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Econometrics Paper
Testing for Breaks in Regression Models with Dependent Data Violetta Dalla and Javier Hidalgo
March 2015
Paper No' EM/2015/584:
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JEL Classification: C14; C22


Tags: nonparametric regression; breaks; smoothness; strong dependence; extreme-values distribution; frequency domain bootstrap algorithms.

Econometrics Paper
Panel Nonparametric Regression with Fixed Effects Jungyoon Lee and Peter M Robinson
March 2013
Paper No' EM/2013/569:
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JEL Classification: C13; C14; C23


Tags: panel data; nonparametric regression; cross-sectional dependence; generalized least squares; optimal bandwidth

Econometrics Paper
Loch Linear Fitting under Near Epoch Dependence: Uniform Consistency with Convergence Rate Degui Li, Zudi Lu and Oliver Linton August 2010
Paper No' EM/2010/549:
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JEL Classification: C13, C14, C22


Tags: local linear fitting; near epoch dependence; convergence rates; uniform consistency.

Econometrics Paper
A Parametric Bootstrap Test for Cycles Violetta Dalla and Javier Hidalgo
February 2005
Paper No' EM/2005/486:
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JEL Classification: C15; C22


Tags: cyclical data; strong and weak dependence; spectral density functions; whittle estimator; bootstrap algorithms

Econometrics Paper
A Quantilogram Approach to Evaluating Directional Predictability Oliver Linton and Yoon-Jae Whang
November 2003
Paper No' EM/2003/463:
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Tags: correlogram; dependence; efficient markets; quantiles.

Econometrics Paper
Gaussian Estimation of Parametric Spectral Density with Unknown Pole Liudas Giraitis, Javier Hidalgo and Peter M Robinson
August 2001
Paper No' EM/2001/424:
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Tags: long-range dependence; unknown pole.

Econometrics Paper
Parametric Estimation under Long-Range Dependence Liudas Giraitis and Peter M Robinson
May 2001
Paper No' EM/2001/416:
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Tags: parametric estimation; long-range dependence.

Econometrics Paper
The Estimation of Conditional Densities Xiaohong Chen, Oliver Linton and Peter M Robinson
May 2001
Paper No' EM/2001/415:
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Tags: conditional density estimation; serial dependence; bandwidth choice.

Econometrics Paper
A Nonparametric Test for I(0) - (Now published in 'Review of Economic Studies', 65 (1998), pp.475-495.) Ignacio Lobato and Peter M Robinson November 1997
Paper No' EM/1997/342:
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Tags: nonparametric testing; weak dependence; long memory

Econometrics Paper
Inference-without-Smoothing in the Presence of Nonparametric Autocorrelation - (Now published in 'Econometrica', 66 (1998), pp.1163-1182.) Peter M Robinson October 1997
Paper No' EM/1997/338:
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Tags: autocorrelation-consistent variance estimation; long-range dependence; simultaneous equations systems.

Econometrics Paper
Large-Sample Inference for Nonparametric Regression with Dependent Errors - (Now published in 'Annals of Statistics', 28 (1997), pp.2054-2083.) Peter M Robinson September 1997
Paper No' EM/1997/336:
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Tags: central limit theorem; nonparametric regression; autocorrelation; long-range dependence

Econometrics Paper
Rate Optimal Semiparametric Estimation of the Memory Parameter of the Gaussian Time Serieswith Long-Range Dependence - (Now published in 'Journal of Time Series Analysis', 18 (1997), pp.49-60.) Liudas Giraitis, Peter M Robinson and Alexander Samarov February 1997
Paper No' EM/1997/323:
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Tags: long-range dependence; semiparametric models; optimal rates of convergence; lower bounds

Econometrics Paper
Time Series Regression with Long Range Dependence - (Now published in 'Annals of Statistics', 25, (1997)pp.2054-2083.) Javier Hidalgo and Peter M Robinson January 1997
Paper No' EM/1997/318:
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Tags: long-range dependence; linear regression; generalized least squares; nonlinear regression

Econometrics Paper
Nonparametric Estimation with Strongly Dependent Multivariate Time-Series - (Now published in 'Journal of Time Series Analysis',18 (1997)pp.95-122.) Javier Hidalgo February 1996
Paper No' EM/1996/296:
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Tags: nonparametric; strong dependence; hermite and appell polynomials; rosenblatt and hermite pocesses.

DARP Paper
Poverty Dynamics in Spain: A study of transitions in the 1990s Olga Cantó-Sánchez
February 1996
Paper No' DARP 015:
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Tags: income dynamics; poverty; mobility; transitions; spain; panel data; duration dependence; permanent poor; transitory poor; household