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Details about Stephen Leybourne

E-mail:
Homepage:http://www.nottingham.ac.uk/%7Elezsl/main.htm
Phone:+44 (0) 115 95 15478
Postal address:School of Economics University of Nottingham Nottingham NG7 2RD UK
Workplace:School of Economics, University of Nottingham, (more information at EDIRC)

Access statistics for papers by Stephen Leybourne.

Last updated 2018-09-12. Update your information in the RePEc Author Service.

Short-id: ple113


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Working Papers

2018

  1. A Bootstrap Stationarity Test for Predictive Regression Invalidity
    Essex Finance Centre Working Papers, University of Essex, Essex Business School Downloads View citations (1)
    Also in Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics (2017) Downloads
  2. Testing for Parameter Instability in Predictive Regression Models
    Essex Finance Centre Working Papers, University of Essex, Essex Business School Downloads View citations (1)
    See also Journal Article in Journal of Econometrics (2018)

2017

  1. Forecast evaluation tests and negative long-run variance estimates in small samples
    Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics Downloads
    See also Journal Article in International Journal of Forecasting (2017)
  2. 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
    See also Journal Article in Econometric Reviews (2017)
  2. Tests of the Co-integration Rank in VAR Models in the Presence of a Possible Break in Trend at an Unknown Point
    Essex Finance Centre Working Papers, University of Essex, Essex Business School Downloads View citations (3)
    See also Journal Article in Journal of Econometrics (2016)
  3. The impact of the initial condition on covariate augmented unit root tests
    Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics Downloads
    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
    See also Journal Article in Oxford Bulletin of Economics and Statistics (2014)

2011

  1. On the behaviour of fixed-b trend break tests under fractional integration
    Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics Downloads
    See also Journal Article in Econometric Theory (2013)
  2. 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 (26)

    See also Journal Article in Journal of Econometrics (2010)
  3. 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 (12)
    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 (1)
    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
    See also Journal Article in Studies in Nonlinear Dynamics & Econometrics (2008)
  2. A powerful test for linearity when the order of integration is unknown [Revised to become No. 07/06 above]
    Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics Downloads
  3. 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 (2)
    See also Journal Article in Econometric Theory (2009)
  4. 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
  5. 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
    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. 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 (3)
    See also Journal Article in Journal of Econometrics (2006)

2003

  1. Behaviour of Dickey-Fuller Unit Root Tests Under Trend Misspecification
    Econometrics, University Library of Munich, Germany Downloads View citations (3)
    See also Journal Article in Journal of Time Series Analysis (2004)
  2. EXAMINATION OF SOME MORE POWERFUL MODIFICATIONS OF THE DICKEY- FULLER TEST
    Econometrics, University Library of Munich, Germany Downloads View citations (11)
    See also Journal Article in Journal of Time Series Analysis (2005)
  3. On Unit Root Tests and the Initial Observation
    Econometrics, University Library of Munich, Germany Downloads
  4. Panel Stationarity Tests with Cross-sectional Dependence
    Econometrics, University Library of Munich, Germany Downloads View citations (6)
  5. Testing for Stochastic Cointegration and Evidence for Present Value Models
    Econometrics, University Library of Munich, Germany Downloads View citations (6)

2001

  1. U.S. and U.K. Interest Rates 1890 - 1934: New Evidence on Structural Breaks
    Economic Papers, Trinity College Dublin, Economics Department Downloads View citations (4)

1997

  1. Disinflation and Central Bank Independence in Australia, Canada and New Zealand: Evidence from Smooth Transition Analysis
    Discussion Papers, University of Nottingham, School of Economics View citations (4)

1988

  1. ECONOMIC GROWTH IN NINETEETH CENTURY BRITAIN: COMPARISONS WITH EUROPE IN THE CONTEXT OF GERSCHENKRON'S HYPOTHESES
    The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics Downloads View citations (1)
    Also in Economic Research Papers, University of Warwick - Department of Economics (1988) Downloads

Undated

  1. Testing for Seasonal Unit Roots: a simple alternative to HEGY
    Discussion Papers, Department of Economics, University of York View citations (1)
  2. Trade Liberalisation and Growth
    Working Papers, Department of Economics, University of Lancaster View citations (4)

Journal Articles

2018

  1. Testing for a unit root against ESTAR stationarity
    Studies in Nonlinear Dynamics & Econometrics, 2018, 22, (1), 29 Downloads
    See also Working Paper (2017)
  2. Testing for parameter instability in predictive regression models
    Journal of Econometrics, 2018, 204, (1), 101-118 Downloads View citations (1)
    See also Working Paper (2018)

2017

  1. Forecast evaluation tests and negative long-run variance estimates in small samples
    International Journal of Forecasting, 2017, 33, (4), 833-847 Downloads
    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 (7)
  3. Testing for a Change in Mean under Fractional Integration
    Journal of Time Series Econometrics, 2017, 9, (1), 8 Downloads
  4. Tests for an end-of-sample bubble in financial time series
    Econometric Reviews, 2017, 36, (6-9), 651-666 Downloads View citations (2)
    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 (26)
  3. Tests of the co-integration rank in VAR models in the presence of a possible break in trend at an unknown point
    Journal of Econometrics, 2016, 192, (2), 451-467 Downloads View citations (3)
    See also Working Paper (2016)

2015

  1. "Rockin' All Over The World": organisational improvisation lessons from the music-based practitioner
    International Journal of Management Concepts and Philosophy, 2015, 9, (1), 1-19 Downloads
  2. 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 (1)
    See also Working Paper (2014)
  3. Recursive Right-Tailed Unit Root Tests for an Explosive Asset Price Bubble
    Journal of Financial Econometrics, 2015, 13, (1), 166-187 Downloads View citations (9)
  4. Robust and Powerful Tests for Nonlinear Deterministic Components
    Oxford Bulletin of Economics and Statistics, 2015, 77, (6), 780-799 Downloads View citations (5)
  5. 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 (2)

2014

  1. A FIXED- b TEST FOR A BREAK IN LEVEL AT AN UNKNOWN TIME UNDER FRACTIONAL INTEGRATION
    Journal of Time Series Analysis, 2014, 35, (1), 40-54 Downloads View citations (6)
  2. Asymptotic behaviour of tests for a unit root against an explosive alternative
    Economics Letters, 2014, 122, (1), 64-68 Downloads View citations (4)
  3. 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)
  4. 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 (1)
  5. Preliminary design of the OWEL wave energy converter pre-commercial demonstrator
    Renewable Energy, 2014, 61, (C), 51-56 Downloads View citations (1)
  6. Robust tests for a linear trend with an application to equity indices
    Journal of Empirical Finance, 2014, 29, (C), 168-185 Downloads
  7. 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 (3)

2013

  1. ON THE BEHAVIOR OF FIXED-b TREND BREAK TESTS UNDER FRACTIONAL INTEGRATION
    Econometric Theory, 2013, 29, (02), 393-418 Downloads View citations (6)
    See also Working Paper (2011)
  2. Testing for a break in trend when the order of integration is unknown
    Journal of Econometrics, 2013, 176, (1), 30-45 Downloads View citations (10)
  3. 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 (24)

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 (2)
  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 (13)
    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 (7)
    See also Working Paper (2011)

2011

  1. TESTING FOR UNIT ROOTS IN THE PRESENCE OF A POSSIBLE BREAK IN TREND AND NONSTATIONARY VOLATILITY
    Econometric Theory, 2011, 27, (05), 957-991 Downloads View citations (3)
    See also Working Paper (2009)
  2. 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 (9)
    See also Working Paper (2008)

2010

  1. LOCAL ASYMPTOTIC POWER OF THE IM-PESARAN-SHIN PANEL UNIT ROOT TEST AND THE IMPACT OF INITIAL OBSERVATIONS
    Econometric Theory, 2010, 26, (01), 311-324 Downloads View citations (13)
    See also Working Paper (2008)
  2. Robust methods for detecting multiple level breaks in autocorrelated time series
    Journal of Econometrics, 2010, 157, (2), 342-358 Downloads View citations (17)
    See also Working Paper (2011)
  3. 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 (4)
  4. 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 (4)
    See also Working Paper (2009)

2009

  1. REJOINDER
    Econometric Theory, 2009, 25, (03), 658-667 Downloads View citations (1)
  2. SIMPLE, ROBUST, AND POWERFUL TESTS OF THE BREAKING TREND HYPOTHESIS
    Econometric Theory, 2009, 25, (04), 995-1029 Downloads View citations (62)
    See also Working Paper (2006)
  3. SPECIAL ISSUE OF ECONOMETRIC THEORY IN HONOR OF PAUL NEWBOLD: GUEST EDITORS’ INTRODUCTION
    Econometric Theory, 2009, 25, (06), 1451-1456 Downloads
  4. TESTING FOR A UNIT ROOT IN THE PRESENCE OF A POSSIBLE BREAK IN TREND
    Econometric Theory, 2009, 25, (06), 1545-1588 Downloads View citations (36)
    See also Working Paper (2007)
  5. THE RESEARCH INTERESTS OF PAUL NEWBOLD
    Econometric Theory, 2009, 25, (06), 1460-1465 Downloads
  6. UNIT ROOT TESTING IN PRACTICE: DEALING WITH UNCERTAINTY OVER THE TREND AND INITIAL CONDITION
    Econometric Theory, 2009, 25, (03), 587-636 Downloads View citations (57)
    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 (25)
    See also Working Paper (2007)
  2. A more powerful modification of Johansen's cointegration tests
    Applied Economics, 2008, 40, (6), 725-729 Downloads
  3. 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
  4. Seasonal unit root tests and the role of initial conditions
    Econometrics Journal, 2008, 11, (3), 409-442 Downloads
    See also Working Paper (2008)
  5. TESTING FOR LONG MEMORY
    Econometric Theory, 2008, 24, (01), 143-175 Downloads View citations (13)

2007

  1. A simple, robust and powerful test of the trend hypothesis
    Journal of Econometrics, 2007, 141, (2), 1302-1330 Downloads View citations (52)
    See also Working Paper (2006)
  2. CUSUM of Squares‐Based Tests for a Change in Persistence
    Journal of Time Series Analysis, 2007, 28, (3), 408-433 Downloads View citations (33)
  3. Detecting Multiple Changes in Persistence
    Studies in Nonlinear Dynamics & Econometrics, 2007, 11, (3), 1-34 Downloads View citations (30)
  4. MODIFIED KPSS TESTS FOR NEAR INTEGRATION
    Econometric Theory, 2007, 23, (02), 355-363 Downloads View citations (7)
  5. Testing for time series linearity
    Econometrics Journal, 2007, 10, (1), 149-165 Downloads View citations (33)

2006

  1. A RESIDUAL-BASED TEST FOR STOCHASTIC COINTEGRATION
    Econometric Theory, 2006, 22, (03), 429-456 Downloads View citations (3)
  2. Modified tests for a change in persistence
    Journal of Econometrics, 2006, 134, (2), 441-469 Downloads View citations (51)
    See also Working Paper (2004)
  3. 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)
  4. Persistence change tests and shifting stable autoregressions
    Economics Letters, 2006, 91, (1), 44-49 Downloads View citations (3)
  5. Power of a Unit‐Root Test and the Initial Condition
    Journal of Time Series Analysis, 2006, 27, (5), 739-752 Downloads View citations (7)
  6. Regression-based Tests for a Change in Persistence
    Oxford Bulletin of Economics and Statistics, 2006, 68, (5), 595-621 Downloads View citations (12)

2005

  1. Examination of Some More Powerful Modifications of the Dickey-Fuller Test
    Journal of Time Series Analysis, 2005, 26, (3), 355-369 Downloads View citations (23)
    See also Working Paper (2003)
  2. On testing for unit roots and the initial observation
    Econometrics Journal, 2005, 8, (1), 97-111 Downloads View citations (19)
  3. Panel Stationarity Tests for Purchasing Power Parity With Cross-Sectional Dependence
    Journal of Business & Economic Statistics, 2005, 23, 395-409 Downloads View citations (55)

2004

  1. Asymptotic mean-squared forecast error when an autoregression with linear trend is fitted to data generated by an I(0) or I(1) process
    Journal of Time Series Analysis, 2004, 25, (4), 583-602 Downloads View citations (1)
  2. Behaviour of Dickey-Fuller Unit-Root Tests Under Trend Misspecification
    Journal of Time Series Analysis, 2004, 25, (5), 755-764 Downloads View citations (7)
    See also Working Paper (2003)
  3. More powerful panel data unit root tests with an application to mean reversion in real exchange rates
    Journal of Applied Econometrics, 2004, 19, (2), 147-170 Downloads View citations (110)
  4. On tests for changes in persistence
    Economics Letters, 2004, 84, (1), 107-115 Downloads View citations (12)
  5. Some New Tests for a Change in Persistence
    Economics Bulletin, 2004, 3, (39), 1-10 Downloads View citations (3)
  6. 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. How great are the great ratios?
    Applied Economics, 2003, 35, (2), 163-177 Downloads View citations (17)
  2. Real Exchange Rate Dynamics Under The Current Float: A Re-Examination
    Manchester School, 2003, 71, (2), 156-171 Downloads View citations (8)
  3. SOME LIMIT THEORY FOR AUTOCOVARIANCES WHOSE ORDER DEPENDS ON SAMPLE SIZE
    Econometric Theory, 2003, 19, (05), 829-864 Downloads View citations (19)
  4. Seasonal Unit Root Tests Based on Forward and Reverse Estimation
    Journal of Time Series Analysis, 2003, 24, (4), 441-460 Downloads View citations (2)
  5. Spurious rejections by cointegration tests induced by structural breaks
    Applied Economics, 2003, 35, (9), 1117-1121 Downloads View citations (56)
  6. Tests for a change in persistence against the null of difference-stationarity
    Econometrics Journal, 2003, 6, (2), 291-311 Downloads View citations (46)

2002

  1. Seasonal unit root tests with seasonal mean shifts
    Economics Letters, 2002, 76, (2), 295-302 Downloads View citations (21)
  2. Stochastic cointegration: estimation and inference
    Journal of Econometrics, 2002, 111, (2), 363-384 Downloads View citations (16)
  3. Tests for Symmetric and Asymmetric Nonlinear Mean Reversion in Real Exchange Rates
    Journal of Money, Credit and Banking, 2002, 34, (3), 686-700 View citations (73)
  4. Unit root tests with a break in innovation variance
    Journal of Econometrics, 2002, 109, (2), 365-387 Downloads View citations (68)

2001

  1. Analysis of a panel of UK macroeconomic forecasts
    Econometrics Journal, 2001, 4, (1), S37-S55 View citations (23)
  2. Innovational Outlier Unit Root Tests with an Endogenously Determined Break in Level
    Oxford Bulletin of Economics and Statistics, 2001, 63, (5), 559-75 Downloads View citations (17)
  3. Trend-stationarity, difference-stationarity, or neither: further diagnostic tests with an application to U.S. Real GNP, 1875-1993
    Journal of Economics and Business, 2001, 53, (1), 85-102 Downloads View citations (6)

2000

  1. BEHAVIOR OF DICKEY FULLER t-TESTS WHEN THERE IS A BREAK UNDER THE ALTERNATIVE HYPOTHESIS
    Econometric Theory, 2000, 16, (05), 779-789 Downloads View citations (10)
  2. Behaviour of the standard and symmetric Dickey-Fuller-type tests when there is a break under the null hypothesis
    Econometrics Journal, 2000, 3, (1), 1-15 View citations (19)
  3. Smooth Transitions and GDP Growth in the European Union
    Manchester School, 2000, 68, (2), 145-65 Downloads View citations (6)
  4. Spurious Rejections by Perron Tests in the Presence of a Break
    Oxford Bulletin of Economics and Statistics, 2000, 62, (3), 433-44 Downloads View citations (16)
  5. Stochastic unit roots modelling of stock price indices
    Applied Financial Economics, 2000, 10, (3), 311-315 Downloads View citations (7)

1999

  1. Detecting Seasonal Unit Roots: An Approach Based on the Sample Autocorrelation Function
    Manchester School, 1999, 67, (3), 261-86 Downloads View citations (1)
  2. Mean Reversion of Real Exchange Rates in High-Inflation Countries
    Southern Economic Journal, 1999, 65, (4), 839-854 View citations (16)
  3. Modified Stationarity Tests with Data-Dependent Model-Selection Rules
    Journal of Business & Economic Statistics, 1999, 17, (2), 264-70 View citations (21)
  4. The behaviour of Dickey-Fuller and Phillips-Perron tests under the alternative hypothesis
    Econometrics Journal, 1999, 2, (1), 92-106 View citations (8)
  5. Understanding the disinflations in Australia, Canada and New Zealand using evidence from smooth transition analysis
    Journal of International Money and Finance, 1999, 18, (5), 799-816 Downloads View citations (19)

1998

  1. ON ESTIMATING AN ARMA MODEL WITH AN MA UNIT ROOT
    Econometric Theory, 1998, 14, (03), 326-338 Downloads View citations (3)
  2. Spurious rejections by Dickey-Fuller tests in the presence of a break under the null
    Journal of Econometrics, 1998, 87, (1), 191-203 Downloads View citations (105)
  3. Tests for Forecast Encompassing
    Journal of Business & Economic Statistics, 1998, 16, (2), 254-59 View citations (386)

1997

  1. Modeling Growth (and Liberalization) Using Smooth Transitions Analysis
    Economic Inquiry, 1997, 35, (4), 798-814 View citations (7)
  2. Testing the equality of prediction mean squared errors
    International Journal of Forecasting, 1997, 13, (2), 281-291 Downloads View citations (755)

1996

  1. Can Economic Time Series Be Differenced to Stationarity?
    Journal of Business & Economic Statistics, 1996, 14, (4), 435-46 View citations (51)

1995

  1. Testing for Unit Roots Using Forward and Reverse Dickey-Fuller Regressions
    Oxford Bulletin of Economics and Statistics, 1995, 57, (4), 559-71 View citations (90)

1994

  1. A Consistent Test for a Unit Root
    Journal of Business & Economic Statistics, 1994, 12, (2), 157-66 View citations (111)
  2. A Simple Test for Cointegration
    Oxford Bulletin of Economics and Statistics, 1994, 56, (1), 97-103 View citations (14)
  3. The excess comovement of commodity prices revisited
    World Development, 1994, 22, (11), 1747-1758 Downloads View citations (18)

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. Measurement of trend growth in European industrial output before 1914: Methodological issues and new estimates
    Explorations in Economic History, 1990, 27, (4), 442-467 Downloads View citations (3)

1989

  1. 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)
  2. The Climacteric in Late Victorian Britain and France: A Reappraisal of the Evidence
    Journal of Applied Econometrics, 1989, 4, (2), 103-17 Downloads View citations (16)

Edited books

2003

  1. Recent Developments in Time Series, vol Two volume set
    Books, Edward Elgar Publishing Downloads View citations (6)
 
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