What do we learn from unit roots in macroeconomic time series? by Quah, Danny

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One-dimensional inference in autoregressive models with the potential presence of a unit root by Mikusheva, Anna

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14.384 Time Series Analysis, Fall 2007 by Mikusheva, Anna, 1976-, Schrimpf, Paul

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14.384 Time Series Analysis, Fall 2008 by Schrimpf, Paul, Mikusheva, Anna

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Properties and applications of a martingale hypothesis test by Kumagai, Tomomi, 1967-

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Essays in Financial Economics by Olshanskiy, Yury

“…I identify hundreds of thousands of short episodes where stocks exhibit ”explosive” behavior, deviating from the unit-root null hypothesis. These phenomena span multiple days, differ from typical return movements, and affect a wide range of stocks, including liquid and large-cap stocks. …”
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14.384 Time Series Analysis, Fall 2002 by Kuersteiner, Guido M.

“…Theory and application of time series methods in econometrics, including representation theorems, decomposition theorems, prediction, spectral analysis, estimation with stationary and nonstationary processes, VARs, unit roots, and cointegration. From the course home page: Course Description The course is an introduction to univariate and multivariate time series models. …”
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Essays in financial economics : terror, consumption, and investment, currency options and liquidity premium, and purchasing power parity by HajYehia, Samer

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