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Econometrics Paper
Nonparametric instrumental regression with errors in variables Karun Adusumilli and Taisuke Otsu
July 2015
Paper No' EM/2015/585:
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JEL Classification: C26


Tags: nonparametric instrumental variable regression; measurement error; inverse problem; deconvolution; measurement error

Econometrics Paper
Robustness of bootstrap in instrumental variable regression Lorenzo Camponovo and Taisuke Otsu
January 2014
Paper No' EM/2014/572:
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JEL Classification: C14; C15


Tags: bootstrap; breakdown point; instrumental variables

Econometrics Paper
Adapting Kernel Estimation to Uncertain Smoothness Yulia Kotlyarova, Marcia M Schafgans and Victoria Zinde-Walsh
April 2011
Paper No' EM/2011/557:
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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:
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JEL Classification: C13; C14; C21


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

Econometrics Paper
ESTIMATION OF A SEMIPARAMETRIC IGARCH(1,1) MODEL Woocheol Kim and Oliver Linton
October 2009
Paper No' EM/2009/539:
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JEL Classification: C14


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

Econometrics Paper
An Alternative Way of Computing Efficient Instrumental Variable Estimators Xiaohong Chen, David T. Jacho-Chávez and Oliver Linton June 2009
Paper No' EM/2009/536:
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JEL Classification: C12, C13, C14.


Tags: instrumental variables; minimum distance; semiparametric efficiency; two-stage least squares

DARP Paper
The Class of Absolute Decomposable Inequality Measures Kristof Bosmans and Frank A Cowell
February 2009
Paper No' DARP 099:
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JEL Classification: D63; H20; H21


Tags: inequality measures; decomposability; translation invariance

DARP Paper
Modelling Vulnerability in the UK Sanghamitra Bandyopadhyay and Frank A Cowell
February 2007
Paper No' DARP 089:
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JEL Classification: D1; D31; I32


Tags: income variability; vulnerability; income dynamics; bhps

Econometrics Paper
ESTIMATING FEATURES OF A DISTRIBUTION FROM BINOMIAL DATA Arthur Lewbel, Oliver Linton and DL McFadden
September 2006
Paper No' EM/2006/507:
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JEL Classification: C14; C25; C42; H41


Tags: willingness to pay; contingent valuation; discrete choice; bi-nomial response; bioassay; destructive duration testing; semiparametric; nonparametric; latent variable models.

Econometrics Paper
Instrumental Variables Estimation of Stationary and Nonstationary Cointegrating Regressions Peter M Robinson and M. Gerolimetto April 2006
Paper No' EM/2006/500:
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JEL Classification: C32


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

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:
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JEL Classification: C13


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

Econometrics Paper
Forecasting the density of asset returns Trino-Manuel Niguez and Javier Perote
October 2004
Paper No' EM/2004/479:
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JEL Classification: C16; C53; G12


Tags: density forecasting; edgeworth-sargan distribution; probability integral transformations; p-value plots; var

Theoretical Economics Paper
Unforeseen Contingencies Nabil J Al-Najjar, Luca Anderlini and Leonardo Felli
February 2002
Paper No' TE/2002/431:
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Tags: unforeseen contingencies; incomplete contracts; finite invariance; fine variability.

DARP Paper
The Wild Bootstrap, Tamed at Last Russell Davidson and Emmanuel Flachaire
February 2001
Paper No' DARP 058:
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Tags: wild bootstrap; heteroskedasticity consistent covariance matrix estimator; size distortion.

Econometrics Paper
Nonparametric Censored and Truncated Regression Arthur Lewbel and Oliver Linton
April 2000
Paper No' EM/2000/389:
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Tags: semiparametric; nonparametric; censored regression; truncated regression; tobit; latent variable

Econometrics Paper
Interpolating Exogenous Variables in Open Continuous Time Dynamic Models J R McCrorie
December 1997
Paper No' EM/1997/344:
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Tags: continous time; exact discrete model; aliasing; exogenous variables; interpolation

Econometrics Paper
Some Practical Issues in Maximum Simulated Likelihood V A Hajivassiliou
November 1997
Paper No' EM/1997/340:
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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:
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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:
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Tags: limited dependent variable models; simulation estimation; gibbs resampling

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 for a Slowly Changing Level with Special Reference to Stochastic Volatility - (Now published in 'Journal of Econometrics', 87 (1998), pp.167-189.) Andrew C Harvey and Mariane Streibel March 1996
Paper No' EM/1996/306:
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Tags: exchange rates; garch model; locally best invariant test; serial correlation; stochastic volatility; unobserved components; von mises distribution.

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

DARP Paper
Identifying the Poor: A Multiple Indicator Approach Ramses H. Abul Naga
June 1994
Paper No' DARP 009:
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Tags: poverty; latent variable; indicators

Econometrics Paper
The Multivariate Invariance Principle for Globally Nonstationary Processes, with an Application to I(2) Models James Davidson  1993
Paper No' EM/1993/262:
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Tags: multivariate invariance principle; dependent processes; trending variances; global nonstationarity; gaussian diffusion process; stochastic integrals; integrated variables.

Econometrics Paper
Quasi-Maximum Likelihood Estimation of Stochastic Variance Models Esther Ruiz
 1992
Paper No' EM/1992/244:
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Tags: stochastic variance models; volatility; asymptotic and finite sample properties; qml estimator; generalized method of moments; autoregression.