Robert Taylor

University of Essex - Essex Business School

Wivenhoe Park

Colchester, CO4 3SQ

United Kingdom

University of Essex

SCHOLARLY PAPERS

12

DOWNLOADS

170

SSRN CITATIONS
Rank 14,034

SSRN RANKINGS

Top 14,034

in Total Papers Citations

31

CROSSREF CITATIONS

50

Scholarly Papers (12)

1.

Testing for Co-Integration in Vector Autoregressions with Non-Stationary Volatility

CREATES Research Paper No. 2008-50, Univ. of Copenhagen Dept. of Economics Discussion Paper No. 08-34
Number of pages: 39 Posted: 03 Oct 2008
Giuseppe Cavaliere, Anders Rahbek and Robert Taylor
University of Bologna - Department of Economics, University of Copenhagen - Department of Statistics and Operations Research and University of Essex - Essex Business SchoolUniversity of Essex
Downloads 108 (295,938)
Citation 22

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Co-integration, non-stationary volatility, trace and maximum eigenvalue tests, wild bootstrap

Inference on Co-Integration Parameters in Heteroskedastic Vector Autoregressions

Tinbergen Institute 13-187/III
Number of pages: 53 Posted: 27 Nov 2013
Amsterdam School of Economics, University of Bologna - Department of Economics, University of Copenhagen - Department of Statistics and Operations Research and University of Essex - Essex Business SchoolUniversity of Essex
Downloads 34 (537,777)

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co-integration, adjustment coefficients, (un)conditional heteroskedasticity, heteroskedasticity-robust inference, wild bootstrap

Inference on Co-Integration Parameters in Heteroskedastic Vector Autoregressions

Univ. of Copenhagen Dept. of Economics Discussion Paper No. 13-13
Number of pages: 52 Posted: 28 Nov 2013
Amsterdam School of Economics, University of Bologna - Department of Economics, University of Copenhagen - Department of Statistics and Operations Research and University of Essex - Essex Business SchoolUniversity of Essex
Downloads 18 (643,727)
Citation 4

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Co-integration, adjustment coefficients, (un)conditional heteroskedasticity, heteroskedasticity-robust inference, wild bootstrap

3.

Time-Transformed Unit Root Tests for Models with Non-Stationary Volatility

Journal of Time Series Analysis, Vol. 29, Issue 2, pp. 300-330, March 2008
Number of pages: 31 Posted: 29 Feb 2008
Giuseppe Cavaliere and Robert Taylor
University of Bologna - Department of Economics and University of Essex - Essex Business SchoolUniversity of Essex
Downloads 8 (694,081)
Citation 3
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4.

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
University of Nottingham - School of Economics, University of Nottingham and University of Essex - Essex Business SchoolUniversity of Essex
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5.

Temporal Aggregation of Seasonally Near‐Integrated Processes

Journal of Time Series Analysis, Vol. 40, Issue 6, pp. 872-886, 2019
Number of pages: 15 Posted: 29 May 2020
Tomás del Barrio Castro and Robert Taylor
affiliation not provided to SSRN and University of Essex - Essex Business SchoolUniversity of Essex
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Aggregation, systematic sampling, average sampling, seasonal (near‐) unit roots, demodulation

6.

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 Essex - Essex Business SchoolUniversity of Essex
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7.

Bootstrap Co‐Integration Rank Testing: The Effect of Bias‐Correcting Parameter Estimates

Oxford Bulletin of Economics and Statistics, Vol. 77, Issue 5, pp. 740-759, 2015
Number of pages: 20 Posted: 08 Sep 2015
University of Bologna - Department of Economics, University of Essex - Essex Business SchoolUniversity of Essex and University of Mannheim - Department of Economics
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8.

On the Behaviour of Phillips–Perron Tests in the Presence of Persistent Cycles

Oxford Bulletin of Economics and Statistics, Vol. 77, Issue 4, pp. 495-511, 2015
Number of pages: 17 Posted: 06 Jul 2015
University of Barcelona - Department of Econometrics, Banco de Portugal and University of Essex - Essex Business SchoolUniversity of Essex
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9.

Bootstrap Determination of the Co‐Integration Rank in VAR Models with Unrestricted Deterministic Components

Recent developments in bootstrap methods for dependent data, Vol. 36, Issue 3, pp. 272-289, 2015
Number of pages: 18 Posted: 24 Apr 2015
Giuseppe Cavaliere, Anders Rahbek and Robert Taylor
University of Bologna - Department of Economics, University of Copenhagen - Department of Statistics and Operations Research and University of Essex - Essex Business SchoolUniversity of Essex
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Bootstrap, co‐integration, trace statistic, rank determination, unrestricted constant, unrestricted trend

10.

A Comparison of Sequential and Information‐Based Methods for Determining the Co‐Integration Rank in Heteroskedastic VAR Models

Oxford Bulletin of Economics and Statistics, Vol. 77, Issue 1, pp. 106-128, 2015
Number of pages: 23 Posted: 07 Jan 2015
University of Bologna - Department of Economics, University of Bologna - Department of Economics, University of Copenhagen - Department of Statistics and Operations Research and University of Essex - Essex Business SchoolUniversity of Essex
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11.

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
University of York - Department of Economics and Related Studies, University of Nottingham and University of Essex - Essex Business SchoolUniversity of Essex
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spurious long memory, Wald statistic, fractional integration, fixed‐b asymptotics, JEL. C22

12.

The Flexible Fourier Form and Local Generalised Least Squares De‐Trended Unit Root Tests

Oxford Bulletin of Economics and Statistics, Vol. 74, Issue 5, pp. 736-759, 2012
Number of pages: 24 Posted: 12 Sep 2012
Paulo M.M. Rodrigues and Robert Taylor
Banco de Portugal and University of Essex - Essex Business SchoolUniversity of Essex
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Citation 2
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