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Nonparametric tests of moment condition stability

Conditional quantile estimation for generalized autoregressive conditional heteroscedasticity models

Conditional Quantile Estimation for GARCH Models

Copula-Based Nonlinear Quantile Autoregression

Quantile Cointegrating Regression

Testing the null hypothesis of stationarity against an autoregressive unit root alternative

Partially linear models with unit roots

Power functions and envelopes for unit root tests

Copula-based nonlinear quantile autoregression

Efficient detrending in cointegrating regression

Quantile cointegrating regression

Commentaries on "Unit Root Testing in Practice: Dealing with Uncertainty over the Trend and Initial Condition," by David I. Harvey, Stephen J. Leybourne, and A.M. Robert Taylor