publications

2022

“Robust Testing of Time Trend and Mean with Unknown Integration Order Errors,” (with Seong Yeon Chang and Jiawen Xu), Journal of Statistical Computation and Simulation 92 (2022), 3561-3582.
“Structural Change Tests under Heteroskedasticity: Joint Estimation versus Two-Steps Methods,” (with Yohei Yamamoto), Journal of Time Series Analysis 43 (2022), 389-411.
“The Great Moderation: Updated Evidence with Joint Tests for Multiple Structural Changes in Variance and Persistence,” (with Yohei Yamamoto), Empirical Economics 62 (2022), 1193-1218.
“Generalized Laplace Inference in Multiple Change-Points Models” (with Alessandro Casini), Econometric Theory 38, 35-65 (with supplement).
“A Two Step Procedure for Testing Partial Parameter Stability in Cointegrated Regression Models,” (with Mohitosh Kejriwal and Xuewen Xu), Journal of Time Series Analysis 43 (2022), 219-237.

2021

 Disentangling the Trend in the Warming of Urban Areas into Global and Local Factors,” (with Francisco Estrada), Annals of the New York Academy of Science 1504 (2021), 230-246.
“Continuous Record Laplace-based Inference about the Break Date in Structural Change Models.” (with Alessandro Casini), Journal of Econometrics 224, 3-21 (with online supplement).
Regional Anthropogenic Influence in Observed Warming Trends and the Implied Social Time of Emergence,” (with Francisco Estrada and Dukpa Kim), Nature Communications Earth & Environment 2:31 (2021) (with Supplement).
Spatial Variations in the Warming Trend and the Transition to More Severe Weather in Midaltitudes,” (with Francisco Estrada and Dukpa Kim), Scientific Reports 11:145 (2021) (with Supplement).
“Testing for Changes in Forecasting Performance,” (with Yohei Yamamoto), Journal of Business and Economic Statistics 39 (2021), 148-165 (with online supplement).

2020

Temporal Aggregation and Long Memory for Asset Price Volatility,” (with Wendong Shi), Journal of Risk and Financial Management 13 (2020), 182, 1-18.
“Bootstrap Procedures for Detecting Multiple Persistence Shifts in Heteroskedastic Time Series,” (with Mohitosh Kejriwal and Xuewen Xu), Journal of Time Series Analysis 41 (2020), 696-690 (with online supplement).
Testing Jointly for Structural Changes in the Error Variance and Coefficients of a Linear Regression Model,” (with Yohei Yamamoto and Jing Zhou), Quantitative Economics 11 (2020), 1019-1057 (with online supplement).
“Inference Related to Common Breaks in a Multivariate System with Joined Segmented Trends with Applications to Global and Hemispheric Temperatures” (with Dukpa Kim, Tatsushi Oka and Francisco Estrada), Journal of Econometrics 214 (2020), 130-152.

2019

Breaks, Trends and the Attribution of Climate Change: a Time-series Analysis” (with Francisco Estrada), Economia 42 (2019), 1-31.
Pitfalls of Two Step Testing for Changes in the Error Variance and Coefficients of a Linear Regression Model,” (with Yohei Yamamoto), Econometrics 7 (2019), 22 (with supplement available here)
Causality from Long-lived Radiative Forcings to the Climate Trend” (with Francisco Estrada), Annals of the New York Academy of Sciences 1436 (2019), 195-205.
“Structural Breaks in Time Series”. In Oxford Research Encyclopedia of Economics and Finance. Oxford University Press, 2019 (with Alessandro Casini).
“A Test for Changes in a Polynomial Trend Function for a Dynamic Time Series,” in Time Series Econometrics: Volume 2: Structural Change, (Perron, P., ed.), World Scientific, 2019, 1-65.

2018

“A Comparison of Alternative Methods to Construct Confidence Intervals for the Estimate of a Break Date in Linear Regression Models,” (with Seong Yeon Chang), Econometric Reviews 37 (2018), 577-601.
“Testing for Common Breaks in a Multiple Equations System,” (with Tatsushi Oka), Journal of Econometrics 204 (2018), 66-85.
“Combining Long Memory and Level Shifts in Modeling and Forecasting the Volatility of Asset Returns” (with Rasmus T. Varneskov), Quantitative Finance 18 (2018), 371-393 (with supplement).

2017

“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.
“Extracting and Analyzing the Warming Trend in Global and Hemispheric Temperatures” (with Francisco Estrada), Journal of Time Series Analysis 38 (2017), 711-732.
Characterizing and Attributing the Warming Trend in Sea and Land Surface Temperatures,” (with Francisco Estrada and Luis Filipe Martins), Atmosfera 30 (2017), 163-187.
“Modelling Exchange Rate Volatility with Random Level Shifts,” (with Ye Li and Jiawen Xu), Applied Economics 49 (2017), 2579-2589.
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. Reprinted in Unit Root and Structural Breaks, P. Perron (ed.). MPDI, Basel, Switzerland, 2018.
“Inference on Locally Ordered Breaks in Multiple Regressions,” (with Ye Li), Econometric Reviews 36 (2017), 289-353.
“Editorial: Unit Roots and Structural Breaks,” Econometrics 5 (2017), 22, 1-3.
“Editorial: Time Series Methods Applied to Climate Change,” (with Eduardo Zorita), Journal of Time Series Analysis 38 (2017), 69.

2016

“Improved Tests for Forecast Comparisons in the Presence of Instabilities” (with Luis Filipe Martins), Journal of Time Series Analysis 37 (2016), 650-659.
“Measuring Business Cycles with Structural Breaks and Outliers: Applications to International Data,” (with Tatsuma Wada), Research in Economics 70 (2016), 281-303.
“Inference on a Structural Break in Trend with Fractionally Integrated Errors,” (with Seong Yeon Chang), Journal of Time Series Analysis 37 (2016), 555-574.
“Residuals-based Tests for Cointegration with GLS Detrended Data,” (with Gabriel Rodríguez), Econometrics Journal 19 (2016), 84-111.
“On the Usefulness or Lack Thereof of Optimality Criteria for Structural Change Tests,” (with Yohei Yamamoto), Econometric Reviews 35 (2016), 782-844.
“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.

2015

“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.

2014

“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.
“Detection and Attribution of Climate Change Through Econometric Methods,” (with Francisco Estrada), Buletin de la Sociedad Matematica Mexicana 20 (2014), 107-136.
“Forecasting Return Volatility: Level Shifts with Varying Jump Probability and Mean Reversion,” (with Jiawen Xu), International Journal of Forecasting 30 (2014), 449-463.
“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.

2013

“Statistically-derived Contributions of Diverse Human Influences to 20th Century Temperature Changes” (with Francisco Estrada and Benjamin Martinez-López), Nature Geoscience 6 (2013), 1050-1055 (doi:10.1038/ngeo1999 with Supplementary Material, 41 pages).
“Estimating and Testing Multiple Structural Changes in Linear Models Using Band Spectral Regressions” (with Yohei Yamamoto), Econometrics Journal 16 (2013), 400-429.
“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.
“Memory Parameter Estimation in the Presence of Level Shifts and Deterministic Trends” (with Adam McCloskey), Econometric Theory 29 (2013), 1196-1237.
A Time-series Analysis of the 20th Century Climate Simulations Produced for the IPCC’s AR4,” (with Francisco Estrada, Carlos Gay-García and Benjamín Martínez-López), PLoS ONE 8(3) (2013), e60017 (with supplement).
“Wald Tests for Detecting Multiple Structural Changes in Persistence,” (with Mohitosh Kejriwal and Jing Zhou), Econometric Theory 29 (2013), 289-323.
“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.
“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.

2012

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

2011

“On the Irrelevance of Impossibility Theorems: The Case of the Long-run Variance” (with Linxia Ren), Journal of Time Series Econometrics, vol. 3 (Article 1) (2011), 1-32.
Editorial: “Royal Economic Society Annual Conference 2009 Special Issue on Factor Models: Theoretical and Applied Perspectives” (with Richard Smith), The Econometrics Journal 14.1 (2011), Ci-Ciii.

2010

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

2009

“GLS-based Unit Root Tests with Multiple Structural Breaks under both the Null and the Alternative Hypotheses,” (with Josep Lluís Carrion-i-Silvestre and Dukpa Kim), Econometric Theory 25 (2009), 1754-1792.
“Let’s Take a Break: Trends and Cycles in U.S. Real GDP” (with Tatsuma Wada), Journal of Monetary Economics 56 (2009), 749-765 (with online supplement).
“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.
“Estimating Deterministic Trends with an Integrated or Stationary Noise Component” (with Tomoyoshi Yabu), Journal of Econometrics 151 (2009), 56-69.
“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.
“Unit Root Tests Allowing for a Break in the Trend Function Under Both the Null and Alternative Hypotheses,” (with Dukpa Kim), Journal of Econometrics 148 (2009), 1-13. Reprinted in Time Series Econometrics (T.C. Mills, ed.), Critical Concepts in Economics, Routledge, 2015.

2008

“The Limit Distribution of the Estimates in Cointegrated Regression Models with Multiple Structural Changes,” (with Mohitosh Kejriwal), Journal of Econometrics 146 (2008), 59-73.
“Data Dependent Rules for Selection of the Number of Leads and Lags in the Dynamic OLS Cointegrating Regression” (with Mohitosh Kejriwal), Econometric Theory 24 (2008), 1425-1441.
“The Limit Distribution of the CUSUM of Squares Test Under General Mixing Conditions” (with Ai Deng), Econometric Theory 24 (2008), 809-822.
“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.
“Structural Change” in The New Palgrave Dictionary of Economics, 2nd ed, S. Durlauf and L. Blume (eds.), 2008, Palgrave Macmillan. Also in Macroeconometrics and Time Series Analysis, S. Durlauf and L. Blume (eds.), 2010, Palgrave Macmillan.

2007

“A Modified Information Criterion for Cointegration Tests based on a VAR Approximation” (with Zhongjun Qu), Econometric Theory 23 (2007), 638-685.
“Estimating and Testing Multiple Structural Changes in Multivariate Regressions” (with Zhongjun Qu), Econometrica 75 (2007), 459-502 (with online supplement).
“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.

2006

“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.
“Estimating Restricted Structural Change Models,” (with Zhongjun Qu) Journal of Econometrics 134 (2006), 373-399.
“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. The working paper version available here.
“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.

2005

“Structural Breaks with Stochastic and Deterministic Trends,” (with Xiaokang Zhu), Journal of Econometrics 129 (2005), 65-119.
“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.
“A Note on the Selection of Time Series Models,” (with Serena Ng), Oxford Bulletin of Economics and Statistics 67 (2005), 115-134.

2004

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

2003

“Critical Values for Multiple Structural Change Tests,” (with Jushan Bai), Econometrics Journal 6 (2003), 72-78. (extended set of tables available here).
“GLS Detrending, Efficient Unit Root Tests and Structural Change,” (with Gabriel Rodríguez), Journal of Econometrics 115 (2003), 1-27. Reprinted in Spanish as: “GLS para eliminiar los componentes determinísticos, estadísticos de raíz unitaria eficientes y cambio estructural,” Economía 35 (2012), 174-203.
“Searching for Additive Outliers in Nonstationary Time Series,” (with Gabriel Rodríguez), Journal of Time Series Analysis 24 (2003), 193-220.
“Computation and Analysis of Multiple Structural Change Models,” (with Jushan Bai), Journal of Applied Econometrics 18 (2003), 1-22.
“Statistical Adequacy and the Testing of Trend versus Difference Stationarity: Some Comments,” Econometric Reviews 22 (2003), 239-245.

2002

“PPP May Not Hold After All: A Further Investigation,” (with Serena Ng), Annals of Economics and Finance 3 (2002), 43-64.

2001

“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.
“Asymptotic Approximations in the Near-Integrated Model with a Non-zero Initial Condition,” (with Cosme Vodounou) Econometrics Journal 4 (2001), 143-169.

2000

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

1999

“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.

1998

“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 (2003).
“An Autoregressive Spectral Density Estimator at Frequency Zero for Nonstationarity Tests,” (with Serena Ng), Econometric Theory 14 (1998), 560-603.
“Estimating and Testing Linear Models with Multiple Structural Changes,” (with Jushan Bai), Econometrica 66 (1998), 47-78. 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 (2003). Also reprinted in Recent Developments in Time Series (P. Newbold and S.L. Leybourne, eds.) The International Library of Critical Writings in Econometrics (Series Editors: Mark Blaug and Adrian Darnell), Edward Elgar Publishing (2003).

1997

“L’estimation de modèles avec changements structurels multiples”, Actualité Économique 73 (1997), 457-505 (special issue in honour of Lise Salvas Bronsard).
“Further Evidence from Breaking Trend Functions in Macroeconomic Variables,” Journal of Econometrics 80 (1997), 355-385.
“Estimation and Inference in Nearly Unbalanced Nearly Cointegrated Systems,” (with Serena Ng), Journal of Econometrics 79 (1997), 53-81.

1996

“The Exact Error in Estimating the Spectral Density at the Origin,” (with Serena Ng), Journal of Time Series Analysis 17 (1996), 379-408.
“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.
“An Analysis of the Real Interest Rate under Regime Shifts,” (with René Garcia), Review of Economics and Statistics 78 (1996), 111-125.
“The Adequacy of Asymptotic Approximations in the Near-Integrated Autoregressive Model with Dependent Errors,” Journal of Econometrics 70 (1996), 317-350.
“The Effect of Linear Filters on Dynamic Time Series with Structural Change,” (with Eric Ghysels), Journal of Econometrics 70 (1996), 69-97.

1995

“Approximations to Some Exact Distributions in the First Order Autoregressive Model with Dependent Errors,” (with Seiji Nabeya), Econometric Reviews 14 (1995), 421-457.
“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 (2003).

1994

“Local Asymptotic Distribution Related to the AR(1) Model with Dependent Errors,” (with Seiji Nabeya), Journal of Econometrics 62 (1994), 229-264.
“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.
“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-stationnarités et non-linéarités dans le processus d’inflation au Canada,” in Comportement des agents économiques et formulation des politiques en régime de stabilité des prix, Banque du Canada, 1994, 267-327).

1993

“A Note on the Asymptotic Distributions of Unit Root Tests in the Additive Outlier Model with Breaks,” (with T.J. Vogelsang), Revista de Econometria 13 (1993), 181-201.
“A Note on Johansen’s Cointegration Procedure when Trends are Present,” (with John Y. Campbell), Empirical Economics (special issue), 18 (1993), 777-789; Reprinted in New Developments in Time Series Econometrics, J.-M. Dufour and B. Raj (eds.), Physica-Verlag Heidelberg, 221-233.
“The Humped Shaped Behavior of Macroeconomic Fluctuations,” Empirical Economics 18 (1993) (special issue), 707-727; Reprinted in New Developments in Time Series Econometrics, J.-M. Dufour and B. Raj (eds.), Physica-Verlag Heidelberg (1994), 151-171.
“The Great Crash, the Oil Price Shock and the Unit Root Hypothesis: Erratum,” (with T.J. Vogelsang) Econometrica 61 (1993), 248-249.
“Racines Unitaires en Macroéconomie: Le Cas d’une Variable,” Actualité Économique 68 (1992), 325-356; Reprinted in Macroéconomie: Développements Récents, P. Malgrange and L. Salvas-Bronsard (eds.), Presses de l’Université du Québec (1993).
“The Effect of Seasonal Adjustment Filters on Tests for a Unit Root,” (with Eric Ghysels) Journal of Econometrics 55 (1993), 57-98 .
“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.

1992

“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.
“Racines Unitaires en Macroéconomie: Le Cas Multidimensionnel,” (with John Y. Campbell), Annales d’Économie et de Statistique 27 (1992), 1-50.
“The Limiting Distribution of the Least-Squares Estimator in Nearly Integrated Seasonal Models,” Canadian Journal of Statistics 20 (1992), 121-134.
“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.
“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.

1991

“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), 141-201.
“Test Consistency with Varying Sampling Frequency,” Econometric Theory 7 (1991), 341-368.
“A Continuous Time Approximation to the Stationary First-order Autoregressive Model,” Econometric Theory 7 (1991), 236-252.
“A Continuous Time Approximation to the Unstable First-order Autoregressive Model: the Case Without an Intercept,” Econometrica 59 (1991), 211-236.

1990

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

1989

“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 (2002). Reprinted in Time Series Econometrics (T.C. Mills, ed.), Critical Concepts in Economics, Routledge, 2015.
“The Calculation of the Limiting Distribution of the Least-Squares Estimator in a Near-Integrated Model,” Econometric Theory 5 (1989), 241-255.
“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.

1988

“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.
“Trends and Random Walks in Macroeconomic Time Series: Further Evidence from a New Approach,” Journal of Economic Dynamics and Control 12 (1988), 297-332.
“The Evolution of Poverty in Canada, 1970-1985,” Discussion Paper No. 343, Economic Council of Canada, February 1988 (with François Vaillancourt).

1987

“Does GNP Have a Unit Root? A Reevaluation,” Economics Letters 23 (1987), 139-145 (with Peter C.B. Phillips).
“Macroeconomics and the Canadian Income-Security System: An Overview,” Discussion Paper No. 336, Economic Council of Canada, September 1987.

1986

“Hypothesis Testing in Time Series Regression with a Unit Root,” PhD Thesis. Yale University.

1985

“Testing the Random Walk Hypothesis: Power versus Frequency of Observation,” Economics Letters 18 (1985), 381-386 (with Robert J. Shiller). Reprinted in The International Library of Financial Econometrics, A.W. Lo and S.T. Harris (eds.), Edward Elgar Publishing Ltd (2007).