A. Taylor

发表

ON AUGMENTED HEGY TESTS FOR SEASONAL UNIT ROOTS

D. Osborn, T. B. Castro, A. M. R. Taylor, 2012, Econometric Theory.

REGRESSION-BASED SEASONAL UNIT ROOT TESTS

T. B. Castro, Richard J. Smith, A. Taylor, 2009, Econometric Theory.

UNIT ROOT INFERENCE FOR NON-STATIONARY LINEAR PROCESSES DRIVEN BY INFINITE VARIANCE INNOVATIONS

Giuseppe Cavaliere, Iliyan Georgiev, A. M. R. Taylor, 2016, Econometric Theory.

UNIT ROOT TESTING IN PRACTICE: DEALING WITH UNCERTAINTY OVER THE TREND AND INITIAL CONDITION

David I. Harvey, Stephen J. Leybourne, A. M. Robert Taylor, 2009, Econometric Theory.

Bootstrap Cointegration Rank Testing: The Role of Deterministic Variables and Initial Values in the Bootstrap Recursion

Giuseppe Cavaliere, Carsten Trenkler, A. Taylor, 2013 .

SPECIAL ISSUE OF ECONOMETRIC THEORY IN HONOR OF PAUL NEWBOLD: GUEST EDITORS’ INTRODUCTION

S. Leybourne, A. Taylor, 2009, Econometric Theory.

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

David I. Harvey, S. Leybourne, Giuseppe Cavaliere, 2008 .

Bootstrap Determination of the Co-Integration Rank in Vector Autoregressive Models

Anders Rahbek, Giuseppe Cavaliere, A. Taylor, 2012 .

Bootstrap determination of the co-integration rank in VAR models

Anders Rahbek, Giuseppe Cavaliere, A. Taylor, 2011 .

A simple, robust and powerful test of the trend hypothesis

David I. Harvey, Stephen J. Leybourne, A. M. Robert Taylor, 2007 .

Tests of the Seasonal Unit-Root Hypothesis Against Heteroscedastic Seasonal Integration

A. M. Robert Taylor, Richard J. Smith, A. Taylor, 2001 .

A Local Projections Approach to Difference-in-Differences Event Studies

Ò. Jordà, Arindrajit Dubé, D. Girardi, 2023, SSRN Electronic Journal.

BOOTSTRAP UNION TESTS FOR UNIT ROOTS IN THE PRESENCE OF NONSTATIONARY VOLATILITY

Stephan Smeekes, A. Taylor, A. Taylor, 2011, Econometric Theory.

Testing for unit roots in time series models with non-stationary volatility

A. M. Robert Taylor, Giuseppe Cavaliere, Giuseppe Cavaliere, 2007 .

BOOTSTRAP UNIT ROOT TESTS FOR TIME SERIES WITH NONSTATIONARY VOLATILITY

A. M. Robert Taylor, Giuseppe Cavaliere, Giuseppe Cavaliere, 2007, Econometric Theory.

Variance Shifts, Structural Breaks, and Stationarity Tests

A. M. Robert Taylor, Fabio Busetti, F. Busetti, 2003 .

Transformed regression-based long-horizon predictability tests

M. Demetrescu, P. M. Rodrigues, A. M. Taylor, 2022, Journal of Econometrics.

Simple Tests for Stock Return Predictability with Good Size and Power Properties

David I. Harvey, Stephen J. Leybourne, A. M. Robert Taylor, 2021 .

Real‐time detection of regimes of predictability in the US equity premium

David I. Harvey, S. Leybourne, R. Sollis, 2020, Journal of Applied Econometrics.

Simple Tests for Stock Return Predictability with Improved Size and Power Properties

David I. Harvey, S. Leybourne, A. M. Taylor, 2020 .

Testing for episodic predictability in stock returns

Iliyan Georgiev, P. Rodrigues, M. Demetrescu, 2020 .

Semiparametric Tests for the Order of Integration in the Possible Presence of Level Breaks

A. M. Robert Taylor, Fabrizio Iacone, Morten Ørregaard Nielsen, 2021, Journal of Business & Economic Statistics.

Determining the order of differencing in seasonal time series processes

P. Franses, A. Taylor, 2000 .

Sieve-based inference for infinite-variance linear processes

Giuseppe Cavaliere, Iliyan Georgiev, A. Taylor, 2016 .

Testing for seasonal unit roots by frequency domain regression

Joanne S. Ercolani, M. J. Chambers, A. Taylor, 2014 .

THE IMPACT OF PERSISTENT CYCLES ON ZERO FREQUENCY UNIT ROOT TESTS

Tomás del Barrio Castro, T. B. Castro, P. Rodrigues, 2013, Econometric Theory.

TESTING FOR UNIT ROOTS IN THE PRESENCE OF A POSSIBLE BREAK IN TREND AND NONSTATIONARY VOLATILITY

David I. Harvey, S. Leybourne, Giuseppe Cavaliere, 2011, Econometric Theory.

TESTING FOR A UNIT ROOT IN THE PRESENCE OF A POSSIBLE BREAK IN TREND

David Harris, David I. Harvey, Stephen J. Leybourne, 2009, Econometric Theory.

Robust methods for detecting multiple level breaks in autocorrelated time series [Revised to become No. 10/01 above]

David I. Harvey, S. Leybourne, A. Taylor, 2009 .

Efficient tests of the seasonal unit root hypothesis

A. M. Robert Taylor, Paulo M. M. Rodrigues, P. Rodrigues, 2007 .

Extensions to IVX methods of inference for return predictability

Iliyan Georgiev, M. Demetrescu, Paulo M. M. Rodrigues, 2022, Journal of Econometrics.

SIMPLE, ROBUST, AND POWERFUL TESTS OF THE BREAKING TREND HYPOTHESIS

David I. Harvey, Stephen J. Leybourne, A. M. Robert Taylor, 2009, Econometric Theory.

Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form

M. Nielsen, Giuseppe Cavaliere, A. Taylor, 2016 .

Quasi-maximum likelihood estimation of heteroskedastic fractional time series models

M. Nielsen, Giuseppe Cavaliere, A. Taylor, 2014 .

Bootstrap Score Tests for Fractional Integration in Heteroskedastic ARFIMA Models, with an Application to Price Dynamics in Commodity Spot and Futures Markets

M. Nielsen, Giuseppe Cavaliere, A. M. R. Taylor, 2013 .

HETEROSKEDASTIC TIME SERIES WITH A UNIT ROOT

A. M. Robert Taylor, Giuseppe Cavaliere, Giuseppe Cavaliere, 2009, Econometric Theory.

Testing for a change in persistence in the presence of non-stationary volatility☆

A. M. Robert Taylor, Giuseppe Cavaliere, Giuseppe Cavaliere, 2008 .

The Flexible Fourier Form and Local GLS De-trended Unit Root Tests

P. Rodrigues, A. Taylor, 2009 .

Tests of stationarity against a change in persistence

Fabio Busetti, A. M. R. Taylor, F. Busetti, 2004 .

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

David I. Harvey, S. Leybourne, R. Sollis, 2016 .

Harvey, David I. and Leybourne, Stephen J. and Sollis, Robert and Taylor, A.M. Robert (2015) Tests for explosive financial bubbles in the presence of non-

David I. Harvey, S. Leybourne, R. Sollis, 2017 .

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

David I. Harvey, Stephen J. Leybourne, A. M. Robert Taylor, 2012 .

Wild bootstrap seasonal unit root tests for time series with periodic nonstationary volatility

Giuseppe Cavaliere, A. Skrobotov, A. Taylor, 2019 .

Temporal Aggregation of Seasonally Near‐Integrated Processes

P. Rodrigues, A. Taylor, Tomás Barrio Castro, 2019, Journal of Time Series Analysis.

Seasonal Unit Root Tests and the Role of Initial Conditions

David I. Harvey, S. Leybourne, A. Taylor, 2008 .

Bootstrapping the HEGY seasonal unit root tests

P. Burridge, A. Taylor, 2004 .

ASYMPTOTIC DISTRIBUTIONS FOR REGRESSION-BASED SEASONAL UNIT ROOT TEST STATISTICS IN A NEAR-INTEGRATED MODEL

P. Rodrigues, A. Taylor, 2004, Econometric Theory.

On the Properties of Regression-Based Tests for Seasonal Unit Roots in the Presence of Higher-Order Serial Correlation

P. Burridge, A. Taylor, 2001 .

Likelihood Ratio Tests for Seasonal Unit Roots

Richard J. Smith, A. Taylor, 1999 .

Additional critical values and asymptotic representations for seasonal unit root tests

Richard J. Smith, A. Taylor, 1998 .

Robust Stationarity Tests in Seasonal Time Series Processes

A. Robert Taylor, A. Taylor, 2003 .

On infimum Dickey-Fuller unit root tests allowing for a trend break under the null

David I. Harvey, Stephen J. Leybourne, A. M. Robert Taylor, 2014, Comput. Stat. Data Anal..

Testing against stochastic trend and seasonality in the presence of unattended breaks and unit roots

A. M. Robert Taylor, Fabio Busetti, F. Busetti, 2003 .

Detecting Multiple Changes in Persistence

Tae-Hwan Kim, Stephen J. Leybourne, A. M. Robert Taylor, 2007 .

COINTEGRATION RANK TESTING UNDER CONDITIONAL HETEROSKEDASTICITY

Anders Rahbek, Giuseppe Cavaliere, A. Taylor, 2010, Econometric Theory.

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

David I. Harvey, S. Leybourne, A. M. Taylor, 2017 .

On the practical problems of computing seasonal unit root tests

A. M. Robert Taylor, A. Taylor, 1997 .

Can Tests for Stochastic Unit Roots Provide Useful Portmanteau Tests for Persistence?

Dick J. C. van Dijk, A. Taylor, 2002 .

Testing for a unit root when uncertain about the trend [Revised to become 07/03 above]

David I. Harvey, S. Leybourne, A. Taylor, 2007 .

On the Definitions of (Co‐)integration

K. Abadir, A. M. R. Taylor, A. Taylor, 1999 .

Inference on Co-Integration Parameters in Heteroskedastic Vector Autoregressions

H. P. Boswijk, Anders Rahbek, Giuseppe Cavaliere, 2013, Journal of Econometrics.

ECONOMETRIC THEORY MEMORIAL TO ALBERT REX BERGSTROM–INTRODUCTION

Marcus J. Chambers, P. Phillips, A. Taylor, 2009, Econometric Theory.

An Optimal Test Against a Random Walk Component in a Non-Orthogonal Unobserved Components Model

R. Bailey, A. M. Taylor, A. Taylor, 2002 .

A bootstrap test for additive outliers in non‐stationary time series

David I. Harvey, Sam Astill, A. Taylor, 2013 .

Multivariate fractional integration tests allowing for conditional heteroskedasticity with an application to return volatility and trading volume

A. M. Robert Taylor, Antonio Rubia, Marina Balboa, 2021, Journal of Applied Econometrics.

Co-Integration Rank Testing under Conditional Heteroskedasticity

Anders Rahbek, Giuseppe Cavaliere, A. Taylor, 2009 .

Improved tests for stock return predictability

David I. Harvey, S. Leybourne, A. Taylor, 2023, Econometric Reviews.

Bonferroni Type Tests for Return Predictability and the Initial Condition

David I. Harvey, S. Leybourne, Sam Astill, 2023, Journal of Business & Economic Statistics.

Essex Finance Centre Working Paper Series Working Paper No 29 : 01-2018 Testing for Parameter Instability in Predictive Regression Models “

David I. Harvey, S. Leybourne, Iliyan Georgiev, 2018 .

Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility

P. Phillips, Giuseppe Cavaliere, Stephan Smeekes, 2012 .