"Frequency Domain Estimation of Temporally Aggregated Gaussian Cointegrated Systems," Journal of Econometrics 136, 2007, 1-29 (with Roderick McCrorie, University of St. Andrews).
"Granger Causality and the Sampling of Economic Processes," Journal of Econometrics 132, 2006, 311-336 (with Roderick McCrorie, University of St. Andrews).
"Identification and Estimation of Exchange Rate Models with Unobservable Fundamentals," International Economic Review 47, 2006, 573-582 (with Roderick McCrorie, University of St. Andrews).
"Estimation of Differential-Difference Equation Systems with Unknown Lag Parameters," Econometric Theory 22, 2006, 483-498 (with Joanne Ercolani, University of Birmingham).
"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 J. S. 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.