Abramovich, Felix, and Yoav Benjamini (1995). “Thresholding of wavelet coefficients as multiple hypotheses testing procedure.” In: Antoniadis A., Oppenheim G. (eds.) Wavelets and Statistics. Lecture Notes in Statistics, vol. 103. New York: Springer, 5–14.

Ahn, Seung C, and Alex R. Horenstein (2013). “Eigenvalue ratio test for the number of factors.” Econometrica, 81, 1203–1227.

Bai, Jushan, and Serena Ng (2002). “Determining the number of factors in approximate factor models.” Econometrica, 70, 191–221.

Bai, Jushan, and Serena Ng (2004). “A PANIC attack on unit roots and cointegration.” Econometrica, 72, 1127–1177.

Banerjee, Anindya, Robin L. Lumsdaine, and James H. Stock (1992). “Recursive and sequential tests of the unit-root and trend-break hypotheses: Theory and international evidence,” Journal of Business & Economic Statistics, 10, 271–287.

Banerjee, Anindya, and Martin Wagner (2009). “Panel methods to test for unit roots and cointegration,” in Palgrave Handbook of Econometrics, 632–726. Springer.

Bhargava, A. (1986). “On the theory of testing for unit roots in observed time series,” Review of Economic Studies, 53, 369-384.

Bilen, Canan, and S. Huzurbazar (2002). “Wavelet-based detection of outliers in time series.” Journal of Computational and Graphical Statistics, 11, 311–327.

Box, George E. P. and Gwilym M. Jenkins (1976). Time Series Analysis: Forecasting and Control, Revised Edition, Oakland, CA: Holden-Day.

Breitung, Jörg (2000). “The local power of some unit root tests for panel data,” in B. Baltagi (ed.), Advances in Econometrics, Vol. 15: Nonstationary Panels, Panel Cointegration, and Dynamic Panels, Amsterdam: JAI Press, p. 161–178.

Breitung, J. (2002). “Nonparametric tests for unit roots and cointegration,” Journal of Econometrics, 108, 343–363.

Brock, William, Davis Dechert, Jose Sheinkman and Blake LeBaron (1996). “A test for independence based on the correlation dimension,” Econometric Reviews, August, 15(3), 197–235.

Canova, F. and Hansen, B. E. (1995). “Are seasonal patterns constant over time? a test for seasonal stability,” Journal of Business & Economic Statistics, 13, 237–252.

Choi, In (2001). “Unit root tests for panel data,” Journal of International Money and Finance, 20, 249–272.

Chow, K. Victor and Karen C. Denning (1993). “A simple multiple variance ratio test,” Journal of Econometrics, 58, 385–401.

Daubechies, I. (1992). Ten lectures on Wavelets: CBMS-NSF Conference Series in Applied Mathematics. Society for Industrial and Applied Mathematics.

Davidson, Russell and James G. MacKinnon (1993). Estimation and Inference in Econometrics, Oxford: Oxford University Press.

Dezhbaksh, Hashem (1990). “The inappropriate use of serial correlation tests in dynamic linear models,” Review of Economics and Statistics, 72, 126–132.

Dickey, D. A., and W. A. Fuller (1979). “Distribution of the estimators for autoregressive time series with a unit root,” Journal of the American Statistical Association, 74, 427–431.

Dickey, D. A. and Fuller, W. A. (1981). “Likelihood ratio statistics for autoregressive time series with a unit root,” Econometrica, 49, 1057–1072.

Donoho, David L, and Iain M. Johnstone (1994). “Ideal spatial adaptation by wavelet shrinkage,” Biometrika, 81, 425–455.

Donoho, David L, and Iain M. Johnstone (1995). “Adapting to unknown smoothness via wavelet shrinkage,” Journal of the American Statistical Association, 90, 1200–1224.

Donoho, David L. and Iain M Johnstone (1998). “Minimax estimation via wavelet shrinkage,” The Annals of Statistics, 26 879–921.

Elliott, Graham, Thomas J. Rothenberg and James H. Stock (1996). “Efficient tests for an autoregressive unit root,” Econometrica 64, 813-836.

Engle, Robert F. and C. W. J. Granger (1987). “Co-integration and error correction: representation, estimation, and testing,” Econometrica, 55, 251–276.

Fong, Wai Mun, See Kee Koh, and Sam Ouliaris (1997). “Joint variance-ratio tests of the martingale hypothesis for exchange rates,” Journal of Business and Economic Statistics, 15, 51-59.

Fisher, R. A. (1932). Statistical Methods for Research Workers, 4th Edition, Edinburgh: Oliver & Boyd.

Gençay, R., F. Selçuk, and B. J.Whitcher (2001). An Introduction to Wavelets and Other Filtering methods in Finance and Economics. San Diego: Academic Press.

Greenblatt, Seth A. 1996. “Wavelets in Econometrics.” In Computational Economic Systems: Advances in Computational Economics, vol 5., Dordrecht: Springer, 139–160.

Hadri, Kaddour (2000). “Testing for stationarity in heterogeneous panel data.” The Econometrics Journal, 3, 148–161.

Hall, Alistair (1994). “Testing for a unit root in time series with pretest data based model selection,” Journal of Business and Economic Statistics, 12, 461–470.

Hamilton, James D. (1994). Time Series Analysis, Princeton University Press.

Hayashi, Fumio. (2000). Econometrics, Princeton, NJ: Princeton University Press.

Hlouskova, Jaroslava and M. Wagner (2006). “The performance of panel unit root and stationarity tests: Results from a large scale simulation study,” Econometric Reviews, 25, 85-116.

Hylleberg, S., Engle, R. F., Granger, C. W., and Yoo, B. S. (1990). “Seasonal integration and cointegration,” Journal of Econometrics, 44, 215–238.

Im, Kyung So, M. Hashem Pesaran, and Yongcheol Shin (2003). “Testing for unit roots in heterogeneous panels.” Journal of Econometrics, 115, 53–74.

Jansen, Maarten (2010). “Minimum risk methods in the estimation of unknown sparsity.” Technical report.

Johansen, Søren (1991). “Estimation and hypothesis testing of cointegration vectors in Gaussian vector autoregressive models,” Econometrica, 1551–1580.

Kim, Dukpa and Pierre Perron (2009). “Unit root tests allowing for a break in the trend function at an unknown time under both the null and alternative hypotheses,” Journal of Econometrics, 148, 1–13.

Kwiatkowski, Denis, Peter C. B. Phillips, Peter Schmidt & Yongcheol Shin (1992). “Testing the null hypothesis of stationary against the alternative of a unit root,” Journal of Econometrics, 54, 159-178.

Levin, A., C. F. Lin, and C. Chu (2002). “Unit root tests in panel data: asymptotic and finite-sample properties,” Journal of Econometrics, 108, 1–24.

Lo, Andrew W. and A. Craig MacKinlay (1988). “Stock market prices do not follow random walks: evidence from a simple specification test,” The Review of Financial Studies, 1, 41–66.

Lo, Andrew W. and A. Craig MacKinlay (1989). “The size and power of the variance ratio test in finite samples,” Journal of Econometrics, 40, 203-238.

MacKinnon, James G. (1991). “Critical Values for Cointegration Tests,” Chapter 13 in R. F. Engle and C. W. J. Granger (eds.), Long-run Economic Relationships: Readings in Cointegration, Oxford: Oxford University Press.

MacKinnon, James G. (1996). “Numerical distribution functions for unit root and cointegration tests,” Journal of Applied Econometrics, 11, 601-618.

Maddala, G. S. and Shaowen Wu (1999). “A comparative study of unit root tests with panel data and a new simple test,” Oxford Bulletin of Economics and Statistics, 61, 631-652.

Mallat, S. G. (1989). “A theory for multiresolution signal decomposition: The wavelet representation.” Pattern Analysis and Machine Intelligence, IEEE Transactions on, 11 674–693.

Nelson, Charles R. and Charles I. Plosser (1982). “Trends and random walks in macroeconomic time series,” Journal of Monetary Economics, 10, 139–162.

Newey, W., and K. West (1987). “A simple positive semi-definite heteroscedasticity and autocorrelation consistent covariance matrix,” Econometrica, 55,150–161.

Newey, Whitney and Kenneth West (1994). “Automatic lag selection in covariance matrix estimation,” Review of Economic Studies, 61, 631-653.

Ng, Serena and Pierre Perron (2001). “Lag length selection and the construction of unit root tests with good size and power,” Econometrica, 69, 1519-1554.

Oppenheim, A, and R. Schafer (1989). Discrete-Time Signal Processing. PTR Prentice Hall. Inc.

Percival, D. B., and A. T. Walden. 2000. Wavelet Methods for Time Series Analysis. New York: Cambridge University Press.

Perron, Pierre (1989). “The Great Crash, the oil price shock, and the unit root hypothesis,” Econometrica, 57, 1361-1401.

Perron, Pierre (1997). “Further evidence on breaking trend functions in macroeconomic variables,” Journal of Econometrics, 80, 355–385.

Perron, Pierre (2006). “Dealing with Structural Breaks,” in Palgrave Handbook of Econometrics, Vol. 1: Econometric Theory, K. Patterson and T. C. Mills (eds.), Palgrave Macmillan, 278-352.

Perron, Pierre and Timothy J. Vogelsang (1992a). “Nonstationarity and level shifts with an application to purchasing power parity,” Journal of Business & Economic Statistics, 10, 301–320.

Perron, Pierre and Timothy J. Vogelsang (1992b). “Testing for a unit root in a time series with a changing mean: corrections and extensions,” Journal of Business & Economic Statistics, 10, 467–470.

Pesaran, M Hashem (2006). “Estimation and inference in large heterogeneous panels with a multifactor error structure,” Econometrica, 74, 967–1012.

Pesaran, M Hashem (2007). “A simple panel unit root test in the presence of cross-section dependence,” Journal of Applied Econometrics, 22, 265–312.

Phillips, P.C.B. (1987). “Time series regression with a unit root.” Econometrica, 277–301.

Phillips, P.C.B. and P. Perron (1988). “Testing for a unit root in time series regression,” Biometrika, 75, 335–346.

Priestley, M. B. (1981). Spectral Analysis and Time Series. Academic Press.

Richardson, Matthew and Tom Smith (1991). “Tests of financial models in the presence of overlapping observations,” The Review of Financial Studies, 4, 227–254.

Said, Said E. and David A. Dickey (1984). “Testing for unit roots in autoregressive moving average models of unknown order,” Biometrika, 71, 599–607.

Schwert, G William (1989. “Tests for unit roots: A Monte Carlo investigation.” Journal of Business & Economic Statistics, 7, 147–59.

Smith, R. J. and Taylor, A. R. (1999). “Likelihood ratio tests for seasonal unit roots,” Journal of Time Series Analysis, 20, 453–476.

Stock, James H, and Mark W. Watson (1988. “Testing for common trends.” Journal of the American Statistical Association, 83, 1097–1107.

Taylor, A. R. (2005). “Variance ratio tests of the seasonal unit root hypothesis,” Journal of Econometrics, 124, 33–54.

Taylor, R. A. (2003). “Robust stationarity tests in seasonal time series processes,” Journal of Business & Economic Statistics, 21, 156–163.

Vogelsang, Timothy J. and Pierre Perron (1998). “Additional test for unit root allowing for a break in the trend function at an unknown time,” International Economic Review, 39, 1073–1100.

Vogelsang, Timothy J. (1993). Unpublished computer program.

Wright, Jonathan H. (2000). “Alternative variance-ratio tests using ranks and signs,” Journal of Business and Economic Statistics, 18, 1–9.

Zivot, Eric and Donald W. K. Andrews (1992). “Further evidence on the Great Crash, the oil-price shock, and the unit-root hypothesis,” Journal of Business & Economic Statistics, 10, 251–270.