Outputs (5)

Robust and powerful tests for nonlinear deterministic components (2014)
Journal Article
Astill, S., Harvey, D. I., Leybourne, S. J., & Taylor, A. M. R. (2014). Robust and powerful tests for nonlinear deterministic components. Oxford Bulletin of Economics and Statistics, 77(6), https://doi.org/10.1111/obes.12079

We develop a test for the presence of nonlinear deterministic components in a univariate time series, approximated using a Fourier series expansion, designed to be asymptotically robust to the order of integration of the process and to any weak depen... Read More about Robust and powerful tests for nonlinear deterministic components.

Break date estimation for models with deterministic structural change (2014)
Journal Article
Harvey, D. I., & Leybourne, S. J. (2014). Break date estimation for models with deterministic structural change. Oxford Bulletin of Economics and Statistics, 76(5), https://doi.org/10.1111/obes.12037

In this article, we consider estimating the timing of a break in level and/or trend when the order of integration and autocorrelation properties of the data are unknown. For stationary innovations, break point estimation is commonly performed by mini... Read More about Break date estimation for models with deterministic structural change.

Robust tests for a linear trend with an application to equity indices (2014)
Journal Article
Astill, S., Harvey, D. I., Leybourne, S. J., & Taylor, A. R. (in press). Robust tests for a linear trend with an application to equity indices. Journal of Empirical Finance, 29, https://doi.org/10.1016/j.jempfin.2014.02.004

In this paper we develop a testing procedure for the presence of a deterministic linear trend in a univariate time series which is robust to whether the series is I(0) or I(1) and requires no knowledge of the form of weak dependence present in the da... Read More about Robust tests for a linear trend with an application to equity indices.

Asymptotic behaviour of tests for a unit root against an explosive alternative (2014)
Journal Article
Harvey, D. I., & Leybourne, S. J. (2014). Asymptotic behaviour of tests for a unit root against an explosive alternative. Economics Letters, 122(1), https://doi.org/10.1016/j.econlet.2013.11.006

We compare the asymptotic local power of upper-tail unit root tests against an explosive alternative based on ordinary least squares (OLS) and quasi-differenced (QD) demeaning/detrending. We find that under an asymptotically negligible initialisation... Read More about Asymptotic behaviour of tests for a unit root against an explosive alternative.

On infimum Dickey–Fuller unit root tests allowing for a trend break under the null (2014)
Journal Article
Harvey, D. I., Leybourne, S. J., & Taylor, A. R. (2014). On infimum Dickey–Fuller unit root tests allowing for a trend break under the null. Computational Statistics and Data Analysis, 78, https://doi.org/10.1016/j.csda.2012.10.017

Trend breaks appear to be prevalent in macroeconomic time series. Consequently, to avoid the catastrophic impact that unmodelled trend breaks have on power, it is standard empirical practice to employ unit root tests which allow for such effects. A p... Read More about On infimum Dickey–Fuller unit root tests allowing for a trend break under the null.