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Testing for a change in persistence in the presence of non-stationary volatility
Cavaliere, Giuseppe; Taylor, Robert - In: Journal of econometrics 147 (2008) 1, pp. 84-98
Persistent link: https://www.econbiz.de/10003783787
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Modified tests for a change in persistence
Harvey, David I.; Leybourne, Stephen James; Taylor, Robert - In: Journal of econometrics 134 (2006) 2, pp. 441-469
Persistent link: https://www.econbiz.de/10003374331
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Testing against stochastic trend and seasonality in the presence of unattended breaks and unit roots
Busetti, Fabio; Taylor, Robert - In: Journal of econometrics 117 (2003) 1, pp. 21-53
Persistent link: https://www.econbiz.de/10001787600
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Simple tests for stock return predictability with good size and power properties
Harvey, David I.; Leybourne, Stephen James; Taylor, Robert - In: Journal of econometrics 224 (2021) 1, pp. 198-214
Persistent link: https://www.econbiz.de/10013275372
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Testing for parameter instability in predictive regression models
Georgiev, Iliyan; Harvey, David I.; Leybourne, Stephen James - In: Journal of econometrics 204 (2018) 1, pp. 101-118
Persistent link: https://www.econbiz.de/10011974719
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Testing for episodic predictability in stock returns
Demetrescu, Matei; Georgiev, Iliyan; Rodrigues, Paulo M. M. - In: Journal of econometrics 227 (2022) 1, pp. 85-113
Persistent link: https://www.econbiz.de/10013441625