All Outputs (4)

Improving the accuracy of asset price bubble start and end date estimators (2016)
Journal Article

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 about Improving the accuracy of asset price bubble start and end date estimators.

Long-run commodity prices, economic growth and interest rates: 17th century to the present day (2016)
Journal Article

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 about Long-run commodity prices, economic growth and interest rates: 17th century to the present day.

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 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 about Improving the length of confidence sets for the date of a break in level and trend when the order of integration is unknown.

The impact of the initial condition on covariate augmented unit root tests (2016)
Journal Article

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 about The impact of the initial condition on covariate augmented unit root tests.