Discussion Papers

From University of Nottingham, Granger Centre for Time Series Econometrics
School of Economics University of Nottingham University Park Nottingham NG7 2RD.
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20/01: Determining the rank of cointegration with infinite variance: Matteo Barigozzi, Giuseppe Cavaliere and Lorenzo Trapani
19/07: Finite sample forecast properties and window length under breaks in cointegrated systems: Luca Nocciola
19/06: Television, time use and academic achievement: Evidence from a natural experiment: Adrian Nieto Castro
19/05: Dynamic discrete mixtures for high frequency prices: Leopoldo Catania, Roberto Di Mari and Paolo Santucci de Magistris
19/04: The role of information in nonstationary regression: Patrick Marsh
19/03: Properties of the power envelope for tests against both stationary and explosive alternatives: the effect of trends: Patrick Marsh
19/02: Nonparametric conditional density specification testing and quantile estimation; with application to S&P500 returns: Patrick Marsh
19/01: Resuscitating the co-fractional model of Granger (1986): Federico Carlini and Paolo Santucci de Magistris
18/05: Testing explosive bubbles with time-varying volatility: David Harvey, Stephen Leybourne and Yang Zu
18/04: Sequential testing for structural stability in approximate factor models: Matteo Barigozzi and Lorenzo Trapani
18/03: Testing for randomness in a random coefficient autoregression model: Lajos Horvath and Lorenzo Trapani
18/02: Testing for strict stationarity in a random coefficient autoregressive model: Lorenzo Trapani
18/01: Determining the dimension of factor structures in non-stationary large datasets: Matteo Barigozzi and Lorenzo Trapani
17/04: A bootstrap stationarity test for predictive regression invalidity: Iliyan Georgiev, David Harvey, Stephen Leybourne and Robert Taylor
17/03: Forecast evaluation tests and negative long-run variance estimates in small samples: David Harvey, Stephen Leybourne and Emily Whitehouse
17/02: Testing for a unit root against ESTAR stationarity: David Harvey, Stephen Leybourne and Emily Whitehouse
17/01: The impact of the initial condition on covariate augmented unit root tests: Adrian Nieto
16/03: Nonparametric density estimation and testing: Patrick Marsh
16/02: Tests for an end-of-sample bubble in financial time series: Sam Astill, David Harvey, Stephen Leybourne and Robert Taylor
16/01: The impact of the initial condition on covariate augmented unit root tests: Chrystalleni Aristidou, David Harvey and Stephen Leybourne
15/02: The impact of government size on economic growth: a threshold analysis: Stylianos Asimakopoulos and Yiannis Karavias
15/01: A comparison of investors' sentiments and risk premium effects on valuing shares: Yiannis Karavias, Stella Spilioti and Elias Tzavalis
14/04: Confidence sets for the date of a break in level and trend when the order of integration is unknown: David Harvey and Stephen Leybourne
14/03: Testing for unit roots in panels with structural changes, spatial and temporal dependence when the time dimension is finite: Yiannis Karavias and Elias Tzavalis
14/02: A fixed-T version of Breitung's panel data unit root test and its asymptotic local power: Yiannis Karavias and Elias Tzavalis
14/01: Size corrected significance tests in Seemingly Unrelated Regressions with autocorrelated errors: Spyridon D. Symeondes, Yiannis Karavias and Elias Tzavalis
13/03: Optimal versus realized bank credit risk and monetary policy: Manthos Delis and Yiannis Karavias
13/02: Break date estimation for models with deterministic structural change: David Harvey and Stephen Leybourne
13/01: The power performance of fixed-T panel unit root tests allowing for structural breaks: Yiannis Karavias and Elias Tzavalis
12/02: Generalized fixed-T panel unit root tests allowing for structural breaks: Yiannis Karavias and Elias Tzavalis
12/01: The local power of fixed-T panel unit root tests allowing for serially correlated errors: Yiannis Karavias and Elias Tzavalis
11/03: On the behaviour of fixed-b trend break tests under fractional integration: Fabrizio Iacone, Stephen Leybourne and Robert Taylor
11/02: Unit root testing under a local break in trend: David Harvey, Stephen Leybourne and Robert Taylor
11/01: Robust methods for detecting multiple level breaks in autocorrelated time series: David Harvey, Stephen Leybourne and Robert Taylor
10/05: Unit root testing under a local break in trend: David Harvey, Stephen Leybourne and Robert Taylor
10/04: Bootstrap co-integration rank testing: the role of deterministic variables and initial values in the bootstrap recursion: Giuseppe Cavaliere, Robert Taylor and Carsten Trenkler
10/03: Bootstrap union tests for unit roots in the presence of nonstationary volatility: Stephan Smeekes and Robert Taylor
10/02: Testing for seasonal unit roots by frequency domain regression: Marcus Chambers, Joanne S. Ercolani and Robert Taylor
10/01: Robust methods for detecting multiple level breaks in autocorrelated time series: David Harvey, Stephen Leybourne and Robert Taylor
09/05: Testing for unit roots in the presence of a possible break in trend and non-stationary volatility: Giuseppe Cavaliere, David Harvey, Stephen Leybourne and Robert Taylor
09/04: Testing for nonlinear trends when the order of integration is unknown: David Harvey, Stephen Leybourne and Lisa Xiao
09/03: The impact of the initial condition on robust tests for a linear trend: David Harvey, Stephen Leybourne and Robert Taylor
09/02: Co-integration rank tests under conditional heteroskedasticity: Giuseppe Cavaliere, Anders Rahbek and Robert Taylor
09/01: Robust methods for detecting multiple level breaks in autocorrelated time series [Revised to become No. 10/01 above]: David Harvey, Stephen Leybourne and Robert Taylor
08/05: Mildly explosive autoregression under weak and strong dependence: Tassos Magdalinos
08/04: Testing for unit roots and the impact of quadratic trends, with an application to relative primary commodity prices: David Harvey, Stephen Leybourne and Robert Taylor
08/03: Testing for unit roots in the presence of uncertainty over both the trend and initial condition: David Harvey, Stephen Leybourne and Robert Taylor
08/02: Local asymptotic power of the Im-Pesaran-Shin panel unit root test and the impact of initial observations: David Harris, David Harvey, Stephen Leybourne and Nikoloas D. Sakkas
08/01: Seasonal unit root tests and the role of initial conditions: David Harvey, Stephen Leybourne and Robert Taylor
07/06: A powerful test for linearity when the order of integration is unknown: David Harvey, Stephen Leybourne and Bin Xiao
07/05: Regression-based seasonal unit root tests: Richard Smith, Robert Taylor and Tomás del Barrio Castro
07/04: Testing for a unit root in the presence of a possible break in trend: David Harris, David Harvey, Stephen Leybourne and Robert Taylor
07/03: Unit root testing in practice: dealing with uncertainty over the trend and initial condition: David Harvey, Stephen Leybourne and Robert Taylor
07/02: Testing for co-integration in vector autoregressions with non-stationary volatility: Giuseppe Cavaliere, Anders Rahbek and Robert Taylor
07/01: A powerful test for linearity when the order of integration is unknown: David Harvey, Stephen Leybourne and Bin Xiao
06/06: Forecasting changes in UK interest rates: Tae-Hwan Kim, Paul Mizen and Alan Thanaset
06/05: On the inconsistency of the unrestricted estimator of the information matrix near a unit root: Tassos Magdalinos
06/04: Testing for a change in persistence in the presence of non-stationary volatility: Giuseppe Cavaliere and Robert Taylor
06/03: Testing for a unit root when uncertain about the trend [Revised to become 07/03 above]: David Harvey, Stephen Leybourne and Robert Taylor
06/02: Panel root tests and the impact of initial observations: David Harvey, Stephen Leybourne and Nikolaos D. Sakkas
06/01: A simple, robust and powerful test of the trend hypothesis: David Harvey, Stephen Leybourne and Robert Taylor