A. M. Robert Taylor - Author Profile

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Taylor, A. M. Robert

Author ID:	taylor.a-m-robert
Published as:	Taylor, A. M. Robert; Robert Taylor, A. M.; Taylor, A. M. R. more...less
Homepage:	https://rtaylor-essex.droppages.com/
External Links:	MGP · ORCID · Google Scholar · ResearchGate

Documents Indexed:	97 Publications since 1998
	2 Contributions as Editor · 1 Further Contribution
Co-Authors:	32 Co-Authors with 94 Joint Publications
	402 Co-Co-Authors

all top 5

Co-Authors

5	single-authored
34	Leybourne, Stephen J.
27	Cavaliere, Giuseppe
25	Harvey, David I.
11	Rodrigues, Paulo M. M.
7	Georgiev, Iliyan
7	Rahbek, Anders
6	del Barrio Castro, Tomas
5	Iacone, Fabrizio
4	Astill, Sam
3	Burridge, Peter
3	Busetti, Fabio
3	Chambers, Marcus J.
3	Demetrescu, Matei
3	Smith, Richard J.
2	Boswijk, H. Peter
2	De Angelis, Luca
2	Kapetanios, George
2	Nielsen, Morten Ørregaard
2	Osborn, Denise R.
2	Papailias, Fotis
2	Phillips, Peter Charles Bonest
2	Smeekes, Stephan
1	Bailey, Ralph W.
1	Breitung, Jorg
1	Elliott, Graham
1	Ercolani, Joanne S.
1	Franses, Philip Hans
1	Kew, Hsein
1	Kim, Taehwan
1	Skrobotov, Anton
1	Sollis, Robert
1	Trenkler, Carsten
1	Vogelsang, Timothy J.

all top 5

Serials

34	Journal of Econometrics
24	Econometric Theory
18	Journal of Time Series Analysis
12	Econometric Reviews
4	The Econometrics Journal
2	Economics Letters
2	Studies in Nonlinear Dynamics and Econometrics
1	The Annals of Statistics
1	Econometrica
1	Computational Statistics and Data Analysis
1	Journal of Time Series Econometrics

all top 5

Fields

98	Statistics (62-XX)
19	Game theory, economics, finance, and other social and behavioral sciences (91-XX)
12	Numerical analysis (65-XX)
4	Probability theory and stochastic processes (60-XX)
2	General and overarching topics; collections (00-XX)
2	Real functions (26-XX)
2	Partial differential equations (35-XX)
1	History and biography (01-XX)

Publications by Year

all cited Publications top 5 cited Publications

Citations contained in zbMATH Open

86 Publications have been cited 947 times in 449 Documents	Cited by ▼	Year ▼
Testing for unit roots in time series models with non-stationary volatility. Zbl 1247.91131 Cavaliere, Giuseppe; Taylor, A. M. Robert	78	2007
Nonparametric tests for unit roots and cointegration. Zbl 1099.62511 Breitung, Jörg	65	2002
Bootstrap unit root tests for time series with nonstationary volatility. Zbl 1280.62098 Cavaliere, Giuseppe; Taylor, A. M. Robert	50	2008
Unit root testing in practice: dealing with uncertainty over the trend and initial condition. Zbl 1253.62060 Harvey, David I.; Leybourne, Stephen J.; Taylor, A. M. Robert	46	2009
Tests of stationarity against a change in persistence. Zbl 1328.62507 Busetti, Fabio; Taylor, A. M. Robert	44	2004
Testing for co-integration in vector autoregressions with non-stationary volatility. Zbl 1431.62358 Cavaliere, Giuseppe; Rahbek, Anders; Taylor, A. M. Robert	42	2010
Heteroskedastic time series with a unit root. Zbl 1284.62546 Cavaliere, Giuseppe; Taylor, A. M. Robert	38	2009
Bootstrap determination of the co-integration rank in vector autoregressive models. Zbl 1274.62223 Cavaliere, Giuseppe; Rahbek, Anders; Taylor, A. M. Robert	34	2012
Additional critical values and asymptotic representations for seasonal unit root tests. Zbl 1041.62517 Smith, Richard J.; Taylor, A. M. Robert	32	1998
Simple, robust, and powerful tests of the breaking trend hypothesis. Zbl 1278.62135 Harvey, David I.; Leybourne, Stephen J.; Taylor, A. M. Robert	28	2009
Time-transformed unit root tests for models with non-stationary volatility. Zbl 1165.62064 Cavaliere, Giuseppe; Taylor, A. M. R.	24	2008
Cointegration rank testing under conditional heteroskedasticity. Zbl 1294.62192 Cavaliere, Giuseppe; Rahbek, Anders; Taylor, A. M. Robert	23	2010
Modified tests for a change in persistence. Zbl 1418.62328 Harvey, David I.; Leybourne, Stephen J.; Taylor, A. M. Robert	22	2006
Testing for a unit root in the presence of a possible break in trend. Zbl 1179.62120 Harris, David; Harvey, David I.; Leybourne, Stephen J.; Taylor, A. M. Robert	22	2009
A simple, robust and powerful test of the trend hypothesis. Zbl 1418.62329 Harvey, David I.; Leybourne, Stephen J.; Taylor, A. M. Robert	18	2007
Testing for unit roots in monthly time series. Zbl 0915.62077 Taylor, A. M. Robert	18	1998
Bootstrap \(M\) unit root tests. Zbl 1168.62080 Cavaliere, Giuseppe; Taylor, A. M. Robert	18	2009
Testing for a change in persistence in the presence of non-stationary volatility. Zbl 1429.62388 Cavaliere, Giuseppe; Taylor, A. M. Robert	17	2008
Stationarity tests under time-varying second moments. Zbl 1083.62084 Cavaliere, Giuseppe; Taylor, A. M. Robert	17	2005
Inference on co-integration parameters in heteroskedastic vector autoregressions. Zbl 1419.62220 Boswijk, H. Peter; Cavaliere, Giuseppe; Rahbek, Anders; Taylor, A. M. Robert	16	2016
Regression-based seasonal unit root tests. Zbl 1279.62174 Smith, Richard J.; Taylor, A. M. Robert; del Barrio Castro, Tomas	15	2009
Additive outlier detection via extreme-value theory. Zbl 1112.62086 Burridge, Peter; Taylor, A. M. Robert	14	2006
Efficient tests of the seasonal unit root hypothesis. Zbl 1418.62351 Rodrigues, Paulo M. M.; Taylor, A. M. Robert	12	2007
Bootstrap determination of the co-integration rank in heteroskedastic VAR models. Zbl 1491.62090 Cavaliere, Giuseppe; Rahbek, Anders; Taylor, A. M. Robert	12	2014
On regression-based tests for seasonal unit roots in the presence of periodic heteroscedasticity. Zbl 0978.62074 Burridge, Peter; Taylor, A. M. Robert	12	2001
Unit root inference for non-stationary linear processes driven by infinite variance innovations. Zbl 1441.62229 Cavaliere, Giuseppe; Georgiev, Iliyan; Taylor, A. M. Robert	12	2018
Variance ratio tests of the seasonal unit root hypothesis. Zbl 1337.62227 Taylor, A. M. Robert	11	2005
Testing for parameter instability in predictive regression models. Zbl 1387.62101 Georgiev, Iliyan; Harvey, David I.; Leybourne, Stephen J.; Taylor, A. M. Robert	11	2018
Testing for unit roots in the presence of a possible break in trend and nonstationary volatility. Zbl 1226.62075 Cavaliere, Giuseppe; Harvey, David I.; Leybourne, Stephen J.; Taylor, A. M. Robert	10	2011
On tests for changes in persistence. Zbl 1254.91676 Leybourne, Stephen; Taylor, A. M. Robert	10	2004
On augmented HEGY tests for seasonal unit roots. Zbl 1369.62212 Del Barrio Castro, Tomás; Osborn, Denise R.; Taylor, A. M. Robert	10	2012
Testing for unit roots in the possible presence of multiple trend breaks using minimum Dickey-Fuller statistics. Zbl 1288.62123 Harvey, David I.; Leybourne, Stephen J.; Taylor, A. M. Robert	9	2013
Testing for a break in trend when the order of integration is unknown. Zbl 1284.62527 Iacone, Fabrizio; Leybourne, Stephen J.; Taylor, A. M. Robert	9	2013
Bootstrapping the HEGY seasonal unit root tests. Zbl 1328.62506 Burridge, Peter; Taylor, A. M. Robert	9	2004
Testing against stochastic trend and seasonality in the presence of unattended breaks and unit roots. Zbl 1026.62086 Busetti, Fabio; Taylor, A. M. Robert	9	2003
Detecting multiple changes in persistence. Zbl 1268.91149 Leybourne, Stephen; Kim, Tae-Hwan; Taylor, A. M. Robert	9	2007
Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form. Zbl 1456.62182 Cavaliere, Giuseppe; Nielsen, Morten Ørregaard; Taylor, A. M. Robert	8	2017
The performance of lag selection and detrending methods for HEGY seasonal unit root tests. Zbl 1491.62094 del Barrio Castro, Tomás; Osborn, Denise R.; Taylor, A. M. Robert	8	2016
Tests for an end-of-sample bubble in financial time series. Zbl 1524.62507 Astill, Sam; Harvey, David I.; Leybourne, Stephen J.; Taylor, A. M. Robert	8	2017
Testing for unit roots in the presence of uncertainty over both the trend and initial condition. Zbl 1443.62229 Harvey, David I.; Leybourne, Stephen J.; Taylor, A. M. Robert	8	2012
Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets. Zbl 1337.91138 Cavaliere, Giuseppe; Nielsen, Morten Ørregaard; Taylor, A. M. Robert	7	2015
Alternative estimators and unit root tests for seasonal autoregressive processes. Zbl 1282.62250 Rodrigues, Paulo M. M.; Taylor, A. M. Robert	7	2004
Bootstrap union tests for unit roots in the presence of nonstationary volatility. Zbl 1318.62275 Smeekes, Stephan; Taylor, A. M. Robert	7	2012
A fixed-\(b\) test for a break in level at an unknown time under fractional integration. Zbl 1301.62079 Iacone, Fabrizio; Leybourne, Stephen J.; Taylor, A. M. Robert	7	2014
Persistence change tests and shifting stable autoregressions. Zbl 1255.62266 Leybourne, Stephen J.; Taylor, A. M. Robert	7	2006
Unit root testing under a local break in trend. Zbl 1441.62726 Harvey, David I.; Leybourne, Stephen J.; Taylor, A. M. Robert	6	2012
On the behavior of fixed-\(b\) trend break tests under fractional integration. Zbl 1272.62057 Iacone, Fabrizio; Leybourne, Stephen J.; Taylor, A. M. Robert	6	2013
Asymptotic distributions for regression-based seasonal unit root test statistic in a near-integrated model. Zbl 1081.62068 Rodrigues, Paulo M. M.; Taylor, A. M. Robert	6	2004
Wild bootstrap of the sample mean in the infinite variance case. Zbl 1491.62033 Cavaliere, Giuseppe; Georgiev, Iliyan; Taylor, A. M. Robert	6	2013
Testing for episodic predictability in stock returns. Zbl 07491150 Demetrescu, Matei; Georgiev, Iliyan; Rodrigues, Paulo M. M.; Taylor, A. M. Robert	6	2022
Real-time monitoring for explosive financial bubbles. Zbl 1402.91579 Astill, Sam; Harvey, David I.; Leybourne, Stephen J.; Sollis, Robert; Taylor, A. M. Robert	6	2018
Robust methods for detecting multiple level breaks in autocorrelated time series. Zbl 1431.62383 Harvey, David I.; Leybourne, Stephen J.; Taylor, A. M. Robert	5	2010
Tests of the co-integration rank in VAR models in the presence of a possible break in trend at an unknown point. Zbl 1420.62381 Harris, David; Leybourne, Stephen J.; Taylor, A. M. Robert	5	2016
Locally optimal tests against unit roots in seasonal time series processes. Zbl 1036.62091 Taylor, A. M. Robert	5	2003
Testing the null of co-integration in the presence of variance breaks. Zbl 1111.62074 Cavaliere, Giuseppe; Taylor, A. M. Robert	5	2006
Sieve-based inference for infinite-variance linear processes. Zbl 1459.62168 Cavaliere, Giuseppe; Georgiev, Iliyan; Taylor, A. M. Robert	5	2016
Determining the cointegration rank in heteroskedastic VAR models of unknown order. Zbl 1441.62228 Cavaliere, Giuseppe; De Angelis, Luca; Rahbek, Anders; Robert Taylor, A. M.	5	2018
Semi-parametric seasonal unit root tests. Zbl 1442.62736 del Barrio Castro, Tomás; Rodrigues, Paulo M. M.; Taylor, A. M. Robert	4	2018
An optimal test against a random walk component in a non-orthogonal unobserved components model. Zbl 1018.62061 Bailey, Ralph W.; Taylor, A. M. Robert	3	2002
Temporal aggregation of seasonally near-integrated processes. Zbl 1434.62184 del Barrio Castro, Tomás; Rodrigues, Paulo M. M.; Taylor, A. M. Robert	3	2019
Simple tests for stock return predictability with good size and power properties. Zbl 07376514 Harvey, David I.; Leybourne, Stephen J.; Taylor, A. M. Robert	3	2021
Stationarity tests for irregularly spaced observations and the effects of sampling frequency on power. Zbl 1083.62075 Busetti, Fabio; Taylor, A. M. Robert	3	2005
Lag length selection for unit root tests in the presence of nonstationary volatility. Zbl 1491.62089 Cavaliere, Giuseppe; Phillips, Peter C. B.; Smeekes, Stephan; Taylor, A. M. Robert	3	2015
Bootstrap cointegration rank testing: the role of deterministic variables and initial values in the bootstrap recursion. Zbl 1491.62091 Cavaliere, Giuseppe; Taylor, A. M. Robert; Trenkler, Carsten	3	2013
Unit root tests and heavy-tailed innovations. Zbl 1416.62463 Georgiev, Iliyan; Rodrigues, Paulo M. M.; Taylor, A. M. Robert	3	2017
The impact of the initial condition on robust tests for a linear trend. Zbl 1416.62493 Harvey, David I.; Leybourne, Stephen J.; Taylor, A. M. Robert	2	2010
Testing the order of fractional integration of a time series in the possible presence of a trend break at an unknown point. Zbl 1433.62261 Iacone, Fabrizio; Leybourne, Stephen J.; Taylor, A. M. Robert	2	2019
Testing for unit roots under multiple possible trend breaks and non-stationary volatility using bootstrap minimum Dickey-Fuller statistics. Zbl 1330.62329 Cavaliere, Giuseppe; Harvey, David I.; Leybourne, Stephen J.; Taylor, A. M. Robert	2	2015
Determining the order of differencing in seasonal time series processes. Zbl 0970.91062 Franses, Philip Hans; Taylor, A. M. Robert	2	2000
A generalised fractional differencing bootstrap for long memory processes. Zbl 1432.62301 Kapetanios, George; Papailias, Fotis; Taylor, A. M. Robert	2	2019
Testing for a change in mean under fractional integration. Zbl 1499.62289 Iacone, Fabrizio; Leybourne, Stephen J.; Robert Taylor, A. M.	2	2017
On infimum Dickey-Fuller unit root tests allowing for a trend break under the null. Zbl 1506.62077 Harvey, David I.; Leybourne, Stephen J.; Taylor, A. M. Robert	2	2014
Testing for seasonal unit roots by frequency domain regression. Zbl 1293.62170 Chambers, Marcus J.; Ercolani, Joanne S.; Taylor, A. M. Robert	1	2014
A bootstrap test for additive outliers in non-stationary time series. Zbl 1277.62203 Astill, Sam; Harvey, David I.; Taylor, A. M. Robert	1	2013
Seasonal unit root tests based on forward and reverse estimation. Zbl 1036.62084 Leybourne, Stephen; Taylor, A. M. Robert	1	2003
Deterministic parameter change models in continuous and discrete time. Zbl 1444.62100 Chambers, Marcus J.; Taylor, A. M. Robert	1	2020
On the use of sub-sample unit root tests to detect changes in persistence. Zbl 1091.62089 Taylor, A. M. Robert	1	2005
Level shift estimation in the presence of non-stationary volatility with an application to the unit root testing problem. Zbl 1464.62385 Harris, David; Kew, Hsein; Taylor, A. M. Robert	1	2020
On robust trend function hypothesis testing. Zbl 1225.62159 Harvey, David I.; Leybourne, Stephen J.; Taylor, A. M. Robert	1	2006
Rejoinder. Zbl 1277.62211 Harvey, David I.; Leybourne, Stephen J.; Taylor, A. M. Robert	1	2009
A note on testing covariance stationarity. Zbl 1482.62087 Cavaliere, Giuseppe; Taylor, A. M. Robert	1	2009
Recursive and rolling regression-based tests of the seasonal unit root hypothesis. Zbl 0988.62055 Smith, Richard J.; Taylor, A. M. Robert	1	2001
Testing for unit roots and the impact of quadratic trends, with an application to relative primary commodity prices. Zbl 1218.62091 Harvey, David I.; Leybourne, Stephen J.; Taylor, A. M. Robert	1	2011
Wild bootstrap seasonal unit root tests for time series with periodic nonstationary volatility. Zbl 1490.62233 Cavaliere, Giuseppe; Skrobotov, Anton; Taylor, A. M. Robert	1	2019
Corrigendum to “Modified tests for a change in persistence”. Zbl 1443.62265 Harvey, David I.; Leybourne, Stephen J.; Taylor, A. M. Robert	1	2012
On the asymptotic properties of some seasonal unit root tests. Zbl 1441.62885 Taylor, A. M. Robert	1	2003
Testing for episodic predictability in stock returns. Zbl 07491150 Demetrescu, Matei; Georgiev, Iliyan; Rodrigues, Paulo M. M.; Taylor, A. M. Robert	6	2022
Simple tests for stock return predictability with good size and power properties. Zbl 07376514 Harvey, David I.; Leybourne, Stephen J.; Taylor, A. M. Robert	3	2021
Deterministic parameter change models in continuous and discrete time. Zbl 1444.62100 Chambers, Marcus J.; Taylor, A. M. Robert	1	2020
Level shift estimation in the presence of non-stationary volatility with an application to the unit root testing problem. Zbl 1464.62385 Harris, David; Kew, Hsein; Taylor, A. M. Robert	1	2020
Temporal aggregation of seasonally near-integrated processes. Zbl 1434.62184 del Barrio Castro, Tomás; Rodrigues, Paulo M. M.; Taylor, A. M. Robert	3	2019
Testing the order of fractional integration of a time series in the possible presence of a trend break at an unknown point. Zbl 1433.62261 Iacone, Fabrizio; Leybourne, Stephen J.; Taylor, A. M. Robert	2	2019
A generalised fractional differencing bootstrap for long memory processes. Zbl 1432.62301 Kapetanios, George; Papailias, Fotis; Taylor, A. M. Robert	2	2019
Wild bootstrap seasonal unit root tests for time series with periodic nonstationary volatility. Zbl 1490.62233 Cavaliere, Giuseppe; Skrobotov, Anton; Taylor, A. M. Robert	1	2019
Unit root inference for non-stationary linear processes driven by infinite variance innovations. Zbl 1441.62229 Cavaliere, Giuseppe; Georgiev, Iliyan; Taylor, A. M. Robert	12	2018
Testing for parameter instability in predictive regression models. Zbl 1387.62101 Georgiev, Iliyan; Harvey, David I.; Leybourne, Stephen J.; Taylor, A. M. Robert	11	2018
Real-time monitoring for explosive financial bubbles. Zbl 1402.91579 Astill, Sam; Harvey, David I.; Leybourne, Stephen J.; Sollis, Robert; Taylor, A. M. Robert	6	2018
Determining the cointegration rank in heteroskedastic VAR models of unknown order. Zbl 1441.62228 Cavaliere, Giuseppe; De Angelis, Luca; Rahbek, Anders; Robert Taylor, A. M.	5	2018
Semi-parametric seasonal unit root tests. Zbl 1442.62736 del Barrio Castro, Tomás; Rodrigues, Paulo M. M.; Taylor, A. M. Robert	4	2018
Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form. Zbl 1456.62182 Cavaliere, Giuseppe; Nielsen, Morten Ørregaard; Taylor, A. M. Robert	8	2017
Tests for an end-of-sample bubble in financial time series. Zbl 1524.62507 Astill, Sam; Harvey, David I.; Leybourne, Stephen J.; Taylor, A. M. Robert	8	2017
Unit root tests and heavy-tailed innovations. Zbl 1416.62463 Georgiev, Iliyan; Rodrigues, Paulo M. M.; Taylor, A. M. Robert	3	2017
Testing for a change in mean under fractional integration. Zbl 1499.62289 Iacone, Fabrizio; Leybourne, Stephen J.; Robert Taylor, A. M.	2	2017
Inference on co-integration parameters in heteroskedastic vector autoregressions. Zbl 1419.62220 Boswijk, H. Peter; Cavaliere, Giuseppe; Rahbek, Anders; Taylor, A. M. Robert	16	2016
The performance of lag selection and detrending methods for HEGY seasonal unit root tests. Zbl 1491.62094 del Barrio Castro, Tomás; Osborn, Denise R.; Taylor, A. M. Robert	8	2016
Tests of the co-integration rank in VAR models in the presence of a possible break in trend at an unknown point. Zbl 1420.62381 Harris, David; Leybourne, Stephen J.; Taylor, A. M. Robert	5	2016
Sieve-based inference for infinite-variance linear processes. Zbl 1459.62168 Cavaliere, Giuseppe; Georgiev, Iliyan; Taylor, A. M. Robert	5	2016
Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets. Zbl 1337.91138 Cavaliere, Giuseppe; Nielsen, Morten Ørregaard; Taylor, A. M. Robert	7	2015
Lag length selection for unit root tests in the presence of nonstationary volatility. Zbl 1491.62089 Cavaliere, Giuseppe; Phillips, Peter C. B.; Smeekes, Stephan; Taylor, A. M. Robert	3	2015
Testing for unit roots under multiple possible trend breaks and non-stationary volatility using bootstrap minimum Dickey-Fuller statistics. Zbl 1330.62329 Cavaliere, Giuseppe; Harvey, David I.; Leybourne, Stephen J.; Taylor, A. M. Robert	2	2015
Bootstrap determination of the co-integration rank in heteroskedastic VAR models. Zbl 1491.62090 Cavaliere, Giuseppe; Rahbek, Anders; Taylor, A. M. Robert	12	2014
A fixed-\(b\) test for a break in level at an unknown time under fractional integration. Zbl 1301.62079 Iacone, Fabrizio; Leybourne, Stephen J.; Taylor, A. M. Robert	7	2014
On infimum Dickey-Fuller unit root tests allowing for a trend break under the null. Zbl 1506.62077 Harvey, David I.; Leybourne, Stephen J.; Taylor, A. M. Robert	2	2014
Testing for seasonal unit roots by frequency domain regression. Zbl 1293.62170 Chambers, Marcus J.; Ercolani, Joanne S.; Taylor, A. M. Robert	1	2014
Testing for unit roots in the possible presence of multiple trend breaks using minimum Dickey-Fuller statistics. Zbl 1288.62123 Harvey, David I.; Leybourne, Stephen J.; Taylor, A. M. Robert	9	2013
Testing for a break in trend when the order of integration is unknown. Zbl 1284.62527 Iacone, Fabrizio; Leybourne, Stephen J.; Taylor, A. M. Robert	9	2013
On the behavior of fixed-\(b\) trend break tests under fractional integration. Zbl 1272.62057 Iacone, Fabrizio; Leybourne, Stephen J.; Taylor, A. M. Robert	6	2013
Wild bootstrap of the sample mean in the infinite variance case. Zbl 1491.62033 Cavaliere, Giuseppe; Georgiev, Iliyan; Taylor, A. M. Robert	6	2013
Bootstrap cointegration rank testing: the role of deterministic variables and initial values in the bootstrap recursion. Zbl 1491.62091 Cavaliere, Giuseppe; Taylor, A. M. Robert; Trenkler, Carsten	3	2013
A bootstrap test for additive outliers in non-stationary time series. Zbl 1277.62203 Astill, Sam; Harvey, David I.; Taylor, A. M. Robert	1	2013
Bootstrap determination of the co-integration rank in vector autoregressive models. Zbl 1274.62223 Cavaliere, Giuseppe; Rahbek, Anders; Taylor, A. M. Robert	34	2012
On augmented HEGY tests for seasonal unit roots. Zbl 1369.62212 Del Barrio Castro, Tomás; Osborn, Denise R.; Taylor, A. M. Robert	10	2012
Testing for unit roots in the presence of uncertainty over both the trend and initial condition. Zbl 1443.62229 Harvey, David I.; Leybourne, Stephen J.; Taylor, A. M. Robert	8	2012
Bootstrap union tests for unit roots in the presence of nonstationary volatility. Zbl 1318.62275 Smeekes, Stephan; Taylor, A. M. Robert	7	2012
Unit root testing under a local break in trend. Zbl 1441.62726 Harvey, David I.; Leybourne, Stephen J.; Taylor, A. M. Robert	6	2012
Corrigendum to “Modified tests for a change in persistence”. Zbl 1443.62265 Harvey, David I.; Leybourne, Stephen J.; Taylor, A. M. Robert	1	2012
Testing for unit roots in the presence of a possible break in trend and nonstationary volatility. Zbl 1226.62075 Cavaliere, Giuseppe; Harvey, David I.; Leybourne, Stephen J.; Taylor, A. M. Robert	10	2011
Testing for unit roots and the impact of quadratic trends, with an application to relative primary commodity prices. Zbl 1218.62091 Harvey, David I.; Leybourne, Stephen J.; Taylor, A. M. Robert	1	2011
Testing for co-integration in vector autoregressions with non-stationary volatility. Zbl 1431.62358 Cavaliere, Giuseppe; Rahbek, Anders; Taylor, A. M. Robert	42	2010
Cointegration rank testing under conditional heteroskedasticity. Zbl 1294.62192 Cavaliere, Giuseppe; Rahbek, Anders; Taylor, A. M. Robert	23	2010
Robust methods for detecting multiple level breaks in autocorrelated time series. Zbl 1431.62383 Harvey, David I.; Leybourne, Stephen J.; Taylor, A. M. Robert	5	2010
The impact of the initial condition on robust tests for a linear trend. Zbl 1416.62493 Harvey, David I.; Leybourne, Stephen J.; Taylor, A. M. Robert	2	2010
Unit root testing in practice: dealing with uncertainty over the trend and initial condition. Zbl 1253.62060 Harvey, David I.; Leybourne, Stephen J.; Taylor, A. M. Robert	46	2009
Heteroskedastic time series with a unit root. Zbl 1284.62546 Cavaliere, Giuseppe; Taylor, A. M. Robert	38	2009
Simple, robust, and powerful tests of the breaking trend hypothesis. Zbl 1278.62135 Harvey, David I.; Leybourne, Stephen J.; Taylor, A. M. Robert	28	2009
Testing for a unit root in the presence of a possible break in trend. Zbl 1179.62120 Harris, David; Harvey, David I.; Leybourne, Stephen J.; Taylor, A. M. Robert	22	2009
Bootstrap \(M\) unit root tests. Zbl 1168.62080 Cavaliere, Giuseppe; Taylor, A. M. Robert	18	2009
Regression-based seasonal unit root tests. Zbl 1279.62174 Smith, Richard J.; Taylor, A. M. Robert; del Barrio Castro, Tomas	15	2009
Rejoinder. Zbl 1277.62211 Harvey, David I.; Leybourne, Stephen J.; Taylor, A. M. Robert	1	2009
A note on testing covariance stationarity. Zbl 1482.62087 Cavaliere, Giuseppe; Taylor, A. M. Robert	1	2009
Bootstrap unit root tests for time series with nonstationary volatility. Zbl 1280.62098 Cavaliere, Giuseppe; Taylor, A. M. Robert	50	2008
Time-transformed unit root tests for models with non-stationary volatility. Zbl 1165.62064 Cavaliere, Giuseppe; Taylor, A. M. R.	24	2008
Testing for a change in persistence in the presence of non-stationary volatility. Zbl 1429.62388 Cavaliere, Giuseppe; Taylor, A. M. Robert	17	2008
Testing for unit roots in time series models with non-stationary volatility. Zbl 1247.91131 Cavaliere, Giuseppe; Taylor, A. M. Robert	78	2007
A simple, robust and powerful test of the trend hypothesis. Zbl 1418.62329 Harvey, David I.; Leybourne, Stephen J.; Taylor, A. M. Robert	18	2007
Efficient tests of the seasonal unit root hypothesis. Zbl 1418.62351 Rodrigues, Paulo M. M.; Taylor, A. M. Robert	12	2007
Detecting multiple changes in persistence. Zbl 1268.91149 Leybourne, Stephen; Kim, Tae-Hwan; Taylor, A. M. Robert	9	2007
Modified tests for a change in persistence. Zbl 1418.62328 Harvey, David I.; Leybourne, Stephen J.; Taylor, A. M. Robert	22	2006
Additive outlier detection via extreme-value theory. Zbl 1112.62086 Burridge, Peter; Taylor, A. M. Robert	14	2006
Persistence change tests and shifting stable autoregressions. Zbl 1255.62266 Leybourne, Stephen J.; Taylor, A. M. Robert	7	2006
Testing the null of co-integration in the presence of variance breaks. Zbl 1111.62074 Cavaliere, Giuseppe; Taylor, A. M. Robert	5	2006
On robust trend function hypothesis testing. Zbl 1225.62159 Harvey, David I.; Leybourne, Stephen J.; Taylor, A. M. Robert	1	2006
Stationarity tests under time-varying second moments. Zbl 1083.62084 Cavaliere, Giuseppe; Taylor, A. M. Robert	17	2005
Variance ratio tests of the seasonal unit root hypothesis. Zbl 1337.62227 Taylor, A. M. Robert	11	2005
Stationarity tests for irregularly spaced observations and the effects of sampling frequency on power. Zbl 1083.62075 Busetti, Fabio; Taylor, A. M. Robert	3	2005
On the use of sub-sample unit root tests to detect changes in persistence. Zbl 1091.62089 Taylor, A. M. Robert	1	2005
Tests of stationarity against a change in persistence. Zbl 1328.62507 Busetti, Fabio; Taylor, A. M. Robert	44	2004
On tests for changes in persistence. Zbl 1254.91676 Leybourne, Stephen; Taylor, A. M. Robert	10	2004
Bootstrapping the HEGY seasonal unit root tests. Zbl 1328.62506 Burridge, Peter; Taylor, A. M. Robert	9	2004
Alternative estimators and unit root tests for seasonal autoregressive processes. Zbl 1282.62250 Rodrigues, Paulo M. M.; Taylor, A. M. Robert	7	2004
Asymptotic distributions for regression-based seasonal unit root test statistic in a near-integrated model. Zbl 1081.62068 Rodrigues, Paulo M. M.; Taylor, A. M. Robert	6	2004
Testing against stochastic trend and seasonality in the presence of unattended breaks and unit roots. Zbl 1026.62086 Busetti, Fabio; Taylor, A. M. Robert	9	2003
Locally optimal tests against unit roots in seasonal time series processes. Zbl 1036.62091 Taylor, A. M. Robert	5	2003
Seasonal unit root tests based on forward and reverse estimation. Zbl 1036.62084 Leybourne, Stephen; Taylor, A. M. Robert	1	2003
On the asymptotic properties of some seasonal unit root tests. Zbl 1441.62885 Taylor, A. M. Robert	1	2003
Nonparametric tests for unit roots and cointegration. Zbl 1099.62511 Breitung, Jörg	65	2002
An optimal test against a random walk component in a non-orthogonal unobserved components model. Zbl 1018.62061 Bailey, Ralph W.; Taylor, A. M. Robert	3	2002
On regression-based tests for seasonal unit roots in the presence of periodic heteroscedasticity. Zbl 0978.62074 Burridge, Peter; Taylor, A. M. Robert	12	2001
Recursive and rolling regression-based tests of the seasonal unit root hypothesis. Zbl 0988.62055 Smith, Richard J.; Taylor, A. M. Robert	1	2001
Determining the order of differencing in seasonal time series processes. Zbl 0970.91062 Franses, Philip Hans; Taylor, A. M. Robert	2	2000
Additional critical values and asymptotic representations for seasonal unit root tests. Zbl 1041.62517 Smith, Richard J.; Taylor, A. M. Robert	32	1998
Testing for unit roots in monthly time series. Zbl 0915.62077 Taylor, A. M. Robert	18	1998

all cited Publications top 5 cited Publications

all top 5

Cited by 457 Authors

72	Taylor, A. M. Robert
35	Cavaliere, Giuseppe
35	Leybourne, Stephen J.
26	Harvey, David I.
18	Rahbek, Anders
18	Rodrigues, Paulo M. M.
14	Demetrescu, Matei
13	del Barrio Castro, Tomas
13	Perron, Pierre
10	Georgiev, Iliyan
9	Phillips, Peter Charles Bonest
8	Chen, Zhanshou
8	Iacone, Fabrizio
8	Osborn, Denise R.
8	Tian, Zheng
7	Horváth, Lajos
7	Nielsen, Morten Ørregaard
7	Skrobotov, Anton
7	Smeekes, Stephan
7	Xu, Keli
6	Busetti, Fabio
6	Eroğlu, Burak Alparslan
6	Hanck, Christoph
6	Kejriwal, Mohitosh
6	Kurozumi, Eiji
6	Pang, Tianxiao
6	Westerlund, Joakim
5	Göğebakan, Kemal Çağlar
5	Herwartz, Helmut
5	Kew, Hsein
5	Nielsen, Heino Bohn
5	Politis, Dimitris Nicolas
5	Sibbertsen, Philipp
5	Wu, Jilin
5	Zhang, Rongmao
4	Boswijk, H. Peter
4	Hassler, Uwe
4	Kruse, Robinson
4	Ling, Shiqing
4	Raïssi, Hamdi
4	Tu, Yundong
4	Vogelsang, Timothy J.
4	Walle, Yabibal M.
4	Wang, Shixuan
3	Chambers, Marcus J.
3	Chong, Terence Tai-Leung
3	Ditlevsen, Susanne
3	Giraitis, Liudas
3	Hualde, Javier
3	Hyndman, Rob J.
3	Jin, Hao
3	Kim, Taehwan
3	Lee, Junsoo
3	Marsh, Patrick
3	Martins, Luis-Filipe
3	Miller, J. Isaac
3	Paparoditis, Efstathios
3	Park, Joon Y.
3	Pedersen, Rasmus Søndergaard
3	Phillips, Peter C. B.
3	Rice, Gregory
3	Trenkler, Carsten
3	Wang, Qiying
3	Wang, Shaoping
3	Yu, Jun
3	Zhang, Erhua
3	Zhang, Jinsuo
3	Zhang, Si
3	Zhu, Ke
3	Zu, Yang
2	Ahlgren, Niklas
2	Astill, Sam
2	Aue, Alexander
2	Baragona, Roberto
2	Battaglia, Francesco Paolo
2	Belaire-Franch, Jorge
2	Breitung, Jorg
2	Burridge, Peter
2	Bykhovskaya, Anna
2	Cai, Zongwu
2	Carrion-i-Silvestre, Josep Lluís
2	Chan, Ngai Hang
2	Chan, Wai-Sum
2	Chang, Seong Yeon
2	Cheng, Xu
2	Cornea-Madeira, Adriana
2	Costantini, Mauro
2	Cucina, Domenico
2	De Angelis, Luca
2	El Montasser, Ghassen
2	Esstafa, Youssef
2	Gao, Jiti
2	Gregoir, Stéphane
2	Gutierrez, Luciano
2	Halunga, Andreea G.
2	Han, Sier
2	Hecq, Alain W.
2	Hosseinkouchack, Mehdi
2	Jentsch, Carsten
2	Jiang, Feiyu
...and 357 more Authors

all top 5

Cited in 58 Serials

80	Journal of Econometrics
77	Journal of Time Series Analysis
49	Econometric Theory
37	Econometric Reviews
29	Economics Letters
16	Computational Statistics and Data Analysis
15	Communications in Statistics. Theory and Methods
10	Communications in Statistics. Simulation and Computation
10	The Econometrics Journal
8	Computational Statistics
8	Journal of Statistical Computation and Simulation
8	Statistical Papers
7	Statistics & Probability Letters
7	Studies in Nonlinear Dynamics and Econometrics
7	Journal of Time Series Econometrics
6	Electronic Journal of Statistics
5	The Annals of Statistics
5	Statistica Sinica
5	Journal of Applied Statistics
3	Journal of Multivariate Analysis
3	Statistics
3	Statistical Methods and Applications
3	Journal of the Korean Statistical Society
3	Journal of Business and Economic Statistics
3	Journal of Computational and Graphical Statistics
2	Scandinavian Journal of Statistics
2	Econometrica
2	International Economic Review
2	Journal of the American Statistical Association
2	Journal of Economic Dynamics & Control
2	Journal of Systems Science and Complexity
2	European Journal of Pure and Applied Mathematics
2	AStA. Advances in Statistical Analysis
1	The Canadian Journal of Statistics
1	Journal of Mathematical Biology
1	Metrika
1	International Statistical Review
1	Journal of Statistical Planning and Inference
1	Insurance Mathematics & Economics
1	Acta Mathematicae Applicatae Sinica. English Series
1	Test
1	Applied Mathematics. Series B (English Edition)
1	Open Economies Review
1	Australian & New Zealand Journal of Statistics
1	International Journal of Theoretical and Applied Finance
1	Journal of Interdisciplinary Mathematics
1	Statistical Inference for Stochastic Processes
1	Scandinavian Actuarial Journal
1	Quantitative Finance
1	Journal of Applied Mathematics and Computing
1	SIAM Journal on Applied Dynamical Systems
1	North American Actuarial Journal
1	East Asian Mathematical Journal
1	Bulletin of Economic Research
1	Communications in Mathematical Research
1	Dependence Modeling
1	Journal of Econometric Methods
1	Statistical Theory and Related Fields

all top 5

Cited in 16 Fields

440	Statistics (62-XX)
88	Game theory, economics, finance, and other social and behavioral sciences (91-XX)
37	Numerical analysis (65-XX)
35	Probability theory and stochastic processes (60-XX)
5	General and overarching topics; collections (00-XX)
4	History and biography (01-XX)
3	Real functions (26-XX)
3	Dynamical systems and ergodic theory (37-XX)
3	Geophysics (86-XX)
1	Ordinary differential equations (34-XX)
1	Partial differential equations (35-XX)
1	Harmonic analysis on Euclidean spaces (42-XX)
1	Computer science (68-XX)
1	Operations research, mathematical programming (90-XX)
1	Biology and other natural sciences (92-XX)
1	Systems theory; control (93-XX)

Taylor, A. M. Robert

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Cited by 457 Authors

Cited in 58 Serials

Cited in 16 Fields

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