Professor STEVE LEYBOURNE's Outputs (2)

Testing explosive bubbles with time-varying volatility (2018)
Journal Article
Harvey, D. I., Leybourne, S. J., & Zu, Y. (2019). Testing explosive bubbles with time-varying volatility. Econometric Reviews, 38(10), 1131-1151. https://doi.org/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 about Testing explosive bubbles with time-varying volatility.

Testing the order of fractional integration of a time series in the possible presence of a trend break at an unknown point (2018)
Journal Article
Iacone, F., Leybourne, S. J., & Taylor, A. R. (2018). Testing the order of fractional integration of a time series in the possible presence of a trend break at an unknown point. Econometric Theory, 35(6), 1201 - 1233. https://doi.org/10.1017/s0266466618000361

We develop a test, based on the Lagrange multiplier [LM] testing principle, for the value of the long memory parameter of a univariate time series that is composed of a fractionally integrated shock around a potentially broken deterministic trend. Ou... Read More about Testing the order of fractional integration of a time series in the possible presence of a trend break at an unknown point.