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You searched for "Econometrics Papers"

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Robust estimation of moment condition models with weakly dependent data

Kirill Evdokimov,  Yuichi Kitamura,  Taisuke Otsu,  December 2014
Paper No' EM/2014/579: Read Abstract | Full paper (pdf)
Paper copy now out of print.
Tags: blocking; generalized empirical likelihood; hellinger distance; robustness; efficient estimation; mixing

Regularization for Spatial Panel Time Series Using the Adaptive LASSO

Clifford Lam,  Pedro Souza,  November 2014
Paper No' EM/2014/578: Read Abstract | Full paper (pdf)
Tags: spatial econometrics; adaptive lasso; sign consistency; asymptotic normality; non-asymptotic oracle inequalities; spatial weight matrices

Dynamic Panels with Threshold Effect and Endogeneity

Myung Hwan Seo,  Yongcheol Shin,  September 2014
Paper No' EM/2014/577: Read Abstract | Full paper (pdf)
Tags: dynamic panel threshold models; endogenous threshold effects and regressors; fd-gmm and fd-2sls estimation; linearity test; exogeneity test; investment and dividend smoothing.

A Cusum Test of Common Trends in Large Heterogeneous Panels

Javier Hidalgo,  Jungyoon Lee,  August 2014
Paper No' EM/2014/576: Read Abstract | Full paper (pdf)
Tags: common trends; large data set; partial linear models; bootstrap algorithms

Estimation of Nonseparable Models with Censored Dependent Variables and Endogenous Regressors.

Taisuke Otsu,  Luke Taylor,  August 2014
Paper No' EM/2014/575: Read Abstract | Full paper (pdf)

Empirical Likelihood for Random Sets

Karun Adusumilli,  Taisuke Otsu,  June 2014
Paper No' EM/2014/574: Read Abstract | Full paper (pdf)

Empirical Likelihood for Regression Discontinuity Design

Taisuke Otsu,  Ke-Li Xu,  Yukitoshi Matsushita,  February 2014
Paper No' EM/2014/573: Full paper (pdf)

Robustness of bootstrap in instrumental variable regression

Lorenzo Camponovo,  Taisuke Otsu,  January 2014
Paper No' EM/2014/572: Read Abstract | Full paper (pdf)
Tags: bootstrap; breakdown point; instrumental variables

Asymptotics for maximum score method under general conditions

Myung Hwan Seo,  Taisuke Otsu,  January 2014
Paper No' EM/2014/571: Read Abstract | Full paper (pdf)
Tags: maximum score; cube root asymptotics; set inference

Series Estimation under Cross-sectional Dependence

Jungyoon Lee,  Peter M Robinson,  June 2013
Paper No' EM/2013/570: Read Abstract | Full paper (pdf)
Tags: series estimation; nonparametric regression; spatial data; cross-sectional dependence; uniform rate of consistency; functional central limit the- orem; data-driven studentization

Panel Nonparametric Regression with Fixed Effects

Jungyoon Lee,  Peter M Robinson,  March 2013
Paper No' EM/2013/569: Read Abstract | Full paper (pdf)
Tags: panel data; nonparametric regression; cross-sectional dependence; generalized least squares; optimal bandwidth

Non-Nested Testing of Spatial Correlation

Miguel A. Delgado,  Peter M Robinson,  November 2013
Paper No' EM/2013/568: Read Abstract | Full paper (pdf)
Tags: on-nested test; spatial correlation; pseudo maximum likelihood estimation

Efficient Inference on Fractionally Integrated Panel Data Models with Fixed Effects

Peter M Robinson,  Carlos Velasco,  March 2013
Paper No' EM/2013/567: Read Abstract | Full paper (pdf)
Tags: panel data; fractional time series; estimation; testing; bias correction

Improved Lagrange Multiplier Tests in Spatial Autoregressions

Peter M Robinson,  Francesca Rossi,  October 2013
Paper No' EM/2013/566: Read Abstract | Full paper (pdf)
Tags: spatial autocorrelation; lagrange multiplier test; edgeworth expansion; bootstrap; finite-sample corrections.

Improved Tests for Spatial Correlation

Peter M Robinson,  Francesca Rossi,  May 2013
Paper No' EM/2013/565: Read Abstract | Full paper (pdf)
Tags: spatial autocorrelation; ordinary least squares; hypothesis testing; edgeworth expansion; bootstrap.

Extremum Sieve Estimation in k-out-of-n Systems

Tatiana Komarova,  July 2013
Paper No' EM/2013/564: Read Abstract | Full paper (pdf)
Tags: k-out-of-n systems; competing risks; sieve estimation; bernstein polynomials

Testing for equality of an increasing number of spectral density functions

Javier Hidalgo,  Pedro Souza,  Pedro Souza,  June 2013
Paper No' EM/2013/563: Read Abstract | Full paper (pdf)

SPECIFICATION FOR LATTICE PROCESSES

Javier Hidalgo,  Myung Hwan Seo,  May 2013
Paper No' EM/2013/562: Read Abstract | Full paper (pdf)
Tags: specification test; spatial processes; lattice; spectral domain; cusum; bootstrap.

Testing for Structural Stability in the Whole Sample

Javier Hidalgo,  Myung Hwan Seo,  September 2012
Paper No' EM/2013/561: Read Abstract | Full paper (pdf)
Tags: structural stability; gmm estimation; strong approximation; extreme value distribution.

ON TESTABILITY OF COMPLEMENTARITY IN MODELS WITH MULTIPLE EQUILIBRIA

Taisuke Otsu,  Yoshiyasu Rai,  February 2013
Paper No' EM/2013/560: Read Abstract | Full paper (pdf)
Tags: complementarity; testability; quantile.

Binary Choice Models with Discrete Regressors: Identification and Misspecification

Tatiana Komarova,  May 2012
Paper No' EM/2012/559: Read Abstract | Full paper (pdf)
Tags: binary response models; discrete regressors; partial identification; misspecification; support vector machines

TESTING FOR STRUCTURAL STABILITY IN THE WHOLE SAMPLE

Javier Hidalgo,  Myunghwan Seo,  October 2011
Paper No' EM/2011/558: Read Abstract | Full paper (pdf)
Tags: structural stability. gmm estimation. strong approximation. extreme value distribution.

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

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 (pdf)
Tags: asymptotic normality; consistency; correlation; generalized polynomial; lattice; power law.0út

Asymptotic Theory for Nonparametric Regression with Spatial Data

Peter M Robinson,  September 2010
Paper No' EM/2010/555: Read Abstract | Full paper (pdf)
Tags: nonparametric regression; spatial data; weak dependence; long range dependence; heterogeneity; consistency; central limit theorem.;

Statistical Inference on Regression with Spatial Dependence

Peter M Robinson,  Supachoke Thawornkaiwong,  April 2010
Paper No' EM/2010/554: Read Abstract | Full paper (pdf)
Tags: linear regression; partly linear regression; nonparametric regression; spatial data; instrumental variables; asymptotic normality; variance estimation

Nonparametric Trending Regression with Cross-Sectional Dependence

Peter M Robinson,  January 2010
Paper No' EM/2010/553: Read Abstract | Full paper (pdf)
Tags: panel data; nonparametric time trend; cross-sectional dependence; generalized least squares; optimal bandwidthw

Quantile Uncorrelation and Instrumental Regression

Tatiana Komorova,  Thomas Severini,  Elie Tamer,  September 2010
Paper No' EM/2010/552: Read Abstract | Full paper (pdf)

Semiparametric Estimation of Locally Stationary Diffusion Models

Bonsoo Koo,  Oliver Linton,  August 2010
Paper No' EM/2010/551: Read Abstract | Full paper (pdf)
Tags: diffusion processes; local stationarity; term structure dynamics; density matching; option pricing.

Semiparametric Estimation of Markov Decision Processeswith Continuous State Space

Sorawoot Srisuma,  Oliver Linton,  August 2010
Paper No' EM/2010/550: Read Abstract | Full paper (pdf)
Tags: discrete markov decision models; kernel smoothing; markovian games; semi-parametric estimation; well-posed inverse problem.d

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

Estimation of Structural Optimization Models: A Note on Identification

Sorawoot Srisuma,  May 2010
Paper No' EM/2010/547: Read Abstract | Full paper (pdf)
Tags: consistency; identification; optimization models

Nonparametric Identification in Asymmetric Second-Price Auctions: A New Approach

Tatiana Komorova,  October 2009
Paper No' EM/2009/545: Read Abstract | Full paper (pdf)

Efficient Estimation of a Multivariate Multiplicative Volatility Model

Christian M. Hafner,  Oliver Linton,  October 2009
Paper No' EM/2009/541: Read Abstract | Full paper (pdf)
Tags: garch; kernel estimation; local stationarity; semiparametric

ESTIMATION OF A SEMIPARAMETRIC IGARCH(1,1) MODEL

Woocheol Kim,  Oliver Linton,  October 2009
Paper No' EM/2009/539: Read Abstract | Full paper (pdf)
Tags: inverse problem; instrumental variable; igarch; kernel estimation; nonparametric regression

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 (pdf)
Tags: kernel estimation; forecasting; panel data; unit roots

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 (pdf)
Tags: ade; asymptotics; bandwidth; mave method; semiparametric efficiency.

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

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 (pdf)

Nonparametric Estimation of a Polarization Measure

Gordon Anderson,  Oliver Linton,  Yoon-Jae Whang,  June 2009
Paper No' EM/2009/534: Read Abstract | Full paper (pdf)
Tags: kernel estimation; inequality; overlap coefficient; poissonization

Large-Sample Inference on Spatial Dependence

Peter M Robinson,  January 2009
Paper No' EM/2009/533: Read Abstract | Full paper (pdf)
Tags: spatial dependence; parameter estimation; asymptotic theory; independence testing.

Inference On Nonparametrically Trending Time Series With Fractional Errors

Peter M Robinson,  January 2009
Paper No' EM/2009/532: Read Abstract | Full paper (pdf)

Developments in the Analysis of Spatial Data

Peter M Robinson,  January 2009
Paper No' EM/2009/531: Read Abstract | Full paper (pdf)

Correlation Testing in Time Series, Spatial and Cross-Sectional Data

Peter M Robinson,  January 2009
Paper No' EM/2009/530: Read Abstract | Full paper (pdf)
Tags: heteroscedasticity; lagrange multiplier tests.

Smoothness Adaptive Average Derivative Estimation

Marcia M Schafgans,  Victoria Zinde-Walshyz,  August 2008
Paper No' EM/2008/529: Read Abstract | Full paper (pdf)
Tags: nonparametric estimation; density weighted average derivative estimator; combined estimator.

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

Multiple Local Whittle Estimation in Stationary Systems

Peter M Robinson,  October 2007
Paper No' EM/2007/525: Read Abstract | Full paper (pdf)
Tags: long memory; phase; cointegration; semiparametric estimation; consistency; asymptotic normality.

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

Inference about Realized Volatility using Infill Subsampling

Ilze Kalnina,  Oliver Linton,  September 2007
Paper No' EM/2007/523: Read Abstract | Full paper (pdf)
Tags: realised volatility; semimartingale; subsampling; infill asymptotic scheme

DIAGNOSTIC TESTING FOR COINTEGRATION

Peter Robinson,  September 2007
Paper No' EM/2007/522: Read Abstract | Full paper (pdf)
Tags: fractional cointegration; diagnostic testing; specification testing; cointegrating rank; semiparametric estimation.

ON DISCRETE SAMPLING OF TIME-VARYING CONTINUOUS-TIME SYSTEMS

Peter Robinson,  June 2007
Paper No' EM/2007/520: Read Abstract | Full paper (pdf)
Tags: stochastic differential equations; time-varying coefficients; discrete sampling; irregular sampling.

Fractional Cointegration In Stochastic Volatility Models

Afonso  Gonçalves da Silva,  Peter M Robinson,  May 2007
Paper No' EM/2007/519: Read Abstract | Full paper (pdf)
Tags: fractional cointegration; stochastic volatility; narrow band least squares; semiparametric analysis.

SPECIFICATION TESTING FOR REGRESSION MODELS WITH DEPENDENT DATA

Javier Hidalgo,  May 2007
Paper No' EM/2007/518: Read Abstract | Full paper (pdf)
Tags: functional specification. variable selection. nonparametric kernel regression. frequency domain bootstrap.

Estimation of Nonlinear Error Correction Models

Myung Hwan Seo,  March 2007
Paper No' EM/2007/517: Read Abstract | Full paper (pdf)
Tags: threshold cointegration; smooth transition error correction; least squares; smoothed least squares; consistency; convergence rate.

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 (pdf)
Tags: binary response model; maximum score estimation; semiparametric estimation; threshold regression; nonlinear random utility models.

Efficient Estimation of the Semiparametric Spatial Autoregressive Model

Peter M Robinson,  February 2007
Paper No' EM/2007/515: Read Abstract | Full paper (pdf)
Tags: spatial autoregression; efficient estimation; adaptive estimation; simultaneity bias. © the author. all rights reserved. short sections of text; not to exceed two paragraphs; may be quoted without explicit permission provided that full credit; including © notice; is given to the source.

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 (pdf)
Tags: sample selection model; gender wage differences; oaxaca wage decomposition; ‘discrimination’.

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 (pdf)
Tags: endogenous noise; market microstructure; realised volatility; semimartingale

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 (pdf)
Tags: partly separable models; nonparametric regression; dimension reduction; generalized homothetic function; production function.

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

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 (pdf)
Tags: characteristic-based factor model; arbitrage pricing theory; kernel estimation; nonparametric estimation.

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 (pdf)
Tags: long memory; conditional-sum-of-squares estimation; central limit theorem; almost sure convergence.

TESTING FOR STOCHASTIC MONOTONICITY

Sokbae Lee,  Oliver Linton,  Yoon-Jae Whang,  August 2006
Paper No' EM/2006/504: Read Abstract | Full paper (pdf)
Tags: distribution function; extreme value theory; gaussian process; monotonicity.

Nonparametric Transformation to White Noise

Oliver Linton,  Enno Mammen,  August 2006
Paper No' EM/2006/503: Read Abstract | Full paper (pdf)
Tags: efficiency; inverse problem; kernel estimation; nonparametric regression; time series; unit roots.

Semiparametric Estimation of Fractional Cointegration

Javier Hualde,  Peter M Robinson,  May 2006
Paper No' EM/2006/502: Read Abstract | Full paper (pdf)
Tags: fractional cointegration; semiparametric model; unknown integration orders.

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 (pdf)
Tags: fractional cointegration; memory estimation; stochastic volatility.

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

ROOT-N-CONSISTENT ESTIMATION OF WEAK FRACTIONAL COINTEGRATION

Javier Hualde,  Peter M Robinson,  March 2006
Paper No' EM/2006/499: Read Abstract | Full paper (pdf)
Tags: fractional cointegration; parametric estimation; asymptotic normality.

Nonparametric Spectrum Estimation for Spatial Data

Peter M Robinson,  February 2006
Paper No' EM/2006/498: Read Abstract | Full paper (pdf)
Tags: nonparametric spectrum estimation; edge effect; tapering.

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 (pdf)
Tags: long memory; semiparametric estimation; local whittle estimator.

A Smoothed Least Squares Estimator For Threshold Regression Models

Myunghwan Seo,  Oliver Linton,  October 2005
Paper No' EM/2005/496: Read Abstract | Full paper (pdf)
Tags: index model; sample splitting; segmented regression; smoothing; threshold estimation.

Pseudo-Maximum Likelihood Estimation of ARCH(∞) Models

Peter M Robinson,  Paolo Zaffaroni,  October 2005
Paper No' EM/2005/495: Read Abstract | Full paper (pdf)
Tags: arch (8); pseudo-maximum likelihood estimation; asymptotic inference

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

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

Modelling Memory of Economic and Financial Time Series

Peter M Robinson,  March 2005
Paper No' EM/2005/487: Read Abstract | Full paper (pdf)
Tags: long memory; short memory; stochastic volatility

A Parametric Bootstrap Test for Cycles

Violetta Dalla,  Javier Hidalgo,  February 2005
Paper No' EM/2005/486: Read Abstract | Full paper (pdf)
Tags: cyclical data; strong and weak dependence; spectral density functions; whittle estimator; bootstrap algorithms

Testable Implications of Forecast Optimality

Andrew J. Patton,  Allan Timmermann,  January 2005
Paper No' EM/2005/485: Read Abstract | Full paper (pdf)
Tags: forecast evaluation; loss function; rationality tests

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 (pdf)
Tags: threshold autoregression; unit root test; threshold cointegration; residual-based block bootstrap

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 (pdf)
Tags: bootstrap; edgeworth correction; semiparametric averaged derivatives

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 (pdf)
Tags: nonparametric model checking; spectral distribution; linear processes; martingale decomposition; local alternatives; omnibus; smooth and directional tests; long-range alternatives

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

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 (pdf)
Tags: fractional processes; efficient semiparametric estimation; adaptive estimation; nonstationary processes; series estimation; m-estimation

Forecasting the density of asset returns

Trino-Manuel Niguez,  Javier Perote,  October 2004
Paper No' EM/2004/479: Read Abstract | Full paper (pdf)
Tags: density forecasting; edgeworth-sargan distribution; probability integral transformations; p-value plots; var

Cointegration in Fractional Systems with Deterministic Trends

Fabrizio Iacone,  Peter M Robinson,  May 2004
Paper No' EM/2004/476: Read Abstract | Full paper (pdf)
Tags: fractional cointegration; deterministic trends; ordinary least squares estimation; generalized least squares estimation; wald tests.

Nonparametric Inference for Unbalanced Time Series Data

Oliver Linton,  April 2004
Paper No' EM/2004/474: Read Abstract | Full paper (pdf)
Tags: bootstrap; efficient; hac estimation; missing data; subsampling.

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 (pdf)
Tags: covariance matrix estimation; long memory; antipersistence correction; hac estimates; vector process; spectral density.

The Distance between Rival Nonstationary Fractional Processes

Peter M Robinson,  March 2004
Paper No' EM/2004/468: Read Abstract | Full paper (pdf)
Tags: nonstationary fractional processes; memory parameter estimation; fractional cointegration; rates of convergence.

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 (pdf)
Tags: bootstrap; dominance; kolmogorov-smirnov; subsampling.

A Quantilogram Approach to Evaluating Directional Predictability

Oliver Linton,  Yoon-Jae Whang,  November 2003
Paper No' EM/2003/463: Read Abstract | Full paper (pdf)
Tags: correlogram; dependence; efficient markets; quantiles.

A Bootstrap Causality Test for Covariance Stationary Processes

Javier Hidalgo,  November 2003
Paper No' EM/2003/462: Read Abstract | Full paper (pdf)
Tags: causality tests; long range; bootstrap tests.

Nonparametric Estimation of Homothetic and Homothetically Separable Functions

Arthur Lewbel,  Oliver Linton,  October 2003
Paper No' EM/2003/461: Read Abstract | Full paper (pdf)
Tags: cost function; economic scale; homogeneous function; homothetic function; index models; nonparametric; production function; separability.

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 (pdf)
Tags: leverage; long memory; linear arch; larch; finiteness of moments.

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 (pdf)
Tags: arch; kernel estimation; nonparametric; volatility.

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 (pdf)
Tags: artificial neural networks; nonlinear dynamics; nonlinear time series; nonparametric regression; sieve estimation

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 (pdf)
Tags: asymptotic normality; empirical likelihood; semiparametric imputation.

Estimating Semiparametric ARCH (∞) Models by Kernel Smoothing Methods

Oliver Linton,  Enno Mammen,  May 2003
Paper No' EM/2003/453: Read Abstract | Full paper (pdf)
Tags: arch; inverse problem; kernel estimation; news impact curve; nonparametric regression; profile likelihood; semiparametric estimation; volatility

An Alternative Bootstrap to Moving Blocks for Time Series Regression Models

Javier Hidalgo,  May 2003
Paper No' EM/2003/452: Read Abstract | Full paper (pdf)
Tags: least squares estimation; long-range estimation; bootstrap methods.

Asymptotic Expansions for Some Semiparametric Program Evaluation Estimators

Hidehiko Ichimura,  Oliver Linton,  May 2003
Paper No' EM/2003/451: Read Abstract | Full paper (pdf)
Tags: bandwidth selection; kernel estimation; program evaluation; semiparametric estimation; treatment effect.

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

Cointegration in Fractional Systems with Unkown Integration Orders

Javier Hualde,  Peter M Robinson,  February 2003
Paper No' EM/2003/449: Read Abstract | Full paper (pdf)
Tags: fractional cointegration; unknown integration orders; system estimates; mixed normal asymptotics.

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 (pdf)
Tags: edgeworth expansion; long memory; semiparametric estimation.

Denis Sargan: Some Perspectives

Peter M Robinson,  September 2002
Paper No' EM/2002/437: Read Abstract | Full paper (pdf)
Tags: denis sargan; tooke chair of economic science and statistics; asymptotic theory and large models; semiparametric econometrics.

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 (pdf)
Tags: long memory; semiparametric methods; higher-order kernel; m-estimation; bias; mean-squared error.

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 (pdf)
Tags: backfitting; efficiency; kernel estimation; time series.

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 (pdf)
Tags: artificial neural networks; nonlinear dynamics; nonlinear time series; nonparametric regression; sieve estimation.

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 (pdf)
Tags: prospect theory; stochastic dominance; stochastic equicontinuity; subsampling.

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 (pdf)
Tags: order selection; distributed lag models; strong dependence.

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 (pdf)
Tags: time series regression; long memory; adaptive estimation.

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 (pdf)
Tags: long-range dependence; unknown pole.

Determination of Cointegrating Rank in Fractional Systems

Peter M Robinson,  Yoshihiro Yajima,  July 2001
Paper No' EM/2001/423: Read Abstract | Full paper (pdf)
Tags: fractional cointegration; long memory.

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 (pdf)
Tags: fully-modified ordinary least squares; finite sample improvements; statistical inference with i(1) processes; monte carlo study; parametric estimates.

Narrow-Band Analysis of Nonstationary Processes

D Marinucci,  Peter M Robinson,  July 2001
Paper No' EM/2001/421: Read Abstract | Full paper (pdf)
Tags: nonstationary processes; long-range dependence; least squares estimation; narrow-band estimation; cointegration analysis.

Semiparametric Fractional Cointegration Analysis

D Marinucci,  Peter M Robinson,  July 2001
Paper No' EM/2001/420: Read Abstract | Full paper (pdf)
Tags: semiparametric analysis; fractional cointegration.

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 (pdf)
Tags: adaptive estimation; asymptotic expansions; efficiency; kernel; local likelihood estimation; nonparametric regression.

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 (pdf)
Tags: prediction; strong dependence; spectral density function; canonical factorization; signal extraction.

Parametric Estimation under Long-Range Dependence

Liudas Giraitis,  Peter M Robinson,  May 2001
Paper No' EM/2001/416: Read Abstract | Full paper (pdf)
Tags: parametric estimation; long-range dependence.

The Estimation of Conditional Densities

Xiaohong Chen,  Oliver Linton,  Peter M Robinson,  May 2001
Paper No' EM/2001/415: Read Abstract | Full paper (pdf)
Tags: conditional density estimation; serial dependence; bandwidth choice.

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 (pdf)
Tags: additive model; censoring; kernel; proportional hazards; survival analysis

The Memory of Stochastic Volatility Models

Peter M Robinson,  February 2001
Paper No' EM/2001/410: Read Abstract | Full paper (pdf)
Tags: stochastic volatility; long memory; nonlinear functions of gaussian processes

The Averaged Periodogram for Nonstationary Vector Time Series

D Marinucci,  Peter M Robinson,  December 2000
Paper No' EM/2000/408: Read Abstract | Full paper (pdf)
Tags: averaged periodogram; nonstationary processes; fractional brownian motion.

Whittle Estimation of ARCH Models

Liudas Giraitis,  Peter M Robinson,  November 2000
Paper No' EM/2000/406: Read Abstract | Full paper (pdf)
Tags: arch models; whittle estimation.

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 (pdf)
Tags: fractional integration; nonstationarity; seasonality

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 (pdf)
Tags: choice models; method of moments; multinominal; random coefficients; vertical model

Edgeworth Approximations for Semiparametric Instrumental Variable Estimators and Test Statistics

Oliver Linton,  July 2000
Paper No' EM/2000/399: Read Abstract | Full paper (pdf)
Tags: bandwidth selection; edgeworth approximation; instrumental viariables; kernel estimation; local polynomials.

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 (pdf)
Tags: adaptive estimation; capital asset pricing model; efficiency

Nonparametric Estimation with Aggregated Data

Oliver Linton,  Yoon-Jae Whang,  July 2000
Paper No' EM/2000/397: Read Abstract | Full paper (pdf)
Tags: aggregated data; deconvolution; grouped data; kernel; nonparametric regression

Simulated Asymptotic Least Squares Theory

Ramdan Dridi,  June 2000
Paper No' EM/2000/396: Read Abstract | Full paper (pdf)
Tags: simulated asymptotic least squares; approximation-based and simulation-based estimation; efficiency bounds in direction; gmm; snls; spml; smm; ii; gii; emm.

Noise and Competition in Strategic Oligopoly

Ramdan Dridi,  Laurent Germain,  June 2000
Paper No' EM/2000/395: Read Abstract | Full paper (pdf)
Tags: competition; optimal noise; price manipulation

Semi-Parametric Indirect Inference

Ramdan Dridi,  Eric Renault,  May 2000
Paper No' EM/2000/392: Read Abstract | Full paper (pdf)
Tags: indirect inference; partial encompassing; pseudo-true value of interest; structural models; instrumental models; wald encompassing tests.

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 (pdf)
Tags: long-range dependence; nonstationary long memory time series; nonstationary fractional models; frequency domain estimation; tapering.

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 (pdf)
Tags: edgeworth expansions; nonparametric spectral estimates; stationary gaussian series; studentized sample mean; bandwidth choice.

Nonparametric Censored and Truncated Regression

Arthur Lewbel,  Oliver Linton,  April 2000
Paper No' EM/2000/389: Read Abstract | Full paper (pdf)
Tags: semiparametric; nonparametric; censored regression; truncated regression; tobit; latent variable

Adaptive Varying-Coefficient Linear Models

Zongwu Cai,  Jianqin Fan,  Qiwei Yao,  April 2000
Paper No' EM/2000/388: Read Abstract | Full paper (pdf)
Tags: akaike information criterion; backfitting algorithm; generalised cross-validation; local linear regression; local significant variable selection; one-step estimation; smoothing index; varying-coefficient linear models.

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 (pdf)
Tags: causality; long-range dependence; spectral analysis; distributed lag model; consistent test

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 (pdf)
Tags: additive models; alternating projections; backfitting; kernel smoothing; local polynomials; nonparametric regression.

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

Stationarity and Memory of ARCH Models

Paolo Zaffaroni,  March 2000
Paper No' EM/2000/383: Read Abstract | Full paper (pdf)
Tags: arch (8); garch(p; q); nonlinear moving average representation; strict and weak stationarity; memory.

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 (pdf)
Tags: long-range dependence; semiparametric model; rates of convergence; adaptive bandwidth selection.

On Intercept Estimation in the Sample Selection Model

Marcia M Schafgans,  January 2000
Paper No' EM/2000/380: Read Abstract | Full paper (pdf)
Tags: asymptotic normality; sample selection model; semiparametric estimation

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 (pdf)
Tags: long-range dpendence; semiparametric model; rates of convergence; adaptive bandwidth selection.

Contemporaneous Aggregation of GARCH Processes

Paolo Zaffaroni,  January 2000
Paper No' EM/2000/378: Read Abstract | Full paper (pdf)
Tags: contemporaneous aggregation; garch; conditionally heteroskedastic factor models; common and idiosyncratic risk; nonlinearity; memory

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 (pdf)
Tags: edgeworth expansions; semiparametric estimates; averaged derivatives

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 (pdf)
Tags: edgeworth expansion; semiparametric estimates; averaged derivatives

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 (pdf)
Tags: brownian bridge; cram?r-von mises distribution; intervention analysis; locally best invariant test; structural time series model; unobserved components.

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 (pdf)
Tags: long memory; aggregation; semiparametric model

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 (pdf)
Tags: long memory; seasonal time series; cyclic time series

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 (pdf)
Tags: semiparametric inference; long memory; seasonality

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 (pdf)
Tags: long memory; dynamic conditional heteroscedasticity; semiparametric estimation

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 (pdf)
Tags: frational brownian motion; nonstationary time series; long-range dependence

Band Spectrum Regression for Cointegrated Time Series with Long Memory Innovations

D Marinucci,  July 1998
Paper No' EM/1998/353: Read Abstract | Full paper (pdf)
Tags: long-range dependence; band spectrum regression; cointegration

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 (pdf)
Tags: nonstationary fractional integration; functional central limit theorem

Aggregation of Simple Linear Dynamics: Exact Asymptotic Results

Marco Lippi,  Paolo Zaffaroni,  April 1998
Paper No' EM/1998/350: Read Abstract | Full paper (pdf)
Tags: aggregation; idiosymcratic-driven fluctuations; long memory; nonstationarity.

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 (pdf)
Tags: fractional cointegration; narrow-band frequency analysis

Interpolating Exogenous Variables in Open Continuous Time Dynamic Models

J R McCrorie,  December 1997
Paper No' EM/1997/344: Read Abstract
Paper copy now out of print.
Tags: continous time; exact discrete model; aliasing; exogenous variables; interpolation

Deriving the Exact Discrete Analog of a Continuous Time System

J R McCrorie,  December 1997
Paper No' EM/1997/343: Read Abstract
Paper copy now out of print.
Tags: continuous time; exact discrete model; random measure; matrix exponential

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
Paper copy now out of print.
Tags: nonparametric testing; weak dependence; long memory

Some Practical Issues in Maximum Simulated Likelihood

V A Hajivassiliou,  November 1997
Paper No' EM/1997/340: Read Abstract
Paper copy now out of print.
Tags: simulation estimation; maximum simulated likelihood; limited dependent variable models; antithetic acceleration.

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
Paper copy now out of print.
Tags: autocorrelation-consistent variance estimation; long-range dependence; simultaneous equations systems.

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
Paper copy now out of print.
Tags: central limit theorem; nonparametric regression; autocorrelation; long-range dependence

Beta Convergence

C Michelacci,  Paolo Zaffaroni,  July 1997
Paper No' EM/1997/332: Read Abstract
Paper copy now out of print.
Tags: growth model; convergence; long memory; aggregation

Gaussian Estimation of Long-Range Dependent Volatility in Asset Prices

Paolo Zaffaroni,  May 1997
Paper No' EM/1997/329: Read Abstract
Paper copy now out of print.
Tags: stochastic volatility; long memory; asymptotics.

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
Paper copy now out of print.
Tags: limited dependent variable models; simulation estimation; gibbs resampling

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
Paper copy now out of print.
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.

Semiparametric Estimation of a Sample Selection Model: A Simulation Study

Marcia M Schafgans,  March 1997
Paper No' EM/1997/326: Read Abstract
Paper copy now out of print.
Tags: sample selection models; semiparametric estimation; error distributions; bandwidth parameter; two-step parametric estimator.

Gender Wage Differences in Malaysia: Parametric and Semiparametric Estimation

Marcia M Schafgans,  March 1997
Paper No' EM/1997/325: Read Abstract
Paper copy now out of print.
Tags: malaysia; gender wage differences; gender discrimination; wage determining characteristics; parametric and semiparametric estimation.

Testing Game-Theoretic Models of Price Fixing Behaviour

V A Hajivassiliou,  March 1997
Paper No' EM/1997/324: Read Abstract
Paper copy now out of print.
Tags: price-fixing; trigger-price mechanism; switching regression models; measurement errors; simulation estimation.

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
Paper copy now out of print.
Tags: long-range dependence; semiparametric models; optimal rates of convergence; lower bounds

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
Paper copy now out of print.
Tags: long memory; two-shock model; stochastic volatility

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
Paper copy now out of print.
Tags: long memory; arch; nonlinear moving average. jel no.: c22

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
Paper copy now out of print.
Tags: long-range dependence; linear regression; generalized least squares; nonlinear regression

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
Paper copy now out of print.
Tags: nonstationarity; macroeconomic time series; fractional integration

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
Paper copy now out of print.
Tags: time series; variance estimation; spectral methods

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
Paper copy now out of print.
Tags: co-integration; commontrends; cycles; kalman filter; structural time series model; triangular representation

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
Paper copy now out of print.
Tags: exchange rates; garch model; locally best invariant test; serial correlation; stochastic volatility; unobserved components; von mises distribution.

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
Paper copy now out of print.
Tags: nonparametric; strong dependence; hermite and appell polynomials; rosenblatt and hermite pocesses.

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
Paper copy now out of print.
Tags: long memory; spectral density matrix; spectral estimation; weighted autocovariance

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
Paper copy now out of print.
Tags: aggregate disturbance; business cycle; distribution dynamics; regional fluctuation; stochastic kernel.

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.
Tags: structural time series model; seasonal adjustment; trend extraction; filtering and smoothin algorithms; money supply.

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
Paper copy now out of print.
Tags: core inflation; vector autoregression; dynamic restrictions

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
Paper copy now out of print.
Tags: evolving distributions; galton's fallacy; polarization; regional dynamics; stochastic kernel; unit root.

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.
Tags: growth and fluctuations; cross-country distribution of income; convergence hypothesis; intra-distribution mobility; capital investment

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
Paper copy now out of print.
Tags: random field; time series; panel data; unit root

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.
Tags: generalised least squares; heteroscedasticity; quasi-maximum likelihood; smoothing; volatiliy.

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
Paper copy now out of print.
Tags: seasonality; dynamic relationships; stable error correction model; autoregressive models

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
Paper copy now out of print.
Tags: convergence hypothesis; regressing average growth rates; galton's fallacy; coefficients of arbitrary signs; divergence of cross-country incomes.

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
Paper copy now out of print.
Tags: multivariate invariance principle; dependent processes; trending variances; global nonstationarity; gaussian diffusion process; stochastic integrals; integrated variables.

Conditions for Strong and Uniform Mixing in Linear Processes

James Davidson,   1992
Paper No' EM/1992/251: Read Abstract
Paper copy now out of print.
Tags: strong mixing; uniform mixing; moving avrage process

Deletion Diagnostics and Transformations for Time Series

A.C. Atkinson,  N.G. Shephard,   1992
Paper No' EM/1992/245: Read Abstract
Paper copy now out of print.
Tags: deletion diagnostics; structural time series models; regression parameters; index plots.

Quasi-Maximum Likelihood Estimation of Stochastic Variance Models

Esther Ruiz,   1992
Paper No' EM/1992/244: Read Abstract
Paper copy now out of print.
Tags: stochastic variance models; volatility; asymptotic and finite sample properties; qml estimator; generalized method of moments; autoregression.

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
Paper copy now out of print.
Tags: central limit theorem; sequence coordinates; rate of degeneration; mixing processes; martingale difference.

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
Paper copy now out of print.
Tags: l1-convergence theorem; heterogeneous mixingale arrays; weak laws of large numbers; random sequences; trending moments.

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.
Tags: smoothing; kahman filter; em algorithm; unobserved components model; profile likelihood.

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
Paper copy now out of print.
Tags: detrending; filters; persistence; structural time series models.

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:
Paper copy now out of print.

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:
Paper copy now out of print.

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.