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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
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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
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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
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A cointegration analysis of agricultural, energy and bio-fuel spot, and futures prices
Allen, David E.; Chang, Chia-Lin; McAleer, Michael; … - In: Applied economics 50 (2018) 7, pp. 804-823
Persistent link: https://www.econbiz.de/10011847174
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Volatility spillover and multivariate volatility impulse response analysis of GFC news events
Allen, David E.; McAleer, Michael; Powell, Robert; … - In: Applied economics 49 (2017) 31/33, pp. 3246-3262
Persistent link: https://www.econbiz.de/10011774739
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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
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A Monte Carlo study of some tests of model adequacy in time series analysis
Hall, Anthony D. - In: Journal of business & economic statistics : JBES ; a … 7 (1989) 1, pp. 95-106
Persistent link: https://www.econbiz.de/10001090237
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Testing for unit roots : a simple alternative to Dickey-Fuller
Leybourne, Stephen James - In: Applied economics 26 (1994) 7, pp. 721-729
Persistent link: https://www.econbiz.de/10001164780
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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
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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