Items where Author is "Harvey, David I"

Astill, Sam and Harvey, David I and Leybourne, Stephen J and Taylor, AM Robert (2024) Bonferroni‐Type Tests for Return Predictability with Possibly Trending Predictors. Journal of Applied Econometrics. DOI https://doi.org/10.1002/jae.3094

Harvey, David I and Leybourne, Stephen J and Taylor, AM Robert and Zu, Yang (2024) A New Heteroskedasticity-Robust Test for Explosive Bubbles. Journal of Time Series Analysis. DOI https://doi.org/10.1111/jtsa.12784

Harvey, David I and Leybourne, Stephen J and Taylor, AM Robert and Zu, Yang (2024) A New Heteroskedasticity-Robust Test for Explosive Bubbles. Working Paper. Essex Finance Centre Working Papers, Colchester. (Unpublished)

Astill, Sam and Harvey, David I and Leybourne, Stephen J and Taylor, AM Robert (2024) Bonferroni-Type Tests for Return Predictability with Possibly Trending Predictors. Working Paper. Essex Finance Centre Working Papers, Colchester. (Unpublished)

Astill, Sam and Harvey, David I and Leybourne, Stephen J and Taylor, AM Robert (2024) Bonferroni Type Tests for Return Predictability and the Initial Condition. Journal of Business and Economic Statistics, 42 (2). pp. 499-515. DOI https://doi.org/10.1080/07350015.2023.2201313

Harvey, David I and Leybourne, Stephen J and Taylor, AM Robert (2023) Improved tests for stock return predictability. Econometric Reviews, 42 (9-10). pp. 834-861. DOI https://doi.org/10.1080/07474938.2023.2222634

Harvey, David I and Leybourne, Stephen J and Taylor, AM Robert (2023) Improved Tests for Stock Return Predictability. Working Paper. Essex Finance Centre Working Papers, Colchester. (Unpublished)

Astill, Sam and Harvey, David I and Leybourne, Stephen J and Taylor, AM Robert and Zu, Yang (2023) CUSUM-Based Monitoring for Explosive Episodes in Financial Data in the Presence of Time-Varying Volatility. Journal of Financial Econometrics, 21 (1). pp. 187-227. DOI https://doi.org/10.1093/jjfinec/nbab009

Astill, Sam and Harvey, David I and Leybourne, Stephen J and Taylor, AM Robert (2022) Bonferroni Type Tests for Return Predictability and the Initial Condition. Working Paper. Essex Finance Centre Working Papers, Colchester. (Unpublished)

Harvey, David I and Leybourne, Stephen J and Taylor, AM Robert (2021) Simple tests for stock return predictability with good size and power properties. Journal of Econometrics, 224 (1). pp. 198-214. DOI https://doi.org/10.1016/j.jeconom.2021.01.004

Harvey, David I and Leybourne, Stephen J and Taylor, AM Robert (2021) Simple Tests for Stock Return Predictability with Good Size and Power Properties. Working Paper. Essex Finance Centre Working Papers. (Unpublished)

Harvey, David I and Leybourne, Stephen J and Sollis, Robert and Taylor, AM Robert (2021) Real-Time Detection of Regimes of Predictability in the U.S. Equity Premium. Journal of Applied Econometrics, 36 (1). pp. 45-70. DOI https://doi.org/10.1002/jae.2794

Harvey, David I and Leybourne, Stephen J and Sollis, Robert and Taylor, AM Robert (2020) Real-Time Detection of Regimes of Predictability in the U.S. Equity Premium. Working Paper. Essex Finance Centre Working Papers, Colchester, UK.. (Unpublished)

Harvey, David I and Leybourne, Stephen J and Sollis, Robert and Taylor, AM Robert (2018) Detecting Regimes of Predictability in the U.S. Equity Premium. Working Paper. Essex Finance Centre Working Papers, Colchester.

Georgiev, Iliyan and Harvey, David I and Leybourne, Stephen J and Taylor, AM Robert (2018) Testing for parameter instability in predictive regression models. Journal of Econometrics, 204 (1). pp. 101-118. DOI https://doi.org/10.1016/j.jeconom.2018.01.005

Astill, Sam and Harvey, David I and Leybourne, Stephen J and Taylor, AM Robert (2017) Tests for an end-of-sample bubble in financial time series. Econometric Reviews, 36 (6-9). pp. 651-666. DOI https://doi.org/10.1080/07474938.2017.1307490

Harvey, David I and Kellard, Neil M and Madsen, Jakob B and Wohar, Mark E (2017) Long-Run Commodity Prices, Economic Growth, and Interest Rates: 17th Century to the Present Day. World Development, 89 (C). pp. 57-70. DOI https://doi.org/10.1016/j.worlddev.2016.07.012

Harvey, David I and Leybourne, Stephen J and Sollis, Robert and Taylor, AM Robert (2016) Tests for explosive financial bubbles in the presence of non-stationary volatility. Journal of Empirical Finance, 38 (Pt.B). pp. 548-574. DOI https://doi.org/10.1016/j.jempfin.2015.09.002

Cavaliere, Giuseppe and Harvey, David I and Leybourne, Stephen J and Robert Taylor, AM (2015) Testing for Unit Roots Under Multiple Possible Trend Breaks and Non‐Stationary Volatility Using Bootstrap Minimum Dickey–Fuller Statistics. Journal of Time Series Analysis, 36 (5). pp. 603-629. DOI https://doi.org/10.1111/jtsa.12067

Astill, Sam and Harvey, David I and Leybourne, Stephen J and Taylor, AM Robert (2014) Robust tests for a linear trend with an application to equity indices. Journal of Empirical Finance, 29 (C). pp. 168-185. DOI https://doi.org/10.1016/j.jempfin.2014.02.004

Harvey, David I and Leybourne, Stephen J and Taylor, AM Robert (2014) On infimum Dickey–Fuller unit root tests allowing for a trend break under the null. Computational Statistics & Data Analysis, 78. pp. 235-242. DOI https://doi.org/10.1016/j.csda.2012.10.017

Harvey, David I and Leybourne, Stephen J and Robert Taylor, AM (2014) Unit Root Testing under a Local Break in Trend using Partial Information on the Break Date*. Oxford Bulletin of Economics and Statistics, 76 (1). pp. 93-111. DOI https://doi.org/10.1111/obes.12013

Harvey, David I and Leybourne, Stephen J and Taylor, AM Robert (2013) Testing for unit roots in the possible presence of multiple trend breaks using minimum Dickey–Fuller statistics. Journal of Econometrics, 177 (2). pp. 265-284. DOI https://doi.org/10.1016/j.jeconom.2013.04.012

Harvey, David I and Leybourne, Stephen J and Taylor, AM Robert (2012) Unit root testing under a local break in trend. Journal of Econometrics, 167 (1). pp. 140-167. DOI https://doi.org/10.1016/j.jeconom.2011.10.006

Harvey, David I and Leybourne, Stephen J and Taylor, AM Robert (2010) Robust methods for detecting multiple level breaks in autocorrelated time series. Journal of Econometrics, 157 (2). pp. 342-358. DOI https://doi.org/10.1016/j.jeconom.2010.02.003

Harvey, David I and Kellard, Neil M and Madsen, Jakob B and Wohar, Mark E (2010) The Prebisch-Singer Hypothesis: Four Centuries of Evidence. Review of Economics and Statistics, 92 (2). pp. 367-377. DOI https://doi.org/10.1162/rest.2010.12184