Details about Brendan McCabe

Access statistics for papers by Brendan McCabe.

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Short-id: pmc192

Working Papers

2019

1. Forecasting Observables with Particle Filters: Any Filter Will Do!
   Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics

2018

2. Approximate Bayesian forecasting
   Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (1)
   See also Journal Article Approximate Bayesian forecasting, International Journal of Forecasting, Elsevier (2019) View citations (22) (2019)
3. Structural Change and the Problem of Phantom Break Locations
   Working Papers, University of Liverpool, Department of Economics
   See also Journal Article Structural Change and the Problem of Phantom Break Locations, Manchester School, University of Manchester (2020) (2020)

2016

4. Auxiliary Likelihood-Based Approximate Bayesian Computation in State Space Models
   Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (2)
5. Data-driven particle Filters for particle Markov Chain Monte Carlo
   Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics

2014

6. Approximate Bayesian Computation in State Space Models
   Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (3)

2011

7. 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
   See also Journal Article Non-parametric estimation of forecast distributions in non-Gaussian, non-linear state space models, International Journal of Forecasting, Elsevier (2013) View citations (8) (2013)

2010

8. 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

9. Optimal Probabilistic Forecasts for Counts
   Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (3)

2006

10. Conditional Maximum Likelihood Estimation of Higher-Order Integer-Valued Autoregressive Processes
    Working Papers, University of Liverpool, Department of Economics View citations (1)

2004

11. Testing for Dependence in Non-Gaussian Time Series Data
    Econometric Society 2004 Australasian Meetings, Econometric Society View citations (2)
    Also in Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics (2004) View citations (4)

2003

12. Coherent Predictions of Low Count Time Series
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
13. Panel Stationarity Tests with Cross-sectional Dependence
    Econometrics, University Library of Munich, Germany View citations (6)
14. Persistence and Nonstationary Models
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (1)
15. Testing for Stochastic Cointegration and Evidence for Present Value Models
    Econometrics, University Library of Munich, Germany View citations (8)

1995

16. Testing a Time-Series for Difference Stationarity
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (14)

Journal Articles

2020

1. Distributions You Can Count On …But What’s the Point?
   Econometrics, 2020, 8, (1), 1-36 View citations (1)
2. Structural Change and the Problem of Phantom Break Locations
   Manchester School, 2020, 88, (1), 211-228
   See also Working Paper Structural Change and the Problem of Phantom Break Locations, Working Papers (2018) (2018)

2019

3. Approximate Bayesian forecasting
   International Journal of Forecasting, 2019, 35, (2), 521-539 View citations (22)
   See also Working Paper Approximate Bayesian forecasting, Monash Econometrics and Business Statistics Working Papers (2018) View citations (1) (2018)
4. Bayesian Outlier Detection in Non‐Gaussian Autoregressive Time Series
   Journal of Time Series Analysis, 2019, 40, (5), 631-648 View citations (1)
5. SEMIPARAMETRIC INDEPENDENCE TESTING FOR TIME SERIES OF COUNTS AND THE ROLE OF THE SUPPORT
   Econometric Theory, 2019, 35, (6), 1111-1145 View citations (1)

2017

6. Is MORE LESS? The role of data augmentation in testing for structural breaks
   Economics Letters, 2017, 155, (C), 131-134 View citations (1)

2015

7. DISCRETE TIME SERIES, PROCESSES, AND APPLICATIONS IN FINANCE, by Gilles Zumbach. Springer Finance Series. Published by Springer, Heidelberg, Berlin, 2013. Total number of pages: 315. ISBN: 978-3-642-31741-5
   Journal of Time Series Analysis, 2015, 36, (1), 125-125

2013

8. Non-parametric estimation of forecast distributions in non-Gaussian, non-linear state space models
   International Journal of Forecasting, 2013, 29, (3), 411-430 View citations (8)
   See also Working Paper Non-Parametric Estimation of Forecast Distributions in Non-Gaussian, Non-linear State Space Models, Monash Econometrics and Business Statistics Working Papers (2011) (2011)
9. Score statistics for testing serial dependence in count data
   Journal of Time Series Analysis, 2013, 34, (3), 315-329 View citations (6)
10. Testing for parameter constancy in non-Gaussian time series
    Journal of Time Series Analysis, 2013, 34, (1), 17-29 View citations (1)

2011

11. Efficient probabilistic forecasts for counts
    Journal of the Royal Statistical Society Series B, 2011, 73, (2), 253-272 View citations (21)

2008

12. Maximum likelihood estimation of higher‐order integer‐valued autoregressive processes
    Journal of Time Series Analysis, 2008, 29, (6), 973-994 View citations (13)
13. 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 (18)
14. TESTING FOR LONG MEMORY
    Econometric Theory, 2008, 24, (1), 143-175 View citations (18)

2007

15. MODIFIED KPSS TESTS FOR NEAR INTEGRATION
    Econometric Theory, 2007, 23, (2), 355-363 View citations (8)

2006

16. A RESIDUAL-BASED TEST FOR STOCHASTIC COINTEGRATION
    Econometric Theory, 2006, 22, (3), 429-456 View citations (3)

2005

17. Assessing Persistence In Discrete Nonstationary Time‐Series Models
    Journal of Time Series Analysis, 2005, 26, (2), 305-317
18. Asymptotic properties of CLS estimators in the Poisson AR(1) model
    Statistics & Probability Letters, 2005, 73, (2), 147-153 View citations (15)
19. Bayesian predictions of low count time series
    International Journal of Forecasting, 2005, 21, (2), 315-330 View citations (39)
20. Panel Stationarity Tests for Purchasing Power Parity With Cross-Sectional Dependence
    Journal of Business & Economic Statistics, 2005, 23, 395-409 View citations (62)

2004

21. Analysis of low count time series data by poisson autoregression
    Journal of Time Series Analysis, 2004, 25, (5), 701-722 View citations (47)
22. Forecasting discrete valued low count time series
    International Journal of Forecasting, 2004, 20, (3), 427-434 View citations (64)

2003

23. SOME LIMIT THEORY FOR AUTOCOVARIANCES WHOSE ORDER DEPENDS ON SAMPLE SIZE
    Econometric Theory, 2003, 19, (5), 829-864 View citations (28)

2002

24. Stochastic cointegration: estimation and inference
    Journal of Econometrics, 2002, 111, (2), 363-384 View citations (18)

1999

25. Modified Stationarity Tests with Data-Dependent Model-Selection Rules
    Journal of Business & Economic Statistics, 1999, 17, (2), 264-70 View citations (27)

1998

26. ON ESTIMATING AN ARMA MODEL WITH AN MA UNIT ROOT
    Econometric Theory, 1998, 14, (3), 326-338 View citations (4)

1997

27. A Parametric approach to testing the null of cointegration
    Journal of Time Series Analysis, 1997, 18, (4), 395-413 View citations (19)

1996

28. Can Economic Time Series Be Differenced to Stationarity?
    Journal of Business & Economic Statistics, 1996, 14, (4), 435-46 View citations (68)

1994

29. A Consistent Test for a Unit Root
    Journal of Business & Economic Statistics, 1994, 12, (2), 157-66 View citations (128)
30. A Simple Test for Cointegration
    Oxford Bulletin of Economics and Statistics, 1994, 56, (1), 97-103 View citations (15)

1993

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

1992

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

1990

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

1989

34. A Sequential Approach to Testing for Structural Change in Econometric Models
    Empirical Economics, 1989, 14, (2), 151-65
35. Misspecification tests in econometrics based on ranks
    Journal of Econometrics, 1989, 40, (2), 261-278 View citations (8)
36. 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

37. A Multiple Decision Theory Analysis of Structural Stability in Regression
    Econometric Theory, 1988, 4, (3), 499-508 View citations (2)
38. Some applications for Basil's independence theorem in testing econometric models
    Statistica Neerlandica, 1988, 42, (1), 37-46

1987

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

1983

40. The independence of tests for structural change in regression models
    Economics Letters, 1983, 12, (3-4), 283-287 View citations (8)

1980

41. Testing the Constancy of Regression Relationships Over Time Using Least Squares Residuals
    Journal of the Royal Statistical Society Series C, 1980, 29, (2), 142-148 View citations (21)

1975

42. Tests for the Severity of Multicollinearity in Regression Analysis: A Comment
    The Review of Economics and Statistics, 1975, 57, (3), 368-70 View citations (4)