Suntory and Toyota International Centres for Economics and Related Disciplines (STICERD) LSE RSS Contact Us YouTube Twitter

Search by Keyword:
You searched for "estimation"

cover
Econometrics Paper
Adaptive Inference on Pure Spatial Models Jungyoon Lee and Peter M Robinson
January 2018
Paper No' EM 596:
Read Abstract | Full Paper (pdf)

JEL Classification: C12; C13; C14; C21


Tags: efficient test; adaptive estimation; spatial models

Econometrics Paper
Robust estimation of moment condition models with weakly dependent data Kirill Evdokimov, Yuichi Kitamura and Taisuke Otsu
December 2014
Paper No' EM/2014/579:
Read Abstract | Full Paper (pdf)

JEL Classification: C14


Tags: blocking; generalized empirical likelihood; hellinger distance; robustness; efficient estimation; mixing

Econometrics Paper
Non-Nested Testing of Spatial Correlation Miguel A. Delgado and Peter M Robinson
November 2013
Paper No' EM/2013/568:
Read Abstract | Full Paper (pdf)

JEL Classification: C12; C21


Tags: on-nested test; spatial correlation; pseudo maximum likelihood estimation

cover
CASE Paper
Small-area measures of income poverty Alex Fenton
May 2013
Paper No' CASE/173:
Read Abstract | Full Paper (pdf)

JEL Classification: I320; I380; R230


Tags: small-area poverty estimates; small-area estimation; poverty proxies; poor neighbourhoods; deprivation indices

Econometrics Paper
Efficient Inference on Fractionally Integrated Panel Data Models with Fixed Effects Peter M Robinson and Carlos Velasco
March 2013
Paper No' EM/2013/567:
Read Abstract | Full Paper (pdf)

JEL Classification: C12; C13; C23


Tags: panel data; fractional time series; estimation; testing; bias correction

Econometrics Paper
Testing for Structural Stability in the Whole Sample Javier Hidalgo and Myung Hwan Seo
September 2012
Paper No' EM/2013/561:
Read Abstract | Full Paper (pdf)

JEL Classification: C12, C32.


Tags: structural stability; gmm estimation; strong approximation; extreme value distribution.

Econometrics Paper
Adapting Kernel Estimation to Uncertain Smoothness Yulia Kotlyarova, Marcia M Schafgans and Victoria Zinde-Walsh
April 2011
Paper No' EM/2011/557:
Read Abstract | Full Paper (pdf)

JEL Classification: C14


Tags: nonparametric estimation; kernel based estimator; combined stimator; variance bootstrap.

Econometrics Paper
Statistical Inference on Regression with Spatial Dependence Peter M Robinson and Supachoke Thawornkaiwong
April 2010
Paper No' EM/2010/554:
Read Abstract | Full Paper (pdf)

JEL Classification: C13; C14; C21


Tags: linear regression; partly linear regression; nonparametric regression; spatial data; instrumental variables; asymptotic normality; variance estimation

Econometrics Paper
Efficient Estimation of a Multivariate Multiplicative Volatility Model Christian M. Hafner and Oliver Linton
October 2009
Paper No' EM/2009/541:
Read Abstract | Full Paper (pdf)

JEL Classification: C12, C13, C14.


Tags: garch; kernel estimation; local stationarity; semiparametric

Econometrics Paper
ESTIMATION OF A SEMIPARAMETRIC IGARCH(1,1) MODEL Woocheol Kim and Oliver Linton
October 2009
Paper No' EM/2009/539:
Read Abstract | Full Paper (pdf)

JEL Classification: C14


Tags: inverse problem; instrumental variable; igarch; kernel estimation; nonparametric regression

Econometrics Paper
Nonparametric Regression with a Latent Time Series Oliver Linton, Søren Feodor Nielsen and Jens Perch Nielsen
October 2009
Paper No' EM/2009/538:
Read Abstract | Full Paper (pdf)

JEL Classification: 62G07


Tags: kernel estimation; forecasting; panel data; unit roots

Econometrics Paper
Nonparametric Estimation of a Polarization Measure Gordon Anderson, Oliver Linton and Yoon-Jae Whang
June 2009
Paper No' EM/2009/534:
Read Abstract | Full Paper (pdf)

JEL Classification: C12; C13; C14


Tags: kernel estimation; inequality; overlap coefficient; poissonization

Econometrics Paper
Smoothness Adaptive Average Derivative Estimation Marcia M Schafgans and Victoria Zinde-Walshyz
August 2008
Paper No' EM/2008/529:
Read Abstract | Full Paper (pdf)

JEL Classification: C14


Tags: nonparametric estimation; density weighted average derivative estimator; combined estimator.

Econometrics Paper
Bootstrap Tests of Stochastic Dominance with Asymptotic Similarity on the Boundary Oliver Linton, Kyungchul Song and Yoon-Jae Whang February 2008
Paper No' EM/2008/527:
Read Abstract | Full Paper (pdf)

JEL Classification: C12; C14; C52


Tags: set estimation; size of test; unbiasedness; similarity; bootstrap; subsampling.

Econometrics Paper
Multiple Local Whittle Estimation in Stationary Systems Peter M Robinson
October 2007
Paper No' EM/2007/525:
Read Abstract | Full Paper (pdf)

JEL Classification: C32


Tags: long memory; phase; cointegration; semiparametric estimation; consistency; asymptotic normality.

Econometrics Paper
Efficient Estimation of a Semiparametric Characteristic-Based Factor Model of Security Returns Gregory Connor, Matthias Hagmann and Oliver Linton October 2007
Paper No' EM/2007/524:
Read Abstract | Full Paper (pdf)

JEL Classification: G12; C14


Tags: additive models; arbitrage pricing theory; factor model; fama-french; kernel estimation; nonparametric regression; panel data.

Econometrics Paper
DIAGNOSTIC TESTING FOR COINTEGRATION Peter Robinson
September 2007
Paper No' EM/2007/522:
Read Abstract | Full Paper (pdf)

JEL Classification: C32


Tags: fractional cointegration; diagnostic testing; specification testing; cointegrating rank; semiparametric estimation.

Econometrics Paper
Nonparametric Transformation to White Noise Oliver Linton and Enno Mammen
August 2006
Paper No' EM/2006/503:
Read Abstract | Full Paper (pdf)

JEL Classification: C14


Tags: efficiency; inverse problem; kernel estimation; nonparametric regression; time series; unit roots.

Econometrics Paper
Finite Sample Performance in Cointegration Analysis of Nonlinear Time Series with Long Memory Afonso Gonçalves da Silva and Peter M Robinson April 2006
Paper No' EM/2006/501:
Read Abstract | Full Paper (pdf)

JEL Classification: C32


Tags: fractional cointegration; memory estimation; stochastic volatility.

Econometrics Paper
Instrumental Variables Estimation of Stationary and Nonstationary Cointegrating Regressions Peter M Robinson and M. Gerolimetto April 2006
Paper No' EM/2006/500:
Read Abstract | Full Paper (pdf)

JEL Classification: C32


Tags: cointegration; instrumental variables estimation; i(d) processes.

Econometrics Paper
ROOT-N-CONSISTENT ESTIMATION OF WEAK FRACTIONAL COINTEGRATION Javier Hualde and Peter M Robinson
March 2006
Paper No' EM/2006/499:
Read Abstract | Full Paper (pdf)

JEL Classification: C32


Tags: fractional cointegration; parametric estimation; asymptotic normality.

Econometrics Paper
Nonparametric Spectrum Estimation for Spatial Data Peter M Robinson
February 2006
Paper No' EM/2006/498:
Read Abstract | Full Paper (pdf)

JEL Classification: C22


Tags: nonparametric spectrum estimation; edge effect; tapering.

Econometrics Paper
Consistent estimation of the memory parameter for nonlinear time series Violetta Dalla, Liudas Giraitis and Javier Hidalgo
January 2006
Paper No' EM/2006/497:
Read Abstract | Full Paper (pdf)

JEL Classification: C14; C22


Tags: long memory; semiparametric estimation; local whittle estimator.

Econometrics Paper
A Smoothed Least Squares Estimator For Threshold Regression Models Myunghwan Seo and Oliver Linton
October 2005
Paper No' EM/2005/496:
Read Abstract | Full Paper (pdf)

JEL Classification: C12; C13; C14


Tags: index model; sample splitting; segmented regression; smoothing; threshold estimation.

Econometrics Paper
Pseudo-Maximum Likelihood Estimation of ARCH(8) Models Peter M Robinson and Paolo Zaffaroni
October 2005
Paper No' EM/2005/495:
Read Abstract | Full Paper (pdf)

JEL Classification: Primary 62M10; secondary 62F12


Tags: arch (8); pseudo-maximum likelihood estimation; asymptotic inference

Econometrics Paper
A method of moments estimator for semiparametric index models Bas Donkers and Marcia M Schafgans
July 2005
Paper No' EM/2005/493:
Read Abstract | Full Paper (pdf)

JEL Classification: C14; C31; C52


Tags: semiparametric estimation; multiple index models; average derivative functionals; generalized methods of moments estimator; rank testing

Econometrics Paper
Modified Whittle Estimation of Multilateral Models on a Lattice Peter M Robinson and J Vidal Sanz
June 2005
Paper No' EM/2005/492:
Read Abstract | Full Paper (pdf)

JEL Classification: C13


Tags: spatial data; multilateral modelling; whittle estimation; edge effect; consistent variance estimation

Econometrics Paper
Semiparametric Estimation for Stationary Processes whose Spectra have an Unknown Pole Javier Hidalgo
January 2005
Paper No' EM/2005/481:
Read Abstract | Full Paper (pdf)

JEL Classification: C14; G22


Tags: spectral density estimation; long memory processes; gaussian processes

Econometrics Paper
Estimation of Semiparametric Models when the Criterion Function is not Smooth Xiaohong Chen, Oliver Linton and Ingrid Van Keilegom May 2003
Paper No' EM/2003/450:
Read Abstract | Full Paper (pdf)

JEL Classification: C13; C14


Tags: empirical processes; non-smooth criterion; semiparametric estimation; stochastic equicontinuity.

Econometrics Paper
Edgeworth Expansions for Semiparametric Whittle Estimation of Long Memory Liudas Giraitis and Peter M Robinson
September 2002
Paper No' EM/2002/438:
Read Abstract | Full Paper (pdf)

Tags: edgeworth expansion; long memory; semiparametric estimation.

Econometrics Paper
More Efficient Kernel Estimation in Nonparametric Regression with Autocorrelated Errors Raymond J Carroll, Oliver Linton, Enno Mammen and Zhijie Xiao June 2002
Paper No' EM/2002/435:
Read Abstract | Full Paper (pdf)

Tags: backfitting; efficiency; kernel estimation; time series.

Econometrics Paper
Adapting to Unknown Disturbance Autocorrelation in Regression with Long Memory Javier Hidalgo and Peter M Robinson
September 2001
Paper No' EM/2001/427:
Read Abstract | Full Paper (pdf)

Tags: time series regression; long memory; adaptive estimation.

Econometrics Paper
Parametric Estimation under Long-Range Dependence Liudas Giraitis and Peter M Robinson
May 2001
Paper No' EM/2001/416:
Read Abstract | Full Paper (pdf)

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:
Read Abstract | Full Paper (pdf)

Tags: conditional density estimation; serial dependence; bandwidth choice.

Econometrics Paper
Whittle Estimation of ARCH Models Liudas Giraitis and Peter M Robinson
November 2000
Paper No' EM/2000/406:
Read Abstract | Full Paper (pdf)

Tags: arch models; whittle estimation.

Theoretical Economics Paper
Collective Bargaining under Complete Information Carlos Diaz-Moreno and Jose E. Galdon-Sanchez
July 2000
Paper No' TE/2000/401:
Read Abstract | Full Paper (pdf)

Tags: delays; sequential bargaining; structural estimation

Econometrics Paper
Yield Curve Estimation by Kernel Smoothing Methods Oliver Linton, Enno Mammen, Jens Perch Nielsen and C Tanggaard
April 2000
Paper No' EM/2000/385:
Read Abstract | Full Paper (pdf)

Tags: coupon bonds; kernel estimation; hilbert space; nonparametric regression; term structure estimation; yield curve; zero coupon.

Econometrics Paper
Some Practical Issues in Maximum Simulated Likelihood V A Hajivassiliou
November 1997
Paper No' EM/1997/340:
Read Abstract |

Tags: simulation estimation; maximum simulated likelihood; limited dependent variable models; antithetic acceleration.

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:
Read Abstract |

Tags: autocorrelation-consistent variance estimation; long-range dependence; simultaneous equations systems.

Econometrics Paper
The Method of Simulated Scores for the Estimation of LDV Models V A Hajivassiliou and DL McFadden
May 1997
Paper No' EM/1997/328:
Read Abstract |

Tags: limited dependent variable models; simulation estimation; gibbs resampling

Econometrics Paper
Semiparametric Estimation of a Sample Selection Model: A Simulation Study Marcia M Schafgans
March 1997
Paper No' EM/1997/326:
Read Abstract |

Tags: sample selection models; semiparametric estimation; error distributions; bandwidth parameter; two-step parametric estimator.

Econometrics Paper
Testing Game-Theoretic Models of Price Fixing Behaviour V A Hajivassiliou
March 1997
Paper No' EM/1997/324:
Read Abstract |

Tags: price-fixing; trigger-price mechanism; switching regression models; measurement errors; simulation estimation.

Econometrics Paper
Gender Wage Differences in Malaysia: Parametric and Semiparametric Estimation Marcia M Schafgans
March 1997
Paper No' EM/1997/325:
Read Abstract |

Tags: malaysia; gender wage differences; gender discrimination; wage determining characteristics; parametric and semiparametric estimation.

Econometrics Paper
Autocorrelation-Robust Inference - (Now published in 'Handbook of Statistics', vol.15, G S Maddala and C R Rao (eds), Elsevier Science Publishers BV (1997), pp.267-298.) Peter M Robinson and Carlos Velasco December 1996
Paper No' EM/1996/316:
Read Abstract |

Tags: time series; variance estimation; spectral methods

DARP Paper
Income Distribution in Brazil 1981-1990: Parametric and Non-Parametric Approaches Frank A Cowell, Francisco H.G. Ferreira and Julie Litchfield March 1996
Paper No' DARP 021:
Read Abstract | Order

Tags: income distribution; inequality; kernel density estimation; pareto functions; brazil

Econometrics Paper
Spectral Analysis for Bivariate Time Series with Long Memory - (Now published in 'Econometric Theory',12 (1997)pp.773-792.) Javier Hidalgo February 1996
Paper No' EM/1996/295:
Read Abstract |

Tags: long memory; spectral density matrix; spectral estimation; weighted autocovariance