• Abramowitz, M. and Stegun, I. A. (1964) Handbook of Mathematical Functions. Washington: U.S. Bureau of Commerce.
  • Cavaliere, G., and Taylor, A. M. R. (2005) Stationarity tests under time varying second moments. Econometric Theory 21, 111229.
  • De Jong, R. M., Amsler, C. and Schmidt, P. (2007) A robust version of the KPSS test based on indicators. Journal of Econometrics 137, 31133.
  • De Rossi, G. and Harvey, A. C. (2006) Time-varying quantiles. Cambridge, Faculty of Economics, CWPE 0649.
  • De Rossi, G. and Harvey, A. C. (2009) Quantiles, expectiles and splines. Journal of Econometrics 152, 17985.
  • Efron, B. (1991) Regression percentiles using asymmetric squared error loss. Statistica Sinica 1, 93125.
  • Engle, R. F. and Manganelli, S. (2004) CAViaR: conditional autoregressive value at risk by regression quantiles. Journal of Business and Economic Statistics 22, 36781.
  • Harvey, A. C. and Streibel, M. (1998) Testing for a slowly changing level with special reference to stochastic volatility. Journal of Econometrics 87, 16789.
  • Koopman, S. J., Harvey, A. C., Doornik, J. A. and Shephard, N. (2007) STAMP 8.0: Structural Time Series Analyser, Modeller and Predictor, London: Timberlake Consultants Ltd.
  • Kwiatkowski, D., Phillips, P. C. B., Schmidt, P. and Shin, Y. (1992) Testing the null hypothesis of stationarity against the alternative of a unit root: how sure are we that economic time series have a unit root? Journal of Econometrics 44, 15978.
  • Linton, O. and Whang, Y.-J. (2007) The quantilogram: with an application to evaluating directional predictability. Journal of Econometrics 141, 25082.
  • Newey, W. K. and Powell, J. L. (1987) Asymmetric least squares estimation and testing. Econometrica 55, 819847.
  • Nyblom, J. (1989) Testing for the constancy of parameters over time. Journal of the American Statistical Association 84, 22330.
  • Nyblom, J. and Harvey, A. C. (2000) Tests of common stochastic trends. Econometric Theory 16, 17699.
  • Nyblom, J. and Harvey, A. C. (2001) Testing against smooth stochastic trends. Journal of Applied Econometrics 16, 41529.
  • Nyblom, J. and Mäkeläinen, T. (1983) Comparison of tests for the presence of random walk coefficients in a simple linear model. Journal of the American Statistical Association 78, 85664.
  • Stock, J. H. and Watson, M. W. (2007) Why has U.S. inflation become harder to forecast? Journal of Money, Credit and Banking 39 (Suppl. F), 333.