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Brendan McCabe

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Personal Details

First Name: Brendan
Middle Name:
Last Name: McCabe
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RePEc Short-ID: pmc192

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Affiliation

Management School
University of Liverpool
Location: Liverpool, United Kingdom
Homepage: http://www.liv.ac.uk/management/
Email:
Phone: 0151 795 3108
Fax: 0151 795 3004
Postal: Chatham Street, Liverpool, L69 7ZH
Handle: RePEc:edi:mslivuk (more details at EDIRC)

Works

as in new window

Working papers

  1. Jason Ng & Catherine S. Forbes & Gael M. Martin & Brendan P.M. McCabe, 2011. "Non-Parametric Estimation of Forecast Distributions in Non-Gaussian, Non-linear State Space Models," Monash Econometrics and Business Statistics Working Papers 11/11, Monash University, Department of Econometrics and Business Statistics.
  2. Brendan P.M. McCabe & Gael Martin & Keith Freeland, 2010. "A Quasi-locally Most powerful Test for Correlation in the conditional Variance of Positive Data," Monash Econometrics and Business Statistics Working Papers 2/10, Monash University, Department of Econometrics and Business Statistics.
  3. Brendan P.M. McCabe & Gael M. Martin & David Harris, 2009. "Optimal Probabilistic Forecasts for Counts," Monash Econometrics and Business Statistics Working Papers 7/09, Monash University, Department of Econometrics and Business Statistics.
  4. Ruijun Bu & Kaddour Hadri & Brendan McCabe, 2006. "Conditional Maximum Likelihood Estimation of Higher-Order Integer-Valued Autoregressive Processes," Research Papers 200619, University of Liverpool Management School.
  5. Keith Freeland & Brendan McCabe & Gael Martin, 2004. "Testing for Dependence in Non-Gaussian Time Series Data," Econometric Society 2004 Australasian Meetings 313, Econometric Society.
  6. B.P.M. McCabe & G.M. Martin & A.R. Tremayne, 2003. "Persistence and Nonstationary Models," Monash Econometrics and Business Statistics Working Papers 16/03, Monash University, Department of Econometrics and Business Statistics.
  7. B.P.M. McCabe & G.M. Martin, 2003. "Coherent Predictions of Low Count Time Series," Monash Econometrics and Business Statistics Working Papers 8/03, Monash University, Department of Econometrics and Business Statistics.
  8. David Harris & Steve Leybourne & Brendan McCabe, 2003. "Panel Stationarity Tests with Cross-sectional Dependence," Econometrics 0311005, EconWPA.
  9. Brendan McCabe & Stephen Leybourne & David Harris, 2003. "Testing for Stochastic Cointegration and Evidence for Present Value Models," Econometrics 0311009, EconWPA.
  10. McCabe,B.P.M. & Tremayne,A.R., 1995. "Testing a Time-Series for Difference Stationarity," Cambridge Working Papers in Economics 9420, Faculty of Economics, University of Cambridge.

Articles

  1. Jiajing Sun & Brendan P. McCabe, 2013. "Score statistics for testing serial dependence in count data," Journal of Time Series Analysis, Wiley Blackwell, vol. 34(3), pages 315-329, 05.
  2. Ng, Jason & Forbes, Catherine S. & Martin, Gael M. & McCabe, Brendan P.M., 2013. "Non-parametric estimation of forecast distributions in non-Gaussian, non-linear state space models," International Journal of Forecasting, Elsevier, vol. 29(3), pages 411-430.
  3. Lu Han & Brendan McCabe, 2013. "Testing for parameter constancy in non-Gaussian time series," Journal of Time Series Analysis, Wiley Blackwell, vol. 34(1), pages 17-29, 01.
  4. Brendan P. M. McCabe & Gael M. Martin & David Harris, 2011. "Efficient probabilistic forecasts for counts," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 73(2), pages 253-272, 03.
  5. Bu, Ruijun & McCabe, Brendan, 2008. "Model selection, estimation and forecasting in INAR(p) models: A likelihood-based Markov Chain approach," International Journal of Forecasting, Elsevier, vol. 24(1), pages 151-162.
  6. Ruijun Bu & Brendan McCabe & Kaddour Hadri, 2008. "Maximum likelihood estimation of higher-order integer-valued autoregressive processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 29(6), pages 973-994, November.
  7. Harris, David & McCabe, Brendan & Leybourne, Stephen, 2008. "Testing For Long Memory," Econometric Theory, Cambridge University Press, vol. 24(01), pages 143-175, February.
  8. Harris, David & Leybourne, Stephen & McCabe, Brendan, 2007. "Modified Kpss Tests For Near Integration," Econometric Theory, Cambridge University Press, vol. 23(02), pages 355-363, April.
  9. McCabe, Brendan & Leybourne, Stephen & Harris, David, 2006. "A Residual-Based Test For Stochastic Cointegration," Econometric Theory, Cambridge University Press, vol. 22(03), pages 429-456, June.
  10. McCabe, B.P.M. & Martin, G.M., 2005. "Bayesian predictions of low count time series," International Journal of Forecasting, Elsevier, vol. 21(2), pages 315-330.
  11. Harris, David & Leybourne, Stephen & McCabe, Brendan, 2005. "Panel Stationarity Tests for Purchasing Power Parity With Cross-Sectional Dependence," Journal of Business & Economic Statistics, American Statistical Association, vol. 23, pages 395-409, October.
  12. Keith Freeland, R. & McCabe, Brendan, 2005. "Asymptotic properties of CLS estimators in the Poisson AR(1) model," Statistics & Probability Letters, Elsevier, vol. 73(2), pages 147-153, June.
  13. B. P. M. McCabe & G. M. Martin & A. R. Tremayne, 2005. "Assessing Persistence In Discrete Nonstationary Time-Series Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 26(2), pages 305-317, 03.
  14. Freeland, R. K. & McCabe, B. P. M., 2004. "Forecasting discrete valued low count time series," International Journal of Forecasting, Elsevier, vol. 20(3), pages 427-434.
  15. R. K. Freeland & B. P. M. McCabe, 2004. "Analysis of low count time series data by poisson autoregression," Journal of Time Series Analysis, Wiley Blackwell, vol. 25(5), pages 701-722, 09.
  16. Harris, David & McCabe, Brendan & Leybourne, Stephen, 2003. "Some Limit Theory For Autocovariances Whose Order Depends On Sample Size," Econometric Theory, Cambridge University Press, vol. 19(05), pages 829-864, October.
  17. Harris, David & McCabe, Brendan & Leybourne, Stephen, 2002. "Stochastic cointegration: estimation and inference," Journal of Econometrics, Elsevier, vol. 111(2), pages 363-384, December.
  18. Leybourne, S J & McCabe, B P M, 1999. "Modified Stationarity Tests with Data-Dependent Model-Selection Rules," Journal of Business & Economic Statistics, American Statistical Association, vol. 17(2), pages 264-70, April.
  19. McCabe, B.P.M. & Leybourne, S.J., 1998. "On Estimating An Arma Model With An Ma Unit Root," Econometric Theory, Cambridge University Press, vol. 14(03), pages 326-338, June.
  20. Leybourne, S J & McCabe, B P M & Tremayne, A R, 1996. "Can Economic Time Series Be Differenced to Stationarity?," Journal of Business & Economic Statistics, American Statistical Association, vol. 14(4), pages 435-46, October.
  21. Leybourne, S J & McCabe, B P M, 1994. "A Simple Test for Cointegration," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 56(1), pages 97-103, February.
  22. Leybourne, S J & McCabe, B P M, 1994. "A Consistent Test for a Unit Root," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(2), pages 157-66, April.
  23. Goldstein, Larry & McCabe, Brendan, 1993. "On the moments of certain stochastic integrals," Statistics & Probability Letters, Elsevier, vol. 18(1), pages 65-72, August.
  24. Leybourne, S. J. & McCabe, B. P. M., 1992. "A simple test for parameter constancy in a nonlinear time series regression model," Economics Letters, Elsevier, vol. 38(2), pages 157-162, February.
  25. McCabe, B. P. M., 1990. "An extension of Anderson's multiple decision procedure," Statistics & Probability Letters, Elsevier, vol. 9(2), pages 119-124, February.
  26. Phillips, G D A & McCabe, B P M, 1989. "A Sequential Approach to Testing for Structural Change in Econometric Models," Empirical Economics, Springer, vol. 14(2), pages 151-65.
  27. McCabe, B. P. M., 1989. "Misspecification tests in econometrics based on ranks," Journal of Econometrics, Elsevier, vol. 40(2), pages 261-278, February.
  28. Leybourne, S J & McCabe, B P M, 1989. "Testing for Coefficient Constancy in Random Walk Models with Particular Reference to the Initial Value Problem," Empirical Economics, Springer, vol. 14(2), pages 105-12.
  29. McCabe, B.P.M., 1988. "A Multiple Decision Theory Analysis of Structural Stability in Regression," Econometric Theory, Cambridge University Press, vol. 4(03), pages 499-508, December.
  30. McCabe, B. P. M., 1987. "Testing regression models for random effects outliers under elliptical symmetry," Economics Letters, Elsevier, vol. 25(1), pages 47-49.
  31. Phillips, G. D. A. & McCabe, B. P., 1983. "The independence of tests for structural change in regression models," Economics Letters, Elsevier, vol. 12(3-4), pages 283-287.
  32. O'Hagan, John W & McCabe, Brendan, 1975. "Tests for the Severity of Multicollinearity in Regression Analysis: A Comment," The Review of Economics and Statistics, MIT Press, vol. 57(3), pages 368-70, August.

NEP Fields

7 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-ARA: MENA - Middle East & North Africa (1) 2009-08-30
  2. NEP-ECM: Econometrics (8) 2003-04-24 2003-09-28 2003-11-23 2003-11-30 2004-06-22 2004-10-30 2009-08-30 2010-04-17. Author is listed
  3. NEP-ETS: Econometric Time Series (7) 2003-04-21 2003-09-28 2003-11-23 2003-11-30 2004-06-22 2004-10-30 2010-04-17. Author is listed
  4. NEP-FIN: Finance (1) 2004-10-30
  5. NEP-FOR: Forecasting (1) 2009-08-30
  6. NEP-RMG: Risk Management (1) 2003-04-21

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