"Temporal Aggregation and Macroeconomic Time Series," in: N Hashimzade and MA Thornton (Eds), Handbook of Research Methods and Applications in Empirical Macroeconomics (Second Edition), Edward Elgar, Cheltenham, 2026 (with MA Thornton) (forthcoming). 

"Frequency Domain Estimation of Cointegrating Vectors with Mixed Frequency and Mixed Sample Data," Journal of Econometrics 217, 2020, 140-160. 

"Deterministic Parameter Change Models in Continuous and Discrete Time," Journal of Time Series Analysis 41, 2020, 134-145 (with AMR Taylor). 

"Frequency Domain Estimation of Continuous Time Cointegrated Models with Mixed Frequency and Mixed Sample Data," Journal of Time Series Analysis 40, 2019, 887-913. 

"Editorial: Econometric Modelling with Mixed Frequency and Temporally Aggregated Data,'' Journal of Time Series Analysis 40, 2019, 869-871 (with PA Zadrozny). 

"Continuous Time Modelling Based on an Exact Discrete Time Representation," ch.14 in: K van Montfort, J Oud and M Voelkle (Eds.), Continuous Time Modeling in the Behavioral and Related Sciences, Springer, 2018, 317-357 (with JR McCrorie and MA Thornton). 

"Jackknife Bias Reduction in the Presence of a Near-Unit Root," Econometrics 6, 2018, Article 11 (with M Kyriacou). 

"Continuous Time ARMA Processes: Discrete Time Representation and Likelihood Evaluation," Journal of Economic Dynamics and Control 79, 2017, 48-65 (with MA Thornton). 

"The Estimation of Continuous Time Models with Mixed Frequency Data," Journal of Econometrics 193, 2016, 390-404.

"The Exact Discretisation of CARMA Models with Applications in Finance," Journal of Empirical Finance 38, 2016, 739-761 (with MA Thornton).

"Testing for a Unit Root in a Near-Integrated Model with Skip-Sampled Data," Journal of Time Series Analysis 36, 2015, 630-649. 

"The Calculation of Some Limiting Distributions Arising in Near-Integrated Models with GLS Detrending," Journal of Time Series Analysis 36, 2015, 562-586. 

"A Jackknife Correction to a Test for Cointegration Rank," Econometrics 3, 2015, 355-375. 

"Monetary Policy, Exchange Rates and Stock Prices in the Middle East Region," International Review of Financial Analysis 37, 2015, 14-28 (with HE Abou Wafia). 

"Testing for Seasonal Unit Roots by Frequency Domain Regression," Journal of Econometrics 178, 2014, 243-258 (with JS Ercolani and AMR Taylor). 

"Continuous Time ARMA Processes in Discrete Time: Representation and Embeddability," Journal of Time Series Analysis 34, 2013, 552-561 (with MA Thornton). 

"Jackknife Estimation with a Unit Root," Statistics and Probability Letters 83, 2013, 1677-1682 (with M Kyriacou). 

"Jackknife Estimation of Stationary Autoregressive Models," Journal of Econometrics 172, 2013, 142-157. 

"Temporal Aggregation in Macroeconomics," ch.13 in: N Hashimzade and MA Thornton (Eds), Handbook of Research Methods and Applications in Empirical Macroeconomics, Edward Elgar,Cheltenham, 2013, 289-309 (with MA Thornton). 

"Discrete Time Representation of Continuous Time ARMA Processes," Econometric Theory 28, 2012, 219-238 (with M A Thornton). 

"Cointegration and Sampling Frequency," The Econometrics Journal 14, 2011, 156-185. 

"Discrete Time Representations of Cointegrated Continuous Time Models with Mixed Sample Data," Econometric Theory 25, 2009, 1030-1049. 

"Econometric Theory Memorial to Albert Rex Bergstrom," Econometric Theory 25, 2009, 891-900 (with PCB Phillips and AMR Taylor). 

"Corrigendum to 'Testing for Unit Roots with Flow Data and Varying Sampling Frequency' [Journal of Econometrics 119(1) (2004) 1-18]," Journal of Econometrics 144, 2008, 524-525. 

"Frequency Domain Estimation of Temporally Aggregated Gaussian Cointegrated Systems," Journal of Econometrics 136, 2007, 1-29 (with JR McCrorie). 

"Granger Causality and the Sampling of Economic Processes," Journal of Econometrics 132, 2006, 311-336 (with JR McCrorie). 

"Identification and Estimation of Exchange Rate Models with Unobservable Fundamentals," International Economic Review 47, 2006, 573-582 (with JR McCrorie). 

"Estimation of Differential-Difference Equation Systems with Unknown Lag Parameters," Econometric Theory 22, 2006, 483-498 (with JS Ercolani). 

"The Purchasing Power Parity Puzzle, Temporal Aggregation, and Half-Life Estimation," Economics Letters 86, 2005, 193-198. A supplementary document containing proofs is available here. 

"Testing for Unit Roots with Flow Data and Varying Sampling Frequency," Journal of Econometrics 119, 2004, 1-18. 

"The Asymptotic Efficiency of Cointegration Estimators Under Temporal Aggregation," Econometric Theory 19, 2003, 49-77. A supplementary document containing proofs of theorems etc. can be found here. 

"Modelling Cyclical Behaviour with Differential-Difference Equations in an Unobserved Components Framework," Econometric Theory 18, 2002, 387-419 (with JS McGarry) (full tables of results in PDF format). 

"Temporal Aggregation and the Finite Sample Performance of Spectral Regression Estimators in Cointegrated Systems: A Simulation Study," Econometric Theory 17, 2001, 591-607. 

"A Statistical Analysis of Wheat Price Fluctuations in England: 1685-1850," Journal of Agricultural Economics 50, 1999, 564-588 (with RE Bailey) (the data are available in the following file formats: Text (.csv), Gauss (.dat) and (.dht), Stata (.dta). 

"A Note on Modelling Seasonal Processes in Continuous Time," Journal of Time Series Analysis 20, 1999, 139-143. 

"Discrete Time Representation of Stationary and Non-Stationary Continuous Time Systems," Journal of Economic Dynamics and Control 23, 1999, 619-639. 

"Long Memory and Aggregation in Macroeconomic Time Series," International Economic Review 39, 1998, 1053-1072. 

"The Impact of Real Wage and Mortality Fluctuations on Fertility and Nuptiality in Precensus England," Journal of Population Economics 11, 1998, 413-434 (with RE Bailey). 

"The Estimation of Systems of Joint Differential-Difference Equations," Journal of Econometrics 85, 1998, 1-31. 

"Forecasting with the Almost Ideal Demand System: Evidence from Some Alternative Dynamic Specifications," Applied Economics 29, 1997, 935-943 (with KB Nowman). 

"A Theory of Commodity Price Fluctuations," Journal of Political Economy 104, 1996, 924-957 (with RE Bailey) (the unpublished technical appendix is available in PDF here). 

"The Estimation of Continuous Parameter Long-Memory Time Series Models," Econometric Theory 12, 1996, 374-390. 

"Fractional Integration, Trend Stationarity and Difference Stationarity: Evidence from Some U.K. Macroeconomic Time Series," Economics Letters 50, 1996, 19-24. 

"Speed of Adjustment and Estimation of the Partial Adjustment Model," Applied Economics Letters 3, 1996, 21-23. 

"On the Simulation of Random Vector Time Series with Given Spectrum," Mathematical and Computer Modelling 22, 1995, 1-6. 

"Long Term Demographic Interactions in Pre-Census England," Journal of the Royal Statistical Society (Series A) 156, 1993, 339-362 (with RE Bailey). 

"A Nonnested Approach to Testing Continuous Time Models Against Discrete Alternatives," Journal of Econometrics 57, 1993, 319-343. 

"Consumers' Demand in the Long Run: Some Evidence from UK Data," Applied Economics 25, 1993, 727-733. 

“A Note on Forecasting in Co-Integrated Systems,” Computers and Mathematics with Applications 25, 1993, 93–99.

"Forecasting with Continuous Time and Discrete Time Series Models: An Empirical Comparison, ch.5 in: PCB Phillips (Ed.), Models, Methods and Applications of Econometrics: Essays in Honor of AR Bergstrom, Basil Blackwell, Oxford, 1993, 37-54. 

"An Econometric Model of the Aggregate Motor Insurance Market in the United Kingdom," Journal of Risk and Insurance 59, 1992, 409-425. 

"Estimation of a Continuous Time Dynamic Demand System," Journal of Applied Econometrics 7, 1992, 53-64. 

"Discrete Models for Estimating General Linear Continuous Time Systems," Econometric Theory 7, 1991, 531-542. 

"Forecasting Discrete Stock and Flow Data Generated by a Second Order Continuous Time System," Computers and Mathematics with Applications 22, 1991, 107-114. 

"An Alternative Time Series Model of Consumption: Some Empirical Evidence," Applied Economics 23, 1991, 1361-1366. 

"Gaussian Estimation of a Continuous Time Model of Demand for Consumer Durable Goods with Applications to Demand in the United Kingdom, 1973--1984," ch.12 in: AR Bergstrom, Continuous Time Econometric Modelling, Oxford University Press, Oxford, 1990, 279-319 (with AR Bergstrom). 

"Forecasting with Demand Systems: A Comparative Study," Journal of Econometrics 44, 1990, 363-376.