Details about Stephen Leybourne

E-mail:	steve.leybourne@nottingham.ac.uk
Homepage:	http://www.nottingham.ac.uk/%7Elezsl/main.htm
Phone:	+44 (0) 115 95 15478
Postal address:	School of Economics University of Nottingham Nottingham NG7 2RD UK
Workplace:	School of Economics, University of Nottingham, (more information at EDIRC)

Access statistics for papers by Stephen Leybourne.

Last updated 2020-02-04. Update your information in the RePEc Author Service.

Short-id: ple113

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Jump to Journal Articles Edited books

Working Papers

2018

1. A Bootstrap Stationarity Test for Predictive Regression Invalidity
   Essex Finance Centre Working Papers, University of Essex, Essex Business School View citations (3)
   Also in Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics (2017) View citations (1)
2. Detecting Regimes of Predictability in the U.S. Equity Premium
   Essex Finance Centre Working Papers, University of Essex, Essex Business School View citations (2)
3. Testing explosive bubbles with time-varying volatility
   Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics View citations (4)
   See also Journal Article Testing explosive bubbles with time-varying volatility, Econometric Reviews, Taylor & Francis Journals (2019) View citations (11) (2019)
4. Testing for Parameter Instability in Predictive Regression Models
   Essex Finance Centre Working Papers, University of Essex, Essex Business School View citations (23)
   See also Journal Article Testing for parameter instability in predictive regression models, Journal of Econometrics, Elsevier (2018) View citations (24) (2018)

2017

5. Forecast evaluation tests and negative long-run variance estimates in small samples
   Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics View citations (20)
   See also Journal Article Forecast evaluation tests and negative long-run variance estimates in small samples, International Journal of Forecasting, Elsevier (2017) View citations (19) (2017)
6. Testing for a unit root against ESTAR stationarity
   Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics
   See also Journal Article Testing for a unit root against ESTAR stationarity, Studies in Nonlinear Dynamics & Econometrics, De Gruyter (2018) (2018)
7. Testing the Order of Fractional Integration of a Time Series in the Possible Presence of a Trend Break at an Unknown Point
   Essex Finance Centre Working Papers, University of Essex, Essex Business School View citations (1)
   See also Journal Article TESTING THE ORDER OF FRACTIONAL INTEGRATION OF A TIME SERIES IN THE POSSIBLE PRESENCE OF A TREND BREAK AT AN UNKNOWN POINT, Econometric Theory, Cambridge University Press (2019) View citations (4) (2019)

2016

8. Tests for an end-of-sample bubble in financial time series
   Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics View citations (3)
   See also Journal Article Tests for an end-of-sample bubble in financial time series, Econometric Reviews, Taylor & Francis Journals (2017) View citations (9) (2017)
9. Tests of the Co-integration Rank in VAR Models in the Presence of a Possible Break in Trend at an Unknown Point
   Essex Finance Centre Working Papers, University of Essex, Essex Business School View citations (7)
   See also Journal Article Tests of the co-integration rank in VAR models in the presence of a possible break in trend at an unknown point, Journal of Econometrics, Elsevier (2016) View citations (8) (2016)
10. The impact of the initial condition on covariate augmented unit root tests
    Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics View citations (1)
    See also Journal Article The Impact of the Initial Condition on Covariate Augmented Unit Root Tests, Journal of Time Series Econometrics, De Gruyter (2017) (2017)

2014

11. Confidence sets for the date of a break in level and trend when the order of integration is unknown
    Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics
    See also Journal Article Confidence sets for the date of a break in level and trend when the order of integration is unknown, Journal of Econometrics, Elsevier (2015) View citations (5) (2015)

2013

12. Break date estimation for models with deterministic structural change
    Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics View citations (8)
    See also Journal Article Break Date Estimation for Models with Deterministic Structural Change, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2014) View citations (4) (2014)

2011

13. On the behaviour of fixed-b trend break tests under fractional integration
    Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics View citations (3)
14. Robust methods for detecting multiple level breaks in autocorrelated time series
    Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics
    Also in Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics (2010) View citations (37)
    See also Journal Article Robust methods for detecting multiple level breaks in autocorrelated time series, Journal of Econometrics, Elsevier (2010) View citations (35) (2010)
15. Unit root testing under a local break in trend
    Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics
    Also in Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics (2010)
    See also Journal Article Unit root testing under a local break in trend, Journal of Econometrics, Elsevier (2012) View citations (10) (2012)

2009

16. Robust methods for detecting multiple level breaks in autocorrelated time series [Revised to become No. 10/01 above]
    Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics View citations (1)
17. Testing for nonlinear trends when the order of integration is unknown
    Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics
18. Testing for unit roots in the presence of a possible break in trend and non-stationary volatility
    Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics View citations (18)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2008) View citations (3)
    See also Journal Article TESTING FOR UNIT ROOTS IN THE PRESENCE OF A POSSIBLE BREAK IN TREND AND NONSTATIONARY VOLATILITY, Econometric Theory, Cambridge University Press (2011) View citations (14) (2011)
19. The impact of the initial condition on robust tests for a linear trend
    Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics
    See also Journal Article The impact of the initial condition on robust tests for a linear trend, Journal of Time Series Analysis, Wiley Blackwell (2010) View citations (5) (2010)

2008

20. Local asymptotic power of the Im-Pesaran-Shin panel unit root test and the impact of initial observations
    Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics View citations (1)
    See also Journal Article LOCAL ASYMPTOTIC POWER OF THE IM-PESARAN-SHIN PANEL UNIT ROOT TEST AND THE IMPACT OF INITIAL OBSERVATIONS, Econometric Theory, Cambridge University Press (2010) View citations (16) (2010)
21. Panel root tests and the impact of initial observations
    Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics
22. Seasonal unit root tests and the role of initial conditions
    Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics View citations (1)
    See also Journal Article Seasonal unit root tests and the role of initial conditions, Econometrics Journal, Royal Economic Society (2008) (2008)
23. Testing for unit roots and the impact of quadratic trends, with an application to relative primary commodity prices
    Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics View citations (3)
    See also Journal Article Testing for Unit Roots and the Impact of Quadratic Trends, with an Application to Relative Primary Commodity Prices, Econometric Reviews, Taylor & Francis Journals (2011) View citations (16) (2011)
24. Testing for unit roots in the presence of uncertainty over both the trend and initial condition
    Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics View citations (6)
    See also Journal Article Testing for unit roots in the presence of uncertainty over both the trend and initial condition, Journal of Econometrics, Elsevier (2012) View citations (21) (2012)

2007

25. A powerful test for linearity when the order of integration is unknown
    Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics
    Also in Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics (2007)
    See also Journal Article A Powerful Test for Linearity When the Order of Integration is Unknown, Studies in Nonlinear Dynamics & Econometrics, De Gruyter (2008) View citations (64) (2008)
26. Testing for a unit root in the presence of a possible break in trend
    Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics View citations (5)
    See also Journal Article TESTING FOR A UNIT ROOT IN THE PRESENCE OF A POSSIBLE BREAK IN TREND, Econometric Theory, Cambridge University Press (2009) View citations (43) (2009)
27. Testing for a unit root when uncertain about the trend [Revised to become 07/03 above]
    Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics
28. Unit root testing in practice: dealing with uncertainty over the trend and initial condition
    Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics View citations (1)
    See also Journal Article UNIT ROOT TESTING IN PRACTICE: DEALING WITH UNCERTAINTY OVER THE TREND AND INITIAL CONDITION, Econometric Theory, Cambridge University Press (2009) View citations (79) (2009)

2006

29. A simple, robust and powerful test of the trend hypothesis
    Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics
    See also Journal Article A simple, robust and powerful test of the trend hypothesis, Journal of Econometrics, Elsevier (2007) View citations (62) (2007)
30. Simple, Robust and Powerful Tests of the Breaking Trend Hypothesis*
    Discussion Papers, University of Nottingham, School of Economics
    See also Journal Article SIMPLE, ROBUST, AND POWERFUL TESTS OF THE BREAKING TREND HYPOTHESIS, Econometric Theory, Cambridge University Press (2009) View citations (74) (2009)

2005

31. On Robust Trend Function Hypothesis Testing
    Discussion Papers, Department of Economics, University of Birmingham
    See also Journal Article On Robust Trend Function Hypothesis Testing, Studies in Nonlinear Dynamics & Econometrics, De Gruyter (2006) View citations (1) (2006)

2004

32. Modified Tests for a Change in Persistence
    Econometric Society 2004 Australasian Meetings, Econometric Society View citations (7)
    See also Journal Article Modified tests for a change in persistence, Journal of Econometrics, Elsevier (2006) View citations (75) (2006)

2003

33. Behaviour of Dickey-Fuller Unit Root Tests Under Trend Misspecification
    Econometrics, University Library of Munich, Germany View citations (4)
    See also Journal Article Behaviour of Dickey–Fuller Unit‐Root Tests Under Trend Misspecification, Journal of Time Series Analysis, Wiley Blackwell (2004) View citations (10) (2004)
34. EXAMINATION OF SOME MORE POWERFUL MODIFICATIONS OF THE DICKEY- FULLER TEST
    Econometrics, University Library of Munich, Germany View citations (11)
    See also Journal Article Examination of Some More Powerful Modifications of the Dickey–Fuller Test, Journal of Time Series Analysis, Wiley Blackwell (2005) View citations (38) (2005)
35. On Unit Root Tests and the Initial Observation
    Econometrics, University Library of Munich, Germany
36. Panel Stationarity Tests with Cross-sectional Dependence
    Econometrics, University Library of Munich, Germany View citations (6)
37. Testing for Stochastic Cointegration and Evidence for Present Value Models
    Econometrics, University Library of Munich, Germany View citations (8)

2001

38. U.S. and U.K. Interest Rates 1890 - 1934: New Evidence on Structural Breaks
    Economic Papers, Trinity College Dublin, Economics Department View citations (7)

1997

39. Disinflation and Central Bank Independence in Australia, Canada and New Zealand: Evidence from Smooth Transition Analysis
    Discussion Papers, University of Nottingham, School of Economics View citations (5)

1988

40. ECONOMIC GROWTH IN NINETEETH CENTURY BRITAIN: COMPARISONS WITH EUROPE IN THE CONTEXT OF GERSCHENKRON'S HYPOTHESES
    Economic Research Papers, University of Warwick - Department of Economics
    Also in The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics (1988) View citations (1)

Undated

41. Testing for Seasonal Unit Roots: a simple alternative to HEGY
    Discussion Papers, Department of Economics, University of York View citations (1)
42. Trade Liberalisation and Growth
    Working Papers, Department of Economics, University of Lancaster View citations (4)

Journal Articles

2019

1. TESTING THE ORDER OF FRACTIONAL INTEGRATION OF A TIME SERIES IN THE POSSIBLE PRESENCE OF A TREND BREAK AT AN UNKNOWN POINT
   Econometric Theory, 2019, 35, (6), 1201-1233 View citations (4)
   See also Working Paper Testing the Order of Fractional Integration of a Time Series in the Possible Presence of a Trend Break at an Unknown Point, Essex Finance Centre Working Papers (2017) View citations (1) (2017)
2. Testing explosive bubbles with time-varying volatility
   Econometric Reviews, 2019, 38, (10), 1131-1151 View citations (11)
   See also Working Paper Testing explosive bubbles with time-varying volatility, Discussion Papers (2018) View citations (4) (2018)

2018

3. Real‐Time Monitoring for Explosive Financial Bubbles
   Journal of Time Series Analysis, 2018, 39, (6), 863-891 View citations (6)
4. Special Issue of the Journal of Time Series Analysis In Honour of Professor Paul Newbold: Guest Editors' Introduction
   Journal of Time Series Analysis, 2018, 39, (6), 814-815
5. Testing for a unit root against ESTAR stationarity
   Studies in Nonlinear Dynamics & Econometrics, 2018, 22, (1), 29
   See also Working Paper Testing for a unit root against ESTAR stationarity, Discussion Papers (2017) (2017)
6. Testing for parameter instability in predictive regression models
   Journal of Econometrics, 2018, 204, (1), 101-118 View citations (24)
   See also Working Paper Testing for Parameter Instability in Predictive Regression Models, Essex Finance Centre Working Papers (2018) View citations (23) (2018)

2017

7. Forecast evaluation tests and negative long-run variance estimates in small samples
   International Journal of Forecasting, 2017, 33, (4), 833-847 View citations (19)
   See also Working Paper Forecast evaluation tests and negative long-run variance estimates in small samples, Discussion Papers (2017) View citations (20) (2017)
8. Improving the accuracy of asset price bubble start and end date estimators
   Journal of Empirical Finance, 2017, 40, (C), 121-138 View citations (28)
9. Testing for a Change in Mean under Fractional Integration
   Journal of Time Series Econometrics, 2017, 9, (1), 8 View citations (3)
10. Tests for an end-of-sample bubble in financial time series
    Econometric Reviews, 2017, 36, (6-9), 651-666 View citations (9)
    See also Working Paper Tests for an end-of-sample bubble in financial time series, Discussion Papers (2016) View citations (3) (2016)
11. The Impact of the Initial Condition on Covariate Augmented Unit Root Tests
    Journal of Time Series Econometrics, 2017, 9, (1), 23
    See also Working Paper The impact of the initial condition on covariate augmented unit root tests, Discussion Papers (2016) View citations (1) (2016)

2016

12. Improving the length of confidence sets for the date of a break in level and trend when the order of integration is unknown
    Economics Letters, 2016, 145, (C), 239-245
13. Tests for explosive financial bubbles in the presence of non-stationary volatility
    Journal of Empirical Finance, 2016, 38, (PB), 548-574 View citations (85)
14. Tests of the co-integration rank in VAR models in the presence of a possible break in trend at an unknown point
    Journal of Econometrics, 2016, 192, (2), 451-467 View citations (8)
    See also Working Paper Tests of the Co-integration Rank in VAR Models in the Presence of a Possible Break in Trend at an Unknown Point, Essex Finance Centre Working Papers (2016) View citations (7) (2016)

2015

15. "Rockin' All Over The World": organisational improvisation lessons from the music-based practitioner
    International Journal of Management Concepts and Philosophy, 2015, 9, (1), 1-19
16. Confidence sets for the date of a break in level and trend when the order of integration is unknown
    Journal of Econometrics, 2015, 184, (2), 262-279 View citations (5)
    See also Working Paper Confidence sets for the date of a break in level and trend when the order of integration is unknown, Discussion Papers (2014) (2014)
17. Recursive Right-Tailed Unit Root Tests for an Explosive Asset Price Bubble
    Journal of Financial Econometrics, 2015, 13, (1), 166-187 View citations (20)
18. Robust and Powerful Tests for Nonlinear Deterministic Components
    Oxford Bulletin of Economics and Statistics, 2015, 77, (6), 780-799 View citations (8)
19. Testing for Unit Roots Under Multiple Possible Trend Breaks and Non-Stationary Volatility Using Bootstrap Minimum Dickey–Fuller Statistics
    Journal of Time Series Analysis, 2015, 36, (5), 603-629 View citations (3)

2014

20. A FIXED- b TEST FOR A BREAK IN LEVEL AT AN UNKNOWN TIME UNDER FRACTIONAL INTEGRATION
    Journal of Time Series Analysis, 2014, 35, (1), 40-54 View citations (11)
21. Asymptotic behaviour of tests for a unit root against an explosive alternative
    Economics Letters, 2014, 122, (1), 64-68 View citations (5)
22. Break Date Estimation for Models with Deterministic Structural Change
    Oxford Bulletin of Economics and Statistics, 2014, 76, (5), 623-642 View citations (4)
    See also Working Paper Break date estimation for models with deterministic structural change, Discussion Papers (2013) View citations (8) (2013)
23. On infimum Dickey–Fuller unit root tests allowing for a trend break under the null
    Computational Statistics & Data Analysis, 2014, 78, (C), 235-242 View citations (2)
24. Preliminary design of the OWEL wave energy converter pre-commercial demonstrator
    Renewable Energy, 2014, 61, (C), 51-56 View citations (2)
25. Robust tests for a linear trend with an application to equity indices
    Journal of Empirical Finance, 2014, 29, (C), 168-185
26. Unit Root Testing under a Local Break in Trend using Partial Information on the Break Date
    Oxford Bulletin of Economics and Statistics, 2014, 76, (1), 93-111 View citations (4)

2013

27. Testing for a break in trend when the order of integration is unknown
    Journal of Econometrics, 2013, 176, (1), 30-45 View citations (13)
28. Testing for unit roots in the possible presence of multiple trend breaks using minimum Dickey–Fuller statistics
    Journal of Econometrics, 2013, 177, (2), 265-284 View citations (45)

2012

29. An infimum coefficient unit root test allowing for an unknown break in trend
    Economics Letters, 2012, 117, (1), 298-302 View citations (3)
30. Testing for unit roots in the presence of uncertainty over both the trend and initial condition
    Journal of Econometrics, 2012, 169, (2), 188-195 View citations (21)
    See also Working Paper Testing for unit roots in the presence of uncertainty over both the trend and initial condition, Discussion Papers (2008) View citations (6) (2008)
31. Unit root testing under a local break in trend
    Journal of Econometrics, 2012, 167, (1), 140-167 View citations (10)
    See also Working Paper Unit root testing under a local break in trend, Discussion Papers (2011) (2011)

2011

32. TESTING FOR UNIT ROOTS IN THE PRESENCE OF A POSSIBLE BREAK IN TREND AND NONSTATIONARY VOLATILITY
    Econometric Theory, 2011, 27, (5), 957-991 View citations (14)
    See also Working Paper Testing for unit roots in the presence of a possible break in trend and non-stationary volatility, Discussion Papers (2009) View citations (18) (2009)
33. Testing for Unit Roots and the Impact of Quadratic Trends, with an Application to Relative Primary Commodity Prices
    Econometric Reviews, 2011, 30, (5), 514-547 View citations (16)
    See also Working Paper Testing for unit roots and the impact of quadratic trends, with an application to relative primary commodity prices, Discussion Papers (2008) View citations (3) (2008)

2010

34. LOCAL ASYMPTOTIC POWER OF THE IM-PESARAN-SHIN PANEL UNIT ROOT TEST AND THE IMPACT OF INITIAL OBSERVATIONS
    Econometric Theory, 2010, 26, (1), 311-324 View citations (16)
    See also Working Paper Local asymptotic power of the Im-Pesaran-Shin panel unit root test and the impact of initial observations, Discussion Papers (2008) View citations (1) (2008)
35. Robust methods for detecting multiple level breaks in autocorrelated time series
    Journal of Econometrics, 2010, 157, (2), 342-358 View citations (35)
    See also Working Paper Robust methods for detecting multiple level breaks in autocorrelated time series, Discussion Papers (2011) (2011)
36. Testing for nonlinear deterministic components when the order of integration is unknown
    Journal of Time Series Analysis, 2010, 31, (5), 379-391 View citations (7)
37. The impact of the initial condition on robust tests for a linear trend
    Journal of Time Series Analysis, 2010, 31, (4), 292-302 View citations (5)
    See also Working Paper The impact of the initial condition on robust tests for a linear trend, Discussion Papers (2009) (2009)

2009

38. REJOINDER
    Econometric Theory, 2009, 25, (3), 658-667 View citations (1)
39. SIMPLE, ROBUST, AND POWERFUL TESTS OF THE BREAKING TREND HYPOTHESIS
    Econometric Theory, 2009, 25, (4), 995-1029 View citations (74)
    See also Working Paper Simple, Robust and Powerful Tests of the Breaking Trend Hypothesis*, Discussion Papers (2006) (2006)
40. SPECIAL ISSUE OF ECONOMETRIC THEORY IN HONOR OF PAUL NEWBOLD: GUEST EDITORS’ INTRODUCTION
    Econometric Theory, 2009, 25, (6), 1451-1456
41. TESTING FOR A UNIT ROOT IN THE PRESENCE OF A POSSIBLE BREAK IN TREND
    Econometric Theory, 2009, 25, (6), 1545-1588 View citations (43)
    See also Working Paper Testing for a unit root in the presence of a possible break in trend, Discussion Papers (2007) View citations (5) (2007)
42. THE RESEARCH INTERESTS OF PAUL NEWBOLD
    Econometric Theory, 2009, 25, (6), 1460-1465
43. UNIT ROOT TESTING IN PRACTICE: DEALING WITH UNCERTAINTY OVER THE TREND AND INITIAL CONDITION
    Econometric Theory, 2009, 25, (3), 587-636 View citations (79)
    See also Working Paper Unit root testing in practice: dealing with uncertainty over the trend and initial condition, Discussion Papers (2007) View citations (1) (2007)

2008

44. A Powerful Test for Linearity When the Order of Integration is Unknown
    Studies in Nonlinear Dynamics & Econometrics, 2008, 12, (3), 24 View citations (64)
    See also Working Paper A powerful test for linearity when the order of integration is unknown, Discussion Papers (2007) (2007)
45. A more powerful modification of Johansen's cointegration tests
    Applied Economics, 2008, 40, (6), 725-729
46. Erratum to "A simple, robust and powerful test of the trend hypothesis" [Journal of Econometrics 141(2) (2007) 1302-1330]
    Journal of Econometrics, 2008, 143, (2), 396-397
47. Seasonal unit root tests and the role of initial conditions
    Econometrics Journal, 2008, 11, (3), 409-442
    See also Working Paper Seasonal unit root tests and the role of initial conditions, Discussion Papers (2008) View citations (1) (2008)
48. TESTING FOR LONG MEMORY
    Econometric Theory, 2008, 24, (1), 143-175 View citations (18)

2007

49. A simple, robust and powerful test of the trend hypothesis
    Journal of Econometrics, 2007, 141, (2), 1302-1330 View citations (62)
    See also Working Paper A simple, robust and powerful test of the trend hypothesis, Discussion Papers (2006) (2006)
50. CUSUM of Squares‐Based Tests for a Change in Persistence
    Journal of Time Series Analysis, 2007, 28, (3), 408-433 View citations (43)
51. Detecting Multiple Changes in Persistence
    Studies in Nonlinear Dynamics & Econometrics, 2007, 11, (3), 34 View citations (55)
52. MODIFIED KPSS TESTS FOR NEAR INTEGRATION
    Econometric Theory, 2007, 23, (2), 355-363 View citations (8)
53. Testing for time series linearity
    Econometrics Journal, 2007, 10, (1), 149-165 View citations (58)

2006

54. A RESIDUAL-BASED TEST FOR STOCHASTIC COINTEGRATION
    Econometric Theory, 2006, 22, (3), 429-456 View citations (3)
55. Modified tests for a change in persistence
    Journal of Econometrics, 2006, 134, (2), 441-469 View citations (75)
    See also Working Paper Modified Tests for a Change in Persistence, Econometric Society 2004 Australasian Meetings (2004) View citations (7) (2004)
56. On Robust Trend Function Hypothesis Testing
    Studies in Nonlinear Dynamics & Econometrics, 2006, 10, (1), 27 View citations (1)
    See also Working Paper On Robust Trend Function Hypothesis Testing, Discussion Papers (2005) (2005)
57. Persistence change tests and shifting stable autoregressions
    Economics Letters, 2006, 91, (1), 44-49 View citations (5)
58. Power of a Unit‐Root Test and the Initial Condition
    Journal of Time Series Analysis, 2006, 27, (5), 739-752 View citations (10)
59. Regression‐based Tests for a Change in Persistence*
    Oxford Bulletin of Economics and Statistics, 2006, 68, (5), 595-621 View citations (17)

2005

60. Examination of Some More Powerful Modifications of the Dickey–Fuller Test
    Journal of Time Series Analysis, 2005, 26, (3), 355-369 View citations (38)
    See also Working Paper EXAMINATION OF SOME MORE POWERFUL MODIFICATIONS OF THE DICKEY- FULLER TEST, Econometrics (2003) View citations (11) (2003)
61. On testing for unit roots and the initial observation
    Econometrics Journal, 2005, 8, (1), 97-111 View citations (24)
62. Panel Stationarity Tests for Purchasing Power Parity With Cross-Sectional Dependence
    Journal of Business & Economic Statistics, 2005, 23, 395-409 View citations (63)

2004

63. Asymptotic mean‐squared forecast error when an autoregression with linear trend is fitted to data generated by an I(0) or I(1) process
    Journal of Time Series Analysis, 2004, 25, (4), 583-602 View citations (4)
64. Behaviour of Dickey–Fuller Unit‐Root Tests Under Trend Misspecification
    Journal of Time Series Analysis, 2004, 25, (5), 755-764 View citations (10)
    See also Working Paper Behaviour of Dickey-Fuller Unit Root Tests Under Trend Misspecification, Econometrics (2003) View citations (4) (2003)
65. More powerful panel data unit root tests with an application to mean reversion in real exchange rates
    Journal of Applied Econometrics, 2004, 19, (2), 147-170 View citations (175)
66. On tests for changes in persistence
    Economics Letters, 2004, 84, (1), 107-115 View citations (17)
67. Some New Tests for a Change in Persistence
    Economics Bulletin, 2004, 3, (39), 1-10 View citations (8)
68. Tests for a Break in Level when the Order of Integration is Unknown
    Oxford Bulletin of Economics and Statistics, 2004, 66, (1), 133-146

2003

69. How great are the great ratios?
    Applied Economics, 2003, 35, (2), 163-177 View citations (25)
70. Real Exchange Rate Dynamics Under The Current Float: A Re–Examination
    Manchester School, 2003, 71, (2), 156-171 View citations (8)
71. SOME LIMIT THEORY FOR AUTOCOVARIANCES WHOSE ORDER DEPENDS ON SAMPLE SIZE
    Econometric Theory, 2003, 19, (5), 829-864 View citations (28)
72. Seasonal Unit Root Tests Based on Forward and Reverse Estimation
    Journal of Time Series Analysis, 2003, 24, (4), 441-460 View citations (2)
73. Spurious rejections by cointegration tests induced by structural breaks
    Applied Economics, 2003, 35, (9), 1117-1121 View citations (82)
74. Tests for a change in persistence against the null of difference-stationarity
    Econometrics Journal, 2003, 6, (2), 291-311 View citations (56)

2002

75. A Direct Test for Cointegration Between a Pair of Time Series
    Journal of Time Series Analysis, 2002, 23, (2), 173-191
76. Seasonal unit root tests with seasonal mean shifts
    Economics Letters, 2002, 76, (2), 295-302 View citations (28)
77. Stochastic cointegration: estimation and inference
    Journal of Econometrics, 2002, 111, (2), 363-384 View citations (19)
78. Tests for Symmetric and Asymmetric Nonlinear Mean Reversion in Real Exchange Rates
    Journal of Money, Credit and Banking, 2002, 34, (3), 686-700 View citations (85)
79. Unit root tests with a break in innovation variance
    Journal of Econometrics, 2002, 109, (2), 365-387 View citations (83)

2001

80. Analysis of a panel of UK macroeconomic forecasts
    Econometrics Journal, 2001, 4, (1), S37-S55 View citations (28)
81. Trend-stationarity, difference-stationarity, or neither: further diagnostic tests with an application to U.S. Real GNP, 1875-1993
    Journal of Economics and Business, 2001, 53, (1), 85-102 View citations (14)

2000

82. BEHAVIOR OF DICKEY–FULLER t-TESTS WHEN THERE IS A BREAK UNDER THE ALTERNATIVE HYPOTHESIS
    Econometric Theory, 2000, 16, (5), 779-789 View citations (14)
83. Behaviour of the standard and symmetric Dickey-Fuller-type tests when there is a break under the null hypothesis
    Econometrics Journal, 2000, 3, (1), 1-15 View citations (23)
84. Stochastic unit roots modelling of stock price indices
    Applied Financial Economics, 2000, 10, (3), 311-315 View citations (8)

1999

85. Modified Stationarity Tests with Data-Dependent Model-Selection Rules
    Journal of Business & Economic Statistics, 1999, 17, (2), 264-70 View citations (27)
86. On the Size Properties of Phillips–Perron Tests
    Journal of Time Series Analysis, 1999, 20, (1), 51-61 View citations (1)
87. The behaviour of Dickey-Fuller and Phillips-Perron tests under the alternative hypothesis
    Econometrics Journal, 1999, 2, (1), 92-106 View citations (10)
88. Understanding the disinflations in Australia, Canada and New Zealand using evidence from smooth transition analysis
    Journal of International Money and Finance, 1999, 18, (5), 799-816 View citations (23)
89. Unit Roots and Asymmetric Smooth Transitions
    Journal of Time Series Analysis, 1999, 20, (6), 671-677 View citations (30)

1998

90. ON ESTIMATING AN ARMA MODEL WITH AN MA UNIT ROOT
    Econometric Theory, 1998, 14, (3), 326-338 View citations (4)
91. Spurious rejections by Dickey-Fuller tests in the presence of a break under the null
    Journal of Econometrics, 1998, 87, (1), 191-203 View citations (150)
92. Tests for Forecast Encompassing
    Journal of Business & Economic Statistics, 1998, 16, (2), 254-59 View citations (527)
93. Unit roots and smooth transitions
    Journal of Time Series Analysis, 1998, 19, (1), 83-97 View citations (225)

1997

94. A Parametric approach to testing the null of cointegration
    Journal of Time Series Analysis, 1997, 18, (4), 395-413 View citations (19)
95. Modeling Growth (and Liberalization) Using Smooth Transitions Analysis
    Economic Inquiry, 1997, 35, (4), 798-814 View citations (11)
96. Testing the equality of prediction mean squared errors
    International Journal of Forecasting, 1997, 13, (2), 281-291 View citations (1194)

1996

97. Can Economic Time Series Be Differenced to Stationarity?
    Journal of Business & Economic Statistics, 1996, 14, (4), 435-46 View citations (68)

1995

98. Testing for Unit Roots Using Forward and Reverse Dickey-Fuller Regressions
    Oxford Bulletin of Economics and Statistics, 1995, 57, (4), 559-71 View citations (124)

1994

99. A Consistent Test for a Unit Root
    Journal of Business & Economic Statistics, 1994, 12, (2), 157-66 View citations (129)
100. A Simple Test for Cointegration
     Oxford Bulletin of Economics and Statistics, 1994, 56, (1), 97-103 View citations (15)
101. The excess comovement of commodity prices revisited
     World Development, 1994, 22, (11), 1747-1758 View citations (27)

1992

102. A simple test for parameter constancy in a nonlinear time series regression model
     Economics Letters, 1992, 38, (2), 157-162

1990

103. Measurement of trend growth in European industrial output before 1914: Methodological issues and new estimates
     Explorations in Economic History, 1990, 27, (4), 442-467 View citations (7)

1989

104. Testing for Coefficient Constancy in Random Walk Models with Particular Reference to the Initial Value Problem
     Empirical Economics, 1989, 14, (2), 105-12 View citations (1)
105. The Climacteric in Late Victorian Britain and France: A Reappraisal of the Evidence
     Journal of Applied Econometrics, 1989, 4, (2), 103-17 View citations (20)
106. Trends and Cycles in British Industrial Production, 1700–1913
     Journal of the Royal Statistical Society Series A, 1989, 152, (1), 43-60 View citations (5)

Edited books

2003

1. Recent Developments in Time Series, vol Two volume set
   Books, Edward Elgar Publishing View citations (8)