A. M. Robert Taylor

University of Nottingham - School of Economics

University Park

Nottingham, NG7 2RD

United Kingdom

SCHOLARLY PAPERS

11

DOWNLOADS

401

SSRN CITATIONS
Rank 17,517

SSRN RANKINGS

Top 17,517

in Total Papers Citations

26

CROSSREF CITATIONS

35

Scholarly Papers (11)

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 96 (371,790)
Citation 3

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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 48 (543,127)
Citation 1

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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 32 (632,478)
Citation 1

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

3.

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 50 (524,283)
Citation 9

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Co-integration, trace and maximum eigenvalue rank tests, conditional heteroskedasticity, i.i.d. bootstrap, 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 48 (533,262)
Citation 14

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

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 48 (533,262)
Citation 5

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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 (649,215)
Citation 1

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7.

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 18 (717,484)

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8.

Additive Outlier Detection Via Extreme-Value Theory

Journal of Time Series Analysis, Vol. 27, No. 5, pp. 685-701, September 2006
Number of pages: 17 Posted: 22 Mar 2007
Peter Burridge and A. M. Robert Taylor
City University London - Department of Economics and University of Nottingham - School of Economics
Downloads 18 (717,484)
Citation 1

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9.

Testing for a Change in Persistence in the Presence of a Volatility Shift

Oxford Bulletin of Economics and Statistics, Vol. 68, No. S1, pp. 761-781, December 2006
Number of pages: 21 Posted: 24 Nov 2006
Giuseppe Cavaliere and A. M. Robert Taylor
University of Bologna - Department of Economics and University of Nottingham - School of Economics
Downloads 15 (742,922)
Citation 1

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10.

A Bootstrap Test for Additive Outliers in Non‐Stationary Time Series

Journal of Time Series Analysis, Vol. 34, Issue 4, pp. 454-465, 2013
Number of pages: 12 Posted: 19 Jun 2013
Sam Astill, David I. Harvey and A. M. Robert Taylor
University of Nottingham, University of Nottingham - School of Economics and University of Nottingham - School of Economics
Downloads 1 (890,016)

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Additive outliers, t‐test, bootstrap

11.

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 0 (906,676)
Citation 1

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