Printed from https://ideas.repec.org/s/not/notgts.html
Content
Undated material is presented at the end, although it may be more recent than other items
2020
- 20/01 Determining the rank of cointegration with infinite variance
by Matteo Barigozzi & Giuseppe Cavaliere & Lorenzo Trapani
2019
- 19/06 Television, time use and academic achievement: Evidence from a natural experiment
by Adrian Nieto Castro - 19/05 Dynamic discrete mixtures for high frequency prices
by Leopoldo Catania & Roberto Di Mari & Paolo Santucci de Magistris - 19/04 The role of information in nonstationary regression
by Patrick Marsh - 19/03 Properties of the power envelope for tests against both stationary and explosive alternatives: the effect of trends
by Patrick Marsh - 19/02 Nonparametric conditional density specification testing and quantile estimation; with application to S&P500 returns
by Patrick Marsh - 19/01 Resuscitating the co-fractional model of Granger (1986)
by Federico Carlini & Paolo Santucci de Magistris
2018
- 18/05 Testing explosive bubbles with time-varying volatility
by David Harvey & Stephen Leybourne & Yang Zu - 18/04 Sequential testing for structural stability in approximate factor models
by Matteo Barigozzi & Lorenzo Trapani - 18/03 Testing for randomness in a random coefficient autoregression model
by Lajos Horvath & Lorenzo Trapani - 18/02 Testing for strict stationarity in a random coefficient autoregressive model
by Lorenzo Trapani - 18/01 Determining the dimension of factor structures in non-stationary large datasets
by Matteo Barigozzi & Lorenzo Trapani
2017
- 17/04 A bootstrap stationarity test for predictive regression invalidity
by Iliyan Georgiev & David I. Harvey & Stephen J. Leybourne & A. M. Robert Taylor - 17/03 Forecast evaluation tests and negative long-run variance estimates in small samples
by David I. Harvey & Stephen J. Leybourne & Emily J. Whitehouse - 17/02 Testing for a unit root against ESTAR stationarity
by David I. Harvey & Stephen J. Leybourne & Emily J. Whitehouse - 17/01 The impact of the initial condition on covariate augmented unit root tests
by Adrian Nieto
2016
- 16/03 Nonparametric density estimation and testing
by Patrick Marsh - 16/02 Tests for an end-of-sample bubble in financial time series
by Sam Astill & David Harvey & Stephen Leybourne & Robert Taylor - 16/01 The impact of the initial condition on covariate augmented unit root tests
by Chrystalleni Aristidou & David Harvey & Stephen Leybourne
2015
- 15/02 The impact of government size on economic growth: a threshold analysis
by Stylianos Asimakopoulos & Yiannis Karavias - 15/01 A comparison of investors' sentiments and risk premium effects on valuing shares
by Yiannis Karavias & Stella Spilioti & Elias Tzavalis
2014
- 14/04 Confidence sets for the date of a break in level and trend when the order of integration is unknown
by David Harvey & Stephen Leybourne - 14/03 Testing for unit roots in panels with structural changes, spatial and temporal dependence when the time dimension is finite
by Yiannis Karavias & Elias Tzavalis - 14/02 A fixed-T version of Breitung's panel data unit root test and its asymptotic local power
by Yiannis Karavias & Elias Tzavalis - 14/01 Size corrected significance tests in Seemingly Unrelated Regressions with autocorrelated errors
by Spyridon D. Symeondes & Yiannis Karavias & Elias Tzavalis
2013
- 13/03 Optimal versus realized bank credit risk and monetary policy
by Manthos D. Delis & Yiannis Karavias - 13/02 Break date estimation for models with deterministic structural change
by David I. Harvey & Stephen J. Leybourne - 13/01 The power performance of fixed-T panel unit root tests allowing for structural breaks
by Yiannis Karavias & Elias Tzavalis
2012
- 12/02 Generalized fixed-T panel unit root tests allowing for structural breaks
by Yiannis Karavias & Elias Tzavalis - 12/01 The local power of fixed-T panel unit root tests allowing for serially correlated errors
by Yiannis Karavias & Elias Tzavalis
2011
- 11/03 On the behaviour of fixed-b trend break tests under fractional integration
by Fabrizio Iacone & Stephen J. Leybourne & A. M. Robert Taylor - 11/02 Unit root testing under a local break in trend
by David I. Harvey & Stephen J. Leybourne & A. M. Robert Taylor - 11/01 Robust methods for detecting multiple level breaks in autocorrelated time series
by David I. Harvey & Stephen J. Leybourne & A. M. Robert Taylor
2010
- 10/05 Unit root testing under a local break in trend
by David I. Harvey & Stephen J. Leybourne & A. M. Robert Taylor - 10/04 Bootstrap co-integration rank testing: the role of deterministic variables and initial values in the bootstrap recursion
by Giuseppe Cavaliere & A. M. Robert Taylor & Carsten Trenkler - 10/03 Bootstrap union tests for unit roots in the presence of nonstationary volatility
by Stephan Smeekes & A. M. Robert Taylor - 10/02 Testing for seasonal unit roots by frequency domain regression
by Marcus J. Chambers & Joanne S. Ercolani & A. M. Robert Taylor - 10/01 Robust methods for detecting multiple level breaks in autocorrelated time series
by David I. Harvey & Stephen J. Leybourne & A. M. Robert Taylor
2009
- 09/05 Testing for unit roots in the presence of a possible break in trend and non-stationary volatility
by Giuseppe Cavaliere & David I. Harvey & Stephen J. Leybourne & A. M. Robert Taylor - 09/04 Testing for nonlinear trends when the order of integration is unknown
by David I. Harvey & Stephen J. Leybourne & Lisa Xiao - 09/03 The impact of the initial condition on robust tests for a linear trend
by David I. Harvey & Stephen J. Leybourne & A. M. Robert Taylor - 09/02 Co-integration rank tests under conditional heteroskedasticity
by Giuseppe Cavaliere & Anders Rahbek & A. M. Robert Taylor - 09/01 Robust methods for detecting multiple level breaks in autocorrelated time series [Revised to become No. 10/01 above]
by David I. Harvey & Stephen J. Leybourne & A. M. Robert Taylor
2008
- 08/05 Mildly explosive autoregression under weak and strong dependence
by Tassos Magdalinos - 08/04 Testing for unit roots and the impact of quadratic trends, with an application to relative primary commodity prices
by David I. Harvey & Stephen J. Leybourne & A. M. Robert Taylor - 08/03 Testing for unit roots in the presence of uncertainty over both the trend and initial condition
by David I. Harvey & Stephen J. Leybourne & A. M. Robert Taylor - 08/02 Local asymptotic power of the Im-Pesaran-Shin panel unit root test and the impact of initial observations
by David Harris & David I. Harvey & Stephen J. Leybourne & Nikoloas D. Sakkas - 08/01 Seasonal unit root tests and the role of initial conditions
by David I. Harvey & Stephen J. Leybourne & A. M. Robert Taylor - 06/02 Panel root tests and the impact of initial observations
by David I. Harvey & Stephen J. Leybourne & Nikolaos D. Sakkas
2007
- 07/06 A powerful test for linearity when the order of integration is unknown
by David I. Harvey & Stephen J. Leybourne & Bin Xiao - 07/05 Regression-based seasonal unit root tests
by Richard J. Smith & A. M. Robert Taylor & Tomas del Barrio Castro - 07/04 Testing for a unit root in the presence of a possible break in trend
by David Harris & David I. Harvey & Stephen J. Leybourne & A. M. Robert Taylor - 07/03 Unit root testing in practice: dealing with uncertainty over the trend and initial condition
by David I. Harvey & Stephen J. Leybourne & A. M. Robert Taylor - 07/02 Testing for co-integration in vector autoregressions with non-stationary volatility
by Giuseppe Cavaliere & Anders Rahbek & A. M. Robert Taylor - 07/01 A powerful test for linearity when the order of integration is unknown
by David I. Harvey & Stephen J. Leybourne & Bin Xiao - 06/03 Testing for a unit root when uncertain about the trend [Revised to become 07/03 above]
by David I. Harvey, & Stephen J. Leybourne, & A. M. Robert Taylor
2006
- 06/06 Forecasting changes in UK interest rates
by Tae-Hwan Kim & Paul Mizen & Alan Thanaset - 06/04 Testing for a change in persistence in the presence of non-stationary volatility
by Giuseppe Cavaliere & A. M. Robert Taylor - 06/01 A simple, robust and powerful test of the trend hypothesis
by David I. Harvey, & Stephen J. Leybourne, & A. M. Robert Taylor
2005
- 06/05 On the inconsistency of the unrestricted estimator of the information matrix near a unit root
by Tassos Magdalinos
Undated
- 19/07 Finite sample forecast properties and window length under breaks in cointegrated systems
by Luca Nocciola