SIMPLE, ROBUST, AND POWERFUL TESTS OF THE BREAKING TREND HYPOTHESIS

By David I. Harvey, S. Leybourne, Alan M. Taylor. Econometric Theory, 2009

102 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/c35231250b101117cacf1a3fd17443d9d51c86c7

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. M. Wohar
2. David E. Rapach
3. Guofu Zhou
4. Matthew C. Ringgenberg
5. Neil Kellard
6. Jakob B. Madsen
7. David I. Harvey
8. Paresh Kumar Narayan

In Finance

1. David E. Rapach
2. M. Wohar
3. Guofu Zhou
4. Matthew C. Ringgenberg
5. Neil Kellard
6. Jakob B. Madsen
7. David I. Harvey
8. Paresh Kumar Narayan

Citations in the corpus

• The Prebisch-Singer Hypothesis: Four Centuries of Evidence (2010, methodology): “In addition to the new data, this paper also applies new time-series techniques by Harvey et al. (2007, 2009) to assess the trend function and the existence of any possible structural breaks.”
• Structural breaks in time series (2013, unknown): “Harvey et al. (2009, 2010).”
• Short Interest and Aggregate Stock Returns (2016, background): “…Campbell and Thompson (2008), Rapach, Strauss, and Zhou (2010), and Ferreira and Santa-Clara (2011), we consider a mean-variance investor who 25The Harvey, Leybourne, and Taylor (2009) tl statistics are 2.12, 2.16, and 2.26 at the 10%, 5%, and 1% levels, respectively, none of which is significant.”