All Outputs (4)

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, https://doi.org/10.1016/j.jempfin.2016.11.001

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.

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, https://doi.org/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 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
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), https://doi.org/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 about The impact of the initial condition on covariate augmented unit root tests.

Tests of the co-integration rank in VAR models in the presence of a possible break in trend at an unknown point (2016)
Journal Article
Harris, D., Leybourne, S. J., & Taylor, A. R. (2016). Tests of the co-integration rank in VAR models in the presence of a possible break in trend at an unknown point. Journal of Econometrics, 192(2), 451-467. https://doi.org/10.1016/j.jeconom.2016.02.010

In this paper we consider the problem of testing for the co-integration rank of a vector autoregressive process in the case where a trend break may potentially be present in the data. It is known that un-modelled trend breaks can result in tests whi... Read More about Tests of the co-integration rank in VAR models in the presence of a possible break in trend at an unknown point.