The Granger Centre for Time Series Econometrics
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The Granger Centre for Time Series Econometrics

Publications

Granger Centre Discussion Paper Series

2017 | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 | 2010 | 2009 | 2008 | 2007 | 2006
 

 

2017

GC 17/04: A bootstrap stationarity test for predictive regression invalidity

Description
Iliyan Georgiev, David I. Harvey, Stephen J. Leybourne and A. M. Robert Taylor

GC 17/03: Forecast evaluation tests and negative long-run variance estimates in small samples

Description
David Harvey, Steve Leybourne and Emily Whitehouse show that in small, but empirically relevant, sample sizes, the long-run variance estimate used to compute the Diebold-Mariano test for forecast accuracy can frequently be negative. The authors consider a number of alternative approaches to estimating the long-run variance, and examine the finite sample performance of tests that use these differing approaches.

GC 17/02: Testing for a unit root against ESTAR stationarity

Description
David I. Harvey, Stephen J. Leybourne and Emily J. Whitehouse

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2016

GC 16/02: Tests for an end-of-sample bubble in financial time series

Description
Sam Astill, David Harvey, Stephen Leybourne and Robert Taylor

GC 16/01: The impact of the initial condition on covariate augmented unit root tests

Description
Chrystalleni Aristidou, David I. Harvey and Stephen J. Leybourne consider the power of covariate augmented unit root tests, based on OLS demeaning/detrending and GLS demeaning/detrending, in the presence of asymptotically non-negligible initial conditions.

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2015

GC 15/03: Hausman type tests for nonparametric likelihood

Description
Patrick Marsh provides Hausman-type tests and analyses them for the problem of testing whether an observed sample has been generated from a hypothesised distribution.

GC 15/02: The impact of government size on economic growth: a threshold analysis

Description
Stylianos Asimakopoulos and Yiannis Karavias

GC 15/01: A comparison of investors' ’sentiments and risk premium effects on valuing shares

Description
Yiannis Karavias, Stella Spilioti and Elias Tzavalis

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2014

GC 14/03: Testing for unit roots in panels with structural changes, spatial and temporal dependence when the time dimension is finite

Description
Yiannis Karavias and Elias Tzavalis propose panel data tests of the unit root hypothesis which can be applied in data which exhibit structural changes, non-linear trends, spatial and temporal dependence, while having only a small number of time series observations.

GC 14/01: Size corrected significance tests in Seemingly Unrelated Regressions with autocorrelated errors

Description
Spyridon D. Symeonides, Yiannis Karavias and Elias Tzavalis

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2013

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2012

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2011

GC 11/03: On the behaviour of fixed-b trend break tests under fractional integration

Description
Fabrizio Iacone, Stephen J. Leybourne and A. M. Robert Taylor

GC 11/02: Unit root testing under a local break in trend

Description
David I. Harvey, Stephen J. Leybourne and A. M. Robert Taylor

GC 11/01: On augmented HEGY tests for seasonal unit roots

Description
Tomás del Barrio Castro, Denise R. Osborn and A. M. Robert Taylor

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2010

GC 10/05: Unit root testing under a local break in trend [Revised to become No. 11/02]

Description
David I. Harvey, Stephen J. Leybourne and A. M. Robert Taylor

GC 10/02: Testing for seasonal unit roots by frequency domain regression

Description
Marcus J. Chambers, Joanne S. Ercolani and A. M. Robert Taylor

GC 10/01: Robust methods for detecting multiple level breaks in autocorrelated time series

Description
David I. Harvey, Stephen J. Leybourne and A. M. Robert Taylor

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2009

GC 09/05: Testing for unit roots in the presence of a possible break in trend and non-stationary volatility

Description
Giuseppe Cavaliere, David I. Harvey, Stephen J. Leybourne and A. M. Robert Taylor

GC 09/04: Testing for nonlinear trends when the order of inegration is unknown

Description
David I. Harvey, Stephen J. Leybourne and Lisa Xiao

GC 09/03: The impact of the initial condition on robust tests for a linear trend

Description
David I. Harvey, Stephen J. Leybourne and A. M. Robert Taylor

GC 09/02: Co-integration rank tests under conditional heteroskedasticity

Description
Giuseppe Cavaliere, Anders Rahbek and A. M. Robert Taylor

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2008

GC 08/03: Testing for unit roots in the presence of uncertainty over both the trend and initial condition

Description
David I. Harvey, Stephen J. Leybourne and A. M. Robert Taylor

GC 08/02: Local asymptotic power of the Im-Pesaran-Shin panel unit root test and the impact of initial observations

Description
David Harris, David I. Harvey, Stephen J. Leybourne and Nikolaos D. Sakkas

GC 08/01: Seasonal unit root tests and the role of initial conditions

Description
David I. Harvey, Stephen J. Leybourne and A. M. Robert Taylor

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2007

GC 07/06: A powerful test for linearity when the order of integration is unknown

Description
David I. Harvey, Stephen J. Leybourne and Bin Xiao

GC 07/05: Regression-based seasonal unit root tests

Description
Richard J. Smith, A. M. Robert Taylor and Tomas del Barrio Castro

GC 07/04: Testing for a unit root in the presence of a possible break in trend

Description
David Harris, David I. Harvey, Stephen J. Leybourne and A. M. Robert Taylor

GC 07/03: Unit root testing in practice: dealing with uncertainty over the trend and initial condition

Description
David I. Harvey, Stephen J. Leybourne and A. M. Robert Taylor

GC 07/02: Testing for co-integration in vector autoregressions with non-stationary volatility

Description
Giuseppe Cavaliere, Anders Rahbek and A. M. Robert Taylor

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2006

GC 06/06: Forecasting changes in UK interest rates

Description
Tae-Hwan Kim, Paul Mizen and Alan Thanaset

GC 06/03: Testing for a unit root when uncertain about the trend [Revised to become No. 07/03]

Description
David I. Harvey, Stephen J. Leybourne and A. M. Robert Taylor

GC 06/02: Panel unit root tests and the impact of initial observations [Revised to become No. 08/02]

Description
David I. Harvey, Stephen J. Leybourne and Nikolaos D. Sakkas

GC 06/01: A simple, robust and powerful test of the trend hypothesis

Description
David I. Harvey, Stephen J. Leybourne and A. M. Robert Taylor

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The Granger Centre for Time Series Econometrics

School of Economics
University of Nottingham
University Park
Nottingham, NG7 2RD


+44 (0)115 951 5481
dave.harvey@nottingham.ac.uk