Details about David I. Harvey

Access statistics for papers by David I. Harvey.

Last updated 2022-02-07. Update your information in the RePEc Author Service.

Short-id: pha1238

Working Papers

2021

1. Simple Tests for Stock Return Predictability with Good Size and Power Properties
   Essex Finance Centre Working Papers, University of Essex, Essex Business School View citations (1)
   See also Journal Article in Journal of Econometrics (2021)

2020

2. Real-Time Detection of Regimes of Predictability in the U.S. Equity Premium
   Essex Finance Centre Working Papers, University of Essex, Essex Business School View citations (3)
   See also Journal Article in Journal of Applied Econometrics (2021)

2018

3. Detecting Regimes of Predictability in the U.S. Equity Premium
   Essex Finance Centre Working Papers, University of Essex, Essex Business School View citations (1)
4. Testing explosive bubbles with time-varying volatility
   Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics View citations (3)
   See also Journal Article in Econometric Reviews (2019)

2017

5. A bootstrap stationarity test for predictive regression invalidity
   Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics View citations (1)
   See also Journal Article in Journal of Business & Economic Statistics (2019)
6. 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 (17)
   See also Journal Article in International Journal of Forecasting (2017)
7. Testing for a unit root against ESTAR stationarity
   Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics
   See also Journal Article in Studies in Nonlinear Dynamics & Econometrics (2018)

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 in Econometric Reviews (2017)
9. 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 in Journal of Time Series Econometrics (2017)

2014

10. 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 in Journal of Econometrics (2015)

2013

11. 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 in Oxford Bulletin of Economics and Statistics (2014)

2012

12. Trends and Cycles in Real Commodity Prices: 1650-2010
    CEH Discussion Papers, Centre for Economic History, Research School of Economics, Australian National University View citations (4)

2011

13. 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 (34)
    See also Journal Article in Journal of Econometrics (2010)
14. 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 in Journal of Econometrics (2012)

2009

15. 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)
16. Testing for nonlinear trends when the order of integration is unknown
    Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics
17. 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 in Econometric Theory (2011)
18. 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 in Journal of Time Series Analysis (2010)

2008

19. 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 in Econometric Theory (2010)
20. Panel root tests and the impact of initial observations
    Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics
21. 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 in Econometrics Journal (2008)
22. 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 in Econometric Reviews (2011)
23. 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 in Journal of Econometrics (2012)

2007

24. 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 in Studies in Nonlinear Dynamics & Econometrics (2008)
25. 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 in Econometric Theory (2009)
26. 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
27. 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 in Econometric Theory (2009)

2006

28. 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 in Journal of Econometrics (2007)
29. Forecast Encompassing Tests and Probability Forecasts
    Economic Research Papers, University of Warwick - Department of Economics View citations (6)
    Also in The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics (2006) View citations (6)
    See also Journal Article in Journal of Applied Econometrics (2010)
30. Simple, Robust and Powerful Tests of the Breaking Trend Hypothesis*
    Discussion Papers, University of Nottingham, School of Economics
    See also Journal Article in Econometric Theory (2009)

2005

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

2004

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

2003

33. On Unit Root Tests and the Initial Observation
    Econometrics, University Library of Munich, Germany

Journal Articles

2021

1. Real‐time detection of regimes of predictability in the US equity premium
   Journal of Applied Econometrics, 2021, 36, (1), 45-70 View citations (4)
   See also Working Paper (2020)
2. Simple tests for stock return predictability with good size and power properties
   Journal of Econometrics, 2021, 224, (1), 198-214 View citations (2)
   See also Working Paper (2021)

2020

3. Date-stamping multiple bubble regimes
   Journal of Empirical Finance, 2020, 58, (C), 226-246 View citations (4)
4. SIGN-BASED UNIT ROOT TESTS FOR EXPLOSIVE FINANCIAL BUBBLES IN THE PRESENCE OF DETERMINISTICALLY TIME-VARYING VOLATILITY
   Econometric Theory, 2020, 36, (1), 122-169 View citations (10)

2019

5. A Bootstrap Stationarity Test for Predictive Regression Invalidity
   Journal of Business & Economic Statistics, 2019, 37, (3), 528-541 View citations (7)
   See also Working Paper (2017)
6. Testing explosive bubbles with time-varying volatility
   Econometric Reviews, 2019, 38, (10), 1131-1151 View citations (9)
   See also Working Paper (2018)

2018

7. Real‐Time Monitoring for Explosive Financial Bubbles
   Journal of Time Series Analysis, 2018, 39, (6), 863-891 View citations (6)
8. Testing for a unit root against ESTAR stationarity
   Studies in Nonlinear Dynamics & Econometrics, 2018, 22, (1), 29
   See also Working Paper (2017)
9. Testing for parameter instability in predictive regression models
   Journal of Econometrics, 2018, 204, (1), 101-118 View citations (14)

2017

10. Forecast evaluation tests and negative long-run variance estimates in small samples
    International Journal of Forecasting, 2017, 33, (4), 833-847 View citations (17)
    See also Working Paper (2017)
11. Improving the accuracy of asset price bubble start and end date estimators
    Journal of Empirical Finance, 2017, 40, (C), 121-138 View citations (23)
12. Long-Run Commodity Prices, Economic Growth, and Interest Rates: 17th Century to the Present Day
    World Development, 2017, 89, (C), 57-70 View citations (20)
13. 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 (2016)
14. 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 (2016)

2016

15. 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
16. Tests for explosive financial bubbles in the presence of non-stationary volatility
    Journal of Empirical Finance, 2016, 38, (PB), 548-574 View citations (76)

2015

17. 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 (2014)
18. Recursive Right-Tailed Unit Root Tests for an Explosive Asset Price Bubble
    The Journal of Financial Econometrics, 2015, 13, (1), 166-187 View citations (20)
19. Robust and Powerful Tests for Nonlinear Deterministic Components
    Oxford Bulletin of Economics and Statistics, 2015, 77, (6), 780-799 View citations (8)
20. 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

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 (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. Robust tests for a linear trend with an application to equity indices
    Journal of Empirical Finance, 2014, 29, (C), 168-185
25. 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

26. A bootstrap test for additive outliers in non-stationary time series
    Journal of Time Series Analysis, 2013, 34, (4), 454-465 View citations (2)
27. 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 (41)

2012

28. An infimum coefficient unit root test allowing for an unknown break in trend
    Economics Letters, 2012, 117, (1), 298-302 View citations (3)
29. 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 (19)
    See also Working Paper (2008)
30. Unit root testing under a local break in trend
    Journal of Econometrics, 2012, 167, (1), 140-167 View citations (10)
    See also Working Paper (2011)

2011

31. Combining probability forecasts
    International Journal of Forecasting, 2011, 27, (2), 208-223 View citations (31)
    Also in International Journal of Forecasting, 2011, 27, (2), 208-223 (2011) View citations (31)
32. Exchange rate regime verification: An alternative method of testing for regime changes
    Economics Letters, 2011, 113, (1), 96-98 View citations (6)
33. 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 (13)
    See also Working Paper (2009)
34. 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 (15)
    See also Working Paper (2008)

2010

35. Forecast encompassing tests and probability forecasts
    Journal of Applied Econometrics, 2010, 25, (6), 1028-1062 View citations (19)
    See also Working Paper (2006)
36. 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 (2008)
37. Robust methods for detecting multiple level breaks in autocorrelated time series
    Journal of Econometrics, 2010, 157, (2), 342-358 View citations (31)
    See also Working Paper (2011)
38. 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)
39. The Prebisch-Singer Hypothesis: Four Centuries of Evidence
    The Review of Economics and Statistics, 2010, 92, (2), 367-377 View citations (142)
40. 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 (2009)

2009

41. REJOINDER
    Econometric Theory, 2009, 25, (3), 658-667 View citations (1)
42. SIMPLE, ROBUST, AND POWERFUL TESTS OF THE BREAKING TREND HYPOTHESIS
    Econometric Theory, 2009, 25, (4), 995-1029 View citations (73)
    See also Working Paper (2006)
43. 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 (2007)
44. UNIT ROOT TESTING IN PRACTICE: DEALING WITH UNCERTAINTY OVER THE TREND AND INITIAL CONDITION
    Econometric Theory, 2009, 25, (3), 587-636 View citations (77)
    See also Working Paper (2007)

2008

45. A Powerful Test for Linearity When the Order of Integration is Unknown
    Studies in Nonlinear Dynamics & Econometrics, 2008, 12, (3), 1-24 View citations (62)
    See also Working Paper (2007)
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 (2008)

2007

48. A simple, robust and powerful test of the trend hypothesis
    Journal of Econometrics, 2007, 141, (2), 1302-1330 View citations (60)
    See also Working Paper (2006)
49. Testing for time series linearity
    Econometrics Journal, 2007, 10, (1), 149-165 View citations (54)

2006

50. Modified tests for a change in persistence
    Journal of Econometrics, 2006, 134, (2), 441-469 View citations (71)
    See also Working Paper (2004)
51. On Robust Trend Function Hypothesis Testing
    Studies in Nonlinear Dynamics & Econometrics, 2006, 10, (1), 1-27 View citations (1)
    See also Working Paper (2005)
52. Power of a Unit‐Root Test and the Initial Condition
    Journal of Time Series Analysis, 2006, 27, (5), 739-752 View citations (10)
53. Sample size, lag order and critical values of seasonal unit root tests
    Computational Statistics & Data Analysis, 2006, 50, (10), 2734-2751 View citations (15)

2005

54. Corrigendum to ''Common features in UK sectoral output'': [Economic Modelling 19 (2002) 91-104]
    Economic Modelling, 2005, 22, (1), 207-211
55. Evidence for common features in G7 macroeconomic time series
    Applied Economics, 2005, 37, (2), 165-175 View citations (10)
56. Forecast Encompassing and Parameter Estimation*
    Oxford Bulletin of Economics and Statistics, 2005, 67, (s1), 815-835 View citations (7)
57. On testing for unit roots and the initial observation
    Econometrics Journal, 2005, 8, (1), 97-111 View citations (24)

2004

58. Tests for Stationarity in Series with Endogenously Determined Structural Change
    Oxford Bulletin of Economics and Statistics, 2004, 66, (5), 863-894 View citations (13)
59. 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

60. A NOTE ON BUSETTI–HARVEY TESTS FOR STATIONARITY IN SERIES WITH STRUCTURAL BREAKS
    Journal of Time Series Analysis, 2003, 24, (2), 159-164 View citations (6)
61. How great are the great ratios?
    Applied Economics, 2003, 35, (2), 163-177 View citations (23)
62. Modelling trends in central England temperatures
    Journal of Forecasting, 2003, 22, (1), 35-47 View citations (7)
63. The non-normality of some macroeconomic forecast errors
    International Journal of Forecasting, 2003, 19, (4), 635-653 View citations (18)

2002

64. Common features in UK sectoral output
    Economic Modelling, 2002, 19, (1), 91-104 View citations (4)
65. Seasonal unit root tests with seasonal mean shifts
    Economics Letters, 2002, 76, (2), 295-302 View citations (27)
66. Unit roots and double smooth transitions
    Journal of Applied Statistics, 2002, 29, (5), 675-683 View citations (29)

2001

67. Analysis of a panel of UK macroeconomic forecasts
    Econometrics Journal, 2001, 4, (1), S37-S55 View citations (28)
68. Innovational Outlier Unit Root Tests With an Endogenously Determined Break in Level
    Oxford Bulletin of Economics and Statistics, 2001, 63, (5), 559-575 View citations (18)

2000

69. Tests for multiple forecast encompassing
    Journal of Applied Econometrics, 2000, 15, (5), 471-482 View citations (61)

1998

70. Tests for Forecast Encompassing
    Journal of Business & Economic Statistics, 1998, 16, (2), 254-59 View citations (494)

1997

71. Testing the equality of prediction mean squared errors
    International Journal of Forecasting, 1997, 13, (2), 281-291 View citations (1102)

Chapters

2009

1. Forecast Combination and Encompassing
   Palgrave Macmillan View citations (15)