Professor Robert Taylor

Astill, S., Taylor, AMR., Kellard, N. and Korkos, I., (2023). Using Covariates to Improve the Efficacy of Univariate Bubble Detection Methods. Journal of Empirical Finance. 70, 342-366

Harvey, DI., Leybourne, SJ. and Taylor, AMR., (2023). Improved tests for stock return predictability. Econometric Reviews. 42 (9-10), 834-861

Boswijk, HP., Cavaliere, G., De Angelis, L. and Taylor, AMR., (2023). Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models. Econometric Reviews. 42 (9-10), 725-757

Andersen, TG., Taylor, R., Timmermann, A. and Xiu, D., (2023). Predictive modeling of financial data. Journal of Econometrics. 237 (2), 105496-105496

Taylor, R., (2023). Editorial announcement. Journal of Time Series Analysis. 44 (4), 335-335

Taylor, R., (2023). Editorial Announcement: Journal of Time Series Analysis Distinguished Authors 2022. Journal of Time Series Analysis. 44 (1), 3-3

Maasoumi, E. and Taylor, R., (2023). In memory of Michael McAleer: special issue of Econometric Reviews. Econometric Reviews. 42 (9-10), 700-702

Taylor, R., (2023). Editorial Announcement. Journal of Time Series Analysis. 44 (5-6), 439-439

Demetrescu, M., Georgiev, I., Rodrigues, PMM. and Taylor, AMR., (2022). Testing for Episodic Predictability in Stock Returns. Journal of Econometrics. 227 (1), 85-113

Cavaliere, G., Ørregaard Nielsen, M. and Taylor, AMR., (2022). Adaptive Inference in Heteroskedastic Fractional Time Series Models. Journal of Business and Economic Statistics. 40 (1), 50-65

Iacone, F., Ørregaard Nielsen, M. and Taylor, AMR., (2022). Semiparametric Tests for the Order of Integration in the Possible Presence of Level Breaks. Journal of Business and Economic Statistics. 40 (2), 880-896

Demetrescu, M., Rodrigues, PMM. and Taylor, AMR., (2022). Transformed regression-based long-horizon predictability tests. Journal of Econometrics. 237 (2), 105316-105316

Demetrescu, M., Georgiev, I., Rodrigues, PMM. and Taylor, AMR., (2022). Extensions to IVX methods of inference for return predictability. Journal of Econometrics. 237 (2), 105271-105271

Taylor, R., (2022). Editorial Announcement: Professor Michael McAleer. Journal of Time Series Analysis. 43 (1), 3-3

Taylor, R., (2022). Editorial Announcement: Journal of Time Series Analysis Distinguished Authors 2021. Journal of Time Series Analysis. 43 (1), 4-4

Harvey, DI., Leybourne, SJ., Sollis, R. and Taylor, AMR., (2021). Real-Time Detection of Regimes of Predictability in the U.S. Equity Premium. Journal of Applied Econometrics. 36 (1), 45-70

Harvey, DI., Leybourne, SJ. and Taylor, AMR., (2021). Simple tests for stock return predictability with good size and power properties. Journal of Econometrics. 224 (1), 198-214

Balboa, M., Rodrigues, PMM., Rubia, A. and Taylor, AMR., (2021). Multivariate Fractional Integration Tests allowing for Conditional Heteroskedasticity with an Application to Return Volatility and Trading Volume. Journal of Applied Econometrics. 36 (5), 544-565

Kapetanios, G., Papailias, F. and Taylor, AMR., (2021). Corrigendum to “A Generalised Fractional Differencing Bootstrap for Long Memory Processes” Journal of Time Series Analysis 40: 467‐492 (2019) DOI: 10.1111/jtsa.12460. Journal of Time Series Analysis. 42 (4), 492-492

Taylor, R., (2021). Editorial Announcement. Journal of Time Series Analysis. 42 (2), 139-139

Taylor, R., (2021). Editorial announcement: Journal of Time Series Analysis Distinguished Authors 2020. Journal of Time Series Analysis. 42 (1), 3-3

Chambers, MJ. and Taylor, AMR., (2020). Deterministic Parameter Change Models in Continuous and Discrete Time. Journal of Time Series Analysis. 41 (1), 134-145

Harris, D., Kew, H. and Taylor, AMR., (2020). Level Shift Estimation in the Presence of Non-stationary Volatility with an Application to the Unit Root Testing Problem. Journal of Econometrics. 219 (2), 354-388

(2020). Publish your next paper open access in Journal of Time Series Analysis. Journal of Time Series Analysis. 41 (4), 491-491

Cavaliere, G., Skrobotov, A. and Taylor, AMR., (2019). Wild bootstrap seasonal unit root tests for time series with periodic nonstationary volatility. Econometric Reviews. 38 (5), 509-532

Georgiev, I., Harvey, DI., Taylor, AMR. and Leybourne, SJ., (2019). A Bootstrap Stationarity Test for Predictive Regression Invalidity. Journal of Business and Economic Statistics. 37 (3), 528-541

Iacone, F., Leybourne, SJ. and Taylor, AMR., (2019). Testing the Order of Fractional Integration of a Time Series in the Possible Presence of a Trend Break at an Unknown Point. Econometric Theory. 35 (6), 1201-1233

del Barrio Castro, T., Rodrigues, PMM. and Taylor, AMR., (2019). Temporal aggregation of seasonally near-integrated processes. Journal of Time Series Analysis. 40 (6), 872-886

Kapetanios, G., Papailias, F. and Taylor, AMR., (2019). A Generalised Fractional Differencing Bootstrap for Long Memory Processes. Journal of Time Series Analysis. 40 (4), 467-492

Cavaliere, G., De Angelis, L., Rahbek, A. and Taylor, AMR., (2018). Determining the cointegration rank in heteroskedastic VAR models of unknown order. Econometric Theory. 34 (02), 349-382

Cavaliere, G., Georgiev, I. and Taylor, AMR., (2018). Unit root inference for non-stationary linear processes driven by infinite variance innovations. Econometric Theory. 34 (02), 302-348

del Barrio Castro, T., Rodrigues, PMM. and Taylor, AMR., (2018). Semi-parametric seasonal unit root tests. Econometric Theory. 34 (02), 447-476

Taylor, AM., (2018). Editorial, January 2018. Journal of Time Series Analysis. 39 (1), 3-3

Jansson, M. and Taylor, R., (2018). SPECIAL ISSUE OF ECONOMETRIC THEORY IN HONOR OF PROFESSOR RICHARD J. SMITH: GUEST EDITORS’ INTRODUCTION. Econometric Theory. 34 (2), 247-252

Astill, S. and Taylor, AMR., (2018). Robust Tests for Deterministic Seasonality and Seasonal Mean Shifts. The Econometrics Journal. 21 (3), 277-297

Astill, S., Harvey, D., Leybourne, S., Sollis, R. and Taylor, AMR., (2018). Real-Time Monitoring for Explosive Financial Bubbles. Journal of Time Series Analysis. 39 (6), 863-891

Taylor, R., (2018). Editorial, September 2018. Journal of Time Series Analysis. 39 (5), 639-639

Leybourne, S. and Taylor, R., (2018). Special Issue of the Journal of Time Series Analysis In Honour of Professor Paul Newbold: Guest Editors' Introduction. Journal of Time Series Analysis. 39 (6), 814-815

Georgiev, I., Harvey, DI., Leybourne, SJ. and Taylor, AMR., (2018). Testing for parameter instability in predictive regression models. Journal of Econometrics. 204 (1), 101-118

Astill, S., Harvey, DI., Leybourne, SJ. and Taylor, AMR., (2017). Tests for an end-of-sample bubble in financial time series. Econometric Reviews. 36 (6-9), 651-666

Cavaliere, G., Nielsen, MØ. and Taylor, AMR., (2017). Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form. Journal of Econometrics. 198 (1), 165-188

Georgiev, I., Rodrigues, PMM. and Taylor, AMR., (2017). Unit Root Tests and Heavy-Tailed Innovations. Journal of Time Series Analysis. 38 (5), 733-768

Iacone, F., Leybourne, SJ. and Taylor, AMR., (2017). Testing for a Change in Mean under Fractional Integration. Journal of Time Series Econometrics. 9 (1)

Boswijk, P., Hallin, M., Li, D., Politis, DN. and Taylor, AMR., (2017). Editorial: Special issue on time series econometrics. Econometrics and Statistics

Boswijk, P., Hallin, M., Li, D., Politis, DN. and Taylor, R., (2017). Special issue on time series econometrics. Econometrics and Statistics. 4, 1-2

Kellard, N. and Taylor, AMR., (2016). Special issue of the Journal of Empirical Finance Guest Editors' introduction. Journal of Empirical Finance. 38 (Part B), 513-515

Cavaliere, G., Georgiev, I. and Taylor, AMR., (2016). Sieve-based inference for infinite-variance linear processes. Annals of Statistics. 44 (4), 1467-1494

Boswijk, HP., Cavaliere, G., Rahbek, A. and Taylor, AMR., (2016). Inference on co-integration parameters in heteroskedastic vector autoregressions. Journal of Econometrics. 192 (1), 64-85

Harris, D., Leybourne, SJ. and Taylor, AMR., (2016). Tests of the co-integration rank in VAR models in the presence of a possible break in trend at an unknown point. Journal of Econometrics. 192 (2), 451-467

Harvey, DI., Leybourne, SJ., Sollis, R. and Taylor, AMR., (2016). Tests for explosive financial bubbles in the presence of non-stationary volatility. Journal of Empirical Finance. 38 (Pt.B), 548-574

del Barrio Castro, T., Osborn, DR. and Taylor, AMR., (2016). The Performance of Lag Selection and Detrending Methods for HEGY Seasonal Unit Root Tests. Econometric Reviews. 35 (1), 122-168

Boswijk, HP., Francq, C., Hallin, M. and Taylor, R., (2016). Special issue on Time Series Econometrics. Computational Statistics & Data Analysis. 100, 631-632

Boswijk, P., Francq, C., Hallin, M. and Taylor, AMR., (2016). Editorial - Special issue on time series econometrics. Computational Statistics & Data Analysis. 100, 631-632

Astill, S., Harvey, DI., Leybourne, SJ. and Taylor, AMR., (2015). Robust and Powerful Tests for Nonlinear Deterministic Components. Oxford Bulletin of Economics and Statistics. 77 (6), 780-799

Cavaliere, G., Nielsen, MØ. and Taylor, AMR., (2015). Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets. Journal of Econometrics. 187 (2), 557-579

Cavaliere, G., Taylor, AMR. and Trenkler, C., (2015). Bootstrap Co‐integration Rank Testing: The Effect of Bias‐Correcting Parameter Estimates. Oxford Bulletin of Economics and Statistics. 77 (5), 740-759

Cavaliere, G., Harvey, DI., Leybourne, SJ. and Robert Taylor, AM., (2015). Testing for Unit Roots Under Multiple Possible Trend Breaks and Non‐Stationary Volatility Using Bootstrap Minimum Dickey–Fuller Statistics. Journal of Time Series Analysis. 36 (5), 603-629

Del Barrio Castro, T., Rodrigues, PMM. and Taylor, AMR., (2015). On the Behaviour of Phillips–Perron Tests in the Presence of Persistent Cycles. Oxford Bulletin of Economics and Statistics. 77 (4), 495-511

Cavaliere, G., Rahbek, A. and Robert Taylor, AM., (2015). Bootstrap Determination of the Co‐Integration Rank in VAR Models with Unrestricted Deterministic Components. Journal of Time Series Analysis. 36 (3), 272-289

Cavaliere, G., Angelis, LD., Rahbek, A. and Robert Taylor, AM., (2015). A Comparison of Sequential and Information‐based Methods for Determining the Co‐integration Rank in Heteroskedastic VAR Models. Oxford Bulletin of Economics and Statistics. 77 (1), 106-128

Cavaliere, G., Phillips, PCB., Smeekes, S. and Taylor, AMR., (2015). Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility. Econometric Reviews. 34 (4), 512-536

Astill, S., Harvey, DI., Leybourne, SJ. and Taylor, AMR., (2014). Robust tests for a linear trend with an application to equity indices. Journal of Empirical Finance. 29 (C), 168-185

Chambers, MJ., Ercolani, JS. and Taylor, AMR., (2014). Testing for seasonal unit roots by frequency domain regression. Journal of Econometrics. 178 (PART 2), 243-258

Iacone, F., Leybourne, SJ. and Robert Taylor, AM., (2014). A FIXED‐ b TEST FOR A BREAK IN LEVEL AT AN UNKNOWN TIME UNDER FRACTIONAL INTEGRATION. Journal of Time Series Analysis. 35 (1), 40-54

Cavaliere, G., Rahbek, A. and Robert Taylor, AM., (2014). Bootstrap Determination of the Co-Integration Rank in Heteroskedastic VAR Models. Econometric Reviews. 33 (5-6), 606-650

Harvey, DI., Leybourne, SJ. and Robert Taylor, AM., (2014). Unit Root Testing under a Local Break in Trend using Partial Information on the Break Date*. Oxford Bulletin of Economics and Statistics. 76 (1), 93-111

Harvey, DI., Leybourne, SJ. and Taylor, AMR., (2014). On infimum Dickey–Fuller unit root tests allowing for a trend break under the null. Computational Statistics & Data Analysis. 78, 235-242

Cavaliere, G., Phillips, PCB., Smeekes, S. and Taylor, AMR., (2014). Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility. Econometric Reviews, creators-Taylor=3AA_M_Robert=3A=3A

Chambers, MJ., Ercolani, JS. and Taylor, AMR., (2014). Testing for seasonal unit roots by frequency domain regression. Journal of Econometrics. 178 (Pt 2), 243-258

Kontoghiorghes, EJ., Van Dijk, HK., Belsley, DA., Bollerslev, T., Diebold, FX., Dufour, J-M., Engle, R., Harvey, A., Koopman, SJ., Pesaran, H., Phillips, PCB., Smith, RJ., West, M., Yao, Q., Amendola, A., Billio, M., Chen, CWS., Chiarella, C., Colubi, A., Deistler, M., Francq, C., Hallin, M., Jacquier, E., Judd, K., Koop, G., Lütkepohl, H., MacKinnon, JG., Mittnik, S., Omori, Y., Pollock, DSG., Proietti, T., Rombouts, JVK., Scaillet, O., Semmler, W., So, MKP., Steel, M., Taylor, R., Tzavalis, E., Zakoian, J-M., Boswijk, HP., Luati, A. and Maheu, J., (2014). CFEnetwork: The Annals of Computational and Financial Econometrics. Computational Statistics & Data Analysis. 76, 1-3

Astill, S., Harvey, DI. and Taylor, AMR., (2013). A bootstrap test for additive outliers in non-stationary time series. Journal of Time Series Analysis. 34 (4), 454-465

Castro, TDB., Rodrigues, PMM. and Taylor, AMR., (2013). THE IMPACT OF PERSISTENT CYCLES ON ZERO FREQUENCY UNIT ROOT TESTS. Econometric Theory. 29 (6), 1289-1313

Harvey, DI., Leybourne, SJ. and Taylor, AMR., (2013). Testing for unit roots in the possible presence of multiple trend breaks using minimum Dickey–Fuller statistics. Journal of Econometrics. 177 (2), 265-284

Iacone, F., Leybourne, SJ. and Robert Taylor, AM., (2013). Testing for a break in trend when the order of integration is unknown. Journal of Econometrics. 176 (1), 30-45

Iacone, F., Leybourne, SJ. and Taylor, AMR., (2013). ON THE BEHAVIOR OF FIXED-bTREND BREAK TESTS UNDER FRACTIONAL INTEGRATION. Econometric Theory. 29 (2), 393-418

Cavaliere, G., Taylor, AMR. and Trenkler, C., (2013). Bootstrap Cointegration Rank Testing: The Role of Deterministic Variables and Initial Values in the Bootstrap Recursion. Econometric Reviews. 32 (7), 814-847

Cavaliere, G., Georgiev, I. and Robert Taylor, AM., (2013). Wild Bootstrap of the Sample Mean in the Infinite Variance Case. Econometric Reviews. 32 (2), 204-219

Castro, TDB., Rodrigues, PMM. and Taylor, AMR., (2013). The Impact of Persistent Cycles on Zero Frequency Unit Root Tests. Econometric Theory. 29 (06), 1289-1313

Iacone, F., Leybourne, SJ. and Taylor, AMR., (2013). On the Behaviour of fixed-b Trend Break Tests under Fractional Integration. Econometric Theory. 29 (02), 393-418

Taylor, R., (2013). Editorial Announcement. Journal of Time Series Analysis. 34 (6), 605-605

Taylor, R., (2013). Editorial. Journal of Time Series Analysis. 34 (2), 139-140

Castro, TDB., Osborn, DR. and Taylor, AMR., (2012). ON AUGMENTED HEGY TESTS FOR SEASONAL UNIT ROOTS. Econometric Theory. 28 (5), 1121-1143

Harvey, DI., Leybourne, SJ. and Taylor, AMR., (2012). Testing for unit roots in the presence of uncertainty over both the trend and initial condition. Journal of Econometrics. 169 (2), 188-195

Harvey, DI., Leybourne, SJ. and Taylor, AMR., (2012). Unit root testing under a local break in trend. Journal of Econometrics. 167 (1), 140-167

Harvey, DI., Leybourne, SJ. and Taylor, AMR., (2012). Corrigendum to “Modified tests for a change in persistence” [J. Econom. 134 (2006) 441–469]. Journal of Econometrics. 168 (2), 407-407

Smeekes, S. and Taylor, AMR., (2012). BOOTSTRAP UNION TESTS FOR UNIT ROOTS IN THE PRESENCE OF NONSTATIONARY VOLATILITY. Econometric Theory. 28 (2), 422-456

(2012). Bootstrap Determination of the Co-Integration Rank in Vector Autoregressive Models. Econometrica. 80 (4), 1721-1740

Harvey, DI., Leybourne, SJ. and Robert Taylor, AM., (2011). Testing for Unit Roots and the Impact of Quadratic Trends, with an Application to Relative Primary Commodity Prices. Econometric Reviews. 30 (5), 514-547

Cavaliere, G., Harvey, DI., Leybourne, SJ. and Taylor, AMR., (2011). TESTING FOR UNIT ROOTS IN THE PRESENCE OF A POSSIBLE BREAK IN TREND AND NONSTATIONARY VOLATILITY. Econometric Theory. 27 (5), 957-991

Taylor, AMR. and Vogelsang, TJ., (2011). SPECIAL ISSUE OF ECONOMETRIC THEORY ON BOOTSTRAP AND NUMERICAL METHODS IN TIME SERIES: GUEST EDITORS’ INTRODUCTION. Econometric Theory. 27 (5), 929-932

Cavaliere, G., Rahbek, A. and Taylor, AMR., (2010). Testing for co-integration in vector autoregressions with non-stationary volatility. Journal of Econometrics. 158 (1), 7-24

Harvey, DI., Leybourne, SJ. and Taylor, AMR., (2010). Robust methods for detecting multiple level breaks in autocorrelated time series. Journal of Econometrics. 157 (2), 342-358

Cavaliere, G., Rahbek, A. and Taylor, AMR., (2010). COINTEGRATION RANK TESTING UNDER CONDITIONAL HETEROSKEDASTICITY. Econometric Theory. 26 (6), 1719-1760

Chambers, MJ., Phillips, PCB. and Taylor, AMR., (2009). ECONOMETRIC THEORY MEMORIAL TO ALBERT REX BERGSTROM–INTRODUCTION. Econometric Theory. 25 (4), 891-900

Cavaliere, G. and Taylor, AMR., (2009). HETEROSKEDASTIC TIME SERIES WITH A UNIT ROOT. Econometric Theory. 25 (5), 1228-1276

Cavaliere, G. and Robert Taylor, AM., (2009). BootstrapMUnit Root Tests. Econometric Reviews. 28 (5), 393-421

Cavaliere, G. and Taylor, AMR., (2009). A Note on Testing Covariance Stationarity. Econometric Reviews. 28 (4), 364-371

Harris, D., Harvey, DI., Leybourne, SJ. and Taylor, AMR., (2009). TESTING FOR A UNIT ROOT IN THE PRESENCE OF A POSSIBLE BREAK IN TREND. Econometric Theory. 25 (6), 1545-1588

Harvey, DI., Leybourne, SJ. and Taylor, AMR., (2009). UNIT ROOT TESTING IN PRACTICE: DEALING WITH UNCERTAINTY OVER THE TREND AND INITIAL CONDITION. Econometric Theory. 25 (3), 587-636

Leybourne, S. and Taylor, AMR., (2009). SPECIAL ISSUE OF ECONOMETRIC THEORY IN HONOR OF PAUL NEWBOLD: GUEST EDITORS’ INTRODUCTION. Econometric Theory. 25 (6), 1451-1456

Harvey, DI., Leybourne, SJ. and Taylor, AMR., (2009). SIMPLE, ROBUST, AND POWERFUL TESTS OF THE BREAKING TREND HYPOTHESIS. Econometric Theory. 25 (4), 995-1029

Harvey, DI., Leybourne, SJ. and Taylor, AMR., (2009). REJOINDER. Econometric Theory. 25 (3), 658-667

Smith, RJ., Taylor, AMR. and del Barrio Castro, T., (2009). REGRESSION-BASED SEASONAL UNIT ROOT TESTS. Econometric Theory. 25 (2), 527-560

Chambers, MJ., Phillips, PCB. and Taylor, AMR., (2009). Econometric Theory Special Issue, Memorial To Albert Rex Bergstrom - Introduction. Econometric Theory. 25 (04), 891-900

Harvey, DI., Leybourne, SJ. and Taylor, AMR., (2008). Seasonal unit root tests and the role of initial conditions. Econometrics Journal. 11 (3), 409-442

Cavaliere, G. and Taylor, AMR., (2008). Testing for a change in persistence in the presence of non-stationary volatility. Journal of Econometrics. 147 (1), 84-98

Cavaliere, G. and Taylor, AMR., (2008). BOOTSTRAP UNIT ROOT TESTS FOR TIME SERIES WITH NONSTATIONARY VOLATILITY. Econometric Theory. 24 (01), 43-71

Harvey, DI., Leybourne, SJ. and Taylor, AMR., (2008). Erratum to “A simple, robust and powerful test of the trend hypothesis” [Journal of Econometrics 141(2) (2007) 1302–1330]. Journal of Econometrics. 143 (2), 396-397

Cavaliere, G. and Taylor, AMR., (2007). Testing for unit roots in time series models with non-stationary volatility. Journal of Econometrics. 140 (2), 919-947

Harvey, DI., Leybourne, SJ. and Taylor, AMR., (2007). A simple, robust and powerful test of the trend hypothesis. Journal of Econometrics. 141 (2), 1302-1330

Rodrigues, PMM. and Taylor, AMR., (2007). Efficient tests of the seasonal unit root hypothesis. Journal of Econometrics. 141 (2), 548-573

Leybourne, S., Kim, T-H. and Taylor, AMR., (2007). Detecting Multiple Changes in Persistence. Studies in Nonlinear Dynamics & Econometrics. 11 (3)

Leybourne, S., Taylor, R. and Kim, T., (2007). CUSUM of Squares‐Based Tests for a Change in Persistence. Journal of Time Series Analysis. 28 (3), 408-433

Leybourne, SJ., Kim, T. and Robert Taylor, AM., (2006). Regression‐based Tests for a Change in Persistence*. Oxford Bulletin of Economics and Statistics. 68 (5), 595-621

Leybourne, SJ. and Taylor, AMR., (2006). Persistence change tests and shifting stable autoregressions. Economics Letters. 91 (1), 44-49

Harvey, DI., Leybourne, SJ. and Taylor, AMR., (2006). Modified tests for a change in persistence. Journal of Econometrics. 134 (2), 441-469

Cavaliere, G. and Robert Taylor, AM., (2006). Testing for a Change in Persistence in the Presence of a Volatility Shift*. Oxford Bulletin of Economics and Statistics. 68 (s1), 761-781

Cavaliere, G. and Robert Taylor, AM., (2006). Testing the Null of Co‐integration in the Presence of Variance Breaks. Journal of Time Series Analysis. 27 (4), 613-636

Burridge, P. and Robert Taylor, AM., (2006). Additive Outlier Detection Via Extreme‐Value Theory. Journal of Time Series Analysis. 27 (5), 685-701

Harvey, DI., Leybourne, SJ. and Taylor, AMR., (2006). On Robust Trend Function Hypothesis Testing. Studies in Nonlinear Dynamics & Econometrics. 10 (1), 1-27

Taylor, AMR., (2005). Fluctuation Tests for a Change in Persistence*. Oxford Bulletin of Economics and Statistics. 67 (2), 207-230

Taylor, AMR., (2005). Variance ratio tests of the seasonal unit root hypothesis. Journal of Econometrics. 124 (1), 33-54

Robert Taylor, AM., (2005). On the use of Sub‐sample Unit Root Tests to Detect Changes in Persistence. Journal of Time Series Analysis. 26 (5), 759-778

Cavaliere, G. and Taylor, AMR., (2005). STATIONARITY TESTS UNDER TIME-VARYING SECOND MOMENTS. Econometric Theory. 21 (06), 1112-1129

Busetti, F. and Taylor, AMR., (2005). STATIONARITY TESTS FOR IRREGULARLY SPACED OBSERVATIONS AND THE EFFECTS OF SAMPLING FREQUENCY ON POWER. Econometric Theory. 21 (04), 757-794

Taylor, AMR., (2005). On the limiting behaviour of augmented seasonal unit root tests. Economics Bulletin. 3 (1)

Leybourne, S. and Taylor, AMR., (2004). On tests for changes in persistence. Economics Letters. 84 (1), 107-115

Burridge, P. and Robert Taylor, AM., (2004). Bootstrapping the HEGY seasonal unit root tests. Journal of Econometrics. 123 (1), 67-87

Busetti, F. and Taylor, AMR., (2004). Tests of stationarity against a change in persistence. Journal of Econometrics. 123 (1), 33-66

Rodrigues, PMM. and Taylor, AMR., (2004). ON TESTS FOR DOUBLE DIFFERENCING: METHODS OF DEMEANING AND DETRENDING AND THE ROLE OF INITIAL VALUES. Econometric Theory. 20 (01), 95-115

Rodrigues, PMM. and Taylor, AMR., (2004). ASYMPTOTIC DISTRIBUTIONS FOR REGRESSION-BASED SEASONAL UNIT ROOT TEST STATISTICS IN A NEAR-INTEGRATED MODEL. Econometric Theory. 20 (04), 645-670

Rodrigues, PMM. and Taylor, AMR., (2004). Alternative estimators and unit root tests for seasonal autoregressive processes. Journal of Econometrics. 120 (1), 35-73

Robert Taylor, AM., (2003). Robust Stationarity Tests in Seasonal Time Series Processes. Journal of Business & Economic Statistics. 21 (1), 156-163

Busetti, F. and Taylor, AMR., (2003). Variance Shifts, Structural Breaks, and Stationarity Tests. Journal of Business & Economic Statistics. 21 (4), 510-531

Busetti, F. and Taylor, AMR., (2003). Testing against stochastic trend and seasonality in the presence of unattended breaks and unit roots. Journal of Econometrics. 117 (1), 21-53

TAYLOR, AMR., (2003). Locally Optimal Tests Against Unit Roots in Seasonal Time Series Processes. Journal of Time Series Analysis. 24 (5), 591-612

Taylor, AMR., (2003). ON THE ASYMPTOTIC PROPERTIES OF SOME SEASONAL UNIT ROOT TESTS. Econometric Theory. 19 (02), 311-321

Breitung, J. and Taylor, AMR., (2003). Corrigendum to “Nonparametric tests for unit roots and cointegration” [J. Econom. 108 (2002) 343–363]. Journal of Econometrics. 117 (2), 401-404

Taylor, AMR., (2002). Regression-Based Unit Root Tests With Recursive Mean Adjustment for Seasonal and Nonseasonal Time Series. Journal of Business & Economic Statistics. 20 (2), 269-281

Robert Taylor, AM. and van Dijk, D., (2002). Can Tests for Stochastic Unit Roots Provide Useful Portmanteau Tests for Persistence?*. Oxford Bulletin of Economics and Statistics. 64 (4), 381-397

Burridge, P. and Taylor, AMR., (2001). On regression-based tests for seasonal unit roots in the presence of periodic heteroscedasticity. Journal of Econometrics. 104 (1), 91-117

Smith, RJ. and Robert Taylor, AM., (2001). Recursive and rolling regression-based tests of the seasonal unit root hypothesis. Journal of Econometrics. 105 (2), 309-336

Burridge, P. and Taylor, AMR., (2001). On the Properties of Regression-Based Tests for Seasonal Unit Roots in the Presence of Higher-Order Serial Correlation. Journal of Business & Economic Statistics. 19 (3), 374-379

Taylor, AMR. and Smith, RJ., (2001). Tests of the Seasonal Unit-Root Hypothesis Against Heteroscedastic Seasonal Integration. Journal of Business & Economic Statistics. 19 (2), 192-207

Burridge, P. and Taylor, AMR., (2000). On the Power of GLS‐Type Unit Root Tests. Oxford Bulletin of Economics and Statistics. 62 (5), 633-645

Taylor, AMR., (2000). The Finite Sample Effects of Deterministic Variables on Conventional Methods of Lag‐selection in Unit Root Tests. Oxford Bulletin of Economics and Statistics. 62 (2), 293-304

Abadir, KM. and Taylor, AMR., (1999). On the Definitions of (Co‐)integration. Journal of Time Series Analysis. 20 (2), 129-137

Smith, RJ. and Taylor, AMR., (1999). Likelihood Ratio Tests for Seasonal Unit Roots. Journal of Time Series Analysis. 20 (4), 453-476

Taylor, AMR. and Leybourne, SJ., (1999). Detecting Seasonal Unit Roots: an Approach Based on the Sample Autocorrelation Function. The Manchester School. 67 (3), 261-286

Smith, RJ. and Taylor, AMR., (1998). Additional critical values and asymptotic representations for seasonal unit root tests. Journal of Econometrics. 85 (2), 269-288

Taylor, AMR., (1998). Testing for Unit Roots in Monthly Time Series. Journal of Time Series Analysis. 19 (3), 349-368

Taylor, AMR., (1997). On the practical problems of computing seasonal unit root tests. International Journal of Forecasting. 13 (3), 307-318

Taylor, AMR. and Dixon, HD., (1997). Introduction. The Economic Journal. 107 (440), 165-168

Taylor, AMR., (1996). Linear Combinations of Stationary Processes. Econometric Theory. 12 (5), 869-869

Harvey, DI., Leybourne, SJ. and Taylor, AMR., (2023). Improved Tests for Stock Return Predictability

Demetrescu, M., Georgiev, I., Rodrigues, PMM. and Taylor, AMR., (2022). Extensions to IVX Methods of Inference for Return Predictability

Astill, S., Harvey, DI., Leybourne, SJ. and Taylor, AMR., (2022). Bonferroni Type Tests for Return Predictability and the Initial Condition

Demetrescu, M., Rodrigues, PMM. and Taylor, AMR., (2022). Transformed Regression-based Long-Horizon Predictability Tests

Boswijk, HP., Cavaliere, G., De Angelis, L. and Taylor, AMR., (2022). Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models

Balboa, M., Rodrigues, PMM., Rubia, A. and Taylor, AMR., (2021). Multivariate Fractional Integration Tests allowing for Conditional Heteroskedasticity with an Application to Return Volatility and Trading Volume

Iacone, F., Ørregaard Nielsen, M. and Taylor, AMR., (2021). Semiparametric Tests for the Order of Integration in the Possible Presence of Level Breaks

Harvey, DI., Leybourne, SJ. and Taylor, AMR., (2021). Simple Tests for Stock Return Predictability with Good Size and Power Properties

Cavaliere, G., Ørregaard Nielsen, M. and Taylor, AMR., (2020). Adaptive Inference in Heteroskedastic Fractional Time Series Models

Harvey, DI., Leybourne, SJ., Sollis, R. and Taylor, AMR., (2020). Real-Time Detection of Regimes of Predictability in the U.S. Equity Premium

Harris, D., Kew, H. and Taylor, AMR., (2019). Level Shift Estimation in the Presence of Non-stationary Volatility with an Application to the Unit Root Testing Problem

del Barrio Castro, T., Rodrigues, PMM. and Taylor, AMR., (2019). Temporal aggregation of seasonally near-integrated processes

Chambers, MJ. and Taylor, AMR., (2019). Deterministic Parameter Change Models in Continuous and Discrete Time

Kapetanios, G., Papailias, F. and Taylor, AMR., (2019). A Generalised Fractional Differencing Bootstrap for Long Memory Processes

Demetrescu, M., Georgiev, I., Rodrigues, PMM. and Taylor, AMR., (2019). Testing for Episodic Predictability in Stock Returns

Georgiev, I., Harvey, DI., Leybourne, SJ. and Taylor, AMR., (2018). A Bootstrap Stationarity Test for Predictive Regression Invalidity

Georgiev, I., Harvey, DI., Leybourne, SJ. and Taylor, AM., (2018). Testing for Parameter Instability in Predictive Regression Models

Astill, S. and Taylor, AMR., (2018). Robust Tests for Deterministic Seasonality and Seasonal Mean Shifts

Chambers, MJ. and Taylor, AMR., (2018). Time-Varying Parameters in Continuous and Discrete Time

Harvey, DI., Leybourne, SJ., Sollis, R. and Taylor, AMR., (2018). Detecting Regimes of Predictability in the U.S. Equity Premium

Iacone, F., Leybourne, SJ. and Taylor, AMR., (2017). Testing the Order of Fractional Integration of a Time Series in the Possible Presence of a Trend Break at an Unknown Point

Georgiev, I., Rodrigues, PMM. and Taylor, AMR., (2017). Unit Root Tests and Heavy-Tailed Innovations

Cavaliere, G., De Angelis, L., Rahbek, A. and Taylor, AMR., (2016). Determining the Cointegration Rank in Heteroskedastic VAR Models of Unknown Order

Harris, D., Leybourne, SJ. and Taylor, AMR., (2016). Tests of the Co-integration Rank in VAR Models in the Presence of a Possible Break in Trend at an Unknown Point

Del Barrio Castro, T., Rodrigues, PMM. and Taylor, AMR., (2015). Semi-Parametric Seasonal Unit Root Tests