Detecting Multiple Changes in Persistence (2007)
Leybourne, Stephen, Kim, Tae-Hwan, Taylor, A.M. Robert
This paper considers the problem of testing for and dating changes (at unknown points) in the order of integration of a time series between different trend-stationary and difference-stationary...
Detecting Multiple Changes in Persistence (2007)
Leybourne, Stephen, Kim, Tae-Hwan, Taylor, A.M. Robert
This paper considers the problem of testing for and dating changes (at unknown points) in the order of integration of a time series between different trend-stationary and difference-stationary...
Detecting Multiple Changes in Persistence (2007)
Leybourne, Stephen, Kim, Tae-Hwan, Taylor, A.M. Robert
This paper considers the problem of testing for and dating changes (at unknown points) in the order of integration of a time series between different trend-stationary and difference-stationary...
Detecting Multiple Changes in Persistence (2007)
Leybourne, Stephen, Kim, Tae-Hwan, Taylor, A.M. Robert
This paper considers the problem of testing for and dating changes (at unknown points) in the order of integration of a time series between different trend-stationary and difference-stationary...
David Harris, Stephen Leybourne, Brendan Mccabe
We present a test of the null hypothesis of stationarity against unit root alternatives for panel data that allows for arbitrary cross-sectional dependence. We treat the short run time series...
MODELING GROWTH (AND LIBERALIZATION) USING SMOOTH TRANSITIONS ANALYSIS (1997)
GREENAWAY, DAVID, LEYBOURNE, STEPHEN, SAPSFORD, DAVID
Economic liberalization has been a pervasive phenomenon over the last twenty years. Programs have been initiated on the assumption that liberalization promotes economic growth, but the empirical...
Some New Tests for a Change in Persistence
Robert Taylor, Stephen Leybourne
In this paper we develop new persistence change tests, similar in spirit to those of Kim (2000), Kim et al. (2002) and Busetti and Taylor (2004). While the exisiting tests are based on the maximum...
Testing for Stochastic Cointegration and Evidence for Present Value Models
Brendan McCabe, Stephen Leybourne, David Harris
Using the stochastic integration/cointegration framework of Harris, McCabe and Leybourne (2002) we revisit the problem of assessing the empirical evidence for or against the present value class of...
On Robust Trend Function Hypothesis Testing
David Harvey, Stephen Leybourne
In this paper we build upon the robust procedures proposed in Vogelsang (1998) for testing hypotheses concerning the deterministic trend function of a univariate time series. Vogelsang proposes...
Some Limit Theory for Autocovariances Whose Order Depends on Sample Size.
Harris, David, McCabe, Brendan, Leybourne, Stephen
In this paper we provide some weak convergence results for sample statistics of the product of a variable with its kth-order lag. We assume the variable is a stationary vector that can be represented...
L. Vanessa Smith, Stephen Leybourne, Tae-Hwan Kim, Paul Newbold
Unit root tests, seeking mean or trend reversion, are frequently applied to panel data. We show that more powerful variants of commonly applied tests are readily available. Moreover, power gains...
CUSUM of Squares-Based Tests for a Change in Persistence
Stephen Leybourne, Robert Taylor, Tae-Hwan Kim
Using standardized cumulative sums of squared sub-sample residuals, we propose a new ratio-based test of the null hypothesis that a time series exhibits no change in its persistence structure...
Harris, David, McCabe, Brendan, Leybourne, Stephen
This paper introduces a new test statistic for the null hypothesis of short memory against long memory alternatives. The novelty of our statistic is that it is based on only high-order sample...
SOME LIMIT THEORY FOR AUTOCOVARIANCES WHOSE ORDER DEPENDS ON SAMPLE SIZE
Harris, David, McCabe, Brendan, Leybourne, Stephen
In this paper we provide some weak convergence results for sample statistics of the product of a variable with its kth-order lag. We assume the variable is a stationary vector that can be represented...
A RESIDUAL-BASED TEST FOR STOCHASTIC COINTEGRATION
McCabe, Brendan, Leybourne, Stephen, Harris, David
We consider the problem of hypothesis testing in a modified version of the stochastic integration and cointegration framework of Harris, McCabe, and Leybourne (2002, Journal of Econometrics 111, 363...
MODIFIED KPSS TESTS FOR NEAR INTEGRATION
Harris, David, Leybourne, Stephen, McCabe, Brendan
This note suggests a simple modification to the Kwiatkowski, Phillips, Schmidt, and Shin (1992, Journal of Econometrics, 54, 159 178) test (KPSS test) so that it is applicable to testing the null...
Tests for Symmetric and Asymmetric Nonlinear Mean Reversion in Real Exchange Rates.
Sollis, Robert, Leybourne, Stephen, Newbold, Paul
New tests, based on smooth transition autoregressive models, for mean reversion in time series of real exchange rates are proposed. One test forces mean reversion to be symmetric about the integrated...
Smooth Transitions and GDP Growth in the European Union.
Greenaway, David, Leybourne, Stephen, Sapsford, David
In this paper we test whether GDP series in 12 European Union countries are integrated or are stationary around a deterministic component that may change gradually and smoothly between two regimes...
Behaviour of Dickey-Fuller Unit-Root Tests Under Trend Misspecification
Tae-Hwan Kim, Stephen Leybourne, Paul Newbold
We analyse the case where a unit-root test is based on a Dickey-Fuller regression the only deterministic term of which is a fixed intercept. Suppose, however, as could well be the case, that the...
Examination of Some More Powerful Modifications of the Dickey-Fuller Test
Stephen Leybourne, Tae-Hwan Kim, Paul Newbold
Although the t-ratio variant of the Dickey-Fuller test is the most commonly applied unit-root test in practical applications, it has been known for some time that readily implementable, more powerful...
Seasonal Unit Root Tests Based on Forward and Reverse Estimation
In this paper, we suggest a new set of regression-based statistics for testing the seasonal unit root null hypothesis. These tests are based on combining conventional Hylleberg et al. (1990) -type...
Modified Tests for a Change in Persistence
Robert Taylor, Stephen Leybourne, David Harvey
Being able to correctly characterise an observed time series into its separate difference stationary and trend stationary regimes, should they exist, has important implications for effective model...
Tests for a change in persistence against the null of difference-stationarity
Stephen Leybourne, Tae-Hwan Kim, Vanessa Smith, Paul Newbold
Economists have recognized the possibility that a time series may change structure from trend-stationarity to difference-stationarity, or vice versa. Taking difference-stationarity as the null...
Detecting Multiple Changes in Persistence
Stephen Leybourne, Tae-Hwan Kim
This paper considers the problem of testing for and dating changes (at unknown points) in the order of integration of a time series between different trend-stationary and difference-stationary...
Modeling Growth (and Liberalization) Using Smooth Transitions Analysis.
Greenaway, David, Leybourne, Stephen, Sapsford, David
Economic liberalization has been a pervasive phenomenon over the last twenty years. Programs have been initiated on the assumption that liberalization promotes economic growth but the empirical...
SOME LIMIT THEORY FOR AUTOCOVARIANCES WHOSE ORDER DEPENDS ON SAMPLE SIZE
Harris, David, McCabe, Brendan, Leybourne, Stephen
In this paper we provide some weak convergence results for sample statistics of the product of a variable with its kth-order lag. We assume the variable is a stationary vector that can be represented...
A RESIDUAL-BASED TEST FOR STOCHASTIC COINTEGRATION
McCabe, Brendan, Leybourne, Stephen, Harris, David
We consider the problem of hypothesis testing in a modified version of the stochastic integration and cointegration framework of Harris, McCabe, and Leybourne (2002, Journal of Econometrics 111, 363...
MODIFIED KPSS TESTS FOR NEAR INTEGRATION
Harris, David, Leybourne, Stephen, McCabe, Brendan
This note suggests a simple modification to the Kwiatkowski, Phillips, Schmidt, and Shin (1992, Journal of Econometrics, 54, 159 178) test (KPSS test) so that it is applicable to testing the null...
Harris, David, McCabe, Brendan, Leybourne, Stephen
This paper introduces a new test statistic for the null hypothesis of short memory against long memory alternatives. The novelty of our statistic is that it is based on only high-order sample...
Harris, David, McCabe, Brendan, Leybourne, Stephen
This paper introduces a new test statistic for the null hypothesis of short memory against long memory alternatives. The novelty of our statistic is that it is based on only high-order sample...
On Robust Trend Function Hypothesis Testing
David Harvey, Stephen Leybourne
In this paper we build upon the robust procedures proposed in Vogelsang (1998) for testing hypotheses concerning the deterministic trend function of a univariate time series. Vogelsang proposes...
A Powerful Test for Linearity When the Order of Integration is Unknown
David Harvey, Stephen Leybourne, Bin Xiao
In this paper we propose a test of the null hypothesis of time series linearity against a nonlinear alternative, when uncertainty exists as to whether or not the series contains a unit root. We...
Detecting Multiple Changes in Persistence
Stephen Leybourne, Tae-Hwan Kim
This paper considers the problem of testing for and dating changes (at unknown points) in the order of integration of a time series between different trend-stationary and difference-stationary...