All Outputs (4)

Systemic risk and macroeconomic fat tails (2017)
Book Chapter
Bougheas, S., Harvey, D., & Kirman, A. (2018). Systemic risk and macroeconomic fat tails. In P. Commendatore, I. Kubin, S. Bougheas, A. Kirman, M. Kopel, & G. I. Bischi (Eds.), The economy as a complex spatial system (119-136). Cham: Springer. https://doi.org/10.1007/978-3-319-65627-4_6

We propose a mechanism for shock amplification that potentially can account for fat tails in the distribution of the growth rate of national output. We argue that extreme macroeconomic events, such as the Great Depression and the Great Recession, wer... Read More about Systemic risk and macroeconomic fat tails.

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), https://doi.org/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 about Testing for a unit root against ESTAR stationarity.

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), https://doi.org/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 about Forecast evaluation tests and negative long-run variance estimates in small samples.

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), https://doi.org/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 about Tests for an end-of-sample bubble in financial time series.