Publications/Papers

Publications (these are final working paper versions)

1. Bias Correction of KPSS Test with Structural Break for Reducing of Size Distortion // Journal of Time Series Econometrics, 2014, 6, 33-61. [In Russian]

2. Trend and Initial Condition in Stationarity Tests: The Asymptotic Analysis // Oxford Bulletin of Economics and Statistics, 2015, 77, 254-273. Supplement [In Russian]

3. On Trend Breaks and Initial Condition in Unit Root Testing // Journal of Time Series Econometrics, 2018, Issue 1. Supplement

   • Ox-code for performing the tests with one break 

   • Ox-code for simulating critical values

4. Confidence Sets for the Break Date in Cointegrating Regressions (with E. Kurozumi) // Oxford Bulletin of Economics and Statistics, 2018, 80, 514-535.

5. On Bootstrap Implementation of Likelihood Ratio Test for a Unit Root // Economics Letters, 2018, 171, 154-158.

   • Sample Ox-code for simulating size and power 

6. How the oil price and other factors of real exchange rate dynamics affect real GDP in Russia (with A. Polbin and A. Zubarev) // Emerging Markets Finance and Trade, 2020, 56, 3732-3745.

7. Wild Bootstrap Seasonal Unit Root Tests for Time Series with Periodic Non-Stationary Volatility (with G. Cavaliere and A.M.R. Taylor) // Econometric Reviews, 2019, 38, 509-532.

   • Sample Ox-code for simulating size and power 

8. On Robust testing for Trend // Accepted in Economics Letters

9. Time-Transformed Test for the Explosive Bubbles under Non-stationary Volatility (with E. Kurozumi and A. Tsarev) Accepted in Journal of Financial Econometrics

   • R-code

10. Do We Reject Restrictions Identifying Fiscal Shocks? Identification Based on non-Gaussian Innovations (with M. Karamysheva) Accepted in Journal of Economic Dynamic and Control

11. Likelihood ratio test for change in persistence Accepted in  Communications in Statistics – Theory and Methods

• Ox-code for performing the LR tests 

12. On the asymptotic behaviour of the bubble dates estimators (with E. Kurozumi) Accepted in Journal of Time Series Analysis

13. Testing for Explosive Bubbles: a Review Accepted in Dependence Modeling

14. COVID-19: Tail Risk and Predictive Regressions (with W. Distaso, R. Ibragimov and A. Semenov) Accepted in PLOS One

15. New robust inference for predictive regression (with R. Ibragimov and J. Kim) Accepted in Econometric Theory

• Matlab code for the test with non-parametric correction of volatility

• Matlab code for the Ibragimov and Muller (2010) grouped  based test

16. New approaches to robust inference on market (non-)efficiency, volatility clustering and nonlinear dependence (with R. Ibragimov and R. Pedersen) Accepted in Journal of financial Econometrics

• Online Appendix

Working papers

1. Robust Inference on Income Inequality: t-Statistic Based Approaches (with R. Ibragimov and P. Kattuman)

2. Improving the accuracy of bubble date estimators under time-varying volatility (with E. Kurozumi)

3. On GLS-detrending for detereministic seasonality testing [In Russian]  Ox-code for simulating critical values

4. Double Unit Roots Testing, GLS-detrending and Uncertainty over the Initial Conditions [In Russian] 

5. A simple modification of Busetti-Harvey stationarity test with structural breaks at unknown time [In Russian] 

Work in progress

1. Stochastic frontier analysis for (co)integrated panels (with A. Prokhorov and Y. Karavias)

2. Dynamically Time Warped Cointegration (with G. Cavaliere and A. Prokhorov)

3. Change Point Detection in Time Series Using Mixed Integer Programming (with A. Prokhorov, P. Radchenko, and  A. Semenov)

4. Policymaker meetings as heteroscedasticity shifters: Identification and inference in structural VARs (with B. Gafarov, M. Karamysheva, and A. Polbin)