A. M. Robert Taylor

University of Nottingham - School of Economics

University Park

Nottingham, NG7 2RD

United Kingdom

SCHOLARLY PAPERS

5

DOWNLOADS

466

SSRN CITATIONS
Rank 21,126

SSRN RANKINGS

Top 21,126

in Total Papers Citations

26

CROSSREF CITATIONS

35

Scholarly Papers (5)

1.

Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility

Cowles Foundation Discussion Paper No. 1844
Number of pages: 36 Posted: 09 Jan 2012
University of Bologna - Department of Economics, University of Auckland Business School, affiliation not provided to SSRN and University of Nottingham - School of Economics
Downloads 119 (431,274)
Citation 3

Abstract:

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Unit root test, Lag selection, Information criteria, Wild bootstrap, Nonstationary volatility

Bootstrap Sequential Determination of the Co-Integration Rank in VAR Models

Univ. of Copenhagen Dept. of Economics Discussion Paper No. 10-07
Number of pages: 24 Posted: 12 Feb 2010
Giuseppe Cavaliere, Anders Rahbek and A. M. Robert Taylor
University of Bologna - Department of Economics, University of Copenhagen - Department of Statistics and Operations Research and University of Nottingham - School of Economics
Downloads 69 (620,464)
Citation 1

Abstract:

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co-integration, trace test, sequential rank determination, i.i.d. bootstrap, wild bootstrap

Bootstrap Sequential Determination of the Co-Integration Rank in VAR Models

CREATES Research Paper No. 2010-7
Number of pages: 25 Posted: 11 Feb 2010
Giuseppe Cavaliere, Anders Rahbek and A. M. Robert Taylor
University of Bologna - Department of Economics, University of Copenhagen - Department of Statistics and Operations Research and University of Nottingham - School of Economics
Downloads 47 (749,976)
Citation 1

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Co-integration, trace test, sequential rank determination, i.i.d.bootstrap, wild bootstrap

3.

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 82 (554,268)
Citation 5

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

4.

Bootstrap Determination of the Co-Integration Rank in Heteroskedastic VAR Models

Univ. of Copenhagen Dept. of Economics Discussion Paper No. 12-11
Number of pages: 37 Posted: 05 Sep 2012
Giuseppe Cavaliere, Anders Rahbek and A. M. Robert Taylor
University of Bologna - Department of Economics, University of Copenhagen - Department of Statistics and Operations Research and University of Nottingham - School of Economics
Downloads 75 (583,794)
Citation 14

Abstract:

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Bootstrap, Co-integration, Trace statistic, Rank determination, heteroskedasticity

5.

Co-Integration Rank Testing under Conditional Heteroskedasticity

CREATES Research Paper No. 2009-22
Number of pages: 48 Posted: 28 May 2009
Giuseppe Cavaliere, Anders Rahbek and A. M. Robert Taylor
University of Bologna - Department of Economics, University of Copenhagen - Department of Statistics and Operations Research and University of Nottingham - School of Economics
Downloads 74 (588,180)
Citation 9

Abstract:

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Co-integration, trace and maximum eigenvalue rank tests, conditional heteroskedasticity, i.i.d. bootstrap, wild bootstrap