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SOME LIMIT THEORY FOR AUTOCOVARIANCES WHOSE ORDER DEPENDS ON SAMPLE SIZE

Harris, David; McCabe, Brendan; Leybourne, Stephen - In: Econometric Theory 19 (2003) 05, pp. 829-864

Persistent link: https://www.econbiz.de/10005250078

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

Leybourne, Stephen; Taylor, A.M. Robert - In: Econometric Theory 25 (2009) 06, pp. 1451-1456

Persistent link: https://www.econbiz.de/10008471742

MODIFIED KPSS TESTS FOR NEAR INTEGRATION

Harris, David; Leybourne, Stephen; McCabe, Brendan - In: Econometric Theory 23 (2007) 02, pp. 355-363

Persistent link: https://www.econbiz.de/10005104600

TESTING FOR LONG MEMORY

Harris, David; McCabe, Brendan; Leybourne, Stephen - In: Econometric Theory 24 (2008) 01, pp. 143-175

Persistent link: https://www.econbiz.de/10005411633

A RESIDUAL-BASED TEST FOR STOCHASTIC COINTEGRATION

McCabe, Brendan; Leybourne, Stephen; Harris, David - In: Econometric Theory 22 (2006) 03, pp. 429-456

Persistent link: https://www.econbiz.de/10005411850

Spurious Break

Nunes, Luis C.; Kuan, Chung-Ming; Newbold, Paul - In: Econometric Theory 11 (1995) 04, pp. 736-749

A quasi-maximum likelihood estimator of the break date is analyzed. Consistency of the estimator is demonstrated under very general conditions, provided that the data-generating process is not integrated. However, the asymptotic distribution of the estimator is quite different for time series...

Persistent link: https://www.econbiz.de/10005610367

BEHAVIOR OF DICKEY FULLER t-TESTS WHEN THERE IS A BREAK UNDER THE ALTERNATIVE HYPOTHESIS

Leybourne, Stephen J.; Newbold, Paul - In: Econometric Theory 16 (2000) 05, pp. 779-789

Persistent link: https://www.econbiz.de/10005610481