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Testing for unit roots in the presence of a possible break in trend and nonstationary volatility

Cavaliere, Giuseppe; Harvey, David I.; Leybourne, … - In: Econometric theory 27 (2011) 5, pp. 957-991

Persistent link: https://www.econbiz.de/10009379762

Testing for unit roots in the presence of uncertainty over both the trend and initial condition

Harvey, David I.; Leybourne, Stephen James; Taylor, Robert - In: Journal of econometrics 169 (2012) 2, pp. 188-195

Persistent link: https://www.econbiz.de/10009671321

Seasonal unit root tests and the role of initial conditions

Harvey, David I.; Leybourne, Stephen James; Taylor, Robert - In: The econometrics journal 11 (2008) 3, pp. 409-442

Persistent link: https://www.econbiz.de/10003802328

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

Harvey, David I.; Leybourne, Stephen James; Sollis, Robert - In: Journal of empirical finance 38 (2016), pp. 548-574

Persistent link: https://www.econbiz.de/10011663370

Tests for an end-of-sample bubble in financial time series

Astill, Sam; Harvey, David I.; Leybourne, Stephen James; … - In: Econometric reviews 36 (2017) 6/9, pp. 651-666

Persistent link: https://www.econbiz.de/10011795312

Simple tests for stock return predictability with good size and power properties

Harvey, David I.; Leybourne, Stephen James; Taylor, Robert - In: Journal of econometrics 224 (2021) 1, pp. 198-214

Persistent link: https://www.econbiz.de/10013275372

Bonferroni type tests for return predictability and the initial condition

Astill, Sam; Harvey, David I.; Leybourne, Stephen James; … - In: Journal of business & economic statistics : JBES ; a … 42 (2024) 2, pp. 499-515

Persistent link: https://www.econbiz.de/10015053422

CUSUM-based monitoring for explosive episodes in financial data in the presence of time-varying volatility

Astill, Sam; Harvey, David I.; Leybourne, Stephen James; … - In: Journal of financial econometrics 21 (2023) 1, pp. 187-227

Persistent link: https://www.econbiz.de/10013542862

Improved tests for stock return predictability

Harvey, David I.; Leybourne, Stephen James; Taylor, Robert - In: Econometric reviews 42 (2023) 9/10, pp. 834-861

Persistent link: https://www.econbiz.de/10014420348

Testing for Unit Roots in the Presence of a Possible Break in Trend and Non-Stationary Volatility

Cavaliere, Giuseppe - 2008

In this paper we analyse the impact of non-stationary volatility on the recently developed unit root tests which allow for a possible break in trend occurring at an unknown point in the sample, considered in Harris, Harvey, Leybourne and Taylor (2008) [HHLT]. HHLT's analysis hinges on a new...

Persistent link: https://www.econbiz.de/10012722463