All Outputs (33)

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.

Tests for explosive financial bubbles in the presence of non-stationary volatility (2015)
Journal Article

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 about Tests for explosive financial bubbles in the presence of non-stationary volatility.

Testing for unit roots under multiple possible trend breaks and non-stationary volatility using bootstrap minimum Dickey-Fuller statistics (2015)
Journal Article

In a recent paper, Harvey et al. (2013) [HLT] propose a new unit root test that allows for the possibility of multiple breaks in trend. Their proposed test is based on the infimum of the sequence (across all candidate break points) of local GLS detre... Read More about Testing for unit roots under multiple possible trend breaks and non-stationary volatility using bootstrap minimum Dickey-Fuller statistics.

Confidence sets for the date of a break in level and trend when the order of integration is unknown (2015)
Journal Article

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

Recursive right-tailed unit root tests for an explosive asset price bubble (2015)
Journal Article

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 about Recursive right-tailed unit root tests for an explosive asset price bubble.

Robust and powerful tests for nonlinear deterministic components (2014)
Journal Article

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

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

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

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

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.

Unit Root Testing under a Local Break in Trend using Partial Information on the Break Date* (2013)
Journal Article

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 about Unit Root Testing under a Local Break in Trend using Partial Information on the Break Date*.