Photo of Em P Brendan Mccabe

Em P Brendan Mccabe

Professor of Econometrics Management School

Publications

2020

Distributions You Can Count On …But What’s the Point? (Journal article)

McCabe, B. P. M., & Skeels, C. L. (n.d.). Distributions You Can Count On …But What’s the Point?. Econometrics, 8(1), 9. doi:10.3390/econometrics8010009

DOI: 10.3390/econometrics8010009

2019

Semi-Parametric Independence Testing in Count Data and the Role of the Support (Journal article)

Harris, D., & Mccabe, B. P. M. (2019). Semi-Parametric Independence Testing in Count Data and the Role of the Support. Econometric Theory, 35(6), 1111-1145. doi:10.1017/S0266466618000403

DOI: 10.1017/S0266466618000403

Structural change and the problem of phantom break locations (Journal article)

Rao, Y., & Mccabe, B. (n.d.). Structural change and the problem of phantom break locations. The Manchester School. doi:10.1111/manc.12298

DOI: 10.1111/manc.12298

Approximate Bayesian Forecasting (Journal article)

Frazier, D. T., Maneesoonthorn, W., Martin, G. M., & McCabe, B. P. M. (2019). Approximate Bayesian forecasting. INTERNATIONAL JOURNAL OF FORECASTING, 35(2), 521-539. doi:10.1016/j.ijforecast.2018.08.003

Auxiliary Likelihood-Based Approximate Bayesian Computation in State Space Models (Journal article)

Martin, G. M., McCabe, B. P. M., Frazier, D. T., Maneesoonthorn, W., & Robert, C. P. (2019). Auxiliary Likelihood-Based Approximate Bayesian Computation in State Space Models. Journal of Computational and Graphical Statistics. doi:10.1080/10618600.2018.1552154

DOI: 10.1080/10618600.2018.1552154

2017

Is MORE LESS? The Role of Data Augmentation in Testing for Structural Breaks (Journal article)

Rao, Y., & McCabe, B. (2017). Is MORE LESS? The Role of Data Augmentation in Testing for Structural Breaks. Economics Letters, 155, 131-134. doi:10.1016/j.econlet.2017.03.033

DOI: 10.1016/j.econlet.2017.03.033

The effect of regression design on optimal tests for finding break positions (Journal article)

Rao, Y., & McCabe, B. (n.d.). The effect of regression design on optimal tests for finding break positions. SSRN: https://ssrn.com/abstract=2867141.

2016

Real-time surveillance for abnormal events: the case of influenza outbreaks (Journal article)

Rao, Y., & McCabe, B. (2016). Real-time surveillance for abnormal events: the case of influenza outbreaks. STATISTICS IN MEDICINE, 35(13), 2206-2220. doi:10.1002/sim.6857

DOI: 10.1002/sim.6857

2015

Real time monitoring for abnormal events: An application to influenza outbreaks (Journal article)

Rao, Y., & McCabe, B. (n.d.). Real time monitoring for abnormal events: An application to influenza outbreaks. Statistics in Medicine.

2014

Approximate Bayesian Computation in State Space Models (Journal article)

Martin, G. M., McCabe, B. P. M., Maneesoonthorn, W., & Robert, C. P. (n.d.). Approximate Bayesian Computation in State Space Models. Retrieved from http://arxiv.org/abs/1409.8363v1

2013

Non-parametric estimation of forecast distributions in non-Gaussian, non-linear state space models (Journal article)

Ng, J., Forbes, C. S., Martin, G. M., & McCabe, B. P. M. (2013). Non-parametric estimation of forecast distributions in non-Gaussian, non-linear state space models. International Journal of Forecasting, 29(3), 411-430. doi:10.1016/j.ijforecast.2012.10.005

DOI: 10.1016/j.ijforecast.2012.10.005

Score statistics for testing serial dependence in count data (Journal article)

Sun, J., & McCabe, B. P. (2013). Score statistics for testing serial dependence in count data. Journal of Time Series Analysis, 34(3), 315-329. doi:10.1111/jtsa.12014

DOI: 10.1111/jtsa.12014

Testing for parameter constancy in non-Gaussian time series (Journal article)

Han, L., & McCabe, B. (2013). Testing for parameter constancy in non-Gaussian time series. Journal of Time Series Analysis, 34(1), 17-29. doi:10.1111/j.1467-9892.2012.00810.x

DOI: 10.1111/j.1467-9892.2012.00810.x

2011

Efficient probabilistic forecasts for counts (Journal article)

McCabe, B. P. M., Martin, G. M., & Harris, D. (2011). Efficient probabilistic forecasts for counts. Journal of the Royal Statistical Society: Series B (Statistical Methodology), 73(2), 253-272. doi:10.1111/j.1467-9868.2010.00762.x

DOI: 10.1111/j.1467-9868.2010.00762.x

A QUASI-LOCALLY MOST POWERFUL TEST FOR CORRELATION IN THE CONDITIONAL VARIANCE OF POSITIVE DATA (Journal article)

McCabe, B., Martin, G., & Freeland, K. (2011). A QUASI-LOCALLY MOST POWERFUL TEST FOR CORRELATION IN THE CONDITIONAL VARIANCE OF POSITIVE DATA. Australian and New Zealand Journal of Statistics (available online), 53(1), 43-62.

2008

Maximum likelihood estimation of higher-order integer-valued autoregressive processes (Journal article)

Bu, R., McCabe, B., & Hadri, K. (n.d.). Maximum likelihood estimation of higher-order integer-valued autoregressive processes. Journal of Time Series Analysis, 29(6), 973-994. doi:10.1111/j.1467-9892.2008.00590.x

DOI: 10.1111/j.1467-9892.2008.00590.x

Model selection, estimation and forecasting in INAR(p) models: A likelihood-based Markov Chain approach (Journal article)

Bu, R., & McCabe, B. (2008). Model selection, estimation and forecasting in INAR(p) models: A likelihood-based Markov Chain approach. International Journal of Forecasting, 24(1), 151-162. doi:10.1016/j.ijforecast.2007.11.002

DOI: 10.1016/j.ijforecast.2007.11.002

2006

A RESIDUAL-BASED TEST FOR STOCHASTIC COINTEGRATION (Journal article)

McCabe, B., Leybourne, S., & Harris, D. (2006). A RESIDUAL-BASED TEST FOR STOCHASTIC COINTEGRATION. Econometric Theory, 22(03). doi:10.1017/s026646660606021x

DOI: 10.1017/s026646660606021x

TESTING FOR LONG MEMORY (Journal article)

Harris, D., McCabe, B., & Leybourne, S. (2008). TESTING FOR LONG MEMORY. Econometric Theory, 24(01). doi:10.1017/s0266466608080080

DOI: 10.1017/s0266466608080080

MODIFIED KPSS TESTS FOR NEAR INTEGRATION (Journal article)

Harris, D., Leybourne, S., & McCabe, B. (2007). MODIFIED KPSS TESTS FOR NEAR INTEGRATION. Econometric Theory, 23(02). doi:10.1017/s0266466607070156

DOI: 10.1017/s0266466607070156

2005

Panel Stationarity Tests for Purchasing Power Parity With Cross-Sectional Dependence (Journal article)

Harris, D., Leybourne, S., & McCabe, B. (2005). Panel Stationarity Tests for Purchasing Power Parity With Cross-Sectional Dependence. Journal of Business & Economic Statistics, 23(4), 395-409. doi:10.1198/073500105000000090

DOI: 10.1198/073500105000000090

Asymptotic properties of CLS estimators in the Poisson AR(1) model (Journal article)

Keith Freeland, R., & McCabe, B. (2005). Asymptotic properties of CLS estimators in the Poisson AR(1) model. Statistics & Probability Letters, 73(2), 147-153. doi:10.1016/j.spl.2005.03.006

DOI: 10.1016/j.spl.2005.03.006

Bayesian predictions of low count time series (Journal article)

McCabe, B. P. M., & Martin, G. M. (2005). Bayesian predictions of low count time series. International Journal of Forecasting, 21(2), 315-330. doi:10.1016/j.ijforecast.2004.11.001

DOI: 10.1016/j.ijforecast.2004.11.001

Assessing Persistence In Discrete Nonstationary Time-Series Models (Journal article)

McCabe, B. P. M., Martin, G. M., & Tremayne, A. R. (2005). Assessing Persistence In Discrete Nonstationary Time-Series Models. Journal of Time Series Analysis, 26(2), 305-317. doi:10.1111/j.1467-9892.2005.00402.x

DOI: 10.1111/j.1467-9892.2005.00402.x

2004

Analysis of Low Count Time Series Data by Poisson Autoregression (Journal article)

Freeland, R. K., & McCabe, B. P. M. (2004). Analysis of Low Count Time Series Data by Poisson Autoregression. Journal of Time Series Analysis, 25(5), 701-722.

Forecasting discrete valued low count time series (Journal article)

Freeland, R. K., & McCabe, B. P. M. (2004). Forecasting discrete valued low count time series. International Journal of Forecasting, 20(3), 427-434. doi:10.1016/s0169-2070(03)00014-1

DOI: 10.1016/s0169-2070(03)00014-1

Analysis of Count Data by means of the Poisson Autoregressive Model. (Journal article)

McCabe, B. P. M., & Freeland, K. (2004). Analysis of Count Data by means of the Poisson Autoregressive Model.. Journal of Time Series Analysis., 25(5), 701-722.

2003

SOME LIMIT THEORY FOR AUTOCOVARIANCES WHOSE ORDER DEPENDS ON SAMPLE SIZE (Journal article)

Harris, D., McCabe, B., & Leybourne, S. (2003). SOME LIMIT THEORY FOR AUTOCOVARIANCES WHOSE ORDER DEPENDS ON SAMPLE SIZE. Econometric Theory, 19(05). doi:10.1017/s0266466603195060

DOI: 10.1017/s0266466603195060

2002

Stochastic cointegration: estimation and inference (Journal article)

Harris, D., McCabe, B., & Leybourne, S. (2002). Stochastic cointegration: estimation and inference. Journal of Econometrics, 111(2), 363-384. doi:10.1016/s0304-4076(02)00111-2

DOI: 10.1016/s0304-4076(02)00111-2

2000

A general Method of Testing for Random Parameter Variation in Statistical Models. (Chapter)

McCabe, B. P. M., & Leybourne, S. J. (2000). A general Method of Testing for Random Parameter Variation in Statistical Models.. In R. D. H. Heijmans, D. S. G. Pollock, & A. Satorra (Eds.), Innovations in Multivariate Statistical Analysis: A Festschrift for Heinz Neudecker. (pp. 75-85). Amsterdam: Kluwer.