Programme Director: Professor Oliver Linton and Professor Peter M. Robinson
Associated LSE Faculty:
Dr Vassilis Hajivassiliou, Professor Javier Hidalgo, Dr Andrew Patton, Dr Marcia Schafgans, Dr Myunghwan Seo, and Professor Qiwei Yao.
Activities:
The main activity of the Econometrics Group is the organization and running of the Econometrics Seminar, which is held on Thursday afternoon during term time. In recent years our visitors have included: Richard Blundell, Andrew Chesher, Rainer Dahlhaus, Eric Ghysels, Joel Horowitz, Roger Koenker, Arthur Lewbel, Enno Mammen, Per Mykland, Whitney Newey, Benedikt Pötscher, Eric Renault, Tom Rothenberg, Winifried Stute, Dag Tjostheim, George Tiao, and Arnold Zellner. We are also participants in a joint workshop with the statistics department on Tuesday lunchtime. In May 2007 we organized a conference in honour of Peter Robinson. Participants included (in addition to some of those named above): Donald Andrews, Xiaohong Chen, Peter Hall, Yuzo Hosoya, Cheng Hsiao, Peter Phillips, Murad Taqqu.
Research areas include: Long memory time series, nonparametric and semiparametric methods, Edgeworth approximations, Diffusion processes, bootstrap, simulation methods, and sample selection.
