Stephen J. Leybourne

University of Nottingham

Professor

University Park

School of Economics

Nottingham NG7 2RD

United Kingdom

SCHOLARLY PAPERS

26

DOWNLOADS

872

SSRN CITATIONS
Rank 8,176

SSRN RANKINGS

Top 8,176

in Total Papers Citations

20

CROSSREF CITATIONS

138

Scholarly Papers (26)

1.

Testing for Long Memory

Number of pages: 30 Posted: 10 Oct 2006
David Harris, Brendan P.M. McCabe and Stephen J. Leybourne
University of Melbourne - Department of Economics, University of Liverpool - Management School (ULMS) and University of Nottingham
Downloads 229 (195,338)
Citation 2

Abstract:

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Short memory, long memory, fractional processes, asymptotic normality

Examination of Some More Powerful Modifications of the Dickey-Fuller Test

University of Nottingham Economics Discussion Paper No. 03/09
Number of pages: 31 Posted: 31 Aug 2003
Stephen J. Leybourne, Tae-Hwan Kim and Paul Newbold
University of Nottingham, University of Nottingham - School of Economics and University of Nottingham - School of Economics
Downloads 138 (303,135)
Citation 3

Abstract:

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Dickey-Fuller test, MAX test, weighted symmetric estimation, GLS detrending, power comparison

Examination of Some More Powerful Modifications of the Dickey-Fuller Test

Number of pages: 15 Posted: 18 Apr 2005
Stephen J. Leybourne, Tae-Hwan Kim and Paul Newbold
University of Nottingham, University of Nottingham - School of Economics and University of Nottingham - School of Economics
Downloads 17 (791,038)
Citation 1

Abstract:

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3.

A Residual-Based Test for Stochastic Cointegration

Number of pages: 22 Posted: 14 Jun 2006
Brendan P.M. McCabe, Stephen J. Leybourne and David Harris
University of Liverpool - Management School (ULMS), University of Nottingham and University of Melbourne - Department of Economics
Downloads 135 (307,291)

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4.

Modified KPSS Tests for Near Integration

Number of pages: 7 Posted: 10 Oct 2006
David Harris, Stephen J. Leybourne and Brendan P.M. McCabe
University of Melbourne - Department of Economics, University of Nottingham and University of Liverpool - Management School (ULMS)
Downloads 92 (400,490)
Citation 1

Abstract:

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Unit root test, stationarity test, near integration

5.

Testing for Unit Roots in the Presence of a Possible Break in Trend and Non-Stationary Volatility

CREATES Research Paper No. 2008-62
Number of pages: 44 Posted: 02 Dec 2008
University of Bologna - Department of Economics, University of Nottingham - School of Economics, University of Nottingham and University of Nottingham - School of Economics
Downloads 54 (532,393)
Citation 5

Abstract:

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Unit root tests, quasi difference de-trending, trend break, non-stationary volatility, wild bootstrap

6.

Regression-Based Tests for a Change in Persistence

Oxford Bulletin of Economics and Statistics, Vol. 68, No. 5, pp. 595-621, October 2006
Number of pages: 27 Posted: 17 Sep 2006
Stephen J. Leybourne, Tae-Hwan Kim and A. M. Robert Taylor
University of Nottingham, University of Nottingham - School of Economics and University of Nottingham - School of Economics
Downloads 27 (683,190)
Citation 1

Abstract:

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7.

Power of a Unit-Root Test and the Initial Condition

Journal of Time Series Analysis, Vol. 27, No. 5, pp. 739-752, September 2006
Number of pages: 14 Posted: 22 Mar 2007
David I. Harvey and Stephen J. Leybourne
University of Nottingham - School of Economics and University of Nottingham
Downloads 25 (698,278)
Citation 5

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8.

Tests for a Break in Level When the Order of Integration is Unknown

Number of pages: 14 Posted: 01 Apr 2004
David I. Harvey, Stephen J. Leybourne and Paul Newbold
University of Nottingham - School of Economics, University of Nottingham and University of Nottingham - School of Economics
Downloads 25 (698,278)

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9.

Asymptotic Mean-Squared Forecast Error When an Autoregression with Linear Trend is Fitted to Data Generated by an I(0) or I(1) Process

Number of pages: 20 Posted: 23 Jul 2004
Tae-Hwan Kim, Stephen J. Leybourne and Paul Newbold
University of Nottingham - School of Economics, University of Nottingham and University of Nottingham - School of Economics
Downloads 21 (730,077)

Abstract:

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Asymptotic mean-squared forecast error, trend stationary processes, difference stationary processes

10.

CUSUM of Squares-Based Tests for a Change in Persistence

Journal of Time Series Analysis, Vol. 28, No. 3, pp. 408-433, May 2007
Number of pages: 26 Posted: 02 May 2007
Stephen J. Leybourne, A. M. Robert Taylor and Tae-Hwan Kim
University of Nottingham, University of Nottingham - School of Economics and University of Nottingham - School of Economics
Downloads 20 (738,393)

Abstract:

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11.

Real Exchange Rate Dynamics Under the Current Float: A Re-Examination

Number of pages: 16 Posted: 20 Sep 2003
Michael Bleaney and Stephen J. Leybourne
University of Nottingham - School of Economics and University of Nottingham
Downloads 18 (755,647)

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12.

A Direct Test for Cointegration between a Pair of Time Series

Number of pages: 19 Posted: 25 Apr 2002
Stephen J. Leybourne, Paul Newbold, Dimitrios Vougas and Tae-Hwan Kim
University of Nottingham, University of Nottingham - School of Economics, Swansea University - Department of Economics and University of Nottingham - School of Economics
Downloads 17 (764,516)

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13.

Behaviour of Dickey-Fuller Unit-Root Tests Under Trend Misspecification

Number of pages: 10 Posted: 07 Sep 2004
Tae-Hwan Kim, Stephen J. Leybourne and Paul Newbold
University of Nottingham - School of Economics, University of Nottingham and University of Nottingham - School of Economics
Downloads 14 (792,359)

Abstract:

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14.

Seasonal Unit Root Tests Based on Forward and Reverse Estimation

Number of pages: 20 Posted: 06 Oct 2003
Stephen J. Leybourne and A. M. Robert Taylor
University of Nottingham and University of Birmingham - Department of Economics
Downloads 14 (792,359)

Abstract:

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15.

Real‐Time Monitoring for Explosive Financial Bubbles

Journal of Time Series Analysis, Vol. 39, Issue 6, pp. 863-891, 2018
Number of pages: 29 Posted: 07 Oct 2018
University of Essex, University of Nottingham - School of Economics, University of Nottingham, University of Newcastle and University of Essex
Downloads 10 (832,487)

Abstract:

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Rational bubble, explosive autoregression, real‐time monitoring procedure, subsampling

16.

A Fixed‐ B Test for a Break in Level at an Unknown Time Under Fractional Integration

Journal of Time Series Analysis, Vol. 35, Issue 1, pp. 40-54, 2014
Number of pages: 15 Posted: 17 Dec 2013
Fabrizio Iacone, Stephen J. Leybourne, Robert Taylor and Robert Taylor
University of York - Department of Economics and Related Studies, University of Nottingham and University of EssexUniversity of Essex - Essex Business School
Downloads 5 (887,267)

Abstract:

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spurious long memory, Wald statistic, fractional integration, fixed‐b asymptotics, JEL. C22

17.

Unit Root Testing Under a Local Break in Trend Using Partial Information on the Break Date

Oxford Bulletin of Economics and Statistics, Vol. 76, Issue 1, pp. 93-111, 2014
Number of pages: 19 Posted: 10 Jan 2014
David I. Harvey, Stephen J. Leybourne and A. M. Robert Taylor
University of Nottingham - School of Economics, University of Nottingham and University of Nottingham - School of Economics
Downloads 4 (899,216)
Citation 1

Abstract:

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18.

The Impact of the Initial Condition on Robust Tests for a Linear Trend

Journal of Time Series Analysis, Vol. 31, Issue 4, pp. 292-302, July 2010
Number of pages: 11 Posted: 14 Jun 2010
David I. Harvey, Stephen J. Leybourne, Robert Taylor and Robert Taylor
University of Nottingham - School of Economics, University of Nottingham and University of EssexUniversity of Essex - Essex Business School
Downloads 3 (912,079)

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19.

Testing for Nonlinear Deterministic Components When the Order of Integration is Unknown

Journal of Time Series Analysis, Vol. 31, Issue 5, pp. 379-391, September 2010
Number of pages: 13 Posted: 18 Aug 2010
David I. Harvey, Stephen J. Leybourne and Lisa Xiao
University of Nottingham - School of Economics, University of Nottingham and affiliation not provided to SSRN
Downloads 2 (925,338)

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20.

Testing for Unit Roots Under Multiple Possible Trend Breaks and Non‐Stationary Volatility Using Bootstrap Minimum Dickey–Fuller Statistics

Journal of Time Series Analysis, Vol. 36, Issue 5, pp. 603-629, 2015
Number of pages: 27 Posted: 28 Jul 2015
University of Bologna - Department of Economics, University of Nottingham - School of Economics, University of Nottingham and University of Essex
Downloads 1 (938,947)
Citation 1

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Infimum unit root test, multiple trend breaks, non‐stationary volatility, wild bootstrap

21.

Break Date Estimation for Models with Deterministic Structural Change

Oxford Bulletin of Economics and Statistics, Vol. 76, Issue 5, pp. 623-642, 2014
Number of pages: 20 Posted: 27 Aug 2014
David I. Harvey and Stephen J. Leybourne
University of Nottingham - School of Economics and University of Nottingham
Downloads 1 (938,947)
Citation 1

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22.

Robust and Powerful Tests for Nonlinear Deterministic Components

Oxford Bulletin of Economics and Statistics, Vol. 77, Issue 6, pp. 780-799, 2015
Number of pages: 20 Posted: 27 Oct 2015
University of Nottingham, University of Nottingham - School of Economics, University of Nottingham and University of EssexUniversity of Essex - Essex Business School
Downloads 0 (952,674)

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23.

Panel Stationarity Tests for Purchasing Power Parity with Cross-Sectional Dependence

Journal of Business and Economic Statistics, Vol. 23, 2005
Posted: 14 Jun 2006
David Harris, Stephen J. Leybourne and Brendan P.M. McCabe
University of Melbourne - Department of Economics, University of Nottingham and University of Liverpool - Management School (ULMS)

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24.

Analysis of a Panel of UK Macroeconomic Forecasts

Posted: 07 Sep 2001
David I. Harvey, Stephen J. Leybourne and Paul Newbold
University of Nottingham - School of Economics, University of Nottingham and University of Nottingham - School of Economics

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Consensus forecasts, Forecast properties, Forecast revisions, Forecast efficiency, Survey data

25.

Smooth Transitions and GDP Growth in the European Union

Posted: 15 Mar 2001
David Greenaway, Stephen J. Leybourne and David Sapsford
University of Nottingham - School of Economics, University of Nottingham and University of Liverpool Management School (ULMS) - Economics Division

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26.

Spurious Rejections by Perron Tests in the Presence of a Break

Posted: 18 Oct 2000
Tae-Hwan Kim, Stephen J. Leybourne and Paul Newbold
University of Nottingham - School of Economics, University of Nottingham and University of Nottingham - School of Economics

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