Publications (these are final working paper versions)
Bias Correction of KPSS Test with Structural Break for Reducing of Size Distortion // Journal of Time Series Econometrics, 2014, 6, 33-61. [In Russian]
Trend and Initial Condition in Stationarity Tests: The Asymptotic Analysis // Oxford Bulletin of Economics and Statistics, 2015, 77, 254-273. Supplement [In Russian]
On Trend Breaks and Initial Condition in Unit Root Testing // Journal of Time Series Econometrics, 2018, Issue 1. Supplement
Confidence Sets for the Break Date in Cointegrating Regressions (with E. Kurozumi) // Oxford Bulletin of Economics and Statistics, 2018, 80, 514-535.
On Bootstrap Implementation of Likelihood Ratio Test for a Unit Root // Economics Letters, 2018, 171, 154-158.
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.
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.
On Robust testing for Trend // Economics Letters, 2022, 212.
Time-Transformed Test for the Explosive Bubbles under Non-stationary Volatility (with E. Kurozumi and A. Tsarev) // Journal of Financial Econometrics, 2023, 21, 1282–1307.
Do We Reject Restrictions Identifying Fiscal Shocks? Identification Based on non-Gaussian Innovations (with M. Karamysheva) Journal of Economic Dynamic and Control, 2022, 138.
Likelihood ratio test for change in persistence // Communications in Statistics – Theory and Methods, 2022, 52, 5952-5965.
12. On the asymptotic behaviour of the bubble dates estimators (with E. Kurozumi) // Journal of Time Series Analysis, 2023, 44, 359-373.
13. Testing for Explosive Bubbles: a Review // Dependence Modeling, 2023, 11, no. 1, pp. 20220152.
14. COVID-19: Tail Risk and Predictive Regressions (with W. Distaso, R. Ibragimov and A. Semenov) // PLOS One, 2022, 17(12): e0275516.
15. New robust inference for predictive regression (with R. Ibragimov and J. Kim) // Econometric Theory, 2024, 40, 1364-1390.
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) //Journal of Financial Econometrics, 2024, 22(4), 1075–1097.
17. Robust Inference on Income Inequality: t-Statistic Based Approaches (with R. Ibragimov and P. Kattuman)// Econometric Reviews, 2025, 44, 384-415.
18. Change Point Detection in Time Series Using Mixed Integer Programming (with A. Prokhorov, P. Radchenko, and A. Semenov) // Accepted in Journal of Business & Economic Statistics
Working papers
Improving the accuracy of bubble date estimators under time-varying volatility (with E. Kurozumi)
Wild inference for wild SVARs with application to heteroscedasticity-based IV (with B. Gafarov, M. Karamysheva, and A. Polbin)
The Role of Visual and Informational Elements in Wine Label Design: Effects on Price and Customer Rating (with L. Lurye, D. Grigoriev, A. Zubarev, and A. Semenov)
Robust Cauchy-Based Methods for Predictive Regressions (with R. Ibragimov and J. Kim)
Confidence Sets for the Emerging Date of a Bubble (with E. Kurozumi)
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. Modified portmanteau test for non-i.i.d. heavy-tailed (with A. Safonov)