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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
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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
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Semiparametric tests for the order of integration in the possible presence of level breaks
Iacone, Fabrizio; Nielsen, Morten Ørregaard; Taylor, Robert - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 2, pp. 880-896
Persistent link: https://www.econbiz.de/10013534577
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Adaptive inference in heteroscedastic fractional time series models
Cavaliere, Giuseppe; Nielsen, Morten Ørregaard; … - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 1, pp. 50-65
Persistent link: https://www.econbiz.de/10012804084
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Variance shifts, structural breaks, and stationarity tests
Busetti, Fabio; Taylor, Robert - In: Journal of business & economic statistics : JBES ; a … 21 (2003) 4, pp. 510-531
Persistent link: https://www.econbiz.de/10001807005
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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
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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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Tests of the seasonal unit-root hypothesis against heteroscedastic seasonal integration
Taylor, Robert; Smith, Richard J. - In: Journal of business & economic statistics : JBES ; a … 19 (2001) 2, pp. 192-207
Persistent link: https://www.econbiz.de/10001568817
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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
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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