David I Harvey
Biographic Data
| ID | 6455370 |
|---|---|
| NAME | David I Harvey |
| GIVEN NAMES | David I |
| FAMILY NAME | Harvey |
| SIGNATURE | HARVEY D I |
| AFFILIATIONS | University of Nottingham |
| ORCID | 0000-0002-7504-6885 |
| VERIFIED | Yes |
| TOTAL WORKS | 16 |
| TOTAL CITATIONS | 8 |
| AUTHOR COUNT | 16 |
| EDITOR COUNT | 0 |
| FIRST PUBLICATION YEAR | 1997 |
| LATEST PUBLICATION YEAR | 2025 |
| H-INDEX | 1 |
Bonferroni‐Type Tests for Return Predictability With Possibly Trending Predictors
The Bonferroni test is widely used in empirical studies investigating predictability in asset returns by strongly persistent and endogenous predictors. Its formulation, however, only allows for a constant mean in the predictor, seemingly at odds with many of the predictors used in practice. We establish the asymptotic size and local power properties of the test, and the corresponding Bonferroni ‐test, under a local‐to‐zero specification for a lin…
Unit Root Tests for Explosive Financial Bubbles in the Presence of Deterministic Level Shifts
This article considers the issue of testing for an explosive bubble in financial time series in the presence of deterministic level shifts. We demonstrate that the sign‐based variants of the Phillips‐Shi‐Yu test retain their asymptotic validity in the presence of level shifts under a weak restriction on the number of shifts that occur. This is in contrast to the original Phillips‐Shi‐Yu test which only remains valid under a joint restriction invo…
Testing for Equal Average Forecast Accuracy in Possibly Unstable Environments
We consider the issue of testing the null of equal average forecast accuracy in a model where the forecast error loss differential series has a potentially nonconstant mean function over time. We show that when time variation is present in the loss differential mean, the standard Diebold and Mariano test, which was proposed for evaluating forecasts in a stable environment, has an asymptotic size of zero, and, whilst consistent, can have reduced l…
Tests for equal forecast accuracy under heteroskedasticity
Heteroskedasticity is a common feature in empirical time series analysis, and in this paper, we consider the effects of heteroskedasticity on statistical tests for equal forecast accuracy. In such a context, we propose two new Diebold–Mariano‐type tests for equal accuracy that employ nonparametric estimation of the loss differential variance function. We demonstrate that these tests have the potential to achieve power improvements relative to the…
Bonferroni Type Tests for Return Predictability and the Initial Condition
We develop tests for predictability that are robust to both the magnitude of the initial condition and the degree of persistence of the predictor. While the popular Bonferroni Q test of Campbell and Yogo displays excellent power properties for strongly persistent predictors with an asymptotically negligible initial condition, it can suffer from severe size distortions and power losses when either the initial condition is asymptotically non-neglig…
Systemic Risk in Banking, Fire Sales, and Macroeconomic Disasters
Systemic Risk in Banking, Fire Sales, and Macroeconomic Disasters
Systemic risk in banking, fire sales, and macroeconomic disasters
We develop a dynamic computational network model of the banking system where fire sales provide the amplification mechanism of financial shocks. Each period a finite number of banks offers a large, but finite, number of loans to households. Banks with excess liquidity also offer loans to other banks with insufficient liquidity. Thus, each period an interbank loan market is endogenously formed. Bank assets are hit by idiosyncratic shocks drawn fro…
Real‐Time Monitoring of Bubbles and Crashes
Given the financial and economic damage that can be caused by the collapse of an asset price bubble, it is of critical importance to rapidly detect the onset of a crash once a bubble has been identified. We develop a real‐time monitoring procedure for detecting a crash episode in a time series. We adopt an autoregressive framework, with bubble and crash regimes modelled by explosive and stationary dynamics, respectively. The first stage of our ap…
Testing for Co‐explosive Behaviour in Financial Time Series
This article proposes a test to determine if two price series that each contain an explosive autoregressive regime consistent with the presence of a bubble are related in the sense that a linear combination of them is integrated of order zero. We refer to such a phenomenon as ‘co‐explosive behaviour’, and propose a test based on a stationarity testing framework. The test allows the explosive episode in one series to lead (or lag) that in the othe…
Real‐time detection of regimes of predictability in the US equity premium
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 predictability. Our proposed methods are robust to both the degree of persistence and endogeneity o…
A Bootstrap Stationarity Test for Predictive Regression Invalidity
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 omission of relevant persistent predictors renders the predictive regression invalid, and potentially al…
Long-Run Commodity Prices, Economic Growth, and Interest Rates
The Prebisch-Singer Hypothesis
We employ a unique data set and new time-series techniques to reexamine the existence of trends in relative primary commodity prices. The data set comprises 25 commodities and provides a new historical perspective, spanning the seventeenth to the twenty-first centuries. New tests for the trend function, robust to the order of integration of the series, are applied to the data. Results show that eleven price series present a significant and downwa…
Tests for Forecast Encompassing
We consider the situation in which two forecasts of the same variable are available. The possibility exists of forming a combined forecast as a weighted average of the individual ones and estimating the weights that should be optimally attached to each forecast. If the entire weight should optimally be associated with one forecast, that forecast is said to encompass the other. A natural test for forecast encompassing is based on least squares reg…
Testing the equality of prediction mean squared errors
Testing the equality of prediction mean squared errors
Tests for Forecast Encompassing
We consider the situation in which two forecasts of the same variable are available. The possibility exists of forming a combined forecast as a weighted average of the individual ones and estimating the weights that should be optimally attached to each forecast. If the entire weight should optimally be associated with one forecast, that forecast is said to encompass the other. A natural test for forecast encompassing is based on least squares reg…
The Prebisch-Singer Hypothesis
We employ a unique data set and new time-series techniques to reexamine the existence of trends in relative primary commodity prices. The data set comprises 25 commodities and provides a new historical perspective, spanning the seventeenth to the twenty-first centuries. New tests for the trend function, robust to the order of integration of the series, are applied to the data. Results show that eleven price series present a significant and downwa…
Long-Run Commodity Prices, Economic Growth, and Interest Rates
A Bootstrap Stationarity Test for Predictive Regression Invalidity
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 omission of relevant persistent predictors renders the predictive regression invalid, and potentially al…
Real‐time detection of regimes of predictability in the US equity premium
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 predictability. Our proposed methods are robust to both the degree of persistence and endogeneity o…
Testing for Co‐explosive Behaviour in Financial Time Series
This article proposes a test to determine if two price series that each contain an explosive autoregressive regime consistent with the presence of a bubble are related in the sense that a linear combination of them is integrated of order zero. We refer to such a phenomenon as ‘co‐explosive behaviour’, and propose a test based on a stationarity testing framework. The test allows the explosive episode in one series to lead (or lag) that in the othe…
Real‐Time Monitoring of Bubbles and Crashes
Given the financial and economic damage that can be caused by the collapse of an asset price bubble, it is of critical importance to rapidly detect the onset of a crash once a bubble has been identified. We develop a real‐time monitoring procedure for detecting a crash episode in a time series. We adopt an autoregressive framework, with bubble and crash regimes modelled by explosive and stationary dynamics, respectively. The first stage of our ap…
Tests for equal forecast accuracy under heteroskedasticity
Heteroskedasticity is a common feature in empirical time series analysis, and in this paper, we consider the effects of heteroskedasticity on statistical tests for equal forecast accuracy. In such a context, we propose two new Diebold–Mariano‐type tests for equal accuracy that employ nonparametric estimation of the loss differential variance function. We demonstrate that these tests have the potential to achieve power improvements relative to the…
Bonferroni Type Tests for Return Predictability and the Initial Condition
We develop tests for predictability that are robust to both the magnitude of the initial condition and the degree of persistence of the predictor. While the popular Bonferroni Q test of Campbell and Yogo displays excellent power properties for strongly persistent predictors with an asymptotically negligible initial condition, it can suffer from severe size distortions and power losses when either the initial condition is asymptotically non-neglig…
Systemic Risk in Banking, Fire Sales, and Macroeconomic Disasters
Systemic Risk in Banking, Fire Sales, and Macroeconomic Disasters
Systemic risk in banking, fire sales, and macroeconomic disasters
We develop a dynamic computational network model of the banking system where fire sales provide the amplification mechanism of financial shocks. Each period a finite number of banks offers a large, but finite, number of loans to households. Banks with excess liquidity also offer loans to other banks with insufficient liquidity. Thus, each period an interbank loan market is endogenously formed. Bank assets are hit by idiosyncratic shocks drawn fro…
Bonferroni‐Type Tests for Return Predictability With Possibly Trending Predictors
The Bonferroni test is widely used in empirical studies investigating predictability in asset returns by strongly persistent and endogenous predictors. Its formulation, however, only allows for a constant mean in the predictor, seemingly at odds with many of the predictors used in practice. We establish the asymptotic size and local power properties of the test, and the corresponding Bonferroni ‐test, under a local‐to‐zero specification for a lin…
Unit Root Tests for Explosive Financial Bubbles in the Presence of Deterministic Level Shifts
This article considers the issue of testing for an explosive bubble in financial time series in the presence of deterministic level shifts. We demonstrate that the sign‐based variants of the Phillips‐Shi‐Yu test retain their asymptotic validity in the presence of level shifts under a weak restriction on the number of shifts that occur. This is in contrast to the original Phillips‐Shi‐Yu test which only remains valid under a joint restriction invo…
Testing for Equal Average Forecast Accuracy in Possibly Unstable Environments
We consider the issue of testing the null of equal average forecast accuracy in a model where the forecast error loss differential series has a potentially nonconstant mean function over time. We show that when time variation is present in the loss differential mean, the standard Diebold and Mariano test, which was proposed for evaluating forecasts in a stable environment, has an asymptotic size of zero, and, whilst consistent, can have reduced l…
Econometrics (12 works) · Mathematics (12 works) · Market Dynamics and Volatility (10 works) · Monetary Policy and Economic Impact (10 works) · Statistics (10 works) · Economics (9 works) · Computer Science (8 works) · Financial Risk and Volatility Modeling (6 works) · Forecasting Techniques and Applications (4 works) · Heteroscedasticity (4 works)