Econometrics Papers

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SPECIFICATION FOR LATTICE PROCESSES
Javier Hidalgo, Myung Hwan Seo, May 2013
Paper No' EM/2013/562: Read Abstract | Full paper

Testing for Structural Stability in the Whole Sample
Javier Hidalgo, Myung Hwan Seo, September 2012
Paper No' EM/2013/561: Read Abstract | Full paper

ON TESTABILITY OF COMPLEMENTARITY IN MODELS WITH MULTIPLE EQUILIBRIA
Taisuke Otsu, Yoshiyasu Rai, February 2013
Paper No' EM/2013/560: Read Abstract | Full paper

Binary Choice Models with Discrete Regressors: Identification and Misspecification
Tatiana Komarova, May 2012
Paper No' EM/2012/559: Read Abstract | Full paper

TESTING FOR STRUCTURAL STABILITY IN THE WHOLE SAMPLE
Javier Hidalgo, Myunghwan Seo, October 2011
Paper No' EM/2011/558: Read Abstract | Full paper

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

Inference on Power Law Spatial Trends (Running Title: Power Law Trends)
Peter M Robinson, May 2011
Paper No' EM/2011/556: Read Abstract | Full paper

Asymptotic Theory for Nonparametric Regression with Spatial Data
Peter M Robinson, September 2010
Paper No' EM/2010/555: Read Abstract | Full paper

Statistical Inference on Regression with Spatial Dependence
Peter M Robinson, Supachoke Thawornkaiwong, April 2010
Paper No' EM/2010/554: Read Abstract | Full paper

Nonparametric Trending Regression with Cross-Sectional Dependence
Peter M Robinson, January 2010
Paper No' EM/2010/553: Read Abstract | Full paper

Quantile Uncorrelation and Instrumental Regression
Tatiana Komorova, Thomas Severini, Elie Tamer, September 2010
Paper No' EM/2010/552: Read Abstract | Full paper

Semiparametric Estimation of Locally Stationary Diffusion Models
Bonsoo Koo, Oliver Linton, August 2010
Paper No' EM/2010/551: Read Abstract | Full paper

Semiparametric Estimation of Markov Decision Processeswith Continuous State Space
Sorawoot Srisuma, Oliver Linton, August 2010
Paper No' EM/2010/550: Read Abstract | Full paper

Loch Linear Fitting under Near Epoch Dependence: Uniform Consistency with Convergence Rate
Degui Li, Zudi Lu, Oliver Linton, August 2010
Paper No' EM/2010/549: Read Abstract | Full paper

Estimation of Structural Optimization Models: A Note on Identification
Sorawoot Srisuma, May 2010
Paper No' EM/2010/547: Read Abstract | Full paper

Nonparametric Identification in Asymmetric Second-Price Auctions: A New Approach
Tatiana Komorova, October 2009
Paper No' EM/2009/545: Read Abstract | Full paper

Efficient Estimation of a Multivariate Multiplicative Volatility Model
Christian M. Hafner, Oliver Linton, October 2009
Paper No' EM/2009/541: Read Abstract | Full paper

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

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

Optimal Smoothing for a Computationally and Statistically Efficient Single Index Estimator
Wolfgang Härdle, Oliver Linton, Yingcun Xia, July 2009
Paper No' EM/2009/537: Read Abstract | Full paper

An Alternative Way of Computing Efficient Instrumental Variable Estimators
Xiaohong Chen, David T. Jacho-Chávez, Oliver Linton, June 2009
Paper No' EM/2009/536: Read Abstract | Full paper

Uniform Bahadur Representation for Local Polynomial Estimates of M-Regression and Its Application to The Additive Model
Efang Kong, Oliver Linton, Yingcun Xia, January 2009
Paper No' EM/2009/535: Read Abstract | Full paper

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

Large-Sample Inference on Spatial Dependence
Peter M Robinson, January 2009
Paper No' EM/2009/533: Read Abstract | Full paper

Inference On Nonparametrically Trending Time Series With Fractional Errors
Peter M Robinson, January 2009
Paper No' EM/2009/532: Read Abstract | Full paper

Developments in the Analysis of Spatial Data
Peter M Robinson, January 2009
Paper No' EM/2009/531: Read Abstract | Full paper

Correlation Testing in Time Series, Spatial and Cross-Sectional Data
Peter M Robinson, January 2009
Paper No' EM/2009/530: Read Abstract | Full paper

Smoothness Adaptive Average Derivative Estimation
Marcia M Schafgans, Victoria Zinde-Walshyz, August 2008
Paper No' EM/2008/529: Read Abstract | Full paper

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

Multiple Local Whittle Estimation in Stationary Systems
Peter M Robinson, October 2007
Paper No' EM/2007/525: Read Abstract | Full paper

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

Inference about Realized Volatility using Infill Subsampling
Ilze Kalnina, Oliver Linton, September 2007
Paper No' EM/2007/523: Read Abstract | Full paper

DIAGNOSTIC TESTING FOR COINTEGRATION
Peter Robinson, September 2007
Paper No' EM/2007/522: Read Abstract | Full paper

ON DISCRETE SAMPLING OF TIME-VARYING CONTINUOUS-TIME SYSTEMS
Peter Robinson, June 2007
Paper No' EM/2007/520: Read Abstract | Full paper

Fractional Cointegration In Stochastic Volatility Models
Afonso Gonçalves da Silva, Peter M Robinson, May 2007
Paper No' EM/2007/519: Read Abstract | Full paper

SPECIFICATION TESTING FOR REGRESSION MODELS WITH DEPENDENT DATA
Javier Hidalgo, May 2007
Paper No' EM/2007/518: Read Abstract | Full paper

Estimation of Nonlinear Error Correction Models
Myung Hwan Seo, March 2007
Paper No' EM/2007/517: Read Abstract | Full paper

SEMIPARAMETRIC ESTIMATION OF A BINARY RESPONSE MODEL WITH A CHANGE-POINT DUE TO A COVARIATE THRESHOLD
Sokbae Lee, Myunghwan Seo, February 2007
Paper No' EM/2007/516: Read Abstract | Full paper

Efficient Estimation of the Semiparametric Spatial Autoregressive Model
Peter M Robinson, February 2007
Paper No' EM/2007/515: Read Abstract | Full paper

Selectivity and the gender wage gap decomposition in the presence of a joint decision process
Marcia M Schafgans, Morton Stelcnery, December 2006
Paper No' EM/2006/513: Read Abstract | Full paper

Estimating Quadratic Variation Consistently in the Presence of Correlated Measurement Error
Ilze Kalnina, Oliver Linton, October 2006
Paper No' EM/2006/509: Read Abstract | Full paper

Identification and Nonparametric Estimation of a Transformed Additively Separable Model
David Jacho-Chávez, Arthur Lewbel, Oliver Linton, September 2006
Paper No' EM/2006/508: Read Abstract | Full paper

ESTIMATING FEATURES OF A DISTRIBUTION FROM BINOMIAL DATA
Arthur Lewbel, Oliver Linton, DL McFadden, September 2006
Paper No' EM/2006/507: Read Abstract | Full paper

Semiparametric Estimation of a Characteristic-based Factor Model of Common Stock Returns
Gregory Connor, Oliver Linton, September 2006
Paper No' EM/2006/506: Read Abstract | Full paper

Conditional-Sum-of-Squares Estimation of Models for Stationary Time Series with Long Memory
Peter M Robinson, September 2006
Paper No' EM/2006/505: Read Abstract | Full paper

TESTING FOR STOCHASTIC MONOTONICITY
Sokbae Lee, Oliver Linton, Yoon-Jae Whang, August 2006
Paper No' EM/2006/504: Read Abstract | Full paper

Nonparametric Transformation to White Noise
Oliver Linton, Enno Mammen, August 2006
Paper No' EM/2006/503: Read Abstract | Full paper

Semiparametric Estimation of Fractional Cointegration
Javier Hualde, Peter M Robinson, May 2006
Paper No' EM/2006/502: Read Abstract | Full paper

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

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

ROOT-N-CONSISTENT ESTIMATION OF WEAK FRACTIONAL COINTEGRATION
Javier Hualde, Peter M Robinson, March 2006
Paper No' EM/2006/499: Read Abstract | Full paper

Nonparametric Spectrum Estimation for Spatial Data
Peter M Robinson, February 2006
Paper No' EM/2006/498: Read Abstract | Full paper

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

A Smoothed Least Squares Estimator For Threshold Regression Models
Myunghwan Seo, Oliver Linton, October 2005
Paper No' EM/2005/496: Read Abstract | Full paper

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

A method of moments estimator for semiparametric index models
Bas Donkers, Marcia M Schafgans, July 2005
Paper No' EM/2005/493: Read Abstract | Full paper

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

Modelling Memory of Economic and Financial Time Series
Peter M Robinson, March 2005
Paper No' EM/2005/487: Read Abstract | Full paper

A Parametric Bootstrap Test for Cycles
Violetta Dalla, Javier Hidalgo, February 2005
Paper No' EM/2005/486: Read Abstract | Full paper

Testable Implications of Forecast Optimality
Andrew J. Patton, Allan Timmermann, January 2005
Paper No' EM/2005/485: Read Abstract | Full paper

Unit Root Test in a Threshold Autoregression: Asymptotic Theory and Residual-based Block Bootstrap
Myunghwan Seo, January 2005
Paper No' EM/2005/484: Read Abstract | Full paper

The Bootstrap and the Edgeworth Correction for Semiparametric Averaged Derivatives
Yoshihiko Nishiyama, Peter M Robinson, January 2005
Paper No' EM/2005/483: Read Abstract | Full paper

Distribution Free Goodness-of-Fit Tests for Linear Processes
Miguel A. Delgado, Javier Hidalgo, Carlos Velasco, January 2005
Paper No' EM/2005/482: Read Abstract | Full 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

Efficiency Improvements in Inference on Stationary and Nonstationary Fractional Time Series
Peter M Robinson, November 2004
Paper No' EM/2004/480: Read Abstract | Full paper

Forecasting the density of asset returns
Trino-Manuel Niguez, Javier Perote, October 2004
Paper No' EM/2004/479: Read Abstract | Full paper

Cointegration in Fractional Systems with Deterministic Trends
Fabrizio Iacone, Peter M Robinson, May 2004
Paper No' EM/2004/476: Read Abstract | Full paper

Nonparametric Inference for Unbalanced Time Series Data
Oliver Linton, April 2004
Paper No' EM/2004/474: Read Abstract | Full paper

ROBUST COVARIANCE MATRIX ESTIMATION: "HAC" Estimates with Long Memory/Antipersistence Correction
Peter M Robinson, March 2004
Paper No' EM/2004/471: Read Abstract | Full paper

The Distance between Rival Nonstationary Fractional Processes
Peter M Robinson, March 2004
Paper No' EM/2004/468: Read Abstract | Full paper

Consistent Testing for Stochastic Dominance under General Sampling Schemes
Oliver Linton, Esfandiar Maasoumi, Yoon-Jae Whang, December 2003
Paper No' EM/2003/466: Read Abstract | Full paper

A Quantilogram Approach to Evaluating Directional Predictability
Oliver Linton, Yoon-Jae Whang, November 2003
Paper No' EM/2003/463: Read Abstract | Full paper

A Bootstrap Causality Test for Covariance Stationary Processes
Javier Hidalgo, November 2003
Paper No' EM/2003/462: Read Abstract | Full paper

Nonparametric Estimation of Homothetic and Homothetically Separable Functions
Arthur Lewbel, Oliver Linton, October 2003
Paper No' EM/2003/461: Read Abstract | Full paper

LARCH, Leverage and Long Memory
Liudas Giraitis, Remigijus Leipus, Peter M Robinson, Donatas Surgailis, October 2003
Paper No' EM/2003/460: Read Abstract | Full paper

A Local Instrumental Variable Estimation Method for Generalized Additive Volatility Models
Woocheol Kim, Oliver Linton, May 2003
Paper No' EM/2003/456: Read Abstract | Full paper

Nonparametric Neural Network Estimation of Lyapunov Exponents and a Direct Test for Chaos
Oliver Linton, Mototsugu Shintani, May 2003
Paper No' EM/2003/455: Read Abstract | Full paper

Semiparametric Regression Analysis under Imputation for Missing Response Data
Wolfgang Haerdle, Oliver Linton, Qihua Wang, May 2003
Paper No' EM/2003/454: Read Abstract | Full paper

Estimating Semiparametric ARCH (∞) Models by Kernel Smoothing Methods
Oliver Linton, Enno Mammen, May 2003
Paper No' EM/2003/453: Read Abstract | Full paper

An Alternative Bootstrap to Moving Blocks for Time Series Regression Models
Javier Hidalgo, May 2003
Paper No' EM/2003/452: Read Abstract | Full paper

Asymptotic Expansions for Some Semiparametric Program Evaluation Estimators
Hidehiko Ichimura, Oliver Linton, May 2003
Paper No' EM/2003/451: Read Abstract | Full paper

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

Cointegration in Fractional Systems with Unkown Integration Orders
Javier Hualde, Peter M Robinson, February 2003
Paper No' EM/2003/449: Read Abstract | Full paper

Edgeworth Expansions for Semiparametric Whittle Estimation of Long Memory
Liudas Giraitis, Peter M Robinson, September 2002
Paper No' EM/2002/438: Read Abstract | Full paper

Denis Sargan: Some Perspectives
Peter M Robinson, September 2002
Paper No' EM/2002/437: Read Abstract | Full paper

Higher-Order Kernel Semiparametric M-Estimation of Long Memory
Marc Henry, Peter M Robinson, September 2002
Paper No' EM/2002/436: Read Abstract | Full paper

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

Nonparametric Neutral Network Estimation of Lyapunov Exponents and a Direct Test for Chaos
Oliver Linton, Mototsugu Shintani, March 2002
Paper No' EM/2002/434: Read Abstract | Full paper

Consistent Testing for Stochastic Dominance: A Subsampling Approach
Oliver Linton, Esfandiar Maasoumi, Yoon-Jae Whang, March 2002
Paper No' EM/2002/433: Read Abstract | Full paper

Consistent Order Selection with Strongly Dependent Data and its Application to Efficient Estimation
Javier Hidalgo, February 2002
Paper No' EM/2002/430: Read Abstract | Full paper

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

Gaussian Estimation of Parametric Spectral Density with Unknown Pole
Liudas Giraitis, Javier Hidalgo, Peter M Robinson, August 2001
Paper No' EM/2001/424: Read Abstract | Full paper

Determination of Cointegrating Rank in Fractional Systems
Peter M Robinson, Yoshihiro Yajima, July 2001
Paper No' EM/2001/423: Read Abstract | Full paper

Finite Sample Improvement in Statistical Inference with I(1) Processes
D Marinucci, Peter M Robinson, July 2001
Paper No' EM/2001/422: Read Abstract | Full paper

Narrow-Band Analysis of Nonstationary Processes
D Marinucci, Peter M Robinson, July 2001
Paper No' EM/2001/421: Read Abstract | Full paper

Semiparametric Fractional Cointegration Analysis
D Marinucci, Peter M Robinson, July 2001
Paper No' EM/2001/420: Read Abstract | Full paper

A Nonparametric Regression Estimator that Adapts to Error Distribution of Unknown Form
Oliver Linton, Zhijie Xiao, June 2001
Paper No' EM/2001/419: Read Abstract | Full paper

Prediction and Signal Extraction of Strong Dependent Processess in the Frequency Domain
Javier Hidalgo, Yoshihiro Yajima, June 2001
Paper No' EM/2001/418: Read Abstract | Full paper

Parametric Estimation under Long-Range Dependence
Liudas Giraitis, Peter M Robinson, May 2001
Paper No' EM/2001/416: Read Abstract | Full paper

The Estimation of Conditional Densities
Xiaohong Chen, Oliver Linton, Peter M Robinson, May 2001
Paper No' EM/2001/415: Read Abstract | Full paper

Estimating Multiplicative and Additive Hazard Functions by Kernel Methods
Oliver Linton, Jens Perch Nielsen, Sara van de Geer, February 2001
Paper No' EM/2001/411: Read Abstract | Full paper

The Memory of Stochastic Volatility Models
Peter M Robinson, February 2001
Paper No' EM/2001/410: Read Abstract | Full paper

The Averaged Periodogram for Nonstationary Vector Time Series
D Marinucci, Peter M Robinson, December 2000
Paper No' EM/2000/408: Read Abstract | Full paper

Whittle Estimation of ARCH Models
Liudas Giraitis, Peter M Robinson, November 2000
Paper No' EM/2000/406: Read Abstract | Full paper

Testing of Seasonal Fractional Integration in UK and Japanese Consumption and Income
L A Gil-Alaña, Peter M Robinson, November 2000
Paper No' EM/2000/402: Read Abstract | Full paper

Limit Theorems for Estimating the Parameters of Differentiated Product Demand Systems
Steve Berry, Oliver Linton, Ariel Pakes, July 2000
Paper No' EM/2000/400: Read Abstract | Full paper

Edgeworth Approximations for Semiparametric Instrumental Variable Estimators and Test Statistics
Oliver Linton, July 2000
Paper No' EM/2000/399: Read Abstract | Full paper

Testing the Capital Asset Pricing Model Efficiently under Elliptical Symmetry: A Semiparametric Approach
Douglas J Hodgson, Oliver Linton, Keith Vorkink, July 2000
Paper No' EM/2000/398: Read Abstract | Full paper

Nonparametric Estimation with Aggregated Data
Oliver Linton, Yoon-Jae Whang, July 2000
Paper No' EM/2000/397: Read Abstract | Full paper

Simulated Asymptotic Least Squares Theory
Ramdan Dridi, June 2000
Paper No' EM/2000/396: Read Abstract | Full paper

Noise and Competition in Strategic Oligopoly
Ramdan Dridi, Laurent Germain, June 2000
Paper No' EM/2000/395: Read Abstract | Full paper

Semi-Parametric Indirect Inference
Ramdan Dridi, Eric Renault, May 2000
Paper No' EM/2000/392: Read Abstract | Full paper

Whittle Pseudo-Maximum Likelihood Estimation for Nonstationary Time Series - (Now published in 'Journal of the American Statistical Association', 95, (2000), pp.1229-1243.)
Peter M Robinson, Carlos Velasco, May 2000
Paper No' EM/2000/391: Read Abstract | Full paper

Edgeworth Expansions for Spectral Density Estimates and Studentized Sample Mean - (Now published in 'Economic Theory', 17 (2001), pp.497-539.
Peter M Robinson, Carlos Velasco, May 2000
Paper No' EM/2000/390: Read Abstract | Full paper

Nonparametric Censored and Truncated Regression
Arthur Lewbel, Oliver Linton, April 2000
Paper No' EM/2000/389: Read Abstract | Full paper

Adaptive Varying-Coefficient Linear Models
Zongwu Cai, Jianqin Fan, Qiwei Yao, April 2000
Paper No' EM/2000/388: Read Abstract | Full paper

Nonparametric Test for Causality with Long-Range Dependence - (Now published in 'Econometrica', 68, (2000) pp.1465-1490.
Javier Hidalgo, April 2000
Paper No' EM/2000/387: Read Abstract | Full paper

The Existence and Asymptotic Properties of a Backfitting Projection Algorithm under Weak Conditions
Oliver Linton, Enno Mammen, N Nielsen, April 2000
Paper No' EM/2000/386: Read Abstract | Full paper

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

Stationarity and Memory of ARCH Models
Paolo Zaffaroni, March 2000
Paper No' EM/2000/383: Read Abstract | Full paper

A Model for Long Memory Conditional Heteroscedasticity - (Now published in 'Annals of Applied Probability', 10 (2000), pp.1002-1024.)
Liudas Giraitis, Peter M Robinson, Donatas Surgailis, March 2000
Paper No' EM/2000/382: Full paper

On Intercept Estimation in the Sample Selection Model
Marcia M Schafgans, January 2000
Paper No' EM/2000/380: Read Abstract | Full paper

Adaptive Semiparametric Estimation of the Memory Parameter - (Now published with revised title, Adaptive Rate-Optimal Estimation of the Memory Parameter, in 'Journal of Multivariate Analysis, 72 (2000), pp.183-207.)
Liudas Giraitis, Peter M Robinson, Alexander Samarov, January 2000
Paper No' EM/2000/379: Full paper

Contemporaneous Aggregation of GARCH Processes
Paolo Zaffaroni, January 2000
Paper No' EM/2000/378: Read Abstract | Full paper

Studentization in Edgworth Expansions for Estimates of Semiparametric Index Models - (Now published in C Hsiao, K Morimune and J Powell (eds): 'Nonlinear Statistical Modeling' (Festschrift for Takeshi Amemiya), (Cambridge University Press, 2001), pp.197-240.)
Y Nishiyama, Peter M Robinson, October 1999
Paper No' EM/1999/374: Read Abstract | Full paper

Edgeworth Expansions for Semiparametric Averaged Derivatives - (Now published in 'Econometrica', 68 (2000), pp.931-979.)
Y Nishiyama, Peter M Robinson, October 1999
Paper No' EM/1999/373: Read Abstract | Full paper

Testing for the Presence of a Random Walk in Series with Structural Breaks - (Now published in 'Journal of Time Series Analysis', 22 (2001), pp.127-150.)
Fabio Busetti, Andrew C Harvey, December 1998
Paper No' EM/1998/365: Read Abstract | Full paper

Variance-Type Estimation of Long Memory - (Now published in 'Stochastic Processes and their Applications', 29 (1999), pp.1-24.)
Liudas Giraitis, Peter M Robinson, October 1998
Paper No' EM/1998/363: Read Abstract | Full paper

Seasonal and Cyclical Long Memory - (Now published in S Ghosh (ed): 'Asymptotics, Nonparametrics and Time Series: A Tribute to Madam Lal Puri (Marcel Decker, 1999), pp.115-145.)
Josu Artech, Peter M Robinson, September 1998
Paper No' EM/1998/360: Read Abstract | Full paper

Semiparametric Inference in Seasonal and Cyclical Long Memory Processes - (Now published in 'Journal of Time Series Analysis', 21 (2000), pp.1-25.)
Josu Artech, Peter M Robinson, September 1998
Paper No' EM/1998/359: Read Abstract | Full paper

Long and Short Memory Conditional Heteroscedasticity in Estimating the Memory Parameter of Levels - (Now published in 'Econometric Theory', 15 (1999), pp.299-336.)
Marc Henry, Peter M Robinson, August 1998
Paper No' EM/1998/357: Read Abstract | Full paper

Alternative Forms of Fractional Brownian Motion - (Now published in 'Journal of Statistical Planning and Inference', 80 (1999), pp.111-122.)
D Marinucci, Peter M Robinson, July 1998
Paper No' EM/1998/354: Read Abstract | Full paper

Band Spectrum Regression for Cointegrated Time Series with Long Memory Innovations
D Marinucci, July 1998
Paper No' EM/1998/353: Read Abstract | Full paper

Weak Convergence of Multivariate Fractional Processes - (Now published in 'Stochastic Processes and their Applications', 80 (1999), pp.103-120.)
D Marinucci, Peter M Robinson, July 1998
Paper No' EM/1998/352: Read Abstract | Full paper

Aggregation of Simple Linear Dynamics: Exact Asymptotic Results
Marco Lippi, Paolo Zaffaroni, April 1998
Paper No' EM/1998/350: Read Abstract | Full paper

Semiparametric Frequency Domain Analysis of Fractional Cointegration - (Revised version forthcoming in P M Robinson: 'Time Series with Long Memory' (Oxford University Press).
D Marinucci, Peter M Robinson, March 1998
Paper No' EM/1998/348: Read Abstract | Full paper

Interpolating Exogenous Variables in Open Continuous Time Dynamic Models
J R McCrorie, December 1997
Paper No' EM/1997/344: Read Abstract

Deriving the Exact Discrete Analog of a Continuous Time System
J R McCrorie, December 1997
Paper No' EM/1997/343: Read Abstract

A Nonparametric Test for I(0) - (Now published in 'Review of Economic Studies', 65 (1998), pp.475-495.)
Ignacio Lobato, Peter M Robinson, November 1997
Paper No' EM/1997/342: Read Abstract

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

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

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: Read Abstract

Beta Convergence
C Michelacci, Paolo Zaffaroni, July 1997
Paper No' EM/1997/332: Read Abstract

Gaussian Estimation of Long-Range Dependent Volatility in Asset Prices
Paolo Zaffaroni, May 1997
Paper No' EM/1997/329: Read Abstract

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

Messy Time Series: A Unified Approach - (Now published in 'Advances in Econometrics', 13 (1998)pp.103-143.)
Andrew C Harvey, Siem Jan Koopman, J Penzer, March 1997
Paper No' EM/1997/327: Read Abstract

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

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

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

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, Alexander Samarov, February 1997
Paper No' EM/1997/323: Read Abstract

Nonlinear Time Series with Long Memory: A Model for Stochastic Volatility - (Now published in 'Journal of Statistical Planning and Inference', 68 (1998), pp.359-371.)
Peter M Robinson, Paolo Zaffaroni, January 1997
Paper No' EM/1997/320: Read Abstract

Modelling Nonlinearity and Long Memory in Time Series - (Now published in 'Nonlinear Dynamics and Time Series', C D Cutler and D T Kaplan (eds), Fields Institute Communications, 11 (1997), pp.61-170.)
Peter M Robinson, Paolo Zaffaroni, January 1997
Paper No' EM/1997/319: Read Abstract

Time Series Regression with Long Range Dependence - (Now published in 'Annals of Statistics', 25, (1997)pp.2054-2083.)
Javier Hidalgo, Peter M Robinson, January 1997
Paper No' EM/1997/318: Read Abstract

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, Peter M Robinson, December 1996
Paper No' EM/1996/317: Read Abstract

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, Carlos Velasco, December 1996
Paper No' EM/1996/316: Read Abstract

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, Siem Jan Koopman, March 1996
Paper No' EM/1996/307: Read Abstract

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, Mariane Streibel, March 1996
Paper No' EM/1996/306: Read Abstract

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: Read Abstract

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

Aggregate and Regional Disagggregate Fluctuations (Now published in Empirical Economics (1996), vol.21, no.1, pp.137-159.)
Danny Quah, August 1995
Paper No' EM/1995/290: Read Abstract

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, Marco Riani, 1995
Paper No' EM/1995/284: Read Abstract
Paper copy now out of print.

Measuring Core Inflation (Now published in Economic Journal, vol. 105, No. 432 (September 1995), pp.1130-1144.)
Danny Quah, Shaun P. Vahey, 1995
Paper No' EM/1995/282: Read Abstract

Empirics for Economic Growth and Convergence (Now published in European Economic Review, vol.40, no.6 (1996), pp.1353-1375.)
Danny Quah, 1995
Paper No' EM/1995/281: Read Abstract

Convergence Empirics Across Economies with (Some)Capital Mobility (Now published in Journal of Economic Growth, vol.1, No.1 ( March 1996),pp.95-124.)
Danny Quah, 1994
Paper No' EM/1994/275: Read Abstract
Paper copy now out of print.

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: Read Abstract

Estimation and Testing of Stochastic Variance Models
Andrew C Harvey, N.G. Shephard, 1993
Paper No' EM/1993/268: Read Abstract
Paper copy now out of print.

Seasonality in Dynamic Regression Models (Now published in Economic Journal 104 (1994), pp.1324-1345.)
Andrew C Harvey, Andrew Scott, 1993
Paper No' EM/1993/266: Read Abstract

Galton's Fallacy and Tests of the Convergence Hypothesis (Now published in Scandinavian Journal of Economics 95 (4), 1993, pp.427-443.)
Danny Quah, 1993
Paper No' EM/1993/265: Read Abstract

The Multivariate Invariance Principle for Globally Nonstationary Processes, with an Application to I(2) Models
James Davidson, 1993
Paper No' EM/1993/262: Read Abstract

Conditions for Strong and Uniform Mixing in Linear Processes
James Davidson, 1992
Paper No' EM/1992/251: Read Abstract

Deletion Diagnostics and Transformations for Time Series
A.C. Atkinson, N.G. Shephard, 1992
Paper No' EM/1992/245: Read Abstract

Quasi-Maximum Likelihood Estimation of Stochastic Variance Models
Esther Ruiz, 1992
Paper No' EM/1992/244: Read Abstract

The Central Limit Theorem for Globally Nonstationary Near-Epoch Dependent Functions of Mixing Processes: The Asymptotically Degenerate Case (Now published in Economic Theory 9 (1993), pp.402-412.)
James Davidson, 1992
Paper No' EM/1992/243: Read Abstract

An L1-Convergence Theorem for Heterogeneous Mixingale Arrays with Trending Moments (Now published in Statistics & Probability Letters 16 (1993), pp.301-304.)
James Davidson, 1992
Paper No' EM/1992/242: Read Abstract

Exact Score for Time Series Models in State Space Form (Now published in Biometrika (1992), 79, 4, pp.283-6.)
Siem Jan Koopman, N.G. Shephard, 1992
Paper No' EM/1992/241: Read Abstract
Paper copy now out of print.

Detrending, Stylized Facts and The Business Cycle (Now published in Journal of Applied Econometrics, vol.8 (1993), pp.231-247.)
Andrew C Harvey, Albert Jaeger, 1991
Paper No' EM/1991/230: Read Abstract

A Local Scale Model: An Unobserved Component Alternative to Integrated GARCH Processes (Now published in Journal of Econometrics, vol.60, (1994), pp.181-202.)
N.G. Shephard, 1990
Paper No' EM/1990/220:

Central Limit Theorems for Nonstationary Mixing Processes and Near-Epoch Dependent Functions (Now published in Economic Theory, vol.8, no.3 (1992).)
James Davidson, 1990
Paper No' EM/1990/216:

Cointegration in Recursive Systems: the Structure of Wage and Price Determination in the United Kingdom (Now published in Economic Journal RES/AUTE 1990 Conference Supplement, vol.101, March 1991, pp.239-251.)
James Davidson, Stephen Hall, 1989
Paper No' EM/1989/191:
Paper copy now out of print.

Least-Squares Autoregression with Near-Unit Root
Jan R. Magnus, Thomas J. Rothenberg, 1988
Paper No' EM/1988/178:
Paper copy now out of print.

The Exact Multiperiod Mean-Square Forecast Error for the First-Order Autoregressive Model with an Intercept (Now published in Journal of Econometrics, 42, (1989), pp.157-179.)
Jan R. Magnus, Bahram Pesaran, 1988
Paper No' EM/1988/169:
Paper copy now out of print.

The Bias of Forecasts from a First-Order Autoregression (Now published in Econometric Theory, 7, (1991), pp.222-235.)
Jan R. Magnus, Bahram Pesaran, 1987
Paper No' EM/1987/153:
Paper copy now out of print.

Cointegration in Linear Dynamic Systems (Now published in Journal of Time Series Analysis, 12,1 (1991), pp.41-62.)
James Davidson, 1986
Paper No' EM/1986/144:
Paper copy now out of print.

The Exact Multiperiod Mean-Square Forecast Error for the First-Order Autoregressive Model (Now published in Journal of Econometrics, 39, (1988), pp.327-346.)
Asraul Hoque, Jan R. Magnus, Bahram Pesaran, 1986
Paper No' EM/1986/139:
Paper copy now out of print.

The Exact Moments of a Ratio of Quadratic Forms in Normal Variables (Now published in Annales d'Economie et de Statistique, Vol.1 (1986).)
Jan R. Magnus, 1986
Paper No' EM/1986/136:
Paper copy now out of print.

A Note on Instrumental Variables and Maximum Likelihood Estimation Procedures (Now published in Annales d'Economie et de Statistique, 10, (1988), pp.121-138.)
Alberto Holly, Jan R. Magnus, 1986
Paper No' EM/1986/130:
Paper copy now out of print.

Some Properties of the Bordered Hessian Matrix (Now published in Advanced Lectures in Quantitative Economics (ed. F. van der Ploeg), (Academic Press, London, 1990), pp.583-604.)
Jan R. Magnus, 1985
Paper No' EM/1985/126:
Paper copy now out of print.

Some Evidence on the Robustness of Nonlinear FIQML
James Davidson, 1985
Paper No' EM/1985/121:
Paper copy now out of print.

Symmetry, 0-1 Matrices, and Jacobians: A Review (Now published in Econometric Theory, Vol.2 (1986).)
Jan R. Magnus, H. Neudecker, 1985
Paper No' EM/1985/111:
Paper copy now out of print.

Interfuel substitution and separability in Dutch Manufacturing: A Multivariate Error Components Approach (Now published in Applied Economics, 19, (1987), pp.1639-1664.)
Jan R. Magnus, Alan D. Woodland, 1985
Paper No' EM/1985/110:
Paper copy now out of print.

Money Disequilibrium: An Approach to Modelling Monetary Phenomena in the U.K. (Now published in The Operation and Regulation of Financial Markets, edited by Charles Goodhart, David Llewellyn and David Currie, (Macmillan, 1987).)
James Davidson, 1984
Paper No' EM/1984/96:
Paper copy now out of print.

A Generalization of the Univariate Logit Model and its Bivariate Extension
Takamitsu Sawa, 1984
Paper No' EM/1984/93:
Paper copy now out of print.

On Differentiating Eigenvalues and Eigenvectors (Now published in Econometric Theory, Vol.1 (1985).)
Jan R. Magnus, 1984
Paper No' EM/1984/105:
Paper copy now out of print.

Asymptotic Normality of the Maximum Likelihood Estimation in the Nonlinear Regression Model with Normal Errors (Now published in Econometric Theory, Vol.2 (1986) pp.374-412.)
Risto D.H. Heijmans, Jan R. Magnus, 1983
Paper No' EM/1983/83:
Paper copy now out of print.

Error Correction Systems
James Davidson, 1983
Paper No' EM/1983/79:
Paper copy now out of print.

Consistent Maximum Likelihood Estimation of the Nonlinear Regression Model with Normal Errors (Now published in Journal of Econometrics, Vol.32 (1986).)
Risto D.H. Heijmans, Jan R. Magnus, 1983
Paper No' EM/1983/75:
Paper copy now out of print.

On the Asymptotic Normality of the Maximum Likelihood Estimator with Dependent Observations (Now published in Statistica Neerlandia, Vol.40 (1986).)
Risto D.H. Heijmans, Jan R. Magnus, 1983
Paper No' EM/1983/74:
Paper copy now out of print.

Econometric Modelling of the Sterling Effective Exchange Rate (Now published in Review of Economic Studies, LII (1985), pp.231 240.)
James Davidson, 1983
Paper No' EM/1983/70:
Paper copy now out of print.

On the Consistency of the Maximum Likelihood Estimator with Dependent Observations (Now published in the Journal of Econometrics, Vol.32 (1986).)
Risto D.H. Heijmans, Jan R. Magnus, 1983
Paper No' EM/1983/68:
Paper copy now out of print.

Money Demand Stability in the U.K. and Error Correction Mechanism
Manfred Keil, 1983
Paper No' EM/1983/66:
Paper copy now out of print.

Computer Price Functions (Now published in Oxford Bulletin of Economics and Statistics, Vol.45, No.4, (1983), pp.339-356.)
Anthony Horsley, G.M.P. Swann, 1982
Paper No' EM/1982/39:
Paper copy now out of print.

Alternative Estimates for Systems with Log-Linear Stochastic Equations and Linear Identities
James Davidson, 1981
Paper No' EM/1981/29:
Paper copy now out of print.

An Econometric Model of the Money Supply and Balance of Payments in the United Kingdom
James Davidson, Manfred Keil, 1981
Paper No' EM/1981/27:
Paper copy now out of print.

Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of Inflationary Expectations (Now published in Econometrica, Vol.50, July 1982, pp.987-1007.)
Robert F. Engle, 1979
Paper No' EM/1979/01:
Paper copy now out of print.


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