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
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Working Papers
2021
- 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
- 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
- Detecting Regimes of Predictability in the U.S. Equity Premium
Essex Finance Centre Working Papers, University of Essex, Essex Business School View citations (1)
- 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
- 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)
- 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)
- 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
- 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)
- 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
- 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
- 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
- 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
- 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)
- 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
- 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)
- Testing for nonlinear trends when the order of integration is unknown
Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics
- 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)
- 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
- 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)
- Panel root tests and the impact of initial observations
Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics
- 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)
- 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)
- 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
- 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)
- 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)
- 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
- 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
- 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)
- 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)
- 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
- 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
- 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
- On Unit Root Tests and the Initial Observation
Econometrics, University Library of Munich, Germany
Journal Articles
2021
- 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)
- 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
- Date-stamping multiple bubble regimes
Journal of Empirical Finance, 2020, 58, (C), 226-246 View citations (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
- 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)
- Testing explosive bubbles with time-varying volatility
Econometric Reviews, 2019, 38, (10), 1131-1151 View citations (9)
See also Working Paper (2018)
2018
- Real‐Time Monitoring for Explosive Financial Bubbles
Journal of Time Series Analysis, 2018, 39, (6), 863-891 View citations (6)
- Testing for a unit root against ESTAR stationarity
Studies in Nonlinear Dynamics & Econometrics, 2018, 22, (1), 29 
See also Working Paper (2017)
- Testing for parameter instability in predictive regression models
Journal of Econometrics, 2018, 204, (1), 101-118 View citations (14)
2017
- 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)
- Improving the accuracy of asset price bubble start and end date estimators
Journal of Empirical Finance, 2017, 40, (C), 121-138 View citations (23)
- 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)
- 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)
- 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
- 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
- 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
- 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)
- 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)
- Robust and Powerful Tests for Nonlinear Deterministic Components
Oxford Bulletin of Economics and Statistics, 2015, 77, (6), 780-799 View citations (8)
- 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
- Asymptotic behaviour of tests for a unit root against an explosive alternative
Economics Letters, 2014, 122, (1), 64-68 View citations (5)
- 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)
- 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)
- Robust tests for a linear trend with an application to equity indices
Journal of Empirical Finance, 2014, 29, (C), 168-185
- 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
- A bootstrap test for additive outliers in non-stationary time series
Journal of Time Series Analysis, 2013, 34, (4), 454-465 View citations (2)
- 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
- An infimum coefficient unit root test allowing for an unknown break in trend
Economics Letters, 2012, 117, (1), 298-302 View citations (3)
- 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)
- 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
- 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)
- Exchange rate regime verification: An alternative method of testing for regime changes
Economics Letters, 2011, 113, (1), 96-98 View citations (6)
- 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)
- 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
- Forecast encompassing tests and probability forecasts
Journal of Applied Econometrics, 2010, 25, (6), 1028-1062 View citations (19)
See also Working Paper (2006)
- 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)
- 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)
- 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)
- The Prebisch-Singer Hypothesis: Four Centuries of Evidence
The Review of Economics and Statistics, 2010, 92, (2), 367-377 View citations (142)
- 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
- REJOINDER
Econometric Theory, 2009, 25, (3), 658-667 View citations (1)
- 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)
- 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)
- 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
- 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)
- 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
- Seasonal unit root tests and the role of initial conditions
Econometrics Journal, 2008, 11, (3), 409-442
See also Working Paper (2008)
2007
- 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)
- Testing for time series linearity
Econometrics Journal, 2007, 10, (1), 149-165 View citations (54)
2006
- Modified tests for a change in persistence
Journal of Econometrics, 2006, 134, (2), 441-469 View citations (71)
See also Working Paper (2004)
- On Robust Trend Function Hypothesis Testing
Studies in Nonlinear Dynamics & Econometrics, 2006, 10, (1), 1-27 View citations (1)
See also Working Paper (2005)
- Power of a Unit‐Root Test and the Initial Condition
Journal of Time Series Analysis, 2006, 27, (5), 739-752 View citations (10)
- 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
- Corrigendum to ''Common features in UK sectoral output'': [Economic Modelling 19 (2002) 91-104]
Economic Modelling, 2005, 22, (1), 207-211
- Evidence for common features in G7 macroeconomic time series
Applied Economics, 2005, 37, (2), 165-175 View citations (10)
- Forecast Encompassing and Parameter Estimation*
Oxford Bulletin of Economics and Statistics, 2005, 67, (s1), 815-835 View citations (7)
- On testing for unit roots and the initial observation
Econometrics Journal, 2005, 8, (1), 97-111 View citations (24)
2004
- Tests for Stationarity in Series with Endogenously Determined Structural Change
Oxford Bulletin of Economics and Statistics, 2004, 66, (5), 863-894 View citations (13)
- 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
- 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)
- How great are the great ratios?
Applied Economics, 2003, 35, (2), 163-177 View citations (23)
- Modelling trends in central England temperatures
Journal of Forecasting, 2003, 22, (1), 35-47 View citations (7)
- The non-normality of some macroeconomic forecast errors
International Journal of Forecasting, 2003, 19, (4), 635-653 View citations (18)
2002
- Common features in UK sectoral output
Economic Modelling, 2002, 19, (1), 91-104 View citations (4)
- Seasonal unit root tests with seasonal mean shifts
Economics Letters, 2002, 76, (2), 295-302 View citations (27)
- Unit roots and double smooth transitions
Journal of Applied Statistics, 2002, 29, (5), 675-683 View citations (29)
2001
- Analysis of a panel of UK macroeconomic forecasts
Econometrics Journal, 2001, 4, (1), S37-S55 View citations (28)
- 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
- Tests for multiple forecast encompassing
Journal of Applied Econometrics, 2000, 15, (5), 471-482 View citations (61)
1998
- Tests for Forecast Encompassing
Journal of Business & Economic Statistics, 1998, 16, (2), 254-59 View citations (494)
1997
- Testing the equality of prediction mean squared errors
International Journal of Forecasting, 1997, 13, (2), 281-291 View citations (1102)
Chapters
2009
- Forecast Combination and Encompassing
Palgrave Macmillan View citations (15)
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