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Likelihood inference on semiparametric models with generated regressors Yukitoshi Matsushita and Taisuke Otsu
September 2016
Paper No' EM 587:
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JEL Classification: C12; C14


Tags: generated regressor; empirical likelihood

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Specification testing for errors-in-variables models Taisuke Otsu and Luke Taylor
August 2016
Paper No' EM/2015/586:
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JEL Classification: C12


Tags: specification test; measurement errors; deconvolution

Pooling data across markets in dynamic Markov games Taisuke Otsu, Martin Pesendorfer and Yuya Takahashi
March 2015
Paper No' EM/2015/582:
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JEL Classification: C12; C72; D44


Tags: dynamic markov game; poolability; multiplicity of equilibria; hypothesis testing

Nonparametric likelihood for volatility under high frequency data Lorenzo Camponovo, Yukitoshi Matsushita and Taisuke Otsu
January 2015
Paper No' EM/2015/581:
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JEL Classification: C14


Tags: nonparametric likelihood; volatility; high frequency data

Bootstrap inference of matching estimators for average treatment effects Taisuke Otsu and Yoshiyasu Rai
January 2015
Paper No' EM/2015/580:
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JEL Classification: C21


Tags: treatment effect; matching; bootstrap

Robust estimation of moment condition models with weakly dependent data Kirill Evdokimov, Yuichi Kitamura and Taisuke Otsu
December 2014
Paper No' EM/2014/579:
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JEL Classification: C14


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

A Cusum Test of Common Trends in Large Heterogeneous Panels Javier Hidalgo and Jungyoon Lee
August 2014
Paper No' EM/2014/576:
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JEL Classification: C12; C13; C23


Tags: common trends; large data set; partial linear models; bootstrap algorithms

Estimation of Nonseparable Models with Censored Dependent Variables and Endogenous Regressors. Taisuke Otsu and Luke Taylor
August 2014
Paper No' EM/2014/575:
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JEL Classification: C24; C34; C14

Empirical Likelihood for Random Sets Karun Adusumilli and Taisuke Otsu
June 2014
Paper No' EM/2014/574:
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Empirical Likelihood for Regression Discontinuity Design Taisuke Otsu, Ke-Li Xu and Yukitoshi Matsushita
February 2014
Paper No' EM/2014/573:
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Robustness of bootstrap in instrumental variable regression Lorenzo Camponovo and Taisuke Otsu
January 2014
Paper No' EM/2014/572:
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JEL Classification: C14; C15


Tags: bootstrap; breakdown point; instrumental variables

Asymptotics for maximum score method under general conditions Myung Hwan Seo and Taisuke Otsu
January 2014
(Revised: 28/08/2014)
Paper No' EM/2014/571:
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JEL Classification: C13


Tags: maximum score; cube root asymptotics; set inference

Non-Nested Testing of Spatial Correlation Miguel A. Delgado and Peter M Robinson
November 2013
Paper No' EM/2013/568:
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JEL Classification: C12; C21


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

Testing for equality of an increasing number of spectral density functions Javier Hidalgo, Pedro Souza and Pedro Souza
June 2013
Paper No' EM/2013/563:
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Improved Tests for Spatial Correlation Peter M Robinson and Francesca Rossi
May 2013
Paper No' EM/2013/565:
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JEL Classification: C12; C21


Tags: spatial autocorrelation; ordinary least squares; hypothesis testing; edgeworth expansion; bootstrap.

SPECIFICATION FOR LATTICE PROCESSES Javier Hidalgo and Myung Hwan Seo
May 2013
Paper No' EM/2013/562:
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JEL Classification: C21; C23.


Tags: specification test; spatial processes; lattice; spectral domain; cusum; bootstrap.

Panel Nonparametric Regression with Fixed Effects Jungyoon Lee and Peter M Robinson
March 2013
Paper No' EM/2013/569:
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JEL Classification: C13; C14; C23


Tags: panel data; nonparametric regression; cross-sectional dependence; generalized least squares; optimal bandwidth

Efficient Inference on Fractionally Integrated Panel Data Models with Fixed Effects Peter M Robinson and Carlos Velasco
March 2013
Paper No' EM/2013/567:
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JEL Classification: C12; C13; C23


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

ON TESTABILITY OF COMPLEMENTARITY IN MODELS WITH MULTIPLE EQUILIBRIA Taisuke Otsu and Yoshiyasu Rai
February 2013
Paper No' EM/2013/560:
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JEL Classification: C10


Tags: complementarity; testability; quantile.

Testing for Structural Stability in the Whole Sample Javier Hidalgo and Myung Hwan Seo
September 2012
Paper No' EM/2013/561:
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JEL Classification: C12, C32.


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

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


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

Quantile Uncorrelation and Instrumental Regression Tatiana Komorova, Thomas Severini and Elie Tamer
September 2010
Paper No' EM/2010/552:
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Efficient Estimation of a Multivariate Multiplicative Volatility Model Christian M. Hafner and Oliver Linton
October 2009
Paper No' EM/2009/541:
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JEL Classification: C12, C13, C14.


Tags: garch; kernel estimation; local stationarity; semiparametric

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


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

Nonparametric Regression with a Latent Time Series Oliver Linton, Søren Feodor Nielsen and Jens Perch Nielsen
October 2009
Paper No' EM/2009/538:
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JEL Classification: 62G07


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

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


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

Nonparametric Estimation of a Polarization Measure Gordon Anderson, Oliver Linton and Yoon-Jae Whang
June 2009
Paper No' EM/2009/534:
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JEL Classification: C12; C13; C14


Tags: kernel estimation; inequality; overlap coefficient; poissonization

Developments in the Analysis of Spatial Data Peter M Robinson
January 2009
Paper No' EM/2009/531:
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Correlation Testing in Time Series, Spatial and Cross-Sectional Data Peter M Robinson
January 2009
Paper No' EM/2009/530:
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JEL Classification: C21; C22; C29


Tags: heteroscedasticity; lagrange multiplier tests.

Smoothness Adaptive Average Derivative Estimation Marcia M Schafgans and Victoria Zinde-Walshyz
August 2008
Paper No' EM/2008/529:
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JEL Classification: C14


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 and Yoon-Jae Whang February 2008
Paper No' EM/2008/527:
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JEL Classification: C12; C14; C52


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

Inference about Realized Volatility using Infill Subsampling Ilze Kalnina and Oliver Linton
September 2007
Paper No' EM/2007/523:
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JEL Classification: C12


Tags: realised volatility; semimartingale; subsampling; infill asymptotic scheme

Fractional Cointegration In Stochastic Volatility Models Afonso Gonçalves da Silva and Peter M Robinson
May 2007
Paper No' EM/2007/519:
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JEL Classification: C22


Tags: fractional cointegration; stochastic volatility; narrow band least squares; semiparametric analysis.

Identification and Nonparametric Estimation of a Transformed Additively Separable Model David Jacho-Chávez, Arthur Lewbel and Oliver Linton September 2006
Paper No' EM/2006/508:
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JEL Classification: C13; C14; C21; D24


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

TESTING FOR STOCHASTIC MONOTONICITY Sokbae Lee, Oliver Linton and Yoon-Jae Whang
August 2006
Paper No' EM/2006/504:
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JEL Classification: C14; C15


Tags: distribution function; extreme value theory; gaussian process; monotonicity.

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


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

Semiparametric Estimation of Fractional Cointegration Javier Hualde and Peter M Robinson
May 2006
Paper No' EM/2006/502:
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JEL Classification: C32


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 and Peter M Robinson April 2006
Paper No' EM/2006/501:
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JEL Classification: C32


Tags: fractional cointegration; memory estimation; stochastic volatility.

ROOT-N-CONSISTENT ESTIMATION OF WEAK FRACTIONAL COINTEGRATION Javier Hualde and Peter M Robinson
March 2006
Paper No' EM/2006/499:
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JEL Classification: C32


Tags: fractional cointegration; parametric estimation; asymptotic normality.

Nonparametric Spectrum Estimation for Spatial Data Peter M Robinson
February 2006
Paper No' EM/2006/498:
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JEL Classification: C22


Tags: nonparametric spectrum estimation; edge effect; tapering.

Consistent estimation of the memory parameter for nonlinear time series Violetta Dalla, Liudas Giraitis and Javier Hidalgo
January 2006
Paper No' EM/2006/497:
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JEL Classification: C14; C22


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

A Smoothed Least Squares Estimator For Threshold Regression Models Myunghwan Seo and Oliver Linton
October 2005
Paper No' EM/2005/496:
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JEL Classification: C12; C13; C14


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

Pseudo-Maximum Likelihood Estimation of ARCH(8) Models Peter M Robinson and Paolo Zaffaroni
October 2005
Paper No' EM/2005/495:
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JEL Classification: Primary 62M10; secondary 62F12


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

Modelling Memory of Economic and Financial Time Series Peter M Robinson
March 2005
Paper No' EM/2005/487:
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JEL Classification: C22


Tags: long memory; short memory; stochastic volatility

A Parametric Bootstrap Test for Cycles Violetta Dalla and Javier Hidalgo
February 2005
Paper No' EM/2005/486:
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JEL Classification: C15; C22


Tags: cyclical data; strong and weak dependence; spectral density functions; whittle estimator; bootstrap algorithms

Testable Implications of Forecast Optimality Andrew J. Patton and Allan Timmermann
January 2005
Paper No' EM/2005/485:
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JEL Classification: C53; C22; C52


Tags: forecast evaluation; loss function; rationality tests

The Bootstrap and the Edgeworth Correction for Semiparametric Averaged Derivatives Yoshihiko Nishiyama and Peter M Robinson
January 2005
Paper No' EM/2005/483:
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JEL Classification: C14; C24


Tags: bootstrap; edgeworth correction; semiparametric averaged derivatives

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


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

Consistent Testing for Stochastic Dominance under General Sampling Schemes Oliver Linton, Esfandiar Maasoumi and Yoon-Jae Whang December 2003
Paper No' EM/2003/466:
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Tags: bootstrap; dominance; kolmogorov-smirnov; subsampling.

LARCH, Leverage and Long Memory Liudas Giraitis, Remigijus Leipus, Peter M Robinson and Donatas Surgailis
October 2003
Paper No' EM/2003/460:
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Tags: leverage; long memory; linear arch; larch; finiteness of moments.

Estimation of Semiparametric Models when the Criterion Function is not Smooth Xiaohong Chen, Oliver Linton and Ingrid Van Keilegom May 2003
Paper No' EM/2003/450:
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JEL Classification: C13; C14


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

More Efficient Kernel Estimation in Nonparametric Regression with Autocorrelated Errors Raymond J Carroll, Oliver Linton, Enno Mammen and Zhijie Xiao June 2002
Paper No' EM/2002/435:
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Tags: backfitting; efficiency; kernel estimation; time series.

Gaussian Estimation of Parametric Spectral Density with Unknown Pole Liudas Giraitis, Javier Hidalgo and Peter M Robinson
August 2001
Paper No' EM/2001/424:
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Tags: long-range dependence; unknown pole.

Determination of Cointegrating Rank in Fractional Systems Peter M Robinson and Yoshihiro Yajima
July 2001
Paper No' EM/2001/423:
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Tags: fractional cointegration; long memory.

Semiparametric Fractional Cointegration Analysis D Marinucci and Peter M Robinson
July 2001
Paper No' EM/2001/420:
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Tags: semiparametric analysis; fractional cointegration.

Parametric Estimation under Long-Range Dependence Liudas Giraitis and Peter M Robinson
May 2001
Paper No' EM/2001/416:
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Tags: parametric estimation; long-range dependence.

The Estimation of Conditional Densities Xiaohong Chen, Oliver Linton and Peter M Robinson
May 2001
Paper No' EM/2001/415:
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Tags: conditional density estimation; serial dependence; bandwidth choice.

Estimating Multiplicative and Additive Hazard Functions by Kernel Methods Oliver Linton, Jens Perch Nielsen and Sara van de Geer February 2001
Paper No' EM/2001/411:
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Tags: additive model; censoring; kernel; proportional hazards; survival analysis

Whittle Estimation of ARCH Models Liudas Giraitis and Peter M Robinson
November 2000
Paper No' EM/2000/406:
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Tags: arch models; whittle estimation.

Noise and Competition in Strategic Oligopoly Ramdan Dridi and Laurent Germain
June 2000
Paper No' EM/2000/395:
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Tags: competition; optimal noise; price manipulation

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

Deriving the Exact Discrete Analog of a Continuous Time System J R McCrorie
December 1997
Paper No' EM/1997/343:
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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 and Peter M Robinson November 1997
Paper No' EM/1997/342:
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Tags: nonparametric testing; weak dependence; long memory

Some Practical Issues in Maximum Simulated Likelihood V A Hajivassiliou
November 1997
Paper No' EM/1997/340:
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Tags: simulation estimation; maximum simulated likelihood; limited dependent variable models; antithetic acceleration.

Inference-without-Smoothing in the Presence of Nonparametric Autocorrelation - (Now published in 'Econometrica', 66 (1998), pp.1163-1182.) Peter M Robinson October 1997
Paper No' EM/1997/338:
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Tags: autocorrelation-consistent variance estimation; long-range dependence; simultaneous equations systems.

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:
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Tags: central limit theorem; nonparametric regression; autocorrelation; long-range dependence

Beta Convergence C Michelacci and Paolo Zaffaroni
July 1997
Paper No' EM/1997/332:
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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:
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Tags: stochastic volatility; long memory; asymptotics.

The Method of Simulated Scores for the Estimation of LDV Models V A Hajivassiliou and DL McFadden
May 1997
Paper No' EM/1997/328:
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Tags: limited dependent variable models; simulation estimation; gibbs resampling

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

Semiparametric Estimation of a Sample Selection Model: A Simulation Study Marcia M Schafgans
March 1997
Paper No' EM/1997/326:
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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:
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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:
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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 and Alexander Samarov February 1997
Paper No' EM/1997/323:
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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 and Paolo Zaffaroni January 1997
Paper No' EM/1997/320:
Read Abstract |

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 and Paolo Zaffaroni January 1997
Paper No' EM/1997/319:
Read Abstract |

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 and Peter M Robinson January 1997
Paper No' EM/1997/318:
Read Abstract |

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

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

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

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

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 |

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 |

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

The Modelling and Seasonal Adjustment of Weekly Observations - (Now published in 'Journal of Business and Economic Statistics', 15 (1997), pp.354-368.) Andrew C Harvey, Siem Jan Koopman and Marco Riani  1995
Paper No' EM/1995/284:
Read Abstract |

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 and Shaun P. Vahey  1995
Paper No' EM/1995/282:
Read Abstract |

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 |

Tags: evolving distributions; galton's fallacy; polarization; regional dynamics; stochastic kernel; unit root.

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:
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Tags: aggregate disturbance; business cycle; distribution dynamics; regional fluctuation; stochastic kernel.

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:
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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:
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Tags: random field; time series; panel data; unit root

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

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 and Andrew Scott  1993
Paper No' EM/1993/266:
Read Abstract |

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 |

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 |

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:
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Tags: strong mixing; uniform mixing; moving avrage process

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

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 |

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:
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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:
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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 and N.G. Shephard  1992
Paper No' EM/1992/241:
Read Abstract |

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 and Albert Jaeger  1991
Paper No' EM/1991/230:
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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:

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 and Stephen Hall  1989
Paper No' EM/1989/191:

Least-Squares Autoregression with Near-Unit Root Jan R. Magnus and Thomas J. Rothenberg
 1988
Paper No' EM/1988/178:

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 and Bahram Pesaran  1988
Paper No' EM/1988/169:

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

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:

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 and Bahram Pesaran  1986
Paper No' EM/1986/139:

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:

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 and Jan R. Magnus  1986
Paper No' EM/1986/130:

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:

Some Evidence on the Robustness of Nonlinear FIQML James Davidson
 1985
Paper No' EM/1985/121:

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

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 and Alan D. Woodland  1985
Paper No' EM/1985/110:

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:

A Generalization of the Univariate Logit Model and its Bivariate Extension Takamitsu Sawa
 1984
Paper No' EM/1984/93:

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

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 and Jan R. Magnus  1983
Paper No' EM/1983/83:

Error Correction Systems James Davidson
 1983
Paper No' EM/1983/79:

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 and Jan R. Magnus  1983
Paper No' EM/1983/75:

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

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:

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 and Jan R. Magnus  1983
Paper No' EM/1983/68:

Money Demand Stability in the U.K. and Error Correction Mechanism Manfred Keil
 1983
Paper No' EM/1983/66:

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

Alternative Estimates for Systems with Log-Linear Stochastic Equations and Linear Identities James Davidson
 1981
Paper No' EM/1981/29:

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

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: