Working Papers

Asymptotic validity of bootstrap methods for a structural break in trend [pdf]

A comparison of alternative methods to construct confidence intervals for the estimate of a break date in linear regression models (with Pierre Perron) [pdf][figures], under revision

Inference on a structural break in trend with fractionally integrated errors (with Pierre Perron) [pdf][figures], under revision

Fractional unit root tests allowing for a structural change under both the null and alternative hypotheses (with Pierre Perron) , A draft will be available soon.
Work in Progress

Likelihoodbased joint tests for structural breaks in trend and the order of integration

Test for stationarity allowing a structural break with fractionally integrated errors

Stochastic volatility with a random level shift

Monitoring a stochastic volatility