Steve Leybourne

Contact

• workRoom B67 Sir Clive Granger Building
  University Park
  Nottingham
  NG7 2RD
  UK
• work0115 95 15478
• fax0115 95 14159
• steve.leybourne@nottingham.ac.uk

Biography

Steve has been at the School of Economics since 1989. His research interests are in the area of time series econometrics, with particular focus on testing in time-varying parameter models, unit root tests, stationarity tests and cointegration tests. He has published a large number of articles in refereed journals. These include Biometrika, Journal of the Royal Statistical Society, Journal of Business and Economic Statistics, Journal of Econometrics, Econometric Theory and The Journal of Money, Credit and Banking.

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

Recent Publications

• 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
• 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 XIAO, L, 2010. Testing For Nonlinear Deterministic Components When The Order Of Integration Is Unknown Journal Of Time Series Analysis. 31(5), 379-391
• HARVEY, DI, LEYBOURNE, SJ and TAYLOR, AMR, 2008. Seasonal Unit Root Tests And The Role Of Initial Conditions Econometrics Journal. 11(3), 409-442

• View all publications

• 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
• 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 XIAO, L, 2010. Testing For Nonlinear Deterministic Components When The Order Of Integration Is Unknown Journal Of Time Series Analysis. 31(5), 379-391
• HARVEY, DI, LEYBOURNE, SJ and TAYLOR, AMR, 2008. Seasonal Unit Root Tests And The Role Of Initial Conditions Econometrics Journal. 11(3), 409-442
• HARVEY, DI, LEYBOURNE, SJ and TAYLOR, AMR, 2008. A Simple, Robust And Powerful Test Of The Trend Hypothesis (Vol 141, Pg 1302, 2007)
• LEYBOURNE, S, HARRIS, D and MCCABE, B., 2007. Testing for long memory Econometric Theory.
• 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
• HARRIS, D., LEYBOURNE, S. and MCCABE, B., 2007. Modified KPSS Tests for Near Integration ECONOMETRIC THEORY. VOL 23(NUMB 2), 355-363
• 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
• MCCABE, B., LEYBOURNE, S. and HARRIS, D., 2006. A residual-based test for stochastic cointegration Econometric Theory. 22(3), 429-456
• 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.
• LEYBOURNE, S. J. and TAYLOR, A. M., 2006. Persistence change tests and shifting stable autoregressions Economics Letters. VOL 91(NUMBER 1), 44-49
• HARVEY, D.I. and LEYBOURNE, S.J., 2005. On testing for unit roots and the initial observation Econometrics Journal. 8(1), 97-111
• HARRIS, D., LEYBOURNE, S. and MCCABE, B., 2005. Panel stationarity tests for purchasing power parity with cross-sectional dependence Journal of Business and Economic Statistics. 23(4), 395-409
• LEYBOURNE, S., KIM, T. H. and NEWBOLD, P., 2005. Examination of Some More Powerful Modifications of the Dickey-Fuller Test Journal of Time Series Analysis. VOL 26(NUMBER 3), 355-369
• LEYBOURNE, S. J., KIM, T.-H. and NEWBOLD, P., 2005. More powerful modifications of unit root tests allowing structural change Journal of Statistical Computation and Simulation. VOL 75(NUMB 11), 869-888
• SMITH, L.V., LEYBOURNE, S., KIM, T.-H. and NEWBOLD, P., 2004. More powerful panel data unit root tests with an application to mean reversion in real exchange rates Journal of Applied Econometrics. 19(2), 147-170
• KIM, T.H., LEYBOURNE, S. and NEWBOLD, P., 2004. Behaviour of Dickey-Fuller unit-root tests under trend misspecification Journal of Time Series Analysis. 25(5), 755-764
• HARVEY, D. I., LEYBOURNE, S. J. and NEWBOLD, P., 2004. Tests for a Break in Level when the Order of Integration is Unknown Oxford Bulletin of Economics and Statistics. VOL 66(NUMBER 1), 133-146
• LEYBOURNE, S. and TAYLOR, A. M., 2004. On tests for changes in persistence Economics Letters. VOL 84(NUMBER 1), 107-115
• KIM, T. H., LEYBOURNE, S. J. and NEWBOLD, P., 2004. Asymptotic mean-squared forecast error when an autoregression with linear trend is fitted to data generated by an I(0) or I(1) process Journal of Time Series Analysis. VOL 25(NUMBER 4), 583-602
• LEYBOURNE, S.J., 2004. Some new tests for a change in persistence Economic Bulletin. 3, 1-10
• HARRIS, D., MCCABE, B. and LEYBOURNE, S., 2003. Some limit theory for autocovariances whose order depends on sample size Econometric Theory. 19(5), 829-864
• LEYBOURNE, S., KIM, T., SMITH, V. and NEWBOLD, P., 2003. Tests for a change in persistence against the null of difference-stationarity Econometrics Journal. 6(2), 291-311
• HARVEY, D. I., LEYBOURNE, S. J. and NEWBOLD, P., 2003. How great are the great ratios? Applied Economics. VOL 35(PART 2), 163-178
• LEYBOURNE, S. J. and NEWBOLD, P., 2003. Spurious rejections by cointegration tests induced by structural breaks Applied Economics. VOL 35(PART 9), 1117-1121
• 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
• BLEANEY, M. and LEYBOURNE, S. J., 2003. REAL EXCHANGE RATE DYNAMICS UNDER THE CURRENT FLOAT: A RE-EXAMINATION The Manchester School. VOL 71(PART 2), 156-171
• HARRIS, D., MCCABE, B. and LEYBOURNE, S., 2002. Stochastic cointegration: estimation and inference Journal of Econometrics. 111(2), 363-384
• KIM, T.H., LEYBOURNE, S. and NEWBOLD, P., 2002. Unit root tests with a break in innovation variance Journal of Econometrics. 109(2), 365-387
• HARVEY, D.I., LEYBOURNE, S.J. and NEWBOLD, P., 2002. Seasonal unit root tests with seasonal mean shifts Economics Letters. 76(2), 295-302
• SOLLIS, R., LEYBOURNE, S. and NEWBOLD, P., 2002. Tests for symmetric and asymmetric nonlinear mean reversion in real exchange rates Journal of Money, Credit and Banking. 34(3), 686-700
• LEYBOURNE, S. J., NEWBOLD, P., VOUGAS, D. and KIM, T.-H., 2002. A direct test for cointegration between a pair of time series Journal of Time Series Analysis. VOL 23(PART 2), 173-192
• HARVEY, D.I., LEYBOURNE, S.J. and NEWBOLD, P., 2001. Analysis of a panel of UK macroeconomic forecasts Econometrics Journal. 4(1), S37-S55
• HARVEY, D. I., LEYBOURNE, S. J. and NEWBOLD, P., 2001. Innovational Outlier Unit Root Tests with an Endogenously Determined Break in Level Oxford Bulletin of Economics and Statistics. VOL 63(PART 5), 559-576
• NEWBOLD, P., LEYBOURNE, S. and WOHAR, M. E., 2001. Trend-stationarity, difference-stationarity, or neither: further diagnostic tests with an application to U.S. Real GNP, 1875-1993 Journal of Economics and Business. VOL 53(NUMBER 1), 85-102
• LEYBOURNE, S.J., NEWBOLD, P., SOLLIS, R. and WOHAR, M., 2001. U.S. and U.K. interest rates 1890 - 1934: new evidence on structural breaks Journal of Money, Credit and Banking. 33, 235-250
• GREENAWAY, D., LEYBOURNE, S. and SAPSFORD, D., 2000. SMOOTH TRANSITIONS AND GDP GROWTH IN THE EUROPEAN UNION The Manchester School. VOL 68(PART 2), 145-165
• NEWBOLD, P., LEYBOURNE, S.J. and KIM, T.-., 2000. Spurious Rejections by Perron Tests in the Presence of a Misplaced or Second Break Under the Null Oxford Bulletin of Economics and Statistics.
• HARVEY, D. and NEWBOLD, P., 2000. Tests for Multiple Forecast Encompassing Journal of Applied Econometrics. VOL 15(PART 5), 471-482
• NEWBOLD, P. and LEYBOURNE, S.J., 2000. Behaviour of Dickey-Fuller t-Tests when there is a Break under the Alternative Hypothesis Econometric Theory. 16,
• SOLLIS, R., LEYBOURNE, S. J. and NEWBOLD, P., 2000. Stochastic unit roots modelling of stock price indices Applied Financial Economics. VOL 10(PART 3), 311-316
• LEYBOURNE, S. J. and MCCABE, B. P. M., 1999. Modified Stationarity Tests With Data-Dependent Model-Selection Rules Journal of Business and Economic Statistics. VOL 17(NUMBER 2), 264-270
• LEYBOURNE, S., NEWBOLD, P. and VOUGAS, D., 1998. Unit roots and smooth transitions Journal of Time Series Analysis. VOL 19(NUMBER 1), 83-98
• HARVEY, D., LEYBOURNE, S.J. and NEWBOLD, P., 1998. Tests for forecast encompassing Journal of Business and Economic Statistics. 16, 254-259
• NEWBOLD, P., MILLS, T.C. and LEYBOURNE, S., 1998. Spurious Rejections by Dickey-Fuller Tests in the Presence of a Break Under the Null Journal of Econometrics. 87, 191-203
• MCCABE, B. P. M. and LEYBOURNE, S. J., 1998. On Estimating an ARMA Model with an MA Unit Root Econometric Theory. VOL 14(NUMBER 3), 326-338
• LEYBOURNE, S.J., SAPSFORD, D.R. and GREENAWAY, D., 1997. Modelling Growth (and Liberalisation) Using Smooth Transitions Analysis Economic Inquiry. 35, 798-814
• LEYBOURNE, S. J., MCCABE, B. P. M. and TREMAYNE, A. R., 1996. Can Economic Time Series Be Differenced to Stationarity? Journal of Business and Economic Statistics. VOL 14(NUMBER 4), 435-446
• HARVEY, DI, LEYBOURNE, SJ and TAYLOR, AMR, Testing For Unit Roots And The Impact Of Quadratic Trends, With An Application To Relative Primary Commodity Prices Econometric Reviews. 30(5), 514-547