Research Repository

See what's under the surface


Sign-based Unit Root Tests for Explosive Financial Bubbles in the Presence of Deterministically Time-Varying Volatility (2019)
Journal Article
Harvey, D. I., Leybourne, S. J., & Zu, Y. (2019). Sign-based Unit Root Tests for Explosive Financial Bubbles in the Presence of Deterministically Time-Varying Volatility. Econometric Theory,

This paper considers the problem of testing for an explosive bubble in …nancial data in the presence of time-varying volatility. We propose a sign-based variant of the Phillips, Shi and Yu (2015) test. Unlike the original test, the sign-based test do... Read More

Testing explosive bubbles with time-varying volatility (2018)
Journal Article
Harvey, D. I., Leybourne, S. J., & Zu, Y. (2018). Testing explosive bubbles with time-varying volatility. Econometric Reviews, doi:10.1080/07474938.2018.1536099

This paper considers the problem of testing for an explosive bubble in financial data in the presence of time-varying volatility. We propose a weighted least squares-based variant of the Phillips, Wu and Yu (2011) test for explosive autoregressive be... Read More

Real-time monitoring for explosive financial bubbles (2018)
Journal Article
Astill, S., Harvey, D. I., Leybourne, S. J., Sollis, R., & Taylor, A. R. (2018). Real-time monitoring for explosive financial bubbles. Journal of Time Series Analysis, 39(6), (863-891). doi:10.1111/jtsa.12409. ISSN 0143-9782

We propose new methods for the real-time detection of explosive bubbles in financial time series. Most extant methods are constructed for a fixed sample of data and, as such, are only appropriate when applied as one-shot tests. Sequential application... Read More

Testing for parameter instability in predictive regression models (2018)
Journal Article
Gorgiev, I., Harvey, D. I., Leybourne, S. J., & Taylor, A. R. (2018). Testing for parameter instability in predictive regression models. Journal of Econometrics, 204(1), doi:10.1016/j.jeconom.2018.01.005. ISSN 0304-4076

We consider tests for structural change, based on the SupF and Cramer-von-Mises type statistics of Andrews (1993) and Nyblom (1989), respectively, in the slope and/or intercept parameters of a predictive regression model where the predictors display... Read More

A bootstrap stationarity test for predictive regression invalidity (2017)
Journal Article
Georgiev, I., Harvey, D. I., Leybourne, S. J., & Taylor, A. R. (2018). A bootstrap stationarity test for predictive regression invalidity. Journal of Business and Economic Statistics, doi:10.1080/07350015.2017.1385467

In order for predictive regression tests to deliver asymptotically valid inference, account has to be taken of the degree of persistence of the predictors under test. There is also a maintained assumption that any predictability in the variable of in... Read More

Testing for a unit root against ESTAR stationarity (2017)
Journal Article
Harvey, D. I., Leybourne, S. J., & Whitehouse, E. J. (2018). Testing for a unit root against ESTAR stationarity. Studies in Nonlinear Dynamics and Econometrics, 22(1), doi:10.1515/snde-2016-0076

In this paper we examine the local power of unit root tests against globally stationary exponential smooth transition autoregressive [ESTAR] alternatives under two sources of uncertainty: the degree of nonlinearity in the ESTAR model, and the presenc... Read More

Forecast evaluation tests and negative long-run variance estimates in small samples (2017)
Journal Article
Harvey, D. I., Leybourne, S. J., & Whitehouse, E. J. (2017). Forecast evaluation tests and negative long-run variance estimates in small samples. International Journal of Forecasting, 33(4), doi:10.1016/j.ijforecast.2017.05.001

In this paper, we show that when computing standard Diebold-Mariano-type tests for equal forecast accuracy and forecast encompassing, the long-run variance can frequently be negative when dealing with multi-step-ahead predictions in small, but empiri... Read More

Tests for an end-of-sample bubble in financial time series (2017)
Journal Article
Astill, S., Harvey, D. I., Leybourne, S. J., & Taylor, R. (in press). Tests for an end-of-sample bubble in financial time series. Econometric Reviews, 36(6-9), doi:10.1080/07474938.2017.1307490

In this paper we examine the issue of detecting explosive behaviour in economic and financial time series when an explosive episode is both ongoing at the end of the sample, and of finite length. We propose a testing strategy based on the sub-samplin... Read More

Improving the accuracy of asset price bubble start and end date estimators (2016)
Journal Article
Harvey, D. I., Leybourne, S. J., & Sollis, R. (in press). Improving the accuracy of asset price bubble start and end date estimators. Journal of Empirical Finance, 40, doi:10.1016/j.jempfin.2016.11.001. ISSN 0927-5398

Recent research has proposed using recursive right-tailed unit root tests to date the start and end of asset price bubbles. In this paper an alternative approach is proposed that utilises model-based minimum sum of squared residuals estimators combin... Read More

Long-run commodity prices, economic growth and interest rates: 17th century to the present day (2016)
Journal Article
Harvey, D. I., Kellard, N. M., Madsen, J. B., & Wohar, M. E. (in press). Long-run commodity prices, economic growth and interest rates: 17th century to the present day. World Development, 89, doi:10.1016/j.worlddev.2016.07.012. ISSN 0305-750X

A significant proportion of the trade basket of many developing countries is comprised of primary commodities. This implies relative price movements in commodities may have important consequences for economic growth and poverty reduction. Taking a lo... Read More

Improving the length of confidence sets for the date of a break in level and trend when the order of integration is unknown (2016)
Journal Article
Harvey, D. I., & Leybourne, S. J. (in press). 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, 145, doi:10.1016/j.econlet.2016.06.015

Harvey and Leybourne (2015) construct confidence sets for the timing of a break in level and/or trend, based on inverting sequences of test statistics for a break at all possible dates. These are valid, in the sense of yielding correct asymptotic cov... Read More

The impact of the initial condition on covariate augmented unit root tests (2016)
Journal Article
Aristidou, C., Harvey, D. I., & Leybourne, S. J. (2016). The impact of the initial condition on covariate augmented unit root tests. Journal of Time Series Econometrics, 9(1), doi:10.1515/jtse-2015-0013

We examine the behaviour of OLS-demeaned/detrended and GLS-demeaned/detrended unit root tests that employ stationary covariates, as proposed by Hansen (1995, “Rethinking the Univariate Approach to Unit Root Testing.” Econometric Theory 11:1148–71) an... Read More

Tests for explosive financial bubbles in the presence of non-stationary volatility (2015)
Journal Article
Harvey, D. I., Leybourne, S. J., Sollis, R., & Taylor, A. R. (in press). Tests for explosive financial bubbles in the presence of non-stationary volatility. Journal of Empirical Finance, 38(B), doi:10.1016/j.jempfin.2015.09.002

This paper studies the impact of permanent volatility shifts in the innovation process on the performance of the test for explosive financial bubbles based on recursive right-tailed Dickey–Fuller-type unit root tests proposed by Phillips, Wu and Yu (... Read More

Confidence sets for the date of a break in level and trend when the order of integration is unknown (2015)
Journal Article
Harvey, D. I., & Leybourne, S. J. (2015). Confidence sets for the date of a break in level and trend when the order of integration is unknown. Journal of Econometrics, 184(2), doi:10.1016/j.jeconom.2014.09.004

We propose methods for constructing confidence sets for the timing of a break in level and/or trend that have asymptotically correct coverage for both I(0) and I(1) processes. These are based on inverting a sequence of tests for the break location, e... Read More

Recursive right-tailed unit root tests for an explosive asset price bubble (2015)
Journal Article
Harvey, D. I., Leybourne, S. J., & Sollis, R. (2015). Recursive right-tailed unit root tests for an explosive asset price bubble. Journal of Financial Econometrics, 13(1), doi:10.1093/jjfinec/nbt025

In this article, we compare the local asymptotic and finite sample power of two recently proposed recursive right-tailed Dickey–Fuller-type tests for an explosive rational bubble in asset prices. It is shown that the power of the two tests can differ... Read More

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), doi: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

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), doi: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

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, doi: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

Unit root testing under a local break in trend using partial information on the break date* (2014)
Journal Article
Harvey, D. I., Leybourne, S. J., & Robert Taylor, A. (2014). Unit root testing under a local break in trend using partial information on the break date*. Oxford Bulletin of Economics and Statistics, 76(1), doi:10.1111/obes.12013

We consider unit root testing allowing for a break in trend when partial information is available regarding the location of the break date. This takes the form of knowledge of a relatively narrow window of data within which the break takes place, sho... Read More