Details about Brendan McCabe

Access statistics for papers by Brendan McCabe.

Last updated 2012-10-17. Update your information in the RePEc Author Service.

Short-id: pmc192

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 View citations (1)

2010

2. 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

2009

3. Optimal Probabilistic Forecasts for Counts
   Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics

2006

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

2004

5. Testing for Dependence in Non-Gaussian Time Series Data
   Econometric Society 2004 Australasian Meetings, Econometric Society
   Also in Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics (2004) View citations (3)

2003

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

1995

10. Testing a Time-Series for Difference Stationarity
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (6)

Journal Articles

2011

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

2008

2. Maximum likelihood estimation of higher-order integer-valued autoregressive processes
   Journal of Time Series Analysis, 2008, 29, (6), 973-994 View citations (1)
3. Model selection, estimation and forecasting in INAR(p) models: A likelihood-based Markov Chain approach
   International Journal of Forecasting, 2008, 24, (1), 151-162 View citations (1)
4. TESTING FOR LONG MEMORY
   Econometric Theory, 2008, 24, (01), 143-175 View citations (7)

2007

5. MODIFIED KPSS TESTS FOR NEAR INTEGRATION
   Econometric Theory, 2007, 23, (02), 355-363 View citations (2)

2006

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

2005

7. Assessing Persistence In Discrete Nonstationary Time-Series Models
   Journal of Time Series Analysis, 2005, 26, (2), 305-317
8. Asymptotic properties of CLS estimators in the Poisson AR(1) model
   Statistics & Probability Letters, 2005, 73, (2), 147-153 View citations (2)
9. Bayesian predictions of low count time series
   International Journal of Forecasting, 2005, 21, (2), 315-330 View citations (12)
10. Panel Stationarity Tests for Purchasing Power Parity With Cross-Sectional Dependence
    Journal of Business & Economic Statistics, 2005, 23, 395-409 View citations (25)

2004

11. Analysis of low count time series data by poisson autoregression
    Journal of Time Series Analysis, 2004, 25, (5), 701-722 View citations (10)
12. Forecasting discrete valued low count time series
    International Journal of Forecasting, 2004, 20, (3), 427-434 View citations (13)

2003

13. SOME LIMIT THEORY FOR AUTOCOVARIANCES WHOSE ORDER DEPENDS ON SAMPLE SIZE
    Econometric Theory, 2003, 19, (05), 829-864 View citations (11)

2002

14. Stochastic cointegration: estimation and inference
    Journal of Econometrics, 2002, 111, (2), 363-384 View citations (7)

1999

15. Modified Stationarity Tests with Data-Dependent Model-Selection Rules
    Journal of Business & Economic Statistics, 1999, 17, (2), 264-70 View citations (15)

1998

16. ON ESTIMATING AN ARMA MODEL WITH AN MA UNIT ROOT
    Econometric Theory, 1998, 14, (03), 326-338 View citations (4)

1996

17. Can Economic Time Series Be Differenced to Stationarity?
    Journal of Business & Economic Statistics, 1996, 14, (4), 435-46 View citations (30)

1994

18. A Consistent Test for a Unit Root
    Journal of Business & Economic Statistics, 1994, 12, (2), 157-66 View citations (78)
19. A Simple Test for Cointegration
    Oxford Bulletin of Economics and Statistics, 1994, 56, (1), 97-103 View citations (11)

1993

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

1992

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

1990

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

1989

23. A Sequential Approach to Testing for Structural Change in Econometric Models
    Empirical Economics, 1989, 14, (2), 151-65
24. Misspecification tests in econometrics based on ranks
    Journal of Econometrics, 1989, 40, (2), 261-278 View citations (4)
25. 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

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

1987

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

1983

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

1975

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