Stephen Leybourne : Citation Profile


Are you Stephen Leybourne?

University of Nottingham

24

H index

50

i10 index

3037

Citations

RESEARCH PRODUCTION:

111

Articles

48

Papers

EDITOR:

1

Books edited

RESEARCH ACTIVITY:

   31 years (1988 - 2019). See details.
   Cites by year: 97
   Journals where Stephen Leybourne has often published
   Relations with other researchers
   Recent citing documents: 365.    Total self citations: 60 (1.94 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/ple113
   Updated: 2020-05-23    RAS profile: 2020-02-04    
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Relations with other researchers


Works with:

Harvey, David (28)

Taylor, Robert (16)

Iacone, Fabrizio (4)

Whitehouse, Emily (4)

Astill, Sam (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Stephen Leybourne.

Is cited by:

GUPTA, RANGAN (52)

Kruse, Robinson (42)

Rault, Christophe (37)

Sibbertsen, Philipp (36)

Perron, Pierre (33)

Otero, Jesus (31)

Pesaran, M (31)

Clark, Todd (30)

Wohar, Mark (30)

Darné, Olivier (29)

Noriega, Antonio (27)

Cites to:

Perron, Pierre (108)

Taylor, Robert (68)

Harvey, David (56)

Phillips, Peter (51)

Vogelsang, Timothy (49)

Stock, James (42)

Elliott, Graham (33)

Andrews, Donald (32)

Watson, Mark (20)

Cavaliere, Giuseppe (19)

shin, yongcheol (15)

Main data


Where Stephen Leybourne has published?


Journals with more than one article published# docs
Journal of Time Series Analysis17
Econometric Theory15
Journal of Econometrics14
Oxford Bulletin of Economics and Statistics9
Economics Letters7
Econometrics Journal7
Journal of Business & Economic Statistics5
Studies in Nonlinear Dynamics & Econometrics4
Journal of Empirical Finance3
Manchester School3
Econometric Reviews3
Applied Economics3
Journal of Time Series Econometrics2
International Journal of Forecasting2
Journal of Applied Econometrics2

Working Papers Series with more than one paper published# docs
Econometrics / University Library of Munich, Germany5
Essex Finance Centre Working Papers / University of Essex, Essex Business School5

Recent works citing Stephen Leybourne (2019 and 2018)


YearTitle of citing document
2017Does the ARFIMA really shift?. (2017). Santucci de Magistris, Paolo ; Grassi, Stefano ; Delle Monache, Davide. In: CREATES Research Papers. RePEc:aah:create:2017-16.

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2018Forecasting dynamically asymmetric fluctuations of the U.S. business cycle. (2018). Zanetti Chini, Emilio. In: CREATES Research Papers. RePEc:aah:create:2018-13.

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2019In search of a job: Forecasting employment growth using Google Trends. (2019). Montes, Erik Christian ; Borup, Daniel. In: CREATES Research Papers. RePEc:aah:create:2019-13.

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2019Comparing Tests for Identification of Bubbles. (2019). Bertelsen, Kristoffer Pons. In: CREATES Research Papers. RePEc:aah:create:2019-16.

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2017Integration in Gasoline and Ethanol Markets in Brazil over Time and Space under the Flex-fuel Technology. (2017). Otero, Jesus ; Nuñez, Hector ; Nuez, Hector M. In: The Energy Journal. RePEc:aen:journl:ej38-2-nunez.

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2017Unemployment convergence analysis for Nordic countries: Evidence from linear and nonlinear unit root tests. (2017). Guri, Burak ; Yurttaguler, Pek M ; Tiraolu, Muhammed . In: Theoretical and Applied Economics. RePEc:agr:journl:v:1(610):y:2017:i:1(610):p:45-56.

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2017Unemployment convergence analysis for Nordic countries: Evidence from linear and nonlinear unit root tests. (2017). Güriş, Burak ; Tiraolu, Muhammed ; Yurttaguler, Pek M ; Guri, Burak. In: Theoretical and Applied Economics. RePEc:agr:journl:v:xxiv:y:2017:i:1(610):p:45-56.

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2017Do military expenditures converge in NATO countries? Linear and nonlinear unit root test evidence. (2017). Güriş, Burak ; Tiraolu, Muhammed ; Gur, Burak . In: Theoretical and Applied Economics. RePEc:agr:journl:v:xxiv:y:2017:i:2(611):p:237-248.

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2018The Dynamic Properties of Natural Resource Prices. (2018). Ghoshray, Atanu. In: 2018 Conference, July 28-August 2, 2018, Vancouver, British Columbia. RePEc:ags:iaae18:277210.

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2018Structural Breaks in Time Series. (2018). Perron, Pierre ; Casini, Alessandro. In: Papers. RePEc:arx:papers:1805.03807.

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2018Bootstrapping Structural Change Tests. (2018). Cornea-Madeira, Adriana ; Boldea, Otilia ; Hall, Alastair R. In: Papers. RePEc:arx:papers:1811.04125.

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2018Robust Tests for Convergence Clubs. (2018). Yazgan, Ege ; Stengos, Thanasis ; Corrado, Luisa ; Weeks, Melvyn . In: Papers. RePEc:arx:papers:1812.09518.

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2019Estimating Dynamic Conditional Spread Densities to Optimise Daily Storage Trading of Electricity. (2019). Bunn, Derek ; Abramova, Ekaterina. In: Papers. RePEc:arx:papers:1903.06668.

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2020Bayesian MIDAS Penalized Regressions: Estimation, Selection, and Prediction. (2019). Mogliani, Matteo. In: Papers. RePEc:arx:papers:1903.08025.

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2019Detailed study of a moving average trading rule. (2019). Yen, Ju-Yi ; Silva, Christian A ; Ferreira, Fernando F. In: Papers. RePEc:arx:papers:1907.00212.

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2019Validating Weak-form Market Efficiency in United States Stock Markets with Trend Deterministic Price Data and Machine Learning. (2019). Gropp, Jeffrey ; Showalter, Samuel. In: Papers. RePEc:arx:papers:1909.05151.

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2020Forecasting the Intra-Day Spread Densities of Electricity Prices. (2020). Bunn, Derek ; Abramova, Ekaterina. In: Papers. RePEc:arx:papers:2002.10566.

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2020Unit Root Testing with Slowly Varying Trends. (2020). Otto, Sven. In: Papers. RePEc:arx:papers:2003.04066.

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2019Bayesian MIDAS penalized regressions: estimation, selection, and prediction. (2019). Mogliani, Matteo. In: Working papers. RePEc:bfr:banfra:713.

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2020Use of Machine Learning Methods to Forecast Investment in Russia. (2020). Gareev, Mikhail. In: Russian Journal of Money and Finance. RePEc:bkr:journl:v:79:y:2020:i:1:p:35-56.

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2018The Role of Property Rights in the Relationship between Capital Flows and Economic Growth in SSA: Do Natural Resources Endowment and Country Income Level Matter?. (2018). Coulibaly, Sionfou Seydou ; SOUMAR, ISSOUF ; Gakpa, Lewis Landry. In: African Development Review. RePEc:bla:afrdev:v:30:y:2018:i:1:p:112-130.

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2019Re‐vitalizing money demand in the Euro area. Still valid at the zero‐lower bound. (2019). Dreger, Christian ; Roffia, Barbara ; Gerdesmeier, Dieter. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:71:y:2019:i:4:p:599-615.

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2018DOES THE LAUNCH OF THE EURO HINDER THE CURRENT ACCOUNT ADJUSTMENT OF THE EUROZONE?. (2018). Wu, Jowei. In: Economic Inquiry. RePEc:bla:ecinqu:v:56:y:2018:i:2:p:1116-1135.

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2017Estimation and Inference of Linear Trend Slope Ratios With an Application to Global Temperature Data. (2017). Perron, Pierre ; Nawaz, Nasreen ; Vogelsang, Timothy J ; Zorita, Eduardo . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:38:y:2017:i:5:p:640-667.

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2018Unit Root Testing with Unstable Volatility. (2018). Beare, Brendan. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:39:y:2018:i:6:p:816-835.

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2018Confidence Sets for the Date of a Structural Change at the End of a Sample. (2018). Kurozumi, Eiji. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:39:y:2018:i:6:p:850-862.

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2018Unit Root Testing in Multiple Smooth Break Models with Nonlinear Dynamics. (2018). Sandberg, Rickard. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:39:y:2018:i:6:p:942-952.

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2017Testing for Flexible Nonlinear Trends with an Integrated or Stationary Noise Component. (2017). Yabu, Tomoyoshi ; Shintani, Mototsugu ; Perron, Pierre. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:79:y:2017:i:5:p:822-850.

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2019Time-varying cointegration and the UK great ratios. (2019). Price, Simon ; Petrova, Katerina ; Millard, Stephen ; Kapetanios, George. In: Bank of England working papers. RePEc:boe:boeewp:0789.

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2018Not all cities are alike : House price heterogeneity and the design of macro-prudential policies in China. (2018). Tsang, Andrew ; Funke, Michael ; Zhu, Linxu. In: BOFIT Discussion Papers. RePEc:bof:bofitp:2018_018.

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2017Forecasting the equity risk premium with frequency-decomposed predictors. (2017). Verona, Fabio ; Faria, Gonçalo. In: Research Discussion Papers. RePEc:bof:bofrdp:2017_001.

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2019Sentiment Indicators Based on a Short Business Tendency Survey. (2019). Suhoy, Tanya ; Roash, Daniel. In: Bank of Israel Working Papers. RePEc:boi:wpaper:2019.11.

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2019Structural Breaks in Time Series. (2018). Perron, Pierre ; Casini, Alessandro. In: Boston University - Department of Economics - Working Papers Series. RePEc:bos:wpaper:wp2019-002.

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2018Robust Tests for Convergence Clubs. (2018). Yazgan, Ege ; Stengos, Thanasis ; Corrado, Luisa ; Weeks, M. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1873.

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2017The Local Power of the IPS Test with Both Initial Conditions and Incidental Trends. (2017). Peng, Huaming ; Liang, Zhongwen ; Lahiri, Kajal. In: CESifo Working Paper Series. RePEc:ces:ceswps:_6313.

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2018Forecasting Imports with Information from Abroad. (2018). Lehmann, Robert ; Grimme, Christian ; Noeller, Marvin. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7079.

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2020Tracking and Predicting the German Economy: ifo vs. PMI. (2020). Reif, Magnus ; Lehmann, Robert. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8145.

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2020Macroeconomics, Nonlinearities, and the Business Cycle. (2020). Reif, Magnus. In: ifo Beiträge zur Wirtschaftsforschung. RePEc:ces:ifobei:87.

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2018Das ifo Importklima – ein erster Frühindikator für die Prognose der deutschen Importe. (2018). Lehmann, Robert ; Grimme, Christian ; Noller, Marvin. In: ifo Schnelldienst. RePEc:ces:ifosdt:v:71:y:2018:i:12:p:27-32.

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2018Macroeconomic Uncertainty and Forecasting Macroeconomic Aggregates. (2018). Reif, Magnus. In: ifo Working Paper Series. RePEc:ces:ifowps:_265.

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2019Forecasting Imports with Information from Abroad. (2019). Lehmann, Robert ; Grimme, Christian ; Noeller, Marvin. In: ifo Working Paper Series. RePEc:ces:ifowps:_294.

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2019The Sources of British Economic Growth since the Industrial Revolution: Not the Same Old Story. (2019). Crafts, Nicholas. In: CAGE Online Working Paper Series. RePEc:cge:wacage:430.

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2019The Pre-1914 UK Productivity Slowdown: A Reappraisal. (2019). Mills, Terence C ; Crafts, Nicholas. In: CAGE Online Working Paper Series. RePEc:cge:wacage:437.

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2019A system for forecasting Chilean cash demand – the role of forecast combinations. (2019). Pedersen, Michael ; Figueroa, Camila . In: Journal Economía Chilena (The Chilean Economy). RePEc:chb:bcchec:v:22:y:2019:i:2:p:040-068.

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2019Can economic perception surveys improve macroeconomic forecasting in Chile?. (2019). Medel, Carlos A. ; MARCEL, MARIO ; Chanut, Nicolas. In: Journal Economía Chilena (The Chilean Economy). RePEc:chb:bcchec:v:22:y:2019:i:3:p:034-097.

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2019Extracting information on economic activity from business and consumer surveys in an emerging economy (Chile). (2019). Pedersen, Michael ; Figueroa, Camila. In: Journal Economía Chilena (The Chilean Economy). RePEc:chb:bcchec:v:22:y:2019:i:3:p:098-131.

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2017Forecasting Demand for Denominations of Chilean Coins and Banknotes. (2017). Pedersen, Michael ; Figueroa, Camila . In: Working Papers Central Bank of Chile. RePEc:chb:bcchwp:799.

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2018Can Economic Perception Surveys Improve Macroeconomic Forecasting in Chile?. (2018). Medel, Carlos A. ; MARCEL, MARIO ; Chanut, Nicolas. In: Working Papers Central Bank of Chile. RePEc:chb:bcchwp:824.

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2017Fiscal Surprises at the FOMC. (2017). van Norden, Simon ; Croushore, Dean. In: CIRANO Working Papers. RePEc:cir:cirwor:2017s-09.

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2019Exchange rate pass-through into consumer healthcare prices in Colombia. (2019). Fernández Mejía, Julián ; Fernandez, Julian ; Alonso, Julio C ; Prada, Sergio Ivan . In: Revista Cuadernos de Economía. RePEc:col:000093:017460.

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2020Econometric Foundations of the Great Ratios of Economics. (2020). Harding, Don. In: Centre of Policy Studies/IMPACT Centre Working Papers. RePEc:cop:wpaper:g-300.

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2017Propagation of economic shocks from Russia and Western European countries to CEE-Baltic countries: a comparative analysis. (2017). Khan, Nazmus. In: CQE Working Papers. RePEc:cqe:wpaper:6517.

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2019Forecasting Volatility in Cryptocurrency Markets. (2019). Bekiros, Stelios ; Segnon, Mawuli. In: CQE Working Papers. RePEc:cqe:wpaper:7919.

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2019Predictive Regressions. (2019). Pitarakis, Jean-Yves ; Gonzalo, Jesus. In: UC3M Working papers. Economics. RePEc:cte:werepe:28554.

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2017Hybrid Stochastic Local Unit Roots. (2017). Phillips, Peter ; PEter, ; Lieberman, Offer. In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2113.

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2019Testing the Current Account Sustainability for BRICS Countries: Evidence from a Nonlinear Framework. (2019). Omay, Tolga ; Denaux, Zulal S ; Hasdemir, Esra. In: Economics Bulletin. RePEc:ebl:ecbull:eb-18-00827.

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2019An analysis of the Eurosystem/ECB projections. (2019). Lambrias, Kyriacos ; Kontogeorgos, Georgios. In: Working Paper Series. RePEc:ecb:ecbwps:20192291.

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2017Environment–economic Growth Nexus: A Comparative Analysis of Developed and Developing Countries. (2017). Acaravci, Ali ; Akalin, Guray. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2017-05-5.

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2019Effects of management areas, drought, and commodity prices on groundwater decline patterns across the High Plains Aquifer. (2019). Kendall, Anthony D ; Smidt, Samuel J ; Cotterman, Kayla A ; Hyndman, David W. In: Agricultural Water Management. RePEc:eee:agiwat:v:218:y:2019:i:c:p:259-273.

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2019Forecasting tourism demand with denoised neural networks. (2019). Huang, XU ; Heravi, Saeed ; Hassani, Hossein ; Silva, Emmanuel Sirimal. In: Annals of Tourism Research. RePEc:eee:anture:v:74:y:2019:i:c:p:134-154.

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2019Short-term scenario-based probabilistic load forecasting: A data-driven approach. (2019). Pauwels, Eric J ; Khoshrou, Abdolrahman. In: Applied Energy. RePEc:eee:appene:v:238:y:2019:i:c:p:1258-1268.

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2018Unit roots, flexible trends, and the Prebisch-Singer hypothesis. (2018). Winkelried, Diego. In: Journal of Development Economics. RePEc:eee:deveco:v:132:y:2018:i:c:p:1-17.

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2018An analysis of the effect of investor sentiment in a heterogeneous switching transition model for G7 stock markets. (2018). JAWADI, Fredj ; Ftiti, Zied ; Namouri, Hela. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:91:y:2018:i:c:p:469-484.

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2019Effective energy commodity risk management: Econometric modeling of price volatility. (2019). HALKOS, GEORGE ; Tsirivis, Apostolos S. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:63:y:2019:i:c:p:234-250.

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2017Do bubbles have an explosive signature in markov switching models?. (2017). Fraser, Iain ; Balcombe, Kelvin. In: Economic Modelling. RePEc:eee:ecmode:v:66:y:2017:i:c:p:81-100.

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2017Generalized Method of Moment estimation of multivariate multifractal models. (2017). Liu, Ruipeng ; Lux, Thomas. In: Economic Modelling. RePEc:eee:ecmode:v:67:y:2017:i:c:p:136-148.

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2018Testing for bubbles in the art markets: An empirical investigation. (2018). Assaf, Ata. In: Economic Modelling. RePEc:eee:ecmode:v:68:y:2018:i:c:p:340-355.

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2018On the dynamics of sovereign debt in China: Sustainability and structural change. (2018). Regis, Paulo ; Cuestas, Juan. In: Economic Modelling. RePEc:eee:ecmode:v:68:y:2018:i:c:p:356-359.

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2018Capital mobility in OECD countries: A multi-level factor approach to saving–investment correlations. (2018). Ho, Sun ; Kim, Yun Jung. In: Economic Modelling. RePEc:eee:ecmode:v:69:y:2018:i:c:p:150-159.

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2018Nowcasting with the help of foreign indicators: The case of Mexico. (2018). Caruso, Alberto. In: Economic Modelling. RePEc:eee:ecmode:v:69:y:2018:i:c:p:160-168.

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2018Industrial electricity consumption, human capital investment and economic growth in Chinese cities. (2018). Chen, Yang ; Fang, Zheng. In: Economic Modelling. RePEc:eee:ecmode:v:69:y:2018:i:c:p:205-219.

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2018Education and democracy: New evidence from 161 countries. (2018). Apergis, Nicholas. In: Economic Modelling. RePEc:eee:ecmode:v:71:y:2018:i:c:p:59-67.

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2018Explaining coffee price differentials in terms of chemical markers: Evidence from a pairwise approach. (2018). Arguello, Ricardo ; Ramirez, Manuel ; Oviedo, Juan Daniel ; Otero, Jesus. In: Economic Modelling. RePEc:eee:ecmode:v:72:y:2018:i:c:p:190-201.

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2018Bias-corrected estimation for speculative bubbles in stock prices. (2018). Kruse, Robinson ; Wegener, Christoph ; Kaufmann, Hendrik. In: Economic Modelling. RePEc:eee:ecmode:v:73:y:2018:i:c:p:354-364.

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2019Intraday momentum and stock return predictability: Evidence from China. (2019). Zhang, Yaojie ; Zhu, BO ; Ma, Feng. In: Economic Modelling. RePEc:eee:ecmode:v:76:y:2019:i:c:p:319-329.

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2019Forecasting stock returns: Do less powerful predictors help?. (2019). Shi, Benshan ; Ma, Feng ; Zeng, Qing ; Zhang, Yaojie. In: Economic Modelling. RePEc:eee:ecmode:v:78:y:2019:i:c:p:32-39.

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2019A key determinant of commodity price Co-movement: The role of daily market liquidity. (2019). Scheffel, Eric M ; Ding, Shusheng ; Zhang, Yongmin. In: Economic Modelling. RePEc:eee:ecmode:v:81:y:2019:i:c:p:170-180.

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2019Time variation in inflation persistence: New evidence from modelling US inflation. (2019). Granville, Brigitte ; Zeng, Ning . In: Economic Modelling. RePEc:eee:ecmode:v:81:y:2019:i:c:p:30-39.

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2019A nowcasting model for Ecuador: Implementing a time-varying mean output growth. (2019). Baquero, Daniel ; Gonzalez-Astudillo, Manuel. In: Economic Modelling. RePEc:eee:ecmode:v:82:y:2019:i:c:p:250-263.

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2020Inflation forecasting using the New Keynesian Phillips Curve with a time-varying trend. (2020). Rumler, Fabio ; Mihailov, Alexander ; McKnight, Stephen. In: Economic Modelling. RePEc:eee:ecmode:v:87:y:2020:i:c:p:383-393.

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2018Regional or global shock? A global VAR analysis of Asian economic and financial integration. (2018). Li, Sheue ; Sato, Kiyotaka . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:46:y:2018:i:c:p:232-248.

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2019Asymmetric adjustment, non-linearity and housing price bubbles: New international evidence. (2019). Wu, An-Chi ; Chen, Shyh-Wei ; Xie, Zixiong. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:50:y:2019:i:c:s1062940818305849.

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2019Forecasting aggregate equity return volatility using crude oil price volatility: The role of nonlinearities and asymmetries. (2019). Nonejad, Nima. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:50:y:2019:i:c:s1062940818306296.

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2019Time-varying risk aversion and realized gold volatility. (2019). GUPTA, RANGAN ; Demirer, Riza ; Pierdzioch, Christian ; Gkillas, Konstantinos. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:50:y:2019:i:c:s1062940818306399.

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2019Are fiscal deficits inflationary in African countries? A new evidence from an asymmetric cointegration analysis. (2019). Ahmad, Ahmad Hassan ; Aworinde, Olalekan B. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:50:y:2019:i:c:s1062940819300154.

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2017Two simple tests of the trend hypothesis under time-varying variance. (2017). Yang, Yang ; Wang, Shaoping. In: Economics Letters. RePEc:eee:ecolet:v:156:y:2017:i:c:p:123-128.

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2017Behavior of the standard Dickey–Fuller test when there is a Fourier-form break under the null hypothesis. (2017). Yang, Lixiong ; Su, Jen-Je ; Lee, Chingnun. In: Economics Letters. RePEc:eee:ecolet:v:159:y:2017:i:c:p:128-133.

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2018Do 18th century ‘bubbles’ survive the scrutiny of 21st century time series econometrics?. (2018). Oxley, Les ; Hu, Yang. In: Economics Letters. RePEc:eee:ecolet:v:162:y:2018:i:c:p:131-134.

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2018A simple test on structural change in long-memory time series. (2018). Wenger, Kai ; Sibbertsen, Philipp ; Leschinski, Christian. In: Economics Letters. RePEc:eee:ecolet:v:163:y:2018:i:c:p:90-94.

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2019Testing for randomness in a random coefficient autoregression model. (2019). Horvath, Lajos ; Trapani, Lorenzo. In: Journal of Econometrics. RePEc:eee:econom:v:209:y:2019:i:2:p:338-352.

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2019Bayesian compressed vector autoregressions. (2019). Pettenuzzo, Davide ; Korobilis, Dimitris ; Koop, Gary. In: Journal of Econometrics. RePEc:eee:econom:v:210:y:2019:i:1:p:135-154.

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2019Adaptive hierarchical priors for high-dimensional vector autoregressions. (2019). Pettenuzzo, Davide ; Korobilis, Dimitris. In: Journal of Econometrics. RePEc:eee:econom:v:212:y:2019:i:1:p:241-271.

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2019Bootstrapping structural change tests. (2019). Hall, Alastair R ; Cornea-Madeira, Adriana ; Boldea, Otilia. In: Journal of Econometrics. RePEc:eee:econom:v:213:y:2019:i:2:p:359-397.

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2020Global hemispheric temperatures and co-shifting: A vector shifting-mean autoregressive analysis. (2020). Teräsvirta, Timo ; Holt, Matthew ; Terasvirta, Timo. In: Journal of Econometrics. RePEc:eee:econom:v:214:y:2020:i:1:p:198-215.

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2020Long-term forecasting of El Niño events via dynamic factor simulations. (2020). Li, Mengheng ; Petrova, Desislava ; Lit, Rutger ; Koopman, Siem Jan. In: Journal of Econometrics. RePEc:eee:econom:v:214:y:2020:i:1:p:46-66.

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2020Hybrid stochastic local unit roots. (2020). Phillips, Peter ; Lieberman, Offer. In: Journal of Econometrics. RePEc:eee:econom:v:215:y:2020:i:1:p:257-285.

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2017On Bayesian analysis and unit root testing for autoregressive models in the presence of multiple structural breaks. (2017). Tzavalis, Elias ; Vrontos, Ioannis ; Meligkotsidou, Loukia. In: Econometrics and Statistics. RePEc:eee:ecosta:v:4:y:2017:i:c:p:70-90.

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2018Testing the null of difference stationarity against the alternative of a stochastic unit root: A new test based on multivariate STUR. (2018). Muriel, Nelson ; Gonzalez-Farias, Graciela. In: Econometrics and Statistics. RePEc:eee:ecosta:v:7:y:2018:i:c:p:46-62.

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2018Change point detection in heteroscedastic time series. (2018). Gorecki, Tomasz ; Kokoszka, Piotr ; Horvath, Lajos. In: Econometrics and Statistics. RePEc:eee:ecosta:v:7:y:2018:i:c:p:63-88.

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2019Forecasting retailer product sales in the presence of structural change. (2019). Fildes, Robert ; Huang, Tao ; Soopramanien, Didier. In: European Journal of Operational Research. RePEc:eee:ejores:v:279:y:2019:i:2:p:459-470.

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2018Asymmetric real exchange rates and poverty: The role of remittances. (2018). Cooray, Arusha ; Apergis, Nicholas. In: Emerging Markets Review. RePEc:eee:ememar:v:35:y:2018:i:c:p:111-119.

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More than 100 citations found, this list is not complete...

Stephen Leybourne has edited the books:


YearTitleTypeCited

Works by Stephen Leybourne:


YearTitleTypeCited
2008Testing for Unit Roots in the Presence of a Possible Break in Trend and Non-Stationary Volatility In: CREATES Research Papers.
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paper18
2011TESTING FOR UNIT ROOTS IN THE PRESENCE OF A POSSIBLE BREAK IN TREND AND NONSTATIONARY VOLATILITY.(2011) In: Econometric Theory.
[Full Text][Citation analysis]
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article
2009Testing for unit roots in the presence of a possible break in trend and non-stationary volatility.(2009) In: Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 18
paper
1988ECONOMIC GROWTH IN NINETEETH CENTURY BRITAIN: COMPARISONS WITH EUROPE IN THE CONTEXT OF GERSCHENKRONS HYPOTHESES In: Economic Research Papers.
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paper1
1988ECONOMIC GROWTH IN NINETEETH CENTURY BRITAIN: COMPARISONS WITH EUROPE IN THE CONTEXT OF GERSCHENKRONS HYPOTHESES.(1988) In: The Warwick Economics Research Paper Series (TWERPS).
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This paper has another version. Agregated cites: 1
paper
1994A Consistent Test for a Unit Root. In: Journal of Business & Economic Statistics.
[Citation analysis]
article110
1996Can Economic Time Series Be Differenced to Stationarity? In: Journal of Business & Economic Statistics.
[Citation analysis]
article52
1998Tests for Forecast Encompassing. In: Journal of Business & Economic Statistics.
[Citation analysis]
article396
1999Modified Stationarity Tests with Data-Dependent Model-Selection Rules. In: Journal of Business & Economic Statistics.
[Citation analysis]
article21
2005Panel Stationarity Tests for Purchasing Power Parity With Cross-Sectional Dependence In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
article52
2005On Robust Trend Function Hypothesis Testing In: Discussion Papers.
[Citation analysis]
paper0
2006On Robust Trend Function Hypothesis Testing.(2006) In: Studies in Nonlinear Dynamics & Econometrics.
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This paper has another version. Agregated cites: 0
article
1989Trends and Cycles in British Industrial Production, 1700–1913 In: Journal of the Royal Statistical Society Series A.
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article2
1997A Parametric approach to testing the null of cointegration In: Journal of Time Series Analysis.
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article0
1998Unit roots and smooth transitions In: Journal of Time Series Analysis.
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article27
1999On the Size Properties of Phillips–Perron Tests In: Journal of Time Series Analysis.
[Full Text][Citation analysis]
article0
1999Unit Roots and Asymmetric Smooth Transitions In: Journal of Time Series Analysis.
[Full Text][Citation analysis]
article4
2002A Direct Test for Cointegration Between a Pair of Time Series In: Journal of Time Series Analysis.
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article0
2003Seasonal Unit Root Tests Based on Forward and Reverse Estimation In: Journal of Time Series Analysis.
[Full Text][Citation analysis]
article2
2004Asymptotic mean-squared forecast error when an autoregression with linear trend is fitted to data generated by an I(0) or I(1) process In: Journal of Time Series Analysis.
[Full Text][Citation analysis]
article1
2004Behaviour of Dickey-Fuller Unit-Root Tests Under Trend Misspecification In: Journal of Time Series Analysis.
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article9
2003Behaviour of Dickey-Fuller Unit Root Tests Under Trend Misspecification.(2003) In: Econometrics.
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paper
2005Examination of Some More Powerful Modifications of the Dickey-Fuller Test In: Journal of Time Series Analysis.
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article34
2003EXAMINATION OF SOME MORE POWERFUL MODIFICATIONS OF THE DICKEY- FULLER TEST.(2003) In: Econometrics.
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paper
2006Power of a Unit‐Root Test and the Initial Condition In: Journal of Time Series Analysis.
[Full Text][Citation analysis]
article9
2007CUSUM of Squares‐Based Tests for a Change in Persistence In: Journal of Time Series Analysis.
[Full Text][Citation analysis]
article37
2010The impact of the initial condition on robust tests for a linear trend In: Journal of Time Series Analysis.
[Full Text][Citation analysis]
article4
2009The impact of the initial condition on robust tests for a linear trend.(2009) In: Discussion Papers.
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paper
2010Testing for nonlinear deterministic components when the order of integration is unknown In: Journal of Time Series Analysis.
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article4
2014A FIXED- b TEST FOR A BREAK IN LEVEL AT AN UNKNOWN TIME UNDER FRACTIONAL INTEGRATION In: Journal of Time Series Analysis.
[Full Text][Citation analysis]
article6
2015Testing for Unit Roots Under Multiple Possible Trend Breaks and Non-Stationary Volatility Using Bootstrap Minimum Dickey–Fuller Statistics In: Journal of Time Series Analysis.
[Full Text][Citation analysis]
article2
2018Special Issue of the Journal of Time Series Analysis In Honour of Professor Paul Newbold: Guest Editors Introduction In: Journal of Time Series Analysis.
[Full Text][Citation analysis]
article0
2018Real‐Time Monitoring for Explosive Financial Bubbles In: Journal of Time Series Analysis.
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article1
1999Detecting Seasonal Unit Roots: An Approach Based on the Sample Autocorrelation Function. In: Manchester School.
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article1
2000Smooth Transitions and GDP Growth in the European Union. In: Manchester School.
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article6
2003Real Exchange Rate Dynamics Under The Current Float: A Re-Examination In: Manchester School.
[Full Text][Citation analysis]
article8
1994A Simple Test for Cointegration. In: Oxford Bulletin of Economics and Statistics.
[Citation analysis]
article13
1995Testing for Unit Roots Using Forward and Reverse Dickey-Fuller Regressions. In: Oxford Bulletin of Economics and Statistics.
[Citation analysis]
article87
2000 Spurious Rejections by Perron Tests in the Presence of a Break. In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]
article16
2001 Innovational Outlier Unit Root Tests with an Endogenously Determined Break in Level. In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]
article16
2004Tests for a Break in Level when the Order of Integration is Unknown In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]
article0
2006Regression‐based Tests for a Change in Persistence* In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]
article12
2014Unit Root Testing under a Local Break in Trend using Partial Information on the Break Date In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]
article3
2014Break Date Estimation for Models with Deterministic Structural Change In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]
article1
2013Break date estimation for models with deterministic structural change.(2013) In: Discussion Papers.
[Full Text][Citation analysis]
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paper
2015Robust and Powerful Tests for Nonlinear Deterministic Components In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]
article6
2017The Impact of the Initial Condition on Covariate Augmented Unit Root Tests In: Journal of Time Series Econometrics.
[Full Text][Citation analysis]
article0
2016The impact of the initial condition on covariate augmented unit root tests.(2016) In: Discussion Papers.
[Full Text][Citation analysis]
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paper
2017Testing for a Change in Mean under Fractional Integration In: Journal of Time Series Econometrics.
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article0
2007Detecting Multiple Changes in Persistence In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]
article31
2008A Powerful Test for Linearity When the Order of Integration is Unknown In: Studies in Nonlinear Dynamics & Econometrics.
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article26
2007A powerful test for linearity when the order of integration is unknown.(2007) In: Discussion Papers.
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paper
2007A powerful test for linearity when the order of integration is unknown.(2007) In: Discussion Papers.
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paper
2018Testing for a unit root against ESTAR stationarity In: Studies in Nonlinear Dynamics & Econometrics.
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article0
2017Testing for a unit root against ESTAR stationarity.(2017) In: Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
paper
1998ON ESTIMATING AN ARMA MODEL WITH AN MA UNIT ROOT In: Econometric Theory.
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article3
2000BEHAVIOR OF DICKEY–FULLER t-TESTS WHEN THERE IS A BREAK UNDER THE ALTERNATIVE HYPOTHESIS In: Econometric Theory.
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article9
2003SOME LIMIT THEORY FOR AUTOCOVARIANCES WHOSE ORDER DEPENDS ON SAMPLE SIZE In: Econometric Theory.
[Full Text][Citation analysis]
article16
2006A RESIDUAL-BASED TEST FOR STOCHASTIC COINTEGRATION In: Econometric Theory.
[Full Text][Citation analysis]
article3
2007MODIFIED KPSS TESTS FOR NEAR INTEGRATION In: Econometric Theory.
[Full Text][Citation analysis]
article7
2008TESTING FOR LONG MEMORY In: Econometric Theory.
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article14
2009UNIT ROOT TESTING IN PRACTICE: DEALING WITH UNCERTAINTY OVER THE TREND AND INITIAL CONDITION In: Econometric Theory.
[Full Text][Citation analysis]
article49
2007Unit root testing in practice: dealing with uncertainty over the trend and initial condition.(2007) In: Discussion Papers.
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paper
2009REJOINDER In: Econometric Theory.
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article1
2009SIMPLE, ROBUST, AND POWERFUL TESTS OF THE BREAKING TREND HYPOTHESIS In: Econometric Theory.
[Full Text][Citation analysis]
article52
2006Simple, Robust and Powerful Tests of the Breaking Trend Hypothesis*.(2006) In: Discussion Papers.
[Full Text][Citation analysis]
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paper
2009SPECIAL ISSUE OF ECONOMETRIC THEORY IN HONOR OF PAUL NEWBOLD: GUEST EDITORS’ INTRODUCTION In: Econometric Theory.
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article0
2009THE RESEARCH INTERESTS OF PAUL NEWBOLD In: Econometric Theory.
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article0
2009TESTING FOR A UNIT ROOT IN THE PRESENCE OF A POSSIBLE BREAK IN TREND In: Econometric Theory.
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2007Testing for a unit root in the presence of a possible break in trend.(2007) In: Discussion Papers.
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paper
2010LOCAL ASYMPTOTIC POWER OF THE IM-PESARAN-SHIN PANEL UNIT ROOT TEST AND THE IMPACT OF INITIAL OBSERVATIONS In: Econometric Theory.
[Full Text][Citation analysis]
article14
2008Local asymptotic power of the Im-Pesaran-Shin panel unit root test and the impact of initial observations.(2008) In: Discussion Papers.
[Full Text][Citation analysis]
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paper
2019TESTING THE ORDER OF FRACTIONAL INTEGRATION OF A TIME SERIES IN THE POSSIBLE PRESENCE OF A TREND BREAK AT AN UNKNOWN POINT In: Econometric Theory.
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article0
2017Testing the Order of Fractional Integration of a Time Series in the Possible Presence of a Trend Break at an Unknown Point.(2017) In: Essex Finance Centre Working Papers.
[Full Text][Citation analysis]
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paper
2004Some New Tests for a Change in Persistence In: Economics Bulletin.
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article3
2004Modified Tests for a Change in Persistence In: Econometric Society 2004 Australasian Meetings.
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paper56
2006Modified tests for a change in persistence.(2006) In: Journal of Econometrics.
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article
2007Testing for time series linearity In: Econometrics Journal.
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2008Seasonal unit root tests and the role of initial conditions In: Econometrics Journal.
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article1
2008Seasonal unit root tests and the role of initial conditions.(2008) In: Discussion Papers.
[Full Text][Citation analysis]
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paper
1999The behaviour of Dickey-Fuller and Phillips-Perron tests under the alternative hypothesis In: Econometrics Journal.
[Citation analysis]
article8
2000Behaviour of the standard and symmetric Dickey-Fuller-type tests when there is a break under the null hypothesis In: Econometrics Journal.
[Citation analysis]
article18
2001Analysis of a panel of UK macroeconomic forecasts In: Econometrics Journal.
[Citation analysis]
article23
2003Tests for a change in persistence against the null of difference-stationarity In: Econometrics Journal.
[Full Text][Citation analysis]
article44
2005On testing for unit roots and the initial observation In: Econometrics Journal.
[Full Text][Citation analysis]
article15
2014On infimum Dickey–Fuller unit root tests allowing for a trend break under the null In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]
article1
2012An infimum coefficient unit root test allowing for an unknown break in trend In: Economics Letters.
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article1
2014Asymptotic behaviour of tests for a unit root against an explosive alternative In: Economics Letters.
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article4
2016Improving the length of confidence sets for the date of a break in level and trend when the order of integration is unknown In: Economics Letters.
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article0
1992A simple test for parameter constancy in a nonlinear time series regression model In: Economics Letters.
[Full Text][Citation analysis]
article0
2002Seasonal unit root tests with seasonal mean shifts In: Economics Letters.
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article22
2004On tests for changes in persistence In: Economics Letters.
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article11
2006Persistence change tests and shifting stable autoregressions In: Economics Letters.
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article3
2002Unit root tests with a break in innovation variance In: Journal of Econometrics.
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article67
2002Stochastic cointegration: estimation and inference In: Journal of Econometrics.
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article15
2007A simple, robust and powerful test of the trend hypothesis In: Journal of Econometrics.
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article40
2006A simple, robust and powerful test of the trend hypothesis.(2006) In: Discussion Papers.
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paper
2008Erratum to A simple, robust and powerful test of the trend hypothesis [Journal of Econometrics 141(2) (2007) 1302-1330] In: Journal of Econometrics.
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article0
2010Robust methods for detecting multiple level breaks in autocorrelated time series In: Journal of Econometrics.
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article23
2010Robust methods for detecting multiple level breaks in autocorrelated time series.(2010) In: Discussion Papers.
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paper
2011Robust methods for detecting multiple level breaks in autocorrelated time series.(2011) In: Discussion Papers.
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paper
2012Unit root testing under a local break in trend In: Journal of Econometrics.
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article5
2010Unit root testing under a local break in trend.(2010) In: Discussion Papers.
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2011Unit root testing under a local break in trend.(2011) In: Discussion Papers.
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2012Testing for unit roots in the presence of uncertainty over both the trend and initial condition In: Journal of Econometrics.
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2008Testing for unit roots in the presence of uncertainty over both the trend and initial condition.(2008) In: Discussion Papers.
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2013Testing for a break in trend when the order of integration is unknown In: Journal of Econometrics.
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article10
2013Testing for unit roots in the possible presence of multiple trend breaks using minimum Dickey–Fuller statistics In: Journal of Econometrics.
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article24
2015Confidence sets for the date of a break in level and trend when the order of integration is unknown In: Journal of Econometrics.
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2014Confidence sets for the date of a break in level and trend when the order of integration is unknown.(2014) In: Discussion Papers.
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2016Tests of the co-integration rank in VAR models in the presence of a possible break in trend at an unknown point In: Journal of Econometrics.
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2016Tests of the Co-integration Rank in VAR Models in the Presence of a Possible Break in Trend at an Unknown Point.(2016) In: Essex Finance Centre Working Papers.
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2018Testing for parameter instability in predictive regression models In: Journal of Econometrics.
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2018Testing for Parameter Instability in Predictive Regression Models.(2018) In: Essex Finance Centre Working Papers.
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1998Spurious rejections by Dickey-Fuller tests in the presence of a break under the null In: Journal of Econometrics.
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2014Robust tests for a linear trend with an application to equity indices In: Journal of Empirical Finance.
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2016Tests for explosive financial bubbles in the presence of non-stationary volatility In: Journal of Empirical Finance.
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2017Improving the accuracy of asset price bubble start and end date estimators In: Journal of Empirical Finance.
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1990Measurement of trend growth in European industrial output before 1914: Methodological issues and new estimates In: Explorations in Economic History.
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article3
1997Testing the equality of prediction mean squared errors In: International Journal of Forecasting.
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2017Forecast evaluation tests and negative long-run variance estimates in small samples In: International Journal of Forecasting.
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article2
2017Forecast evaluation tests and negative long-run variance estimates in small samples.(2017) In: Discussion Papers.
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2001Trend-stationarity, difference-stationarity, or neither: further diagnostic tests with an application to U.S. Real GNP, 1875-1993 In: Journal of Economics and Business.
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article6
1999Understanding the disinflations in Australia, Canada and New Zealand using evidence from smooth transition analysis In: Journal of International Money and Finance.
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article19
2014Preliminary design of the OWEL wave energy converter pre-commercial demonstrator In: Renewable Energy.
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1994The excess comovement of commodity prices revisited In: World Development.
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2018A Bootstrap Stationarity Test for Predictive Regression Invalidity In: Essex Finance Centre Working Papers.
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2017A bootstrap stationarity test for predictive regression invalidity.(2017) In: Discussion Papers.
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2018Detecting Regimes of Predictability in the U.S. Equity Premium In: Essex Finance Centre Working Papers.
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2015Rockin All Over The World: organisational improvisation lessons from the music-based practitioner In: International Journal of Management Concepts and Philosophy.
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2004More powerful panel data unit root tests with an application to mean reversion in real exchange rates In: Journal of Applied Econometrics.
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1989The Climacteric in Late Victorian Britain and France: A Reappraisal of the Evidence. In: Journal of Applied Econometrics.
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2002Tests for Symmetric and Asymmetric Nonlinear Mean Reversion in Real Exchange Rates. In: Journal of Money, Credit and Banking.
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1997Disinflation and Central Bank Independence in Australia, Canada and New Zealand: Evidence from Smooth Transition Analysis. In: Discussion Papers.
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2008Panel root tests and the impact of initial observations In: Discussion Papers.
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2007Testing for a unit root when uncertain about the trend [Revised to become 07/03 above] In: Discussion Papers.
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2008Testing for unit roots and the impact of quadratic trends, with an application to relative primary commodity prices In: Discussion Papers.
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2011Testing for Unit Roots and the Impact of Quadratic Trends, with an Application to Relative Primary Commodity Prices.(2011) In: Econometric Reviews.
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2009Robust methods for detecting multiple level breaks in autocorrelated time series [Revised to become No. 10/01 above] In: Discussion Papers.
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2009Testing for nonlinear trends when the order of integration is unknown In: Discussion Papers.
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2011On the behaviour of fixed-b trend break tests under fractional integration In: Discussion Papers.
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2016Tests for an end-of-sample bubble in financial time series In: Discussion Papers.
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2017Tests for an end-of-sample bubble in financial time series.(2017) In: Econometric Reviews.
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2018Testing explosive bubbles with time-varying volatility In: Discussion Papers.
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2019Testing explosive bubbles with time-varying volatility.(2019) In: Econometric Reviews.
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1997Modeling Growth (and Liberalization) Using Smooth Transitions Analysis. In: Economic Inquiry.
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2015Recursive Right-Tailed Unit Root Tests for an Explosive Asset Price Bubble In: Journal of Financial Econometrics.
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1999Mean Reversion of Real Exchange Rates in High-Inflation Countries In: Southern Economic Journal.
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1989Testing for Coefficient Constancy in Random Walk Models with Particular Reference to the Initial Value Problem. In: Empirical Economics.
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2000Stochastic unit roots modelling of stock price indices In: Applied Financial Economics.
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2003How great are the great ratios? In: Applied Economics.
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2003Spurious rejections by cointegration tests induced by structural breaks In: Applied Economics.
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2008A more powerful modification of Johansens cointegration tests In: Applied Economics.
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2001U.S. and U.K. Interest Rates 1890 - 1934: New Evidence on Structural Breaks In: Trinity Economics Papers.
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2003Panel Stationarity Tests with Cross-sectional Dependence In: Econometrics.
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2003On Unit Root Tests and the Initial Observation In: Econometrics.
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2003Testing for Stochastic Cointegration and Evidence for Present Value Models In: Econometrics.
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1996Trade Liberalisation and Growth In: Working Papers.
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1995Testing for Seasonal Unit Roots: a simple alternative to HEGY In: Discussion Papers.
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