Steve Leybourne

Contact

• workRoom B79 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. Steve's Facewall page.

Selected Publications

• HARRIS, D.A., LEYBOURNE, S.J. and TAYLOR, A.M.R., 2016. Tests of the Co-integration Rank in VAR Models in the Presence of a Possible Break in Trend at an Unknown Point Journal of Econometrics. (In Press.)

• View all publications

• ARISTIDOU, C., HARVEY, D.I. and LEYBOURNE, S.J., 2017. The impact of the initial condition on covariate augmented unit root tests Journal of Time Series Econometrics. 9(1),
• ASTILL, SAM, HARVEY, DAVID I., LEYBOURNE, STEPHEN J. and TAYLOR, A. M. ROBERT, 2017. Tests for an end-of-sample bubble in financial time series ECONOMETRIC REVIEWS. 36(6-9), 651-666
• IACONE, FABRIZIO, LEYBOURNE, STEPHEN J. and TAYLOR, A. M. ROBERT, 2017. Testing for a Change in Mean under Fractional Integration JOURNAL OF TIME SERIES ECONOMETRICS. 9(1),
• HARVEY, DAVID I., LEYBOURNE, STEPHEN J. and SOLLIS, ROBERT, 2017. Improving the accuracy of asset price bubble start and end date estimators JOURNAL OF EMPIRICAL FINANCE. 40, 121-138
• 2017. Forecast evaluation tests and negative long-run variance estimates in small samples. International Journal of Forecasting, 33 (4). pp. 833-847.
• 2017. Testing for a unit root against ESTAR stationarity Studies in Nonlinear Dynamics and Econometrics.
• 2017. A bootstrap stationarity test for predictive regression invalidity Journal of Business and Economic Statistics. (In Press.)
• HARRIS, D.A., LEYBOURNE, S.J. and TAYLOR, A.M.R., 2016. Tests of the Co-integration Rank in VAR Models in the Presence of a Possible Break in Trend at an Unknown Point Journal of Econometrics. (In Press.)
• HARVEY, D.I., LEYBOURNE, S.J., SOLLIS, R. and TAYLOR, A.M.R., 2016. Tests for explosive financial bubbles in the presence of non-stationary volatility Journal of Empirical Finance. 38, 548-574
• HARVEY, DAVID I. and LEYBOURNE, STEPHEN J., 2016. Improving the length of confidence sets for the date of a break in level and trend when the order of integration is unknown ECONOMICS LETTERS. 145, 239-245
• HARVEY, D.I, LEYBOURNE, S.J and SOLLIS, R., 2015. Recursive right-tailed unit root tests for an explosive asset price bubble Journal of Financial Econometrics. 13, 166-187
• CAVALIERE, G., HARVEY, D.I, LEYBOURNE, S.J and TAYLOR, A.M.R., 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, 603-629
• ASTILL, SAM, HARVEY, DAVID I., LEYBOURNE, STEPHEN J. and TAYLOR, A. M. ROBERT, 2015. Robust and Powerful Tests for Nonlinear Deterministic Components Oxford Bulletin of Economics and Statistics. 77(6), 780-799
• HARVEY, DAVID I. and LEYBOURNE, STEPHEN J., 2015. Confidence sets for the date of a break in level and trend when the order of integration is unknown Journal of Econometrics. 184(2), 262-279
• HARVEY, D.I., LEYBOURNE, S.J. and TAYLOR, A.M.R., 2014. Unit Root Testing under a Local Break in Trend using Partial Information on the Break Date Oxford Bulletin of Economics and Statistics. 76, 93-111
• HARVEY, D.I., LEYBOURNE, S.J. and TAYLOR, A.M.R., 2014. On infimum Dickey–Fuller unit root tests allowing for a trend break under the null Computational Statistics & Data Analysis. 78, 235-242
• HARVEY, D.I and LEYBOURNE, S.J, 2014. Asymptotic behaviour of tests for a unit root against an explosive alternative Economics Letters. 122, 64-68
• HARVEY, D.I and LEYBOURNE, S.J, 2014. Break date estimation for models with deterministic structural change Oxford Bulletin of Economics and Statistics. 76, 623-642
• ASTILL, S., HARVEY, D.I., LEYBOURNE, S.J. and TAYLOR, A.M.R., 2014. Robust tests for a linear trend with an application to equity indices Journal of Empirical Finance. 29, 168-185 (In Press.)