David Harris

University of Melbourne - Department of Economics

Melbourne, 3010

Australia

SCHOLARLY PAPERS

9

DOWNLOADS

656

SSRN CITATIONS

7

CROSSREF CITATIONS

1

Scholarly Papers (9)

1.

Testing for Long Memory

Number of pages: 30 Posted: 10 Oct 2006
University of Melbourne - Department of Economics, University of Liverpool - Management School (ULMS) and University of Nottingham
Downloads 224 (170,069)
Citation 2

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Short memory, long memory, fractional processes, asymptotic normality

2.

A Residual-Based Test for Stochastic Cointegration

Number of pages: 22 Posted: 14 Jun 2006
University of Liverpool - Management School (ULMS), University of Nottingham and University of Melbourne - Department of Economics
Downloads 126 (277,656)

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3.

Semiparametric Single-Index Predictive Regression

Number of pages: 60 Posted: 04 Aug 2018 Last Revised: 04 Sep 2019
Weilun Zhou, Jiti Gao, David Harris and Hsein Kew
Econometrics and Business Statistics, Monash University - Department of Econometrics & Business Statistics, University of Melbourne - Department of Economics and Monash University - Department of Econometrics & Business Statistics
Downloads 94 (339,513)

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Predictive Regression; Single-Index Model; Hermite Orthogonal Estimation; Dual Super-Consistency Rates; Co-Moving Predictors

4.

Modified KPSS Tests for Near Integration

Number of pages: 7 Posted: 10 Oct 2006
University of Melbourne - Department of Economics, University of Nottingham and University of Liverpool - Management School (ULMS)
Downloads 89 (351,365)
Citation 1

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Unit root test, stationarity test, near integration

5.

Heteroskedasticity Robust Testing for a Fractional Unit Root

Number of pages: 39 Posted: 30 Jul 2008 Last Revised: 27 Nov 2008
Hsein Kew and David Harris
Monash University - Department of Econometrics & Business Statistics and University of Melbourne - Department of Economics
Downloads 82 (369,303)
Citation 4

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6.

Portmanteau Autocorrelation Tests under q-Dependence and Heteroskedasticity

Number of pages: 44 Posted: 06 Jul 2013 Last Revised: 06 Nov 2013
David Harris and Hsein Kew
University of Melbourne - Department of Economics and Monash University - Department of Econometrics & Business Statistics
Downloads 41 (514,293)
Citation 1

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Box-Pierce tests, heteroskedasticity, q-dependence

7.

Semi-Parametric Single-Index Predictive Regression Models with Cointegrated Regressors

Posted: 07 Nov 2020
Weilun Zhou, Jiti Gao, David Harris and Hsein Kew
Econometrics and Business Statistics, Monash University - Department of Econometrics & Business Statistics, University of Melbourne - Department of Economics and Monash University - Department of Econometrics & Business Statistics

Abstract:

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Predictive Regressions; Nonlinearities; Single-Index Models; Hermite Orthogonal Series; Co-Integrated Predictors; Stock Return Predictability

8.

Portmanteau Autocorrelation Tests Under Q‐Dependence and Heteroskedasticity

Journal of Time Series Analysis, Vol. 35, Issue 3, pp. 203-217, 2014
Number of pages: 15 Posted: 16 Apr 2014
David Harris and Hsein Kew
University of Melbourne - Department of Economics and Monash University - Department of Econometrics & Business Statistics
Downloads 0 (804,587)
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Autocorrelation

9.

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

Journal of Business and Economic Statistics, Vol. 23, 2005
Posted: 14 Jun 2006
University of Melbourne - Department of Economics, University of Nottingham and University of Liverpool - Management School (ULMS)

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