David Harvey

Contact

• workRoom B73 Sir Clive Granger Building
  University Park
  Nottingham
  NG7 2RD
  UK
• work0115 95 15481
• fax0115 95 14159
• dave.harvey@nottingham.ac.uk
• https://sites.google.com/view/david-harvey/

Biography

David has been a member of staff in the School of Economics since October 2003. He is a Professor of Econometrics. His research interests are in the area of time series econometrics, in particular tests for unit roots and structural change, forecast evaluation and applied time series analysis in general. He has published in journals such as the Journal of Econometrics, Journal of Business and Economic Statistics, Review of Economics and Statistics, Econometric Theory, Journal of Applied Econometrics, Econometrics Journal, Oxford Bulletin of Economics and Statistics, Journal of Forecasting, International Journal of Forecasting.

Prof Harvey's complete CV can be downloaded from here in pdf format. David's Facewall page.

Recent Publications

• GEORGIEV, I., HARVEY, D.I., LEYBOURNE, S.J. and TAYLOR, A.M.R., 2018. Testing for Parameter Instability in Predictive Regression Models Journal of Econometrics. 204, 101-118
• ASTILL, S., HARVEY, D.I., LEYBOURNE, S.J., SOLLIS, R. and TAYLOR, A.M.R., 2018. Real-Time Monitoring for Explosive Financial Bubbles Journal of Time Series Analysis. (In Press.)
• 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

• View all publications

• GEORGIEV, I., HARVEY, D.I., LEYBOURNE, S.J. and TAYLOR, A.M.R., 2018. Testing for Parameter Instability in Predictive Regression Models Journal of Econometrics. 204, 101-118
• ASTILL, S., HARVEY, D.I., LEYBOURNE, S.J., SOLLIS, R. and TAYLOR, A.M.R., 2018. Real-Time Monitoring for Explosive Financial Bubbles Journal of Time Series Analysis. (In Press.)
• 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
• 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
• DAVID I. HARVEY, NEIL M. KELLARD, JAKOB B. MADSEN and MARK E. WOHAR, 2017. Long-run commodity prices, economic growth and interest rates: 17th century to the present day World Development. 89, 57-70
• DAVID I. HARVEY, STEPHEN J. LEYBOURNE and EMILY J. WHITEHOUSE, 2017. Forecast evaluation tests and negative long-run variance estimates in small samples International Journal of Forecasting. 33, 833-847
• DAVID I. HARVEY, STEPHEN J. LEYBOURNE and EMILY J. WHITEHOUSE, 2017. Testing for a unit root against ESTAR stationarity Studies in Nonlinear Dynamics and Econometrics. (In Press.)
• I. GEORGIEV, DAVID I. HARVEY, STEPHEN J. LEYBOURNE and A. M. ROBERT TAYLOR, 2017. A bootstrap test for predictive regression invalidity Journal of Business and Economic Statistics. (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.)
• HARVEY, D.I., ASTILL, S. and TAYLOR, A.M.R., 2013. A bootstrap test for addictive outliers in non-stationary times series Journal of Time Series Analysis. 34(4), 454-465
• HARVEY, D.I., LEYBOURNE, S.J. and TAYLOR, A.M.R., 2013. Testing for unit roots in the possible presence of multiple trend breaks using minimum Dickey-Fuller statistics Journal of Econometrics. n/a(n/a), n/a
• HARVEY, D.I., LEYBOURNE, S.J. and TAYLOR, A.M.R., 2012. Unit root testing under a local break in trend Journal of Econometrics. 167(1), 140-167
• HARVEY, D.I., LEYBOURNE, S.J. and TAYLOR, A.M.R., 2012. Testing for unit roots in the presence of uncertainty over both the trend and initial condition Journal of Econometrics. 169(2), 188-195
• HARVEY, D.I. and LEYBOURNE, S.J., 2012. An infimum coefficient unit root test allowing for an unknown break in trend Economics Letters. 117, 298-302
• HARVEY, D.I., LEYBOURNE, S.J. and TAYLOR, A.M.R., 2011. Testing for unit roots and the impact of quadratic trends, with an application to relative primary commodity prices Econometric Reviews. 30, 514-547
• AHMAD, A.H,, HARVEY, D.I. and PENTECOST, E.J., 2011. Exchange rate regime verification: an alternative method of testing for regime changes Economics Letters. 113, 96-98
• CAVALIERE, G., HARVEY, D.I., LEYBOURNE, S.J. and TAYLOR, A.M.R., 2011. Testing for unit roots in the presence of a possible break in trend and nonstationary volatility Econometric Theory. 27(5), 957-991
• HARRIS, D., HARVEY, D.I., LEYBOURNE, S.J. and SAKKAS, N.D., 2010. Local asymptotic power of the Im-Pesaran-Shin panel unit root test and the impact of initial observations Econometric Theory. 26(1), 311-324
• HARVEY, D.I., KELLARD, N.M., MADSEN, J.B. and WOHAR, M.E., 2010. The Prebisch-Singer hypothesis: four centuries of evidence Review of Economics and Statistics. 92(2), 367-377
• HARVEY, D.I., LEYBOURNE, S.J. and TAYLOR, A.M.R., 2010. The impact of the initial condition on robust tests for a linear trend Journal of Time Series Analysis. 31, 292-302
• HARVEY, D.I., LEYBOURNE, S.J. and TAYLOR, A.M.R., 2010. Robust methods for detecting multiple level breaks in autocorrelated time series Journal of Econometrics. 157(2), 342-358
• HARVEY, D.I., LEYBOURNE, S.J. and XIAO, L., 2010. Testing for nonlinear deterministic components when the order of integration is unknown Journal of Time Series Analysis. 31, 379-391
• CLEMENTS, M.P. and HARVEY, D.I., 2010. Forecast encompassing tests and probability forecasts Journal of Applied Econometrics. 25, 1028-1062
• CLEMENTS, M.P. and HARVEY, D.I., 2010. Combining probability forecasts International Journal of Forecasting. 27, 208-223
• HARVEY, D.I., LEYBOURNE, S.J. and TAYLOR, A.M.R., 2009. Simple, robust and powerful tests of the breaking trend hypothesis Econometric Theory. 25(4), 995-1029
• 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
• CLEMENTS, M.P. and HARVEY, D.I., 2009. Forecast Combination and Encompassing. In: MILLS, T.C. and PATTERSON, K., eds., Palgrave Handbook of Econometrics, Volume 2: Applied Econometrics Palgrave Macmillan. 169-198
• HARRIS, D., HARVEY, D.I., LEYBOURNE, S.J. and TAYLOR, A.M.R., 2009. Testing for a unit root in the presence of a possible break in trend Econometric Theory. 25(6), 1545-1588
• 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, D.I., LEYBOURNE, S.J. and XIAO, B., 2008. A powerful test for linearity when the order of integration is unknown Studies in Nonlinear Dynamics and Econometrics. 12(3), Article 2
• 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
• HARVEY, D. and LEYBOURNE, S., 2007. Testing for time series linearity Econometrics Journal. 10, 149-165
• 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
• HARVEY, D.I. and LEYBOURNE, S.J., 2006. Power of a unit-root test and the initial condition Journal of Time Series Analysis. 27(5), 739-752
• HARVEY, D.I., LEYBOURNE, S. and TAYLOR, A., 2006. On Robust Trend Function Hypothesis Testing Studies in Nonlinear Dynamics and Econometrics. 10(1), Article 1
• HARVEY, D. I. and VAN DIJK, D., 2006. Sample size, lag order and critical values of seasonal unit root tests Computational Statistics and Data Analysis. 50(10), 2734-2751
• HARVEY, D.I. and LEYBOURNE, S.J., 2005. On testing for unit roots and the initial observation Econometrics Journal. 8(1), 97-111
• HARVEY, D.I. and NEWBOLD, P., 2005. Forecast encompassing and parameter estimation Oxford Bulletin of Economics and Statistics. 67(s1), 815-835
• HARVEY, D. I. and MILLS, T. C., 2005. Corrigendum to ``Common features in UK sectoral output'' Economic Modelling. VOL 22(NUMBER 1), 207-211
• HARVEY, D. I. and MILLS, T. C., 2005. Evidence for common features in G7 macroeconomic time series Applied Economics. VOL 37(NUMB 2), 165-176
• 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
• HARVEY, D. I. and MILLS, T. C., 2004. Tests for Stationarity in Series with Endogenously Determined Structural Change Oxford Bulletin of Economics and Statistics. VOL 66(NUMBER 5), 863-894
• HARVEY, D. I., LEYBOURNE, S. J. and NEWBOLD, P., 2003. How great are the great ratios? Applied Economics. VOL 35(PART 2), 163-178
• HARVEY, D. I. and NEWBOLD, P., 2003. The non-normality of some macroeconomic forecast errors International Journal of Forecasting. VOL 19(NUMBER 4), 635-653
• HARVEY, D. I. and MILLS, T. C., 2003. A note on Busetti-Harvey tests for stationarity in series with structural breaks Journal of Time Series Analysis. VOL 24(PART 2), 159-164
• HARVEY, D. I. and MILLS, T. C., 2003. Modelling Trends in Central England Temperatures Journal of Forecasting. VOL 22(PART 1), 35-48
• HARVEY, D.I., LEYBOURNE, S.J. and NEWBOLD, P., 2002. Seasonal unit root tests with seasonal mean shifts Economics Letters. 76(2), 295-302
• HARVEY, D. I. and MILLS, T. C., 2002. Unit roots and double smooth transitions Journal of Applied Statistics. VOL 29(PART 5), 675-684
• HARVEY, D. I. and MILLS, T. C., 2002. Common features in UK sectoral output Economic Modelling. VOL 19(NUMBER 1), 91-104
• 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
• HARVEY, D.I. and MILLS, T., 2001. Modelling Global Temperature Trends using Cointegration and Smooth Transitions Statistical Modelling. 1, 143-159
• HARVEY, D. and NEWBOLD, P., 2000. Tests for Multiple Forecast Encompassing Journal of Applied Econometrics. VOL 15(PART 5), 471-482
• DAVID I. HARVEY, STEPHEN J. LEYBOURNE and EMILY J. WHITEHOUSE, Testing for a unit root against ESTAR stationarity Studies in Nonlinear Dynamics and Econometrics. (In Press.)