Robert Taylor 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 (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 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, and an Associate Editor of the Royal Economic Society's Econometrics Journal, and of the Journal of Time Series Analysis, Econometric Reviews, and Studies in Non-Linear Dynamics and Econometrics.

1. Stationarity Tests for Irregularly Spaced Observations and the Effects of Sampling Frequency on Power, 2005, Econometric Theory 21, 757-794 (with F. Busetti).

2. Variance Ratio Tests of the Seasonal Unit Root Hypothesis, 2005, Journal of Econometrics 124, 33-54.

3. Tests of Stationarity against a Change in Persistence, 2004, Journal of Econometrics 123, 33-66 (with F. Busetti).

4. Bootstrapping the HEGY Seasonal Unit Roots Tests, 2004, Journal of Econometrics 123, 67-87 (with P Burridge).

5. Asymptotic Distributions for Regression-Based Seasonal Unit Root Test Statistics in a Near-Integrated Model, 2004, Econometric Theory 20, 645-670 (with P.M. Rodrigues).

6. Regression-based unit root tests with recursive mean adjustment for seasonal and nonseasonal time series, 2002, Journal of Business and Economic Statistics 20, 269-281.

Other discussion papers can be downloaded from here.

L13620 Topics in Econometrics II
L13621 Advanced Time Series
L14020 Time Series Econometrics

Download as a file.

This page last up-dated 6/07/09 by Hilary Hughes