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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

Testing explosive bubbles with time-varying volatility

Harvey, David I.; Leybourne, Stephen James; Zu, Yang - In: Econometric reviews 38 (2019) 10, pp. 1131-1151

Persistent link: https://www.econbiz.de/10012181398

Nonparametric Rank Tests for Non-stationary Panels

Pedroni, Peter; Vogelsang, Timothy J.; Wagner, Martin; … - Department of Economics and Finance Research and … - 2011

This study develops new rank tests for panels that include panel unit root tests as a special case. The tests are unusual in that they can accommodate very general forms of both serial and cross-sectional dependence, including cross-unit cointegration, without the need to specify the form of...

Persistent link: https://www.econbiz.de/10009132675

Structural breaks in interactive effects panels and the stock market reaction to COVID-19

Karavias, Yiannis; Narayan, Paresh Kumar; Westerlund, Joakim - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 3, pp. 653-666

Persistent link: https://www.econbiz.de/10014448426

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

Testing for unit roots and the impact of quadratic trends, with an application to relative primary commodity prices

Harvey, David I.; Leybourne, Stephen James; Taylor, Robert - In: Econometric reviews 30 (2011) 5, pp. 514-547

Persistent link: https://www.econbiz.de/10009130228

Estimation of panel data models with random interactive effects and multiple structural breaks when T is fixed

Kaddoura, Yousef; Westerlund, Joakim - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 3, pp. 778-790

Persistent link: https://www.econbiz.de/10014448434

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

New simple tests for panel cointegration

Westerlund, Joakim - In: Econometric reviews 24 (2005) 3, pp. 297-316

Persistent link: https://www.econbiz.de/10003105617

Estimation of factor-augmented panel regressions with weakly influential factors

Reese, Simon; Westerlund, Joakim - In: Econometric reviews 37 (2018) 1/5, pp. 401-465

Persistent link: https://www.econbiz.de/10012039354