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Details about Brendan McCabe

Workplace:Management School, University of Liverpool, (more information at EDIRC)

Access statistics for papers by Brendan McCabe.

Last updated 2013-10-06. Update your information in the RePEc Author Service.

Short-id: pmc192


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Working Papers

2011

  1. Non-Parametric Estimation of Forecast Distributions in Non-Gaussian, Non-linear State Space Models
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads
    See also Journal Article in International Journal of Forecasting (2013)

2010

  1. A Quasi-locally Most powerful Test for Correlation in the conditional Variance of Positive Data
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads

2009

  1. Optimal Probabilistic Forecasts for Counts
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads View citations (2)

2006

  1. Conditional Maximum Likelihood Estimation of Higher-Order Integer-Valued Autoregressive Processes
    Research Papers, University of Liverpool Management School Downloads

2004

  1. Testing for Dependence in Non-Gaussian Time Series Data
    Econometric Society 2004 Australasian Meetings, Econometric Society Downloads
    Also in Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics (2004) Downloads View citations (4)

2003

  1. Coherent Predictions of Low Count Time Series
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads
  2. Panel Stationarity Tests with Cross-sectional Dependence
    Econometrics, EconWPA Downloads View citations (6)
  3. Persistence and Nonstationary Models
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads
  4. Testing for Stochastic Cointegration and Evidence for Present Value Models
    Econometrics, EconWPA Downloads View citations (3)

1995

  1. Testing a Time-Series for Difference Stationarity
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (9)

Journal Articles

2013

  1. Non-parametric estimation of forecast distributions in non-Gaussian, non-linear state space models
    International Journal of Forecasting, 2013, 29, (3), 411-430 Downloads
    See also Working Paper (2011)
  2. Score statistics for testing serial dependence in count data
    Journal of Time Series Analysis, 2013, 34, (3), 315-329 Downloads
  3. Testing for parameter constancy in non-Gaussian time series
    Journal of Time Series Analysis, 2013, 34, (1), 17-29 Downloads

2011

  1. Efficient probabilistic forecasts for counts
    Journal of the Royal Statistical Society Series B, 2011, 73, (2), 253-272 View citations (5)

2008

  1. Maximum likelihood estimation of higher-order integer-valued autoregressive processes
    Journal of Time Series Analysis, 2008, 29, (6), 973-994 Downloads View citations (2)
  2. Model selection, estimation and forecasting in INAR(p) models: A likelihood-based Markov Chain approach
    International Journal of Forecasting, 2008, 24, (1), 151-162 Downloads View citations (3)
  3. TESTING FOR LONG MEMORY
    Econometric Theory, 2008, 24, (01), 143-175 Downloads View citations (9)

2007

  1. MODIFIED KPSS TESTS FOR NEAR INTEGRATION
    Econometric Theory, 2007, 23, (02), 355-363 Downloads View citations (4)

2006

  1. A RESIDUAL-BASED TEST FOR STOCHASTIC COINTEGRATION
    Econometric Theory, 2006, 22, (03), 429-456 Downloads View citations (1)

2005

  1. Assessing Persistence In Discrete Nonstationary Time-Series Models
    Journal of Time Series Analysis, 2005, 26, (2), 305-317 Downloads
  2. Asymptotic properties of CLS estimators in the Poisson AR(1) model
    Statistics & Probability Letters, 2005, 73, (2), 147-153 Downloads View citations (2)
  3. Bayesian predictions of low count time series
    International Journal of Forecasting, 2005, 21, (2), 315-330 Downloads View citations (15)
  4. Panel Stationarity Tests for Purchasing Power Parity With Cross-Sectional Dependence
    Journal of Business & Economic Statistics, 2005, 23, 395-409 Downloads View citations (38)

2004

  1. Analysis of low count time series data by poisson autoregression
    Journal of Time Series Analysis, 2004, 25, (5), 701-722 Downloads View citations (10)
  2. Forecasting discrete valued low count time series
    International Journal of Forecasting, 2004, 20, (3), 427-434 Downloads View citations (17)

2003

  1. SOME LIMIT THEORY FOR AUTOCOVARIANCES WHOSE ORDER DEPENDS ON SAMPLE SIZE
    Econometric Theory, 2003, 19, (05), 829-864 Downloads View citations (14)

2002

  1. Stochastic cointegration: estimation and inference
    Journal of Econometrics, 2002, 111, (2), 363-384 Downloads View citations (12)

1999

  1. Modified Stationarity Tests with Data-Dependent Model-Selection Rules
    Journal of Business & Economic Statistics, 1999, 17, (2), 264-70 View citations (16)

1998

  1. ON ESTIMATING AN ARMA MODEL WITH AN MA UNIT ROOT
    Econometric Theory, 1998, 14, (03), 326-338 Downloads View citations (3)

1996

  1. Can Economic Time Series Be Differenced to Stationarity?
    Journal of Business & Economic Statistics, 1996, 14, (4), 435-46 View citations (35)

1994

  1. A Consistent Test for a Unit Root
    Journal of Business & Economic Statistics, 1994, 12, (2), 157-66 View citations (89)
  2. A Simple Test for Cointegration
    Oxford Bulletin of Economics and Statistics, 1994, 56, (1), 97-103 View citations (12)

1993

  1. On the moments of certain stochastic integrals
    Statistics & Probability Letters, 1993, 18, (1), 65-72 Downloads

1992

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

1990

  1. An extension of Anderson's multiple decision procedure
    Statistics & Probability Letters, 1990, 9, (2), 119-124 Downloads

1989

  1. A Sequential Approach to Testing for Structural Change in Econometric Models
    Empirical Economics, 1989, 14, (2), 151-65
  2. Misspecification tests in econometrics based on ranks
    Journal of Econometrics, 1989, 40, (2), 261-278 Downloads View citations (4)
  3. 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)

1988

  1. A Multiple Decision Theory Analysis of Structural Stability in Regression
    Econometric Theory, 1988, 4, (03), 499-508 Downloads

1987

  1. Testing regression models for random effects outliers under elliptical symmetry
    Economics Letters, 1987, 25, (1), 47-49 Downloads

1983

  1. The independence of tests for structural change in regression models
    Economics Letters, 1983, 12, (3-4), 283-287 Downloads View citations (3)

1975

  1. Tests for the Severity of Multicollinearity in Regression Analysis: A Comment
    The Review of Economics and Statistics, 1975, 57, (3), 368-70 Downloads View citations (1)
 
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