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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:
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JEL Classification: C12; C13; C23


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

Econometrics Paper
Nonparametric Transformation to White Noise Oliver Linton and Enno Mammen
August 2006
Paper No' EM/2006/503:
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JEL Classification: C14


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

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

Econometrics Paper
Messy Time Series: A Unified Approach - (Now published in 'Advances in Econometrics', 13 (1998)pp.103-143.) Andrew C Harvey, Siem Jan Koopman and J Penzer March 1997
Paper No' EM/1997/327:
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Tags: arima models; data aggregation; importance sampling; irregularly spaced data; kalman filter; missing observations; outliers; smoother; splines; state space form; structural breaks; structural time series models; weekly observations.

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:
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Tags: time series; variance estimation; spectral methods

Econometrics Paper
Testing of Unit Root and Other Nonstationary Hypotheses in Macroeconomic Time Series - (Now published in 'Journal of Econometrics', 80, 1997, pp.241-268.) L A Gil-Alaña and Peter M Robinson December 1996
Paper No' EM/1996/317:
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Tags: nonstationarity; macroeconomic time series; fractional integration

Econometrics Paper
Multivariate Structural Time Series Models - (Now published in 'System Dynamics in Economic and Financial Models', CHeij, H Schumacher, B Hanzon and C Praagman (eds.) John Wiley & Sons, Chichester (1997), pp.269-298.) Andrew C Harvey and Siem Jan Koopman March 1996
Paper No' EM/1996/307:
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Tags: co-integration; commontrends; cycles; kalman filter; structural time series model; triangular representation

Econometrics Paper
The Modelling and Seasonal Adjustment of Weekly Observations - (Now published in 'Journal of Business and Economic Statistics', 15 (1997), pp.354-368.) Andrew C Harvey, Siem Jan Koopman and Marco Riani  1995
Paper No' EM/1995/284:
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Tags: structural time series model; seasonal adjustment; trend extraction; filtering and smoothin algorithms; money supply.

Econometrics Paper
Exploiting Cross Section Variation for Unit Root Inference in Dynamic Data (Now published in Economics Letters 44 (1), 1994, pp.9-19.) Danny Quah  1993
Paper No' EM/1993/270:
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Tags: random field; time series; panel data; unit root

Econometrics Paper
Deletion Diagnostics and Transformations for Time Series A.C. Atkinson and N.G. Shephard
 1992
Paper No' EM/1992/245:
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Tags: deletion diagnostics; structural time series models; regression parameters; index plots.

Econometrics Paper
Detrending, Stylized Facts and The Business Cycle (Now published in Journal of Applied Econometrics, vol.8 (1993), pp.231-247.) Andrew C Harvey and Albert Jaeger  1991
Paper No' EM/1991/230:
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Tags: detrending; filters; persistence; structural time series models.