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Spurious rejections by cointegration tests induced by structural breaks

Leybourne, Stephen James; Newbold, Paul - In: Applied economics 35 (2003) 9, pp. 1117-1121

Persistent link: https://www.econbiz.de/10001761588

A more powerful modification of Johansen's cointegration tests

Leybourne, Stephen James; Kim, Tae-hwan; Newbold, Paul - In: Applied economics 40 (2008) 4/6, pp. 725-729

Persistent link: https://www.econbiz.de/10003722969

A bootstrap stationarity test for predictive regression invalidity

Georgiev, Iliyan; Harvey, David I.; Leybourne, Stephen James - In: Journal of business & economic statistics : JBES ; a … 37 (2019) 3, pp. 528-541

Persistent link: https://www.econbiz.de/10012178194

House Price Dynamics and Their Reaction to Macroeconomic Changes

Nneji, Ogonna - 2013

This article applies a three-regime Markov switching model to investigate the impact of the macroeconomy on the dynamics of the residential real estate market in the US. Focusing on the period between 1960 and 2011, the methodology implemented allows for a clearer understanding of the drivers of...

Persistent link: https://www.econbiz.de/10013089847

Panel stationarity tests for purchasing power parity with cross-sectional dependence

Harris, David; Leybourne, Stephen James; McCabe, … - In: Journal of business & economic statistics : JBES ; a … 23 (2005) 4, pp. 395-409

Persistent link: https://www.econbiz.de/10003193432

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

Testing for non-linearity in daily sterling exchange rates

Brooks, Chris - In: Applied financial economics 6 (1996) 4, pp. 307-317

Persistent link: https://www.econbiz.de/10001207521

Can economic time series be differenced to stationarity?

Leybourne, Stephen James - In: Journal of business & economic statistics : JBES ; a … 14 (1996) 4, pp. 435-446

Persistent link: https://www.econbiz.de/10001209345

How great are the great ratios?

Harvey, David I.; Leybourne, Stephen James; Newbold, Paul - In: Applied economics 35 (2003) 2, pp. 163-177

Persistent link: https://www.econbiz.de/10001726084

Tests for forecast encompassing

Harvey, David I. - In: Journal of business & economic statistics : JBES ; a … 16 (1998) 2, pp. 254-259

Persistent link: https://www.econbiz.de/10001243991