Series Analysis 38 (2017), 69.

106. "Extracting and Analyzing the Warming Trend in Global and Hemispheric Temperatures" (with Francisco Estrada), Journal of Time Series Analysis 38 (2017), 711-732.

107.  "Testing for Flexible Nonlinear Trends with an Integrated or Stationary Noise Component," (with Mototsugu Shintani and Tomoyoshi Yabu), Oxford Bulletin of Economics and Statistics 79 (2017), 822-850.

 

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ARTICLES FORTHCOMING

 

1.      ¡°A Comparison of Alternative Methods to Construct Confidence Intervals for the Estimate of a Break Date in Linear Regression Models,¡± (with Seongyeon Chang), forthcoming in Econometric Reviews.

2.      ¡°Combining Long Memory and Level Shifts in Modeling and Forecasting the Volatility of Asset Returns¡± (with Rasmus T. Varneskov), (supplementary material). Forthcoming in Quantitative Finance.

 

 

Note: Some of this work was supported by the National Science Foundation under Grants 0649350 and 0078492.

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