Some Recent Research Papers

“Testing the Order of Fractional Integration of a Time Series in the Possible Presence of a Trend Break at an Unknown Point” with Fabrizio Iacone and Steve Leybourne.  Available from http://econpapers.repec.org/paper/esyuefcwp/19654

"A Bootstrap Stationarity Test for Predictive Regression Invalidity", by Iliyan Georgiev, David Harvey, Stephen Leybourne and Robert Taylor, accepted for publication in the Journal of Business and Economic Statistics.  Essex Finance Centre Working Paper number 28, 01-2018, University of Essex (also published in the  RePEc working paper series) pdf of working paper including on-line supplementary appendix. 

“Level Shift Estimation in the Presence of Non-stationary Volatility with an Application to the Unit Root Testing Problem" with David Harris and Hsein Kew.  Essex Finance Centre Working Papers University of Essex (also published in the  RePEc working paper series), available from https://ideas.repec.org/p/esy/uefcwp/20329.html

"Quasi-Maximum Likelihood Estimation and Bootstrap Inference in Fractional Time Series Models with Heteroskedasticity of Unknown form" with Giuseppe Cavaliere and Morten Nielsen (pdf), published in the Journal of Econometrics, 2017, volume 198, pages 165-188.

"Sieve-Based Inference for Infinite-Variance Linear Processes" with Giuseppe Cavaliere and Iliyan Georgiev (pdf) and (on-line supplement), published in the Annals of Statistics, 2016, volume 44, pages 1467-1494.

"Tests of the Co-integration Rank in VAR Models in the Presence of a Possible Break in Trend at an Unknown Point" with David Harris and Stephen Leybourne (pdf) and (supplementary appendix), published in the Journal of Econometrics, 2016, volume 192, pages 451-467. 

"Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions"  with Peter Boswijk, Giuseppe Cavaliere and Anders Rahbek (pdf), published in the Journal of Econometrics, 2016, volume 192, pages 64-85.

"Tests for Explosive Financial Bubbles in the Presence of Non-Stationary Volatility" with Dave Harvey, Steve Leybourne and Robert Sollis (pdf), published in the Journal of Empirical Finance, 2016, volume 38, pages 548-574.

"Unit Root Inference for Non-Stationary Linear Processes driven by Infinite Variance Innovations" with Giuseppe Cavaliere and Iliyan Georgiev (pdf), accepted for publication in Econometric Theory.

"Semi-Parametric Seasonal Unit Root Tests" with Tomás del Barrio Castro and Paulo Rodrigues (pdf), accepted for publication in Econometric Theory.

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