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Robert Taylor

Professor of Econometrics, Faculty of Social Sciences

Personal Details
Publications

Contact

workRoom C5 Sir Clive Granger Building
University Park
Nottingham
NG7 2RD
UK
work0115 84 68385
fax0115 95 14159
robert.taylor@nottingham.ac.uk

Biography

Robert joined the School of Economics in January 2006 having previously been Professor of Econometrics at the University of Birmingham. His research interests are in the area of time-series econometrics with particular focus on: the use of bootstrap methods with non-stationary time series, co-integration methods, (seasonal) unit root tests, stationarity tests, stochastic volatility, persistence change testing and structural breaks. He has published a number of articles in refereed journals including Econometrica, Journal of Econometrics, Econometric Theory, Journal of Time Series Analysis and Journal of Business and Economic Statistics. He is a fellow of the Journal of Econometrics. He is Director of the Granger Centre for Time Series Econometrics, located within the School of Economics. He is a Co-Editor of Econometric Theory, Assistant, Associate and Book Reviews Editor of the Royal Economic Society's Econometrics Journal, and an Associate Editor of the Journal of Time Series Analysis, Econometric Reviews, and Studies in Non-Linear Dynamics and Econometrics.

Professor Taylor's complete cv can be downloaded here in pdf format.

Selected Publications

CAVALIERE, G., RAHBEK, A. and TAYLOR, A.M.R., 2012. Bootstrap determination of the co-integration rank in vector autoregressive models Econometrica. 80(4), 1721-1740
CAVALIERE, G., RAHBEK, A. and TAYLOR, A.M.R., 2010. Testing for co-integration in vector autoregressions with non-stationary volatility Journal of Econometrics. 158(1), 7-24
HARVEY, D.I., LEYBOURNE, S.J. and TAYLOR, A.M.R., 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, A.M.R., 2010. Cointegration rank testing under conditional heteroskedasticity Econometric Theory. 26(6), 1719-1760

View all publications

CAVALIERE, G., RAHBEK, A. and TAYLOR, A.M.R., 2012. Bootstrap determination of the co-integration rank in vector autoregressive models Econometrica. 80(4), 1721-1740
HARVEY, D.I., LEYBOURNE, S.J. and TAYLOR, A.M.R., 2012. Unit root testing under a local break in trend Journal of Econometrics. 167(1), 140-167
HARVEY, D.I., LEYBOURNE, S.J. and TAYLOR, A.M.R., 2012. Testing for unit roots in the presence of uncertainty over both the trend and initial condition Journal of Econometrics. 169(2), 188-195
CHAMBERS, M, ERCOLANI, J and TAYLOR, AMR, 2012. Testing for Seasonal Unit Roots by Frequency Domain Regression Journal Of Econometrics. (In Press.)
CAVALIERE, G., HARVEY, D.I., LEYBOURNE, S.J. and TAYLOR, A.M.R., 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
HARVEY, DI, LEYBOURNE, SJ and TAYLOR, AMR, 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
HARVEY, D.I., LEYBOURNE, S.J. and TAYLOR, A.M.R., 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, A.M.R., 2010. Testing for co-integration in vector autoregressions with non-stationary volatility Journal of Econometrics. 158(1), 7-24
CAVALIERE, G., RAHBEK, A. and TAYLOR, A.M.R., 2010. Cointegration rank testing under conditional heteroskedasticity Econometric Theory. 26(6), 1719-1760
HARVEY, DI, LEYBOURNE, SJ and TAYLOR, AMR, 2010. The Impact Of The Initial Condition On Robust Tests For A Linear Trend Journal Of Time Series Analysis. 31(4), 292-302
HARVEY, D.I., LEYBOURNE, S.J. and TAYLOR, A.M.R., 2009. Unit root testing in practice: dealing with uncertainty over the trend and initial condition Econometric Theory. 25(3), 587-636
CAVALIERE, G and TAYLOR, AMR, 2009. Bootstrap M Unit 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
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. Time-Transformed Unit Root Tests For Models With Non-Stationary Volatility Journal Of Time Series Analysis. 29(2), 300-330
CAVALIERE, G. and TAYLOR, A.M.R., 2008. Testing for a change in persistence in the presence of non-stationary volatility Journal Of Econometrics. 147(1), 84-98
HARVEY, D.I., LEYBOURNE, S.J. and TAYLOR, A.M.R., 2008. Erratum to "A simple, robust and powerful test of the trend hypothesis" [Journal of Econometrics 141 (2) (2007), 1302-1330] 143(2), 396-397
HARVEY, D.I., LEYBOURNE, S.J. and TAYLOR, A.M.R., 2007. A simple, robust and powerful test of the trend hypothesis Journal of Econometrics. 141(2), 1302-1330
LEYBOURNE, S., TAYLOR, R. and KIM, T. H., 2007. CUSUM of Squares-Based Tests for a Change in Persistence JOURNAL OF TIME SERIES ANALYSIS. VOL 28(NUMBER 3), 408-433
HARVEY, D.I., LEYBOURNE, S.J. and TAYLOR, A.M.R., 2007. Simple, Robust and Powerful Tests of the Breaking Trend Hypothesis Econometric Theory. (In Press.)
RODRIGUES, P.M.M. and TAYLOR, A.M.R., 2007. Efficient tests of the seasonal unit root hypothesis Journal of Econometrics. (In Press.)
CAVALIERE, G. and TAYLOR, A. M., 2007. Testing for unit roots in time series models with non-stationary volatility JOURNAL OF ECONOMETRICS. VOL 140(NUMBER 2), 919-947
RODRIGUES, PMM and TAYLOR, AMR, 2007. Efficient Tests Of The Seasonal Unit Root Hypothesis Journal Of Econometrics. 141(2), 548-573
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, D, LEYBOURNE, SJ and TAYLOR, AMR, 2007. A Simple, Robust And Powerful Test Of The Trend Hypothesis Journal Of Econometrics. 141(2), 1302-1330
HARVEY, D.I., LEYBOURNE, S. and TAYLOR, A.M.R., 2006. Modified tests for a change in persistence Journal of Econometrics. 134(2), 441-469
LEYBOURNE, S. J. and TAYLOR, A. M., 2006. Persistence change tests and shifting stable autoregressions Economics Letters. VOL 91(NUMBER 1), 44-49
KIM, T., LEYBOURNE, S.J. and TAYLOR, A., 2006. Regression based tests for a change in persistence Oxford Bulletin of Economics and Statistics.
HARVEY, D.I., LEYBOURNE, S. and TAYLOR, A., 2006. On Robust Trend Function Hypothesis Testing Studies in Nonlinear Dynamics and Econometrics.
TAYLOR, A.R. and CAVALIERE, G., 2006. Testing the null of co-integration under permanent variance shifts Journal of Time Series Analysis.
TAYLOR, A.M. and BURRIDGE, P., 2006. Addictive outlier detection via extreme-value theory Journal of Time Series Analysis.
CAVALIERE, G and TAYLOR, AMR, 2006. Testing The Null Of Co-Integration In The Presence Of Variance Breaks Journal Of Time Series Analysis. 27(4), 613-636
HARVEY, DI, LEYBOURNE, SJ and TAYLOR, AMR, 2006. Modified Tests For A Change In Persistence Journal Of Econometrics. 134(2), 441-469
LEYBOURNE, SJ, KIM, TH and TAYLOR, AMR, 2006. Regression-Based Tests For A Change In Persistence Oxford Bulletin Of Economics And Statistics. 68(5), 595-621
BURRIDGE, P and TAYLOR, AMR, 2006. Additive Outlier Detection Via Extreme-Value Theory Journal Of Time Series Analysis. 27(5), 685-701
TAYLOR, A.M.R., 2005. Variance ratio tests of the seasonal unit root hypothesis Journal of Econometrics. 124(1), 33-54
BUSETTI, F. and TAYLOR, A.M.R., 2005. Stationarity tests for irregularly spaced observations and the effects of sampling frequency on power Econometric Theory. 21(4), 757-794
CAVALIERE, G. and TAYLOR, A. M. R., 2005. Stationarity Tests under Time-Varying Second Moments Econometric Theory. VOL 21(NUMB 6), 1112-1129
TAYLOR, A.R., 2005. Fluctuations tests for a change in persistence Oxford Bulletin of Economics and Statistics. 67, 207-230
TAYLOR, A.R., 2005. On the limiting behaviour of augmented seasonal unit root tests Economic Bulletin. 33, 1-10
ROBERT TAYLOR, A. M., 2005. On the use of Sub-sample Unit Root Tests to Detect Changes in Persistence Journal of Time Series Analysis. VOL 26(NUMBER 5), 759-778
TAYLOR, AMR, 2005. On The Use Of Sub-Sample Unit Root Tests To Detect Changes In Persistence Journal Of Time Series Analysis. 26(5), 759-778
TAYLOR, AMR, 2005. Variance Ratio Tests Of The Seasonal Unit Root Hypothesis Journal Of Econometrics. 124(1), 33-54
LEYBOURNE, S. and TAYLOR, A. M., 2004. On tests for changes in persistence Economics Letters. VOL 84(NUMBER 1), 107-115
BUSETTI, F. and TAYLOR, A.M., 2004. Tests of stationarity against a change in persistence Journal of Econometrics. 123(1), 33-66
BURRIDGE, P. and ROBERT TAYLOR, A. M., 2004. Bootstrapping the HEGY seasonal unit root tests Journal of Econometrics. VOL 123(NUMBER 1), 67-87
RODRIGUES, P. M. and TAYLOR, A. M., 2004. Alternative estimators and unit root tests for seasonal autoregressive processes Journal of Econometrics. VOL 120(NUMBER 1), 35-73
TAYLOR, A.R. and RODRIGUES, P., 2004. Tests for double differencing: some extensions and the role of initial values Econometric Theory. 20, 95-115
RODRIGUES, P. M. M. and TAYLOR, A. M. R., 2004. Asymptotic Distributions for Regression-Based Seasonal Unit Root Test Statistics in a Near-Integrated Model Econometric Theory. VOL 20(PART 4), 645-670
BURRIDGE, P and TAYLOR, AMR, 2004. Bootstrapping The Hegy Seasonal Unit Root Tests Journal Of Econometrics. 123(1), 67-87
RODRIGUES, PMM and TAYLOR, AMR, 2004. Alternative Estimators And Unit Root Tests For Seasonal Autoregressive Processes Journal Of Econometrics. 120(1), 35-73
LEYBOURNE, S. and TAYLOR, A. M. R., 2003. Seasonal unit root tests based on forward and reverse estimation Journal of Time Series Analysis. VOL 24(PART 4), 441-460
BUSETTI, F. and TAYLOR, A. M., 2003. Testing against stochastic trend and seasonality in the presence of unattended breaks and unit roots Journal of Econometrics. VOL 117(NUMBER 1), 21-53
TAYLOR, A.R. and BUSETTI, F., 2003. Testing against stochastic trend in the presence of variance shifts Journal of Business and Economic Statistics. 21, 510-531
TAYLOR, A.R. and BREITUNG, J., 2003. Non-parametric tests for unit roots and cointegration Journal of Econometrics. 117, 401-4
TAYLOR, A. M., 2003. Locally Optimal Tests Against Unit Roots in Seasonal Time Series Processes Journal of Time Series Analysis. VOL 24(NUMBER 5), 591-612
TAYLOR, A. M. R., 2003. On the Asymptotic Properties of Some Seasonal Unit Root Tests Econometric Theory. VOL 19(PART 2), 311-321
TAYLOR, A.R., 2003. Robust stationarity testing in seasonal time series processes. Journal of Business and Economic Statistics. 21, 156-163
LEYBOURNE, S and TAYLOR, AMR, 2003. Seasonal Unit Root Tests Based On Forward And Reverse Estimation Journal Of Time Series Analysis. 24(4), 441-460
BUSETTI, F and TAYLOR, AMR, 2003. Variance Shifts, Structural Breaks, And Stationarity Tests Journal Of Business & Economic Statistics. 21(4), 510-531
TAYLOR, AMR, 2003. Locally Optimal Tests Against Unit Roots In Seasonal Time Series Processes Journal Of Time Series Analysis. 24(5), 591-612
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. Robust Stationarity Tests In Seasonal Time Series Processes Journal Of Business & Economic Statistics. 21(1), 156-163
TAYLOR, A.M.R., 2002. Regression-based unit root tests with recursive mean adjustment for seasonal and nonseasonal time series Journal of Business and Economic Statistics. 20(2), 269-281
TAYLOR, A.R. and VAN DIJK, D., 2002. Testing for stochastic unit roots: some Monte Carlo evidence Oxford Bulletin of Economics and Statistics. 64, 381-397
TAYLOR, A.R. and BAILEY, R., 2002. An optimal test against a random walk component in a non-orthogonal unobserved components model Econometrics Journal. 5, 520-532
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
TAYLOR, AMR 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-+
BURRIDGE, P. and TAYLOR, A. M., 2001. On regression-based tests for seasonal unit roots in the presence of periodic heteroscedasticity Journal of Econometrics. VOL 104(NUMBER 1), 91-117
SMITH, R. J. and ROBERT TAYLOR, A. M., 2001. Recursive and rolling regression-based tests of the seasonal unit root hypothesis Journal of Econometrics. VOL 105(NUMBER 2), 309-336
TAYLOR, A. M. R. and SMITH, R. J., 2001. Tests of the Seasonal Unit-Root Hypothesis Against Heteroscedastic Seasonal Integration Journal of Business and Economic Statistics. VOL 19(PART 2), 192-207
BURRIDGE, P. and TAYLOR, A. M. R., 2001. On the Properties of Regression-Based Tests for Seasonal Unit Roots in the Presence of Higher-Order Serial Correlation Journal of Business and Economic Statistics. VOL 19(PART 3), 374-379
SMITH, RJ and TAYLOR, AMR, 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
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
BURRIDGE, P and TAYLOR, AMR, 2000. On The Power Of Gls-Type Unit Root Tests Oxford Bulletin Of Economics And Statistics. 62(5), 633-+
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-+
SMITH, RJ and TAYLOR, AMR, 1998. Additional Critical Values And Asymptotic Representations For Seasonal Unit Root Tests Journal Of Econometrics. 85(2), 269-288
CAVALIERE, G and TAYLOR, AMR, Testing For A Change In Persistence In The Presence Of A Volatility Shift

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