Robert Taylor

Robert Taylor
University of Essex · Essex Business School (EBS)

BA, MSc, MPhil, PhD, ScD

About

148
Publications
6,712
Reads
How we measure 'reads'
A 'read' is counted each time someone views a publication summary (such as the title, abstract, and list of authors), clicks on a figure, or views or downloads the full-text. Learn more
2,842
Citations
Citations since 2016
32 Research Items
1293 Citations
2016201720182019202020212022050100150200250
2016201720182019202020212022050100150200250
2016201720182019202020212022050100150200250
2016201720182019202020212022050100150200250
Additional affiliations
August 2013 - present
University of Essex
Position
  • Professor of Financial Econometrics

Publications

Publications (148)
Article
We propose new tests for long-horizon predictability based on IVX estimation of a transformed regression which explicitly accounts for the over-lapping nature of the dependent variable in the long-horizon regression arising from temporal aggregation. To improve efficiency, we moreover incorporate the residual augmentation approach recently used in...
Article
The contribution of this paper is threefold. First, we demonstrate that, provided either a suitable bootstrap implementation is employed or heteroskedasticity-consistent standard errors are used, the IVX-based predictability tests of Kostakis et al. (2015) retain asymptotically valid inference under the null hypothesis under considerably weaker ass...
Preprint
Full-text available
Standard methods, such as sequential procedures based on Johansen's (pseudo-)likelihood ratio (PLR) test, for determining the co-integration rank of a vector autoregressive (VAR) system of variables integrated of order one can be significantly affected, even asymptoti-cally, by unconditional heteroskedasticity (non-stationary volatility) in the dat...
Article
Full-text available
We generalize the Homm and Breitung (2012) CUSUM-based procedure for the real-time detection of explosive autoregressive episodes in financial price data to allow for time-varying volatility. Such behavior can heavily inflate the false positive rate (FPR) of the CUSUM-based procedure to spuriously signal the presence of an explosive episode. Our mo...
Article
Full-text available
We introduce a new joint test for the order of fractional integration of a multivariate fractionally integrated vector autoregressive [FIVAR] time series based on applying the Lagrange multiplier principle to a feasible generalised least squares estimate of the FIVAR model obtained under the null hypothesis. A key feature of the test we propose is...
Article
Full-text available
We develop easy-to-implement tests for return predictability which, relative to extant tests in the literature, display attractive finite sample size control and power across a wide range of persistence and endogeneity levels for the predictor. Our approach is based on the standard regression t-ratio and a variant where the predictor is quasi-GLS (...
Article
Full-text available
We propose new real‐time monitoring procedures for the emergence of end‐of‐sample predictive regimes using sequential implementations of standard (heteroskedasticity‐robust) regression t‐statistics for predictability applied over relatively short time periods. The procedures we develop can also be used for detecting historical regimes of temporary...
Article
We consider estimation and inference in fractionally integrated time series models driven by shocks which can display conditional and unconditional heteroscedasticity of unknown form. Although the standard conditional sum-of-squares (CSS) estimator remains consistent and asymptotically normal in such cases, unconditional heteroscedasticity inflates...
Article
Full-text available
This paper focuses on the estimation of the location of level breaks in time series whose shocks display non-stationary volatility (permanent changes in unconditional volatility). We propose a new feasible weighted least squares (WLS) estimator, based on an adaptive estimate of the volatility path of the shocks. We show that this estimator belongs...
Article
Full-text available
Standard tests based on predictive regressions estimated over the full available sample data have tended to find little evidence of predictability in stock returns. Recent approaches based on the analysis of subsamples of the data suggest in fact that predictability where it occurs might exist only within so-called “pockets of predictability” rathe...
Article
A bootstrap methodology suitable for use with stationary and non‐stationary fractionally integrated time series is further developed in this article. The resampling algorithm involves estimating the degree of fractional integration, applying the fractional differencing operator, resampling the resulting approximation to the underlying short memory...
Article
We investigate the implications that temporally aggregating, either by average sampling or systematic (skip) sampling, a seasonal process has on the integration properties of the resulting series at both the zero and seasonal frequencies. Our results extend the existing literature in three ways. First, they demonstrate the implications of temporal...
Article
We develop a test, based on the Lagrange multiplier [LM] testing principle, for the value of the long memory parameter of a univariate time series that is composed of a fractionally integrated shock around a potentially broken deterministic trend. Our proposed test is constructed from data which are de-trended allowing for a trend break whose (unkn...
Article
We propose new methods for the real-time detection of explosive bubbles in financial time series. Most extant methods are constructed for a fixed sample of data and, as such, are only appropriate when applied as one-shot tests. Sequential application of these, declaring the presence of a bubble as soon as one of these statistics exceeds the one-sho...
Article
Full-text available
We consider tests for structural change, based on the SupF and Cramer-von-Mises type statistics of Andrews (1993) and Nyblom (1989), respectively, in the slope and/or intercept parameters of a predictive regression model where the predictors display strong persistence. The SupF type tests are motivated by alternatives where the parameters display a...
Article
In order for predictive regression tests to deliver asymptotically valid inference, account has to be taken of the degree of persistence of the predictors under test. There is also a maintained assumption that any predictability in the variable of interest is purely attributable to the predictors under test. Violation of this assumption by the omis...
Article
We investigate the behaviour of the well-known HEGY (Hylleberg, Engle, Granger and Yoo, 1990, Journal of Econometrics, vol. 44, pp. 215–238) regression-based seasonal unit root tests in cases where the driving shocks can display periodic non-stationary volatility and conditional heteroskedasticity. Our set up allows for periodic heteroskedasticity,...
Article
SPECIAL ISSUE OF ECONOMETRIC THEORY IN HONOR OF PROFESSOR RICHARD J. SMITH: GUEST EDITORS’ INTRODUCTION - Michael Jansson, Robert Taylor
Article
We extend the ${\cal M}$ class of unit root tests introduced by Stock (1999, Cointegration, Causality and Forecasting. A Festschrift in Honour of Clive W.J. Granger . Oxford University Press), Perron and Ng (1996, Review of Economic Studies 63, 435–463) and Ng and Perron (2001, Econometrica 69, 1519–1554) to the seasonal case, thereby developing se...
Article
We evaluate the impact of heavy-tailed innovations on some popular unit root tests. In the context of a near-integrated series driven by linear process shocks, we demonstrate that their limiting distributions are altered under infinite variance vis-à-vis finite variance. Reassuringly, however, simulation results suggest that the impact of heavy-tai...
Article
We consider the problem of conducting estimation and inference on the parameters of univariate heteroskedastic fractionally integrated time series models. We first extend existing results in the literature, developed for conditional sum-of-squares estimators in the context of parametric fractional time series models driven by conditionally homosked...
Article
In this paper we examine the issue of detecting explosive behaviour in economic and financial time series when an explosive episode is both ongoing at the end of the sample, and of finite length. We propose a testing strategy based on the sub-sampling method of Andrews (2003), in which a suitable test statistic is calculated on a finite number of e...
Article
We investigate the asymptotic and finite sample properties of a number of methods for estimating the cointegration rank in integrated vector autoregressive systems of unknown autoregressive order driven by heteroskedastic shocks. We allow for both conditional and unconditional heteroskedasticity of a very general form. We establish the conditions r...
Article
Full-text available
We extend the available asymptotic theory for autoregressive sieve estimators to cover the case of stationary and invertible linear processes driven by independent identically distributed (i.i.d.) infinite variance (IV) innovations. We show that the ordinary least squares sieve estimates, together with estimates of the impulse responses derived fro...
Article
The contribution of this paper is two-fold. First, we derive the asymptotic null distribution of the familiar augmented Dickey-Fuller [ADF] statistics in the case where the shocks follow a linear process driven by infinite variance innovations. We show that these distributions are free of serial correlation nuisance parameters but depend on the tai...
Article
Full-text available
In this paper we consider the problem of testing for the co-integration rank of a vector autoregressive process in the case where a trend break may potentially be present in the data. It is known that un-modelled trend breaks can result in tests which are incorrectly sized under the null hypothesis and inconsistent under the alternative hypothesis....
Article
We consider testing for the presence of a change in mean, at an unknown point in the sample, in data that are possibly fractionally integrated, and of unknown order. This testing problem has recently been considered in a number of papers, most notably Shao (2011, “A Simple Test of Changes in Mean in the Possible Presence of Long-Range Dependence.”...
Article
This paper studies the impact of permanent volatility shifts in the innovation process on the performance of the test for explosive financial bubbles based on recursive right-tailed Dickey-Fuller-type unit root tests proposed by Phillips, Wu and Yu (2011). We show that, in this situation, their supremum-based test has a non-pivotal limit distributi...
Article
In this paper, we analyse the impact of persistent cycles on the well-known semi-parametric unit root tests of Phillips and Perron (1988, Biometrika, Vol. 75, pp. 335–346). It is shown, both analytically and through Monte Carlo simulations, that the presence of complex (near) unit roots can severely bias the size properties of these tests. Given th...
Article
In a recent paper, Cavaliere et al., 2012 develop bootstrap implementations of the popular likelihood-based co-integration rank tests and associated sequential rank determination procedures of Johansen 1996. By using estimates of the parameters of the underlying co-integrated VAR model obtained under the restriction of the null hypothesis, they sho...
Article
Empirical evidence from time series methods which assume the usual I(0)/I(1) paradigm suggests that the efficient market hypothesis, stating that spot and futures prices of a commodity should co-integrate with a unit slope on futures prices, does not hold. However, these statistical methods are known to be unreliable if the data are fractionally in...
Article
Trend breaks appear to be prevalent in macroeconomic time series. Consequently, to avoid the catastrophic impact that unmodelled trend breaks have on power, it is standard empirical practice to employ unit root tests which allow for such effects. A popularly applied approach is the infimum ADF-type test. Its appeal has endured with practitioners de...
Article
In this paper we investigate the behaviour of a number of methods for estimating the co-integration rank in VAR systems characterized by heteroskedastic innovation processes. In particular we compare the efficacy of the most widely used information criteria, such as AIC and BIC, with the commonly used sequential approach of Johansen (1996) based ar...
Article
We develop a test for the presence of nonlinear deterministic components in a univariate time series, approximated using a Fourier series expansion, designed to be asymptotically robust to the order of integration of the process and to any weak dependence present. We show that our proposed test has uniformly greater local asymptotic power than the...
Article
This paper analyzes two key issues for the empirical implementation of parametric seasonal unit root tests, namely generalized least squares (GLS) versus ordinary least squares (OLS) detrending and the selection of the lag augmentation polynomial. Through an extensive Monte Carlo analysis, the performance of a battery of lag selection techniques is...
Article
In this paper we investigate the behaviour of a number of methods for estimating the co-integration rank in VAR systems characterized by heteroskedastic innovation processes. In particular we compare the efficacy of the most widely used information criteria, such as AIC and BIC, with the commonly used sequential approach of Johansen (1996) based ar...
Article
We consider unit root testing allowing for a break in trend when partial information is available regarding the location of the break date. This takes the form of knowledge of a relatively narrow window of data within which the break takes place, should it occur at all. For such circumstances, we suggest employing a union of rejections strategy, wh...
Article
In this paper we develop a testing procedure for the presence of a deterministic linear trend in a univariate time series which is robust to whether the series is I(0) or I(Bunzel & Vogelsang, 2005) and requires no knowledge of the form of weak dependence present in the data. Our approach is motivated by the testing procedures of [Vogelsang, 1998,...
Article
In a recent paper, Harvey et al. (2013) (HLT) propose a new unit root test that allows for the possibility of multiple breaks in trend. Their proposed test is based on the infimum of the sequence (across all candidate break points) of local GLS detrended augmented Dickey–Fuller-type statistics. HLT show that the power of their unit root test is rob...
Article
The annals issue of Journal of Econometrics collected papers presented at a conference held at the University of Nottingham from May 24 25, 2010. The conference, run jointly by the Granger Center for Time Series Econometrics and the Department of Economics at UCSD, was held as a memorial event to celebrate the life, career and legacy of Sir Clive G...
Article
Full-text available
This paper develops univariate seasonal unit root tests based on spectral regression estimators. An advantage of the frequency domain approach is that it enables serial correlation to be treated non-parametrically. We demonstrate that our proposed statistics have pivotal limiting distributions under both the null and near seasonally integrated alte...
Article
In this paper, we propose a test for a break in the level of a fractionally integrated process when the timing of the putative break is not known. This testing problem has received considerable attention in the literature in the case where the time series is weakly autocorrelated. Less attention has been given to the case where the underlying time...
Article
Full-text available
In this paper we investigate the impact of non-stationary cycles on the asymptotic and finite sample properties of standard unit root tests. Results are presented for the augmented Dickey-Fuller normalised bias and t-ratio-based tests (Dickey and Fuller, 1979, and Said and Dickey, 1984), the variance ratio unit root test of Breitung (2002) and the...
Article
Trend breaks appear to be prevalent in macroeconomic time series, and unit root tests therefore need to make allowance for these if they are to avoid the serious effects that unmodelled trend breaks have on power. J. L. Carrion-i-Silvestre et al. [Econom. Theory 25, No. 6, 1754–1792 (2009; Zbl 1284.62522)] propose a pre-test-based approach which de...
Article
Harvey, Leybourne and Taylor [Harvey, D.I., Leybourne, S.J., Taylor, A.M.R. 2009. Simple, robust and powerful tests of the breaking trend hypothesis. Econometric Theory 25, 995–1029] develop a test for the presence of a broken linear trend at an unknown point in the sample whose size is asymptotically robust as to whether the (unknown) order of int...
Article
In this paper we propose a new procedure for detecting additive outliers in a univariate time series based on a bootstrap implementation of the test of P. Perron and G. Rodríguez [ibid. 24, No. 2, 193–220 (2003; Zbl 1112.62099)]. This procedure is used to test the null hypothesis that a time series is uncontaminated by additive outliers against the...
Article
Testing for the presence of a broken linear trend when the nature of the persistence in the data is unknown is not a trivial problem, because the test needs to be both asymptotically correctly sized and consistent, regardless of the order of integration of the data. In a recent paper, Sayginsoy and Vogelsang (2011, Econometric Theory 27, 992—1025)...
Article
In this paper we investigate bootstrap-based methods for bias-correcting the first-stage parameter estimates used in some recently developed bootstrap implementations of the co-integration rank tests of Johansen (1996). In order to do so we adapt the framework of Kilian (1998) which estimates the bias in the original parameter estimates using the a...
Article
It is well established that the shocks driving many key macroeconomic and financial variables display time-varying volatility. In this paper we consider estimation and hypothesis testing on the coefficients of the co-integrating relations and the adjustment coefficients in vector autoregressions driven by both conditional and unconditional heterosk...
Article
Full-text available
It is well known that the standard independent, identically distributed (iid) bootstrap of the mean is inconsistent in a location model with infinite variance (α-stable) innovations. This occurs because the bootstrap distribution of a normalised sum of infinite variance random variables tends to a random distribution. Consistent bootstrap algorithm...
Article
Full-text available
In this paper we extend the large-sample results provided for the augmented Dickey–Fuller test by Said and Dickey (1984, Biometrika 71, 599–607) and Chang and Park (2002, Econometric Reviews 21, 431–447) to the case of the augmented seasonal unit root tests of Hylleberg, Engle, Granger, and Yoo (1990, Journal of Econometrics 44, 215–238), inter ali...
Article
In two recent papers Enders and Lee (2009) and Becker, Enders and Lee (2006) provide Lagrange multiplier and ordinary least squares de‐trended unit root tests, and stationarity tests, respectively, which incorporate a Fourier approximation element in the deterministic component. Such an approach can prove useful in providing robustness against a va...
Article
We provide a joint treatment of two major problems that surround testing for a unit root in practice, namely uncertainty as to whether or not a linear deterministic trend is present in the data, and uncertainty as to whether the initial condition of the process is (asymptotically) negligible or not. In earlier work [Harvey, Leybourne and Taylor, 20...
Article
In a recent paper Cavaliere et al. (20125. Cavaliere , G. , Rahbek , A. , Taylor , A. M. R. ( 2012 ). Bootstrap determination of the co-integration rank in VAR models . Econometrica 80 : 1721 – 1740 . [CrossRef], [Web of Science ®]View all references) develop bootstrap implementations of the (pseudo-) likelihood ratio (PLR) co-integration rank t...
Article
Full-text available
This paper discusses a consistent bootstrap implementation of the likelihood ratio (LR) co-integration rank test and associated sequential rank determination procedure of Johansen (1996). The bootstrap samples are constructed using the restricted parameter estimates of the underlying vector autoregressive (VAR) model that obtain under the reduced r...
Article
Full-text available
Recent approaches to testing for a unit root when uncertainty exists over the presence and timing of a trend break employ break detection methods, so that a with-break unit root test is used only if a break is detected by some auxiliary statistic. While these methods achieve near asymptotic efficiency in both fixed trend break and no trend break en...
Article
A number of recently published papers have focused on the problem of testing for a unit root in the case where the driving shocks may be unconditionally heteroskedastic. These papers have, however, assumed that the lag length in the unit root test regression is a deterministic function of the sample size, rather than data-determined, the latter bei...
Article
Full-text available
We analyze the impact of nonstationary volatility on the break fraction estimator and associated trend break unit root tests of Harris, Harvey, Leybourne, and Taylor (2009) (HHLT). We show that although HHLT’s break fraction estimator retains the same large-sample properties as demonstrated by HHLT for homoskedastic shocks, the limiting null distri...
Article
Full-text available
In this paper we investigate the role of deterministic components and initial values in bootstrap likelihood ratio type tests of co-integration rank. A number of bootstrap procedures have been proposed in the recent literature some of which include estimated deterministic components and non-zero initial values in the boot-strap recursion while othe...
Article
In this paper we propose tests for the null hypothesis that a time series process displays a constant level against the alternative that it displays (possibly) multiple changes in level. Our proposed tests are based on functions of appropriately standardized sequences of the differences between sub-sample mean estimates from the series under invest...
Article
This article examines the behaviour of some recently proposed 'robust' (to the order of integration of the data) tests for the presence of a deterministic linear trend in a univariate times series in situations where the magnitude of the initial condition of the series is non-negligible. We demonstrate that the asymptotic size and/or local power pr...
Article
Determining the co-integrating rank of a system of variables has become a fundamental aspect of applied research in macroeconomics and finance. It is wellknown that standard asymptotic likelihood ratio tests for co-integration rank of Johansen (1996) can be unreliable in small samples with empirical rejection frequencies often very much in excess o...
Article
Determining the co-integrating rank of a system of variables has become a fundamental aspect of applied research in macroeconomics and finance. It is wellknown that standard asymptotic likelihood ratio tests for co-integration rank f Johansen (1996) can be unreliable in small samples with empirical rejectionfrequencies often very much in excess of...
Article
We provide a joint treatment of three major issues that surround testing for a unit root in practice: uncertainty as to whether or not a linear deterministic trend is present in the data, uncertainty as to whether the initial condition of the process is (asymptotically) negligible or not, and the possible presence of nonstationary volatility in the...
Article
Full-text available
In this paper we consider the issue of testing a time series for a unit root in the possible presence of a break in a linear deterministic trend at some unknown point in the series. We propose a break fraction estimator which, in the presence of a break in trend, is consistent for the true break fraction at rate Op(T 1) when there is either a unit...
Article
In this paper we develop a simple procedure which delivers tests for the presence of a broken trend in a univariate time series which do not require knowledge of the form of serial correlation in the data and are robust as to whether the shocks are generated by an I(0) or an I(1) process. Two trend break models are considered: the first holds the l...
Article
We analyse the properties of the conventional Gaussian-based co-integrating rank tests of Johansen (1996) in the case where the vector of series under test is driven by globally stationary, conditionally heteroskedastic (martingale difference) innovations. We first demonstrate that the limiting null distributions of the rank statistics coincide wit...
Article
In this paper we analyse the impact of non-stationary volatility on the recently devel- oped unit root tests which allow for a possible break in trend occurring at an unknown point in the sample, considered in Harris, Harvey, Leybourne and Taylor (2008) [HHLT]. HHLT's analysis hinges on a new break fraction estimator which, when a break in trend oc...
Article
Full-text available
In two recent papers Enders and Lee (2008) and Becker et al. (2006) provide Lagrange multiplier and OLS de-trended unit root tests, and stationarity tests, respectively, which incorporate a Fourier approximation element in the deterministic component. Such an approach can prove useful in providing robustness against a variety of breaks in the deter...