Professor DAVID HARVEY's Outputs (4)

Testing for Equal Average Forecast Accuracy in Possibly Unstable Environments (2024)
Journal Article
Harvey, D. I., Leybourne, S. J., & Zu, Y. (2024). Testing for Equal Average Forecast Accuracy in Possibly Unstable Environments. Journal of Business and Economic Statistics, https://doi.org/10.1080/07350015.2024.2418835

We consider the issue of testing the null of equal average forecast accuracy in a model where the forecast error loss differential series has a potentially non-constant mean function over time. We show that when time variation is present in the loss... Read More about Testing for Equal Average Forecast Accuracy in Possibly Unstable Environments.

Bonferroni-Type Tests for Return Predictability With Possibly Trending Predictors (2024)
Journal Article
Astill, S., Harvey, D. I., Leybourne, S. J., & Robert Taylor, A. M. (2024). Bonferroni-Type Tests for Return Predictability With Possibly Trending Predictors. Journal of Applied Econometrics, https://doi.org/10.1002/jae.3094

The Bonferroni Q test of Campbell and Yogo (2006) is widely used in empirical studies investigating predictability in asset returns by strongly persistent and endogenous predictors. Its formulation, however, only allows for a constant mean in the pre... Read More about Bonferroni-Type Tests for Return Predictability With Possibly Trending Predictors.

Systemic risk in banking, fire sales, and macroeconomic disasters (2024)
Journal Article
Bougheas, S., Harvey, D. I., Kirman, A., & Nelson, D. (2024). Systemic risk in banking, fire sales, and macroeconomic disasters. Journal of Economic Dynamics and Control, 168, Article 104975. https://doi.org/10.1016/j.jedc.2024.104975

We develop a dynamic computational network model of the banking system where fire sales provide the amplification mechanism of financial shocks. Each period a finite number of banks offers a large, but finite, number of loans to households. Banks wit... Read More about Systemic risk in banking, fire sales, and macroeconomic disasters.

Tests for equal forecast accuracy under heteroskedasticity (2024)
Journal Article
Harvey, D. I., Harvey, D. I., Leybourne, S. J., Leybourne, S. J., & Zu, Y. (2024). Tests for equal forecast accuracy under heteroskedasticity. Journal of Applied Econometrics, 39(5), 850-869. https://doi.org/10.1002/jae.3050

Heteroskedasticity is a common feature in empirical time series analysis, and in this paper, we consider the effects of heteroskedasticity on statistical tests for equal forecast accuracy. In such a context, we propose two new Diebold–Mariano-type te... Read More about Tests for equal forecast accuracy under heteroskedasticity.