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Details about David I. Harvey

Homepage:https://www.nottingham.ac.uk/economics/people/dave.harvey
Workplace:Granger Centre for Time Series Econometrics, School of Economics, University of Nottingham, (more information at EDIRC)

Access statistics for papers by David I. Harvey.

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

Short-id: pha1238


Jump to Journal Articles Chapters

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 Downloads
    See also Journal Article in Journal of Econometrics (2021)

2020

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

2018

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

2017

  1. A bootstrap stationarity test for predictive regression invalidity
    Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics Downloads
    See also Journal Article in Journal of Business & Economic Statistics (2019)
  2. Forecast evaluation tests and negative long-run variance estimates in small samples
    Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics Downloads View citations (13)
    See also Journal Article in International Journal of Forecasting (2017)
  3. Testing for a unit root against ESTAR stationarity
    Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics Downloads
    See also Journal Article in Studies in Nonlinear Dynamics & Econometrics (2018)

2016

  1. Tests for an end-of-sample bubble in financial time series
    Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics Downloads View citations (2)
    See also Journal Article in Econometric Reviews (2017)
  2. The impact of the initial condition on covariate augmented unit root tests
    Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics Downloads View citations (1)
    See also Journal Article in Journal of Time Series Econometrics (2017)

2014

  1. 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 Downloads
    See also Journal Article in Journal of Econometrics (2015)

2013

  1. Break date estimation for models with deterministic structural change
    Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics Downloads View citations (8)
    See also Journal Article in Oxford Bulletin of Economics and Statistics (2014)

2012

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

2011

  1. Robust methods for detecting multiple level breaks in autocorrelated time series
    Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics Downloads
    Also in Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics (2010) Downloads View citations (32)

    See also Journal Article in Journal of Econometrics (2010)
  2. Unit root testing under a local break in trend
    Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics Downloads
    Also in Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics (2010) Downloads

    See also Journal Article in Journal of Econometrics (2012)

2009

  1. 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 Downloads View citations (1)
  2. Testing for nonlinear trends when the order of integration is unknown
    Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics Downloads
  3. 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 Downloads View citations (18)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2008) Downloads View citations (3)

    See also Journal Article in Econometric Theory (2011)
  4. The impact of the initial condition on robust tests for a linear trend
    Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics Downloads
    See also Journal Article in Journal of Time Series Analysis (2010)

2008

  1. 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 Downloads View citations (1)
    See also Journal Article in Econometric Theory (2010)
  2. Panel root tests and the impact of initial observations
    Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics Downloads
  3. Seasonal unit root tests and the role of initial conditions
    Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics Downloads View citations (1)
    See also Journal Article in Econometrics Journal (2008)
  4. 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 Downloads View citations (3)
    See also Journal Article in Econometric Reviews (2011)
  5. 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 Downloads View citations (6)
    See also Journal Article in Journal of Econometrics (2012)

2007

  1. A powerful test for linearity when the order of integration is unknown
    Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics Downloads
    Also in Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics (2007) Downloads

    See also Journal Article in Studies in Nonlinear Dynamics & Econometrics (2008)
  2. 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 Downloads View citations (5)
    See also Journal Article in Econometric Theory (2009)
  3. 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 Downloads
  4. 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 Downloads View citations (1)
    See also Journal Article in Econometric Theory (2009)

2006

  1. A simple, robust and powerful test of the trend hypothesis
    Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics Downloads
    See also Journal Article in Journal of Econometrics (2007)
  2. Forecast Encompassing Tests and Probability Forecasts
    The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics Downloads View citations (5)
    Also in Economic Research Papers, University of Warwick - Department of Economics (2006) Downloads View citations (5)

    See also Journal Article in Journal of Applied Econometrics (2010)
  3. Simple, Robust and Powerful Tests of the Breaking Trend Hypothesis*
    Discussion Papers, University of Nottingham, School of Economics Downloads
    See also Journal Article in Econometric Theory (2009)

2005

  1. 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

  1. Modified Tests for a Change in Persistence
    Econometric Society 2004 Australasian Meetings, Econometric Society Downloads View citations (6)
    See also Journal Article in Journal of Econometrics (2006)

2003

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

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 Downloads View citations (2)
    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 Downloads
    See also Working Paper (2021)

2020

  1. Date-stamping multiple bubble regimes
    Journal of Empirical Finance, 2020, 58, (C), 226-246 Downloads View citations (2)
  2. SIGN-BASED UNIT ROOT TESTS FOR EXPLOSIVE FINANCIAL BUBBLES IN THE PRESENCE OF DETERMINISTICALLY TIME-VARYING VOLATILITY
    Econometric Theory, 2020, 36, (1), 122-169 Downloads View citations (3)

2019

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

2018

  1. Real‐Time Monitoring for Explosive Financial Bubbles
    Journal of Time Series Analysis, 2018, 39, (6), 863-891 Downloads View citations (5)
  2. Testing for a unit root against ESTAR stationarity
    Studies in Nonlinear Dynamics & Econometrics, 2018, 22, (1), 29 Downloads
    See also Working Paper (2017)
  3. Testing for parameter instability in predictive regression models
    Journal of Econometrics, 2018, 204, (1), 101-118 Downloads View citations (8)

2017

  1. Forecast evaluation tests and negative long-run variance estimates in small samples
    International Journal of Forecasting, 2017, 33, (4), 833-847 Downloads View citations (13)
    See also Working Paper (2017)
  2. Improving the accuracy of asset price bubble start and end date estimators
    Journal of Empirical Finance, 2017, 40, (C), 121-138 Downloads View citations (15)
  3. Long-Run Commodity Prices, Economic Growth, and Interest Rates: 17th Century to the Present Day
    World Development, 2017, 89, (C), 57-70 Downloads View citations (18)
  4. Tests for an end-of-sample bubble in financial time series
    Econometric Reviews, 2017, 36, (6-9), 651-666 Downloads View citations (7)
    See also Working Paper (2016)
  5. The Impact of the Initial Condition on Covariate Augmented Unit Root Tests
    Journal of Time Series Econometrics, 2017, 9, (1), 23 Downloads
    See also Working Paper (2016)

2016

  1. 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 Downloads
  2. Tests for explosive financial bubbles in the presence of non-stationary volatility
    Journal of Empirical Finance, 2016, 38, (PB), 548-574 Downloads View citations (58)

2015

  1. 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 Downloads View citations (3)
    See also Working Paper (2014)
  2. Recursive Right-Tailed Unit Root Tests for an Explosive Asset Price Bubble
    The Journal of Financial Econometrics, 2015, 13, (1), 166-187 Downloads View citations (15)
  3. Robust and Powerful Tests for Nonlinear Deterministic Components
    Oxford Bulletin of Economics and Statistics, 2015, 77, (6), 780-799 Downloads View citations (8)
  4. 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 Downloads View citations (3)

2014

  1. Asymptotic behaviour of tests for a unit root against an explosive alternative
    Economics Letters, 2014, 122, (1), 64-68 Downloads View citations (4)
  2. Break Date Estimation for Models with Deterministic Structural Change
    Oxford Bulletin of Economics and Statistics, 2014, 76, (5), 623-642 Downloads View citations (3)
    See also Working Paper (2013)
  3. On infimum Dickey–Fuller unit root tests allowing for a trend break under the null
    Computational Statistics & Data Analysis, 2014, 78, (C), 235-242 Downloads View citations (2)
  4. Robust tests for a linear trend with an application to equity indices
    Journal of Empirical Finance, 2014, 29, (C), 168-185 Downloads
  5. 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 Downloads View citations (4)

2013

  1. A bootstrap test for additive outliers in non-stationary time series
    Journal of Time Series Analysis, 2013, 34, (4), 454-465 Downloads View citations (1)
  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 Downloads View citations (40)

2012

  1. An infimum coefficient unit root test allowing for an unknown break in trend
    Economics Letters, 2012, 117, (1), 298-302 Downloads View citations (3)
  2. Testing for unit roots in the presence of uncertainty over both the trend and initial condition
    Journal of Econometrics, 2012, 169, (2), 188-195 Downloads View citations (17)
    See also Working Paper (2008)
  3. Unit root testing under a local break in trend
    Journal of Econometrics, 2012, 167, (1), 140-167 Downloads View citations (10)
    See also Working Paper (2011)

2011

  1. Combining probability forecasts
    International Journal of Forecasting, 2011, 27, (2), 208-223 Downloads View citations (29)
    Also in International Journal of Forecasting, 2011, 27, (2), 208-223 (2011) Downloads View citations (29)
  2. Exchange rate regime verification: An alternative method of testing for regime changes
    Economics Letters, 2011, 113, (1), 96-98 Downloads View citations (5)
  3. TESTING FOR UNIT ROOTS IN THE PRESENCE OF A POSSIBLE BREAK IN TREND AND NONSTATIONARY VOLATILITY
    Econometric Theory, 2011, 27, (5), 957-991 Downloads View citations (11)
    See also Working Paper (2009)
  4. 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 Downloads View citations (14)
    See also Working Paper (2008)

2010

  1. Forecast encompassing tests and probability forecasts
    Journal of Applied Econometrics, 2010, 25, (6), 1028-1062 Downloads View citations (19)
    See also Working Paper (2006)
  2. 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 Downloads View citations (16)
    See also Working Paper (2008)
  3. Robust methods for detecting multiple level breaks in autocorrelated time series
    Journal of Econometrics, 2010, 157, (2), 342-358 Downloads View citations (28)
    See also Working Paper (2011)
  4. Testing for nonlinear deterministic components when the order of integration is unknown
    Journal of Time Series Analysis, 2010, 31, (5), 379-391 Downloads View citations (6)
  5. The Prebisch-Singer Hypothesis: Four Centuries of Evidence
    The Review of Economics and Statistics, 2010, 92, (2), 367-377 Downloads View citations (139)
  6. The impact of the initial condition on robust tests for a linear trend
    Journal of Time Series Analysis, 2010, 31, (4), 292-302 Downloads View citations (5)
    See also Working Paper (2009)

2009

  1. REJOINDER
    Econometric Theory, 2009, 25, (3), 658-667 Downloads View citations (1)
  2. SIMPLE, ROBUST, AND POWERFUL TESTS OF THE BREAKING TREND HYPOTHESIS
    Econometric Theory, 2009, 25, (4), 995-1029 Downloads View citations (68)
    See also Working Paper (2006)
  3. TESTING FOR A UNIT ROOT IN THE PRESENCE OF A POSSIBLE BREAK IN TREND
    Econometric Theory, 2009, 25, (6), 1545-1588 Downloads View citations (43)
    See also Working Paper (2007)
  4. UNIT ROOT TESTING IN PRACTICE: DEALING WITH UNCERTAINTY OVER THE TREND AND INITIAL CONDITION
    Econometric Theory, 2009, 25, (3), 587-636 Downloads View citations (74)
    See also Working Paper (2007)

2008

  1. A Powerful Test for Linearity When the Order of Integration is Unknown
    Studies in Nonlinear Dynamics & Econometrics, 2008, 12, (3), 1-24 Downloads View citations (53)
    See also Working Paper (2007)
  2. 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 Downloads
  3. Seasonal unit root tests and the role of initial conditions
    Econometrics Journal, 2008, 11, (3), 409-442
    See also Working Paper (2008)

2007

  1. A simple, robust and powerful test of the trend hypothesis
    Journal of Econometrics, 2007, 141, (2), 1302-1330 Downloads View citations (58)
    See also Working Paper (2006)
  2. Testing for time series linearity
    Econometrics Journal, 2007, 10, (1), 149-165 View citations (53)

2006

  1. Modified tests for a change in persistence
    Journal of Econometrics, 2006, 134, (2), 441-469 Downloads View citations (64)
    See also Working Paper (2004)
  2. On Robust Trend Function Hypothesis Testing
    Studies in Nonlinear Dynamics & Econometrics, 2006, 10, (1), 1-27 Downloads View citations (1)
    See also Working Paper (2005)
  3. Power of a Unit‐Root Test and the Initial Condition
    Journal of Time Series Analysis, 2006, 27, (5), 739-752 Downloads View citations (10)
  4. Sample size, lag order and critical values of seasonal unit root tests
    Computational Statistics & Data Analysis, 2006, 50, (10), 2734-2751 Downloads View citations (15)

2005

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

2004

  1. Tests for Stationarity in Series with Endogenously Determined Structural Change
    Oxford Bulletin of Economics and Statistics, 2004, 66, (5), 863-894 Downloads View citations (11)
  2. Tests for a Break in Level when the Order of Integration is Unknown
    Oxford Bulletin of Economics and Statistics, 2004, 66, (1), 133-146 Downloads

2003

  1. A NOTE ON BUSETTI–HARVEY TESTS FOR STATIONARITY IN SERIES WITH STRUCTURAL BREAKS
    Journal of Time Series Analysis, 2003, 24, (2), 159-164 Downloads View citations (5)
  2. How great are the great ratios?
    Applied Economics, 2003, 35, (2), 163-177 Downloads View citations (23)
  3. Modelling trends in central England temperatures
    Journal of Forecasting, 2003, 22, (1), 35-47 Downloads View citations (7)
  4. The non-normality of some macroeconomic forecast errors
    International Journal of Forecasting, 2003, 19, (4), 635-653 Downloads View citations (19)

2002

  1. Common features in UK sectoral output
    Economic Modelling, 2002, 19, (1), 91-104 Downloads View citations (4)
  2. Seasonal unit root tests with seasonal mean shifts
    Economics Letters, 2002, 76, (2), 295-302 Downloads View citations (23)
  3. Unit roots and double smooth transitions
    Journal of Applied Statistics, 2002, 29, (5), 675-683 Downloads View citations (29)

2001

  1. Analysis of a panel of UK macroeconomic forecasts
    Econometrics Journal, 2001, 4, (1), S37-S55 View citations (28)
  2. Innovational Outlier Unit Root Tests With an Endogenously Determined Break in Level
    Oxford Bulletin of Economics and Statistics, 2001, 63, (5), 559-575 Downloads View citations (15)

2000

  1. Tests for multiple forecast encompassing
    Journal of Applied Econometrics, 2000, 15, (5), 471-482 Downloads View citations (59)

1998

  1. Tests for Forecast Encompassing
    Journal of Business & Economic Statistics, 1998, 16, (2), 254-59 View citations (470)

1997

  1. Testing the equality of prediction mean squared errors
    International Journal of Forecasting, 1997, 13, (2), 281-291 Downloads View citations (1019)

Chapters

2009

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