Robert Taylor

Contact

• workRoom C5 Sir Clive Granger Building
  University Park
  Nottingham
  NG7 2RD
  UK
• work0115 84 68385
• fax0115 95 14159
• robert.taylor@nottingham.ac.uk

Biography

Robert joined the School of Economics in January 2006 having previously been Professor of Econometrics at the University of Birmingham. His research interests are in the area of time-series econometrics with particular focus on: the use of bootstrap methods with non-stationary time series, co-integration methods, (seasonal) unit root tests, stationarity tests, stochastic volatility, persistence change testing and structural breaks. He has published a number of articles in refereed journals including Econometrica, Journal of Econometrics, Econometric Theory, Journal of Time Series Analysis and Journal of Business and Economic Statistics. He is a fellow of the Journal of Econometrics. He is Director of the Granger Centre for Time Series Econometrics, located within the School of Economics. He is a Co-Editor of Econometric Theory, Assistant, Associate and Book Reviews Editor of the Royal Economic Society's Econometrics Journal, and an Associate Editor of the Journal of Time Series Analysis, Econometric Reviews, and Studies in Non-Linear Dynamics and Econometrics.

Professor Taylor's complete cv can be downloaded here in pdf format.

Selected Publications

• GIUSEPPE CAVALIERE, ANDERS RAHBEK and ROBERT TAYLOR, 2012. Bootstrap Determination of the Co-integration Rank in VAR Models Econometrica. (In Press.)
• CAVALIERE, G, RAHBEK, A and TAYLOR, AMR, 2010. Testing For Co-Integration In Vector Autoregressions With Non-Stationary Volatility Journal Of Econometrics. 158(1), 7-24
• HARVEY, DI, LEYBOURNE, SJ and TAYLOR, AMR, 2010. Robust Methods For Detecting Multiple Level Breaks In Autocorrelated Time Series Journal Of Econometrics. 157(2), 342-358
• CAVALIERE, G, RAHBEK, A and TAYLOR, AMR, 2010. Cointegration Rank Testing Under Conditional Heteroskedasticity Econometric Theory. 26(6), 1719-1760

• View all publications

• GIUSEPPE CAVALIERE, ANDERS RAHBEK and ROBERT TAYLOR, 2012. Bootstrap Determination of the Co-integration Rank in VAR Models Econometrica. (In Press.)
• HARVEY, DI, LEYBOURNE, SJ and TAYLOR, AMR, 2012. Testing for Unit Roots in the Presence of Uncertainty over Both the Trend and Initial Condition Journal of Econometrics. (In Press.)
• HARVEY, DI, LEYBOURNE, SJ and TAYLOR, AMR, 2012. Unit Root Testing Under a Local Break in Trend Journal of Econometrics. 167, 140-167
• CHAMBERS, M, ERCOLANI, J and TAYLOR, AMR, 2012. Testing for Seasonal Unit Roots by Frequency Domain Regression Journal Of Econometrics. (In Press.)
• TAYLOR, AMR and VOGELSANG, TJ, 2011. Special Issue Of Econometric Theory On Bootstrap And Numerical Methods In Time Series: Guest Editors' Introduction
• HARVEY, DI, LEYBOURNE, SJ and TAYLOR, AMR, 2011. Testing For Unit Roots And The Impact Of Quadratic Trends, With An Application To Relative Primary Commodity Prices Econometric Reviews. 30(5), 514-547
• CAVALIERE, G, HARVEY, DI, LEYBOURNE, SJ and TAYLOR, AMR, 2011. Testing For Unit Roots In The Presence Of A Possible Break In Trend And Nonstationary Volatility Econometric Theory. 27(Special Issue 05), 957-991
• CAVALIERE, G, RAHBEK, A and TAYLOR, AMR, 2010. Testing For Co-Integration In Vector Autoregressions With Non-Stationary Volatility Journal Of Econometrics. 158(1), 7-24
• CAVALIERE, G, RAHBEK, A and TAYLOR, AMR, 2010. Cointegration Rank Testing Under Conditional Heteroskedasticity Econometric Theory. 26(6), 1719-1760
• HARVEY, DI, LEYBOURNE, SJ and TAYLOR, AMR, 2010. Robust Methods For Detecting Multiple Level Breaks In Autocorrelated Time Series Journal Of Econometrics. 157(2), 342-358
• HARVEY, DI, LEYBOURNE, SJ and TAYLOR, AMR, 2010. The Impact Of The Initial Condition On Robust Tests For A Linear Trend Journal Of Time Series Analysis. 31(4), 292-302
• HARVEY, D.I., LEYBOURNE, S.J. and TAYLOR, A.M.R., 2009. Unit root testing in practice: dealing with uncertainty over the trend and initial condition Econometric Theory. 25(3), 587-636
• CAVALIERE, G and TAYLOR, AMR, 2009. Bootstrap M Unit Root Tests Econometric Reviews. 28(5), 393-421
• CAVALIERE, G and TAYLOR, AMR, 2009. A Note On Testing Covariance Stationarity Econometric Reviews. 28(4), 364-371
• HARVEY, DI, LEYBOURNE, SJ and TAYLOR, AMR, 2008. Seasonal Unit Root Tests And The Role Of Initial Conditions Econometrics Journal. 11(3), 409-442
• CAVALIERE, G and TAYLOR, AMR, 2008. Time-Transformed Unit Root Tests For Models With Non-Stationary Volatility Journal Of Time Series Analysis. 29(2), 300-330
• CAVALIERE, G and TAYLOR, AMR, 2008. Testing For A Change In Persistence In The Presence Of Non-Stationary Volatility Journal Of Econometrics. 147(1), 84-98
• HARVEY, DI, LEYBOURNE, SJ and TAYLOR, AMR, 2008. A Simple, Robust And Powerful Test Of The Trend Hypothesis (Vol 141, Pg 1302, 2007)
• HARVEY, D.I., LEYBOURNE, S.J. and TAYLOR, A.M.R., 2007. A simple, robust and powerful test of the trend hypothesis Journal of Econometrics. 141(2), 1302-1330
• LEYBOURNE, S., TAYLOR, R. and KIM, T. H., 2007. CUSUM of Squares-Based Tests for a Change in Persistence JOURNAL OF TIME SERIES ANALYSIS. VOL 28(NUMBER 3), 408-433
• HARVEY, D.I., LEYBOURNE, S.J. and TAYLOR, A.M.R., 2007. Simple, Robust and Powerful Tests of the Breaking Trend Hypothesis Econometric Theory. (In Press.)
• RODRIGUES, P.M.M. and TAYLOR, A.M.R., 2007. Efficient tests of the seasonal unit root hypothesis Journal of Econometrics. (In Press.)
• CAVALIERE, G. and TAYLOR, A. M., 2007. Testing for unit roots in time series models with non-stationary volatility JOURNAL OF ECONOMETRICS. VOL 140(NUMBER 2), 919-947
• RODRIGUES, PMM and TAYLOR, AMR, 2007. Efficient Tests Of The Seasonal Unit Root Hypothesis Journal Of Econometrics. 141(2), 548-573
• CAVALIERE, G and TAYLOR, AMR, 2007. Testing For Unit Roots In Time Series Models With Non-Stationary Volatility Journal Of Econometrics. 140(2), 919-947
• HARVEY, D, LEYBOURNE, SJ and TAYLOR, AMR, 2007. A Simple, Robust And Powerful Test Of The Trend Hypothesis Journal Of Econometrics. 141(2), 1302-1330
• HARVEY, D.I., LEYBOURNE, S. and TAYLOR, A.M.R., 2006. Modified tests for a change in persistence Journal of Econometrics. 134(2), 441-469
• LEYBOURNE, S. J. and TAYLOR, A. M., 2006. Persistence change tests and shifting stable autoregressions Economics Letters. VOL 91(NUMBER 1), 44-49
• KIM, T., LEYBOURNE, S.J. and TAYLOR, A., 2006. Regression based tests for a change in persistence Oxford Bulletin of Economics and Statistics.
• HARVEY, D.I., LEYBOURNE, S. and TAYLOR, A., 2006. On Robust Trend Function Hypothesis Testing Studies in Nonlinear Dynamics and Econometrics.
• TAYLOR, A.R. and CAVALIERE, G., 2006. Testing the null of co-integration under permanent variance shifts Journal of Time Series Analysis.
• TAYLOR, A.M. and BURRIDGE, P., 2006. Addictive outlier detection via extreme-value theory Journal of Time Series Analysis.
• CAVALIERE, G and TAYLOR, AMR, 2006. Testing The Null Of Co-Integration In The Presence Of Variance Breaks Journal Of Time Series Analysis. 27(4), 613-636
• HARVEY, DI, LEYBOURNE, SJ and TAYLOR, AMR, 2006. Modified Tests For A Change In Persistence Journal Of Econometrics. 134(2), 441-469
• LEYBOURNE, SJ, KIM, TH and TAYLOR, AMR, 2006. Regression-Based Tests For A Change In Persistence Oxford Bulletin Of Economics And Statistics. 68(5), 595-621
• BURRIDGE, P and TAYLOR, AMR, 2006. Additive Outlier Detection Via Extreme-Value Theory Journal Of Time Series Analysis. 27(5), 685-701
• TAYLOR, A.M.R., 2005. Variance ratio tests of the seasonal unit root hypothesis Journal of Econometrics. 124(1), 33-54
• BUSETTI, F. and TAYLOR, A.M.R., 2005. Stationarity tests for irregularly spaced observations and the effects of sampling frequency on power Econometric Theory. 21(4), 757-794
• CAVALIERE, G. and TAYLOR, A. M. R., 2005. Stationarity Tests under Time-Varying Second Moments Econometric Theory. VOL 21(NUMB 6), 1112-1129
• TAYLOR, A.R., 2005. Fluctuations tests for a change in persistence Oxford Bulletin of Economics and Statistics. 67, 207-230
• TAYLOR, A.R., 2005. On the limiting behaviour of augmented seasonal unit root tests Economic Bulletin. 33, 1-10
• ROBERT TAYLOR, A. M., 2005. On the use of Sub-sample Unit Root Tests to Detect Changes in Persistence Journal of Time Series Analysis. VOL 26(NUMBER 5), 759-778
• TAYLOR, AMR, 2005. On The Use Of Sub-Sample Unit Root Tests To Detect Changes In Persistence Journal Of Time Series Analysis. 26(5), 759-778
• TAYLOR, AMR, 2005. Variance Ratio Tests Of The Seasonal Unit Root Hypothesis Journal Of Econometrics. 124(1), 33-54
• LEYBOURNE, S. and TAYLOR, A. M., 2004. On tests for changes in persistence Economics Letters. VOL 84(NUMBER 1), 107-115
• BUSETTI, F. and TAYLOR, A.M., 2004. Tests of stationarity against a change in persistence Journal of Econometrics. 123(1), 33-66
• BURRIDGE, P. and ROBERT TAYLOR, A. M., 2004. Bootstrapping the HEGY seasonal unit root tests Journal of Econometrics. VOL 123(NUMBER 1), 67-87
• RODRIGUES, P. M. and TAYLOR, A. M., 2004. Alternative estimators and unit root tests for seasonal autoregressive processes Journal of Econometrics. VOL 120(NUMBER 1), 35-73
• TAYLOR, A.R. and RODRIGUES, P., 2004. Tests for double differencing: some extensions and the role of initial values Econometric Theory. 20, 95-115
• RODRIGUES, P. M. M. and TAYLOR, A. M. R., 2004. Asymptotic Distributions for Regression-Based Seasonal Unit Root Test Statistics in a Near-Integrated Model Econometric Theory. VOL 20(PART 4), 645-670
• BURRIDGE, P and TAYLOR, AMR, 2004. Bootstrapping The Hegy Seasonal Unit Root Tests Journal Of Econometrics. 123(1), 67-87
• RODRIGUES, PMM and TAYLOR, AMR, 2004. Alternative Estimators And Unit Root Tests For Seasonal Autoregressive Processes Journal Of Econometrics. 120(1), 35-73
• LEYBOURNE, S. and TAYLOR, A. M. R., 2003. Seasonal unit root tests based on forward and reverse estimation Journal of Time Series Analysis. VOL 24(PART 4), 441-460
• BUSETTI, F. and TAYLOR, A. M., 2003. Testing against stochastic trend and seasonality in the presence of unattended breaks and unit roots Journal of Econometrics. VOL 117(NUMBER 1), 21-53
• TAYLOR, A.R. and BUSETTI, F., 2003. Testing against stochastic trend in the presence of variance shifts Journal of Business and Economic Statistics. 21, 510-531
• TAYLOR, A.R. and BREITUNG, J., 2003. Non-parametric tests for unit roots and cointegration Journal of Econometrics. 117, 401-4
• TAYLOR, A. M., 2003. Locally Optimal Tests Against Unit Roots in Seasonal Time Series Processes Journal of Time Series Analysis. VOL 24(NUMBER 5), 591-612
• TAYLOR, A. M. R., 2003. On the Asymptotic Properties of Some Seasonal Unit Root Tests Econometric Theory. VOL 19(PART 2), 311-321
• TAYLOR, A.R., 2003. Robust stationarity testing in seasonal time series processes. Journal of Business and Economic Statistics. 21, 156-163
• LEYBOURNE, S and TAYLOR, AMR, 2003. Seasonal Unit Root Tests Based On Forward And Reverse Estimation Journal Of Time Series Analysis. 24(4), 441-460
• BUSETTI, F and TAYLOR, AMR, 2003. Variance Shifts, Structural Breaks, And Stationarity Tests Journal Of Business & Economic Statistics. 21(4), 510-531
• TAYLOR, AMR, 2003. Locally Optimal Tests Against Unit Roots In Seasonal Time Series Processes Journal Of Time Series Analysis. 24(5), 591-612
• BUSETTI, F and TAYLOR, AMR, 2003. Testing Against Stochastic Trend And Seasonality In The Presence Of Unattended Breaks And Unit Roots Journal Of Econometrics. 117(1), 21-53
• TAYLOR, AMR, 2003. Robust Stationarity Tests In Seasonal Time Series Processes Journal Of Business & Economic Statistics. 21(1), 156-163
• TAYLOR, A.M.R., 2002. Regression-based unit root tests with recursive mean adjustment for seasonal and nonseasonal time series Journal of Business and Economic Statistics. 20(2), 269-281
• TAYLOR, A.R. and VAN DIJK, D., 2002. Testing for stochastic unit roots: some Monte Carlo evidence Oxford Bulletin of Economics and Statistics. 64, 381-397
• TAYLOR, A.R. and BAILEY, R., 2002. An optimal test against a random walk component in a non-orthogonal unobserved components model Econometrics Journal. 5, 520-532
• TAYLOR, AMR, 2002. Regression-Based Unit Root Tests With Recursive Mean Adjustment For Seasonal And Nonseasonal Time Series Journal Of Business & Economic Statistics. 20(2), 269-281
• TAYLOR, AMR and VAN DIJK, D, 2002. Can Tests For Stochastic Unit Roots Provide Useful Portmanteau Tests For Persistence? Oxford Bulletin Of Economics And Statistics. 64(4), 381-+
• BURRIDGE, P. and TAYLOR, A. M., 2001. On regression-based tests for seasonal unit roots in the presence of periodic heteroscedasticity Journal of Econometrics. VOL 104(NUMBER 1), 91-117
• SMITH, R. J. and ROBERT TAYLOR, A. M., 2001. Recursive and rolling regression-based tests of the seasonal unit root hypothesis Journal of Econometrics. VOL 105(NUMBER 2), 309-336
• TAYLOR, A. M. R. and SMITH, R. J., 2001. Tests of the Seasonal Unit-Root Hypothesis Against Heteroscedastic Seasonal Integration Journal of Business and Economic Statistics. VOL 19(PART 2), 192-207
• BURRIDGE, P. and TAYLOR, A. M. R., 2001. On the Properties of Regression-Based Tests for Seasonal Unit Roots in the Presence of Higher-Order Serial Correlation Journal of Business and Economic Statistics. VOL 19(PART 3), 374-379
• SMITH, RJ and TAYLOR, AMR, 2001. Recursive And Rolling Regression-Based Tests Of The Seasonal Unit Root Hypothesis Journal Of Econometrics. 105(2), 309-336
• BURRIDGE, P and TAYLOR, AMR, 2001. On The Properties Of Regression-Based Tests For Seasonal Unit Roots In The Presence Of Higher-Order Serial Correlation Journal Of Business & Economic Statistics. 19(3), 374-379
• BURRIDGE, P and TAYLOR, AMR, 2001. On Regression-Based Tests For Seasonal Unit Roots In The Presence Of Periodic Heteroscedasticity Journal Of Econometrics. 104(1), 91-117
• BURRIDGE, P and TAYLOR, AMR, 2000. On The Power Of Gls-Type Unit Root Tests Oxford Bulletin Of Economics And Statistics. 62(5), 633-+
• TAYLOR, AMR, 2000. The Finite Sample Effects Of Deterministic Variables On Conventional Methods Of Lag-Selection In Unit Root Tests Oxford Bulletin Of Economics And Statistics. 62(2), 293-+
• SMITH, RJ and TAYLOR, AMR, 1998. Additional Critical Values And Asymptotic Representations For Seasonal Unit Root Tests Journal Of Econometrics. 85(2), 269-288
• CAVALIERE, G and TAYLOR, AMR, Testing For A Change In Persistence In The Presence Of A Volatility Shift