Publications

Econometrics Papers

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Econometrics Paper

Monotone response for random objects

Daisuke Kurisu, Yuta Okamoto and Taisuke Otsu

Monotone treatment response (MTR), monotone treatment selection (MTS), and monotone instrumental variable (MIV) assumptions are widely used to partially identify counterfactual mean outcomes, but existing analyses have f...Read more...

4 August 2026

Econometrics Paper

Role-Reversed Auxiliary Calibration for Treatment Effects under Selection on Potential Outcomes

Takahiro Hoshino, Taisuke Otsu and Kazuhiko Shinoda

This discussion paper is currently under revision. A new version will be available soon....Read more...

6 July 2026

Econometrics Paper

Treatment effect identification under selection on potential outcomes

Takahiro Hoshino, Taisuke Otsu and Kazuhiko Shinoda

This discussion paper is currently under revision. A new version will be available soon....Read more...

6 July 2026

Econometrics Paper

Inference for instrumental variable regression with many weak instruments and many exogenous regressors

Yukitoshi Matsushita and Taisuke Otsu

This paper proposes inference methods for structural parameters in instrumental variable regression models that are robust to many and arbitrarily weak instruments and many included exogenous regressors. This setting is ...Read more...

22 June 2026

Econometrics Paper

Fragility of joint identification in the Roy model

Takahiro Hoshino, Taisuke Otsu and Kazuhiko Shinoda

This discussion paper is currently under revision. A new version will be available soon....Read more...

11 May 2026

Econometrics Paper

Two-sample instrumental variable regression with many instruments

Yukitoshi Matsushita, Yuta Okamoto and Taisuke Otsu

This paper develops estimation and inference methods for two-sample instrumental variables (TSIV) regression when the number of instruments k grows proportionally with sample size n. Under this asymptotic setting, we sho...Read more...

30 March 2026

Econometrics Paper

Lee bounds for random objects

Daisuke Kurisu, Yuta Okamoto and Taisuke Otsu

In applied research, Lee (2009) bounds are widely applied to bound the average treat- ment effect in the presence of selection bias. This paper extends the methodology of Lee bounds to accommodate outcomes in a general m...Read more...

22 January 2026

Econometrics Paper

GMM under finite-population asymptotics: instrumental variables and regression adjustment

Haruo Kakehi, Yukitoshi Matsushita and Taisuke Otsu

This paper extends the finite-population asymptotic approach by Abadie et al. (2014, 2020) to the generalized method of moments (GMM) estimator for moment condition models. Motivating examples include instrumental variab...Read more...

8 January 2026

Econometrics Paper

Difference-in-differences with interval data

Daisuke Kurisu, Yuta Okamoto and Taisuke Otsu

Difference-in-differences (DID) is one of the most popular tools used to evaluate causal effects of policy interventions. This paper extends the DID methodology to accommodate interval outcomes, which are often encounter...Read more...

10 December 2025

Econometrics Paper

Empirical likelihood for random forests and ensembles

Harold D Chiang and Taisuke Otsu

We develop an empirical likelihood (EL) framework for random forests and related ensemble methods, providing a likelihood-based approach to quantify their statistical uncertainty. Exploiting the incomplete U-statistic st...Read more...

1 December 2025

Econometrics Paper

Random sets from the perspective of metric statistics

Daisuke Kurisu, Yuta Okamoto and Taisuke Otsu

Since the seminal work by Beresteanu and Molinari (2008), the random set theory and related inference methods have been widely applied in partially identified econometric models. Meanwhile, there is an emerging field in ...Read more...

24 November 2025

Econometrics Paper

Applications of cross-fit variance estimator for testing model specification, overidentification, and structural parameter hypotheses

Yukitoshi Matsushita, Taisuke Otsu and Keita Sunada

This paper advocates that power improvement based on the cross-fit variance estimator, proposed by Mikusheva and Sun (2022), is generally applicable to other econometric inference problems, where the statistics of intere...Read more...

17 November 2025

Econometrics Paper

Causal inference with auxiliary observations

Takahiro Hoshino, Yuta Ota and Taisuke Otsu

In the evaluation of social programs, it is often diﬀicult to conduct randomized controlled experiments due to non-compliance; therefore the local average treatment effect (LATE) is commonly applied. However, LATE...Read more...

11 November 2025

Econometrics Paper

Subject beliefs estimators and their properties

Anisha Ghosh and Taisuke Otsu

Information-theoretic methods recover investors? subjective beliefs by minimizing the statistical discrepancy between beliefs and the DGP, subject to assets? Euler constraints. We show that the estimated beliefs converge...Read more...

3 November 2025

Econometrics Paper

Optimal covariate selection and higher-order accurate inference for randomized experiments

Yukitoshi Matsushita and Taisuke Otsu

Randomized experiments have been widely applied in empirical research. In modern applications, researchers often have access to a large number of covariates, and the methods of covariate adjustment are commonly employed....Read more...

30 October 2025

Econometrics Paper

Specification testing for binary choice model via maximum score

Yuta Ota and Taisuke Otsu

This paper proposes a Hausman type statistic to test specification of a parametric binary choice model by comparing the maximum likelihood estimator and maximum score estimator. Although the convergence rates are differe...Read more...

22 October 2025

Econometrics Paper

Optimal testing in a class of nonregular models

Taisuke Otsu and Yuya Shimizu

This paper studies optimal hypothesis testing for nonregular econometric models with parameter-dependent support. We consider both one-sided and two-sided hypothesis testing and develop asymptotically uniformly most powe...Read more...

14 October 2025

Econometrics Paper

Semiparametric and nonparametric instrumental variable estimation with first stage isotonic regression

Taisuke Otsu, Kazuhiko Shinoda and Mengshan Xu

This paper proposes a semiparametric and a nonparametric instrumental variable (IV) estimator, under the assumption that the conditional mean of the endogenous variable, given the instrumental variable, is known to be mo...Read more...

6 October 2025

Econometrics Paper

Cross-fitted instrumental variable estimation with many instruments and many included exogenous regressors

Yukitoshi Matsushita and Taisuke Otsu

This paper is concerned with estimation and inference on structural parameters in instrumental variable regression models that involve not only many weak instruments but also many included exogenous regressors. This sett...Read more...

23 July 2025

Econometrics Paper

Geodesic regression discontinuity designs for functional data and random objects in geodesic spaces

Daisuke Kurisu, Hans-Georg Mueller, Taisuke Otsu and Yidong Zhou

Regression discontinuity designs, quasi-experimental designs for observational studies to estimate causal effects of an intervention or treatment at a cutoff point, have been widely applied in various fields of data scie...Read more...

23 June 2025

Econometrics Paper

Geodesic synthetic control methods for random objects and functional data

Daisuke Kurisu, Hans-Georg Mueller, Taisuke Otsu and Yidong Zhou

We introduce a geodesic synthetic control method for causal inference that extends existing synthetic control methods to scenarios where outcomes are elements in a geodesic metric space rather than scalars. Examples of s...Read more...

1 May 2025

Econometrics Paper

Geodesic difference-in-differences

Daisuke Kurisu, Hans-Georg Mueller, Taisuke Otsu and Yidong Zhou

Difference-in-differences (DID) is a widely used quasi-experimental design for causal inference, traditionally applied to scalar or Euclidean outcomes, while extensions to outcomes residing in non-Euclidean spaces remain...Read more...

30 January 2025

Econometrics Paper

Geodesic causal inference

Daisuke Kurisu, Hans-Georg Mueller, Taisuke Otsu and Yidong Zhou

Adjusting for confounding and imbalance when establishing statistical relationships is an increasingly important task, and causal inference methods have emerged as the most popular tool to achieve this. Causal inference ...Read more...

1 July 2024

Econometrics Paper

Multivariate kernel regression in vector and product metric spaces

Marcia M Schafgans and Victoria Zinde-Walsh

Nonparametric kernel regression is widely used in econometrics and has been applied to models with cross-sectional, time series and panel data. As functional data analysis is gaining attention, our analysis extends to th...Read more...

9 May 2024

Econometrics Paper

Empirical likelihood for manifolds

Daisuke Kurisu and Taisuke Otsu

There has been growing interest in statistical analysis on random objects taking values in a non-Euclidean metric space. One important class of such objects consists of data on manifolds. This article is concerned with i...Read more...

6 February 2024

Econometrics Paper

Nonparametric causal inference with functional covariates

Daisuke Kurisu, Taisuke Otsu and Mengshan Xu

Functional data and their analysis have become increasingly popular in various fields of data sciences. This paper considers estimation and inference of the average treatment effect under unconfoundedness when the covari...Read more...

25 October 2023

Econometrics Paper

Inference in the presence of unknown rates

Hao Dong, Taisuke Otsu and Luke Taylor

The convergence rate of an estimator can vary when applied to datasets from differ- ent populations. As the population is unknown in practice, so is the corresponding convergence rate. In this paper, we introduce a metho...Read more...

26 September 2023

Econometrics Paper

Empirical likelihood for network data

Yukitoshi Matsushita and Taisuke Otsu

This article develops a concept of nonparametric likelihood for network data based on network moments, and proposes general inference methods by adapting the theory of jackknife empirical likelihood. Our methodology can ...Read more...

7 August 2023

Econometrics Paper

Model averaging for global Frechet regression

Daisuke Kurisu and Taisuke Otsu

Petersen and Muller (2019) generalized the notion of regression analysis to non-Euclidean response objects. Meanwhile, in the conventional regression analysis, model averaging has long history and is widely applied in st...Read more...

21 July 2023

Econometrics Paper

Regression adjustment in randomized controlled trials with many covariates

Harold D Chiang, Yukitoshi Matsushita and Taisuke Otsu

This paper is concerned with estimation and inference on average treatment effects in randomized controlled trials when researchers observe potentially many covariates. By em- ploying Neyman?s (1923) finite population pe...Read more...

9 February 2023

Econometrics Paper

Regression discontinuity design with potentially many covariates

Yoichi Arai, Taisuke Otsu and Myung Hwan Seo

This paper studies the case of possibly high-dimensional covariates in the regression discontinuity design (RDD) analysis. In particular, we propose estimation and inference methods for the RDD models with covariate sele...Read more...

31 October 2022

Econometrics Paper

GLS under monotone heteroskedasticity

Yoichi Arai, Taisuke Otsu and Mengshan Xu

The generalized least square (GLS) is one of the most basic tools in regression analyses. A major issue in implementing the GLS is estimation of the conditional variance function of the error term, which typically requir...Read more...

27 October 2022

Econometrics Paper

Conditional likelihood ratio test with many weak instruments

Sreevidya Ayyar, Yukitoshi Matsushita and Taisuke Otsu

This paper extends validity of the conditional likelihood ratio (CLR) test developed by Moreira (2003) to instrumental variable regression models with unknown error variance and many weak instruments. In this setting, we...Read more...

11 October 2022

Econometrics Paper

Isotonic propensity score matching

Taisuke Otsu and Mengshan Xu

We propose a one-to-many matching estimator of the average treatment effect based on propensity scores estimated by isotonic regression. The method relies on the monotonicity assumption on the propensity score function, ...Read more...

19 July 2022

Econometrics Paper

Minimax Risk in Estimating Kink Threshold and Testing

Javier Hidalgo, Heejun Lee, Jungyoon Lee and Myung Hwan Seo

We derive a risk lower bound in estimating the threshold parameter without knowing whether the threshold regression model is continuous or not. The bound goes to zero as the sample size n grows only at the cube root ra...Read more...

3 March 2022

Econometrics Paper

Nonparametric prediction with spatial data

Abhimanyu Gupta and Javier Hidalgo

We describe a (nonparametric) prediction algorithm for spatial data, based on a canonical factorization of the spectral density function. We provide theoretical results showing that the predictor has desirable asymptot...Read more...

3 March 2022

Econometrics Paper

Bandwidth selection for nonparametric regression with errors-in-variables

Hao Dong, Taisuke Otsu and Luke Taylor

We propose two novel bandwidth selection procedures for the nonparametric regression model with classical measurement error in the regressors. Each method is based on evaluating the prediction errors of the regression us...Read more...

25 January 2022

Econometrics Paper

Estimating density ratio of marginals to joint: Applications to causal inference

Yukitoshi Matsushita, Taisuke Otsu and Keisuke Takahata

In various fields of data science, researchers often face problems of estimating the ratios of two probability densities. Particularly in the context of causal inference, the product of marginals for a treatment variable...Read more...

7 January 2022

Econometrics Paper

Equilibrium multiplicity in dynamic games: testing and estimation

Taisuke Otsu and Martin Pesendorfer

This paper surveys the recent literature on dynamic games estimation when there is a concern of equilibrium multiplicity. We focus on the questions of testing for equilibrium multiplicity and estimation in the presence o...Read more...

26 October 2021

Econometrics Paper

Multiway empirical likelihood

Harold D Chiang, Yukitoshi Matsushita and Taisuke Otsu

his paper develops a general methodology to conduct statistical inference for observations indexed by multiple sets of entities. We propose a novel multiway empirical likeli- hood statistic that converges to a chi-square...Read more...

19 October 2021

Econometrics Paper

Nonparametric inference for extremal conditional quantiles

Daisuke Kurisu and Taisuke Otsu

This paper studies asymptotic properties of the local linear quantile estimator under the extremal order quantile asymptotics, and develops a practical inference method for conditional quantiles in extreme tail areas. By...Read more...

14 September 2021

Econometrics Paper

On linearization of nonparametric deconvolution estimators for repeated measurements model

Daisuke Kurisu and Taisuke Otsu

By utilizing intermediate Gaussian approximations, this paper establishes asymptotic linear representations of nonparametric deconvolution estimators for the classical measurement error model with repeated measurements. ...Read more...

19 July 2021

Econometrics Paper

Reweighted nonparametric likelihood inference for linear functionals

Karun Adusumilli, Taisuke Otsu and Chen Qiu

This paper is concerned with inference on finite dimensional parameters in semiparametric moment condition models, where the moment functionals are linear with respect to unknown nuisance functions. By exploiting this li...Read more...

1 December 2020

Econometrics Paper

Jackknife Lagrange multiplier test with many weak instruments

Yukitoshi Matsushita and Taisuke Otsu

This paper proposes a jackknife Lagrange multiplier (JLM) test for instrumental variable regression models, which is robust to (i) many instruments, where the number of instruments may increase proportionally with the sa...Read more...

5 August 2020

Econometrics Paper

Second-order refinements for t-ratios with many instruments

Yukitoshi Matsushita and Taisuke Otsu

This paper studies second-order properties of the many instruments robust t-ratios based on the limited information maximum likelihood and Fuller estimators for instrumental variable regression models under the many inst...Read more...

12 May 2020

Econometrics Paper

Estimation of (static or dynamic) games under equilibrium multiplicity

Taisuke Otsu, Martin Pesendorfer, Yuya Sasaki and Yuya Takahashi

We propose a multiplicity-robust estimation method for (static or dynamic) games. The method allows for distinct behaviors and strategies across markets by treating market specific behaviors as correlated latent variable...Read more...

20 January 2020

Econometrics Paper

Switching Regressions with Imperfect Regime Classification Information: Theory and Applications

V A Hajivassiliou

8 January 2020

Econometrics Paper

Estimation and Specification Testing of Panel Data Models with Non-Ignorable Persistent Heterogeneity, Contemporaneous and Intertemporal Simultaneity, and Observable and Unobservable Dynamics

V A Hajivassiliou

This paper proposes efficient estimation methods for panel data limited dependent variables (LDV) models possessing a variety of complications: non-ignorable persistent heterogeneity; contemporaneous and intertemporal en...Read more...

3 December 2019

Econometrics Paper

Nonparametric intermediate order regression quantiles

Hidehiko Ichimura, Taisuke Otsu and Joseph Altonji

This paper studies nonparametric estimation of d-dimensional conditional quantile functions and their derivatives in the tails. We investigate asymptotic properties of the local and global nonparametric quantile regressi...Read more...

26 November 2019

Econometrics Paper

Estimation of Varying Coefficient Models with Measurement Error

Hao Dong, Taisuke Otsu and Luke Taylor

We propose a semiparametric estimator for varying coeﬃcient models when the regressors in the nonparametric component are measured with error. Varying coeﬃcient models are an extension of other popular semi...Read more...

26 November 2019

Econometrics Paper

Novel Approaches to Coherency Conditions in Dynamic LDV Models: Quantifying Financing Constraints and a Firm's Decision and Ability to Innovate

V A Hajivassiliou, Frederique Savignac and Frederique Savignac

We develop novel methods for establishing coherency conditions in Static and Dynamic Limited Dependent Variables (LDV) Models. We propose estimation strategies based on Conditional Maximum Likelihood Estimation for simul...Read more...

5 November 2019

Econometrics Paper

Jackknife, small bandwidth and high-dimensional asymptotics

Yukitoshi Matsushita and Taisuke Otsu

This paper sheds light on problems of statistical inference under alternative or nonstandard asymptotic frameworks from the perspective of jackknife empirical likelihood (JEL). Examples include small bandwidth asymptotic...Read more...

22 July 2019

Econometrics Paper

On the uniform convergence of deconvolution estimators from repeated measurements

Daisuke Kurisu and Taisuke Otsu

This paper studies the uniform convergence rates of Li and Vuong's (1998) nonparametric deconvolution estimator and its regularized version by Comte and Kappus (2015) for the classical measurement error model, where repe...Read more...

22 July 2019

Econometrics Paper

Score estimation of monotone partially linear index model

Mengshan Xu and Taisuke Otsu

17 May 2019

Econometrics Paper

Average derivative estimation under measurement error

Hao Dong, Taisuke Otsu and Luke Taylor

17 May 2019

Econometrics Paper

Causal inference on regression discontinuity designs by high-dimensional methods

Yoichi Arai, Taisuke Otsu and Myung Hwan Seo

7 January 2019

Econometrics Paper

Nonparametric Estimation of Additive Model with Errors-in-Variables

Hao Dong and Taisuke Otsu

In estimation of nonparametric additive models, conventional methods, such as backfitting and series approximation, cannot be applied when measurement errors are present in covariates. We propose an estimator for such ...Read more...

27 November 2018

Econometrics Paper

Likelihood ratio inference for missing data models

Karun Adusumilli and Taisuke Otsu

Missing or incomplete outcome data is a ubiquitous problem in biomedical and social sciences. Under the missing at random setup, inverse probability weighting is widely applied to estimate and make inference on the popul...Read more...

30 October 2018

Econometrics Paper

Inference Without Smoothing for Large Panels with Cross- Sectional and Temporal Dependence

Javier Hidalgo and Marcia M Schafgans

This paper addresses inference in large panel data models in the presence of both cross-sectional and temporal dependence of unknown form. We are interested in making inferences without relying on the choice of any smoo...Read more...

20 February 2018

Econometrics Paper

Likelihood corrections for two-way models

Koen Jochmans and Taisuke Otsu

The use of two-way fixed-effect models is widespread. The presence of incidental parameter bias, however, invalidates statistical inference based on the likelihood. In this paper we consider modifications to the (profile...Read more...

19 February 2018

Econometrics Paper

Adaptive Inference on Pure Spatial Models

Jungyoon Lee and Peter M Robinson

We consider adaptive tests and estimates which are asymptotically efficient in the presence of unknown, nonparametric, distributional form in pure spatial models. A novel adaptive Lagrange Multiplier testing procedure f...Read more...

26 January 2018

Econometrics Paper

Information theoretic approach to high dimensional multiplicative models: Stochastic discount factor and treatment effect

Taisuke Otsu and Chen Qiu

This paper is concerned with estimation of functionals of a latent weight function that satisfies possibly high dimensional multiplicative moment conditions. Main examples are missing data problems, treatment effects, an...Read more...

4 January 2018

Econometrics Paper

Inference on distribution functions under measurement error

Karun Adusumilli, Taisuke Otsu and Yoon-Jae Whang

13 November 2017

Econometrics Paper

Relative error accurate statistic based on nonparametric likelihood

Lorenzo Camponovo, Yukitoshi Matsushita and Taisuke Otsu

This paper develops a new test statistic for parameters defined by moment conditions that exhibits desirable relative error properties for the approximation of tail area probabilities. Our statistic, called the tilted ex...Read more...

13 November 2017

Econometrics Paper

Likelihood inference on semiparametric models: Average derivative and treatment effect

Yukitoshi Matsushita and Taisuke Otsu

In the past few decades, much progress has been made in semiparametric modeling and estimation methods for econometric analysis. This paper is concerned with inference (i.e., confidence intervals and hypothesis testing) ...Read more...

27 June 2017

Econometrics Paper

Empirical likelihood for high frequency data

Lorenzo Camponovo, Yukitoshi Matsushita and Taisuke Otsu

With increasing availability of high frequency financial data as a background, various volatility measures and related statistical theory are developed in the recent literature. This paper introduces the method of empiri...Read more...

21 February 2017

Econometrics Paper

Robust Inference and Testing of Continuity in Threshold Regression Models

Javier Hidalgo, Jungyoon Lee and Myung Hwan Seo

This paper is concerned with inference in regression models with either a kink or a jump at an unknown threshold, particularly when we do not know whether the kink or jump is the true specification. One of our main resu...Read more...

13 February 2017

Econometrics Paper

Local M-estimation with discontinuous criterion for dependent and limited observations

Myung Hwan Seo and Taisuke Otsu

This paper examines asymptotic properties of local M-estimators under three sets of high-level conditions. These conditions are sufficiently general to cover the minimum volume predictive region, conditional maximum scor...Read more...

17 October 2016

Econometrics Paper

Likelihood inference on semiparametric models with generated regressors

Yukitoshi Matsushita and Taisuke Otsu

Hahn and Ridder (2013) formulated influence functions of semiparametric three step estimators where generated regressors are computed in the first step. This class of estimators covers several important examples for empi...Read more...

5 September 2016

Econometrics Paper

Specification testing for errors-in-variables models

Taisuke Otsu and Luke Taylor

This paper considers specification testing for regression models with errors-in-variables and proposes a test statistic comparing the distance between the parametric and nonparametric fits based on deconvolution techniqu...Read more...

15 August 2016

Econometrics Paper

Nonparametric instrumental regression with errors in variables

Karun Adusumilli and Taisuke Otsu

This paper considers nonparametric instrumental variable regression when the endogenous variable is contaminated with classical measurement error. Existing methods are inconsistent in the presence of measurement error. W...Read more...

21 July 2015

Econometrics Paper

Testing for Breaks in Regression Models with Dependent Data

Violetta Dalla and Javier Hidalgo

4 June 2015

Econometrics Paper

Inference and Testing Breaks in Large Dynamic Panels with Strong Cross Sectional Dependence

Javier Hidalgo and Marcia M Schafgans

This paper is concerned with various issues related to inference in large dynamic panel data models (where both n and T increase without bound) in the presence of, possibly, strong cross-sectional dependence. Our first a...Read more...

1 April 2015

Econometrics Paper

Pooling data across markets in dynamic Markov games

Taisuke Otsu, Martin Pesendorfer and Yuya Takahashi

This paper proposes several statistical tests for finite state Markov games to examine the null hypothesis that data from distinct markets can be pooled. We formulate tests of (i) the conditional choice and state transit...Read more...

16 March 2015

Econometrics Paper

Nonparametric likelihood for volatility under high frequency data

Lorenzo Camponovo, Yukitoshi Matsushita and Taisuke Otsu

We propose a nonparametric likelihood inference method for the integrated volatility under high frequency financial data. The nonparametric likelihood statistic, which contains the conventional statistics such as empiric...Read more...

15 January 2015

Econometrics Paper

Bootstrap inference of matching estimators for average treatment effects

Taisuke Otsu and Yoshiyasu Rai

Abadie and Imbens (2008) showed that the standard naive bootstrap is inconsistent to estimate the distribution of the matching estimator for treatment effects with a fixed number of matches. This article proposes an asym...Read more...

13 January 2015

Econometrics Paper

Robust estimation of moment condition models with weakly dependent data

Kirill Evdokimov, Yuichi Kitamura and Taisuke Otsu

This paper considers robust estimation of moment condition models with time series data. Researchers frequently use moment condition models in dynamic econometric analysis. These models are particularly useful when one w...Read more...

5 December 2014

Econometrics Paper

Regularization for Spatial Panel Time Series Using the Adaptive LASSO

Clifford Lam and Pedro Souza

This paper proposes a model for estimating the underlying cross-sectional dependence structure of a large panel of time series. Technical difficulties meant such a structure is usually assumed before further analysis. We...Read more...

25 November 2014

Econometrics Paper

Dynamic Panels with Threshold Effect and Endogeneity

Myung Hwan Seo and Yongcheol Shin

This paper addresses an important and challenging issue as how best to model nonlinear asymmetric dynamics and cross-sectional heterogeneity, simultaneously, in the dynamic threshold panel data framework, in which both t...Read more...

1 September 2014

Econometrics Paper

A Cusum Test of Common Trends in Large Heterogeneous Panels

Javier Hidalgo and Jungyoon Lee

This paper examines a nonparametric CUSUM-type test for common trends in large panel data sets with individual fixed effects. We consider, as in Zhang, Su and Phillips (2012), a partial linear regression model with unkno...Read more...

1 September 2014

Econometrics Paper

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

Taisuke Otsu and Luke Taylor

In this paper we develop a nonparametric estimator for the local average response of a censored dependent variable to endogenous regressors in a nonseparable model where the unobservable error term is not restricted to b...Read more...

6 August 2014

Econometrics Paper

Empirical Likelihood for Random Sets

Karun Adusumilli and Taisuke Otsu

We extend the method of empirical likelihood to cover hypotheses involving the Aumann expectation of random sets. By exploiting the properties of random sets, we convert the testing problem into one involving a continuum...Read more...

25 June 2014

Econometrics Paper

Empirical Likelihood for Regression Discontinuity Design

Taisuke Otsu, Ke-Li Xu and Yukitoshi Matsushita

7 February 2014

Econometrics Paper

Robustness of bootstrap in instrumental variable regression

Lorenzo Camponovo and Taisuke Otsu

This paper studies robustness of bootstrap inference methods for instrumental variable (IV)regression models. We consider test statistics for parameter hypotheses based on the IV estimatorand generalized method of trimme...Read more...

21 January 2014

Econometrics Paper

Asymptotics for maximum score method under general conditions

Myung Hwan Seo and Taisuke Otsu

Abstract. Since Manski's (1975) seminal work, the maximum score method for discrete choice models has been applied to various econometric problems. Kim and Pollard (1990) established the cube root asymptotics for the max...Read more...

Revised August 2014

Econometrics Paper

Series Estimation under Cross-sectional Dependence

Jungyoon Lee and Peter M Robinson

An asymptotic theory is developed for nonparametric and semiparametric series estimation under general cross-sectional dependence and heterogeneity. A uniform rate of consistency, asymptotic normality, and sufficient con...Read more...

25 November 2013

Econometrics Paper

Panel Nonparametric Regression with Fixed Effects

Jungyoon Lee and Peter M Robinson

Nonparametric regression is developed for data with both a temporal and a cross-sectional dimension. The model includes additive, unknown, individual-specifi?c components and allows also for cross-sectional and temporal ...Read more...

25 November 2013

Econometrics Paper

Non-Nested Testing of Spatial Correlation

Miguel A. Delgado and Peter M Robinson

We develop non-nested tests in a general spatial, spatio-temporal or panel data context. The spatial aspect can be interpreted quite generally, in either a geographical sense, or employing notions of economic distance, o...Read more...

25 November 2013

Econometrics Paper

Efficient Inference on Fractionally Integrated Panel Data Models with Fixed Effects

Peter M Robinson and Carlos Velasco

A dynamic panel data model is considered that contains possibly stochastic individual components and a common fractional stochastic time trend. We propose four different ways of coping with the individual effects so as t...Read more...

20 November 2013

Econometrics Paper

Improved Lagrange Multiplier Tests in Spatial Autoregressions

Peter M Robinson and Francesca Rossi

For testing lack of correlation against spatial autoregressive alternatives, Lagrange multiplier tests enjoy their usual computational advantages, but the (x squared) first-order asymptotic approximation to critical valu...Read more...

20 November 2013

Econometrics Paper

Improved Tests for Spatial Correlation

Peter M Robinson and Francesca Rossi

We consider testing the null hypothesis of no spatial autocorrelation against the alternative of first order spatial autoregression. A Wald test statistic has good first order asymptotic properties, but these may not be ...Read more...

20 November 2013

Econometrics Paper

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

Tatiana Komarova

The paper considers nonparametric estimation of absolutely continuous distribution functions of lifetimes of non-identical components in k-out-of-n systems from the observed ?autopsy? data. In economics,ascending ?button...Read more...

27 August 2013

Econometrics Paper

Testing for equality of an increasing number of spectral density functions

Javier Hidalgo, Pedro Souza and Pedro Souza

Nowadays it is very frequent that a practitioner faces the problem of modelling large data sets. Relevant examples include spatio-temporal or panel data models with large N and T. In these cases deciding a particular dyn...Read more...

1 July 2013

Econometrics Paper

SPECIFICATION FOR LATTICE PROCESSES

Javier Hidalgo and Myung Hwan Seo

We consider an omnibus test for the correct speci?cation of the dynamics of a sequence fx (t)gt2Zd in a lattice. As it happens with causal models and d = 1, its asymptotic distribution is not pivotal and depends on the e...Read more...

15 May 2013

Econometrics Paper

ON TESTABILITY OF COMPLEMENTARITY IN MODELS WITH MULTIPLE EQUILIBRIA

Taisuke Otsu and Yoshiyasu Rai

This paper revisits testability of complementarity in economic models with multiple equilibria studied by Echenique and Komunjer (2009). We find that Echenique and Komunjer?s (2009) testable implications on extreme quant...Read more...

1 February 2013

Econometrics Paper

Testing for Structural Stability in the Whole Sample

Javier Hidalgo and Myung Hwan Seo

The paper examines a Lagrange Multiplier type test for the constancy of the parameter in general models with dependent data without imposing any arti?cial choice of the possible location of the break. In order to prove t...Read more...

1 September 2012

Econometrics Paper

Binary Choice Models with Discrete Regressors: Identification and Misspecification

Tatiana Komarova

In semiparametric binary response models, support conditions on the regressors are required to guarantee point identification of the parameter of interest. For example,one regressor is usually assumed to have continuous ...Read more...

1 May 2012

Econometrics Paper

TESTING FOR STRUCTURAL STABILITY IN THE WHOLE SAMPLE

Javier Hidalgo and Myunghwan Seo

The paper examines a Lagrange Multiplier type test for the constancy of the parameter in general models with dependent data without imposing any artificial choice of the possible location of the break. In order to prove ...Read more...

1 October 2011

Econometrics Paper

Inference on Power Law Spatial Trends (Running Title: Power Law Trends)

Peter M Robinson

Power law or generalized polynomial regressions with unknown real-valued exponents and coefficients, and weakly dependent errors, are considered for observations over time, space or space-time. Consistency and asymptotic...Read more...

May 2011

Econometrics Paper

Adapting Kernel Estimation to Uncertain Smoothness

Yulia Kotlyarova, Marcia M Schafgans and Victoria Zinde-Walsh

For local and average kernel based estimators, smoothness conditions ensure that the kernel order determines the rate at which the bias of the estimator goes to zero and thus allows the econometrician to control the rate...Read more...

April 2011

Econometrics Paper

Asymptotic Theory for Nonparametric Regression with Spatial Data

Peter M Robinson

Nonparametric regression with spatial, or spatio-temporal, data is considered. The conditional mean of a dependent variable, given explanatory ones, is a nonparametric function, while the conditional covariance reflects ...Read more...

September 2010

Econometrics Paper

Quantile Uncorrelation and Instrumental Regression

Tatiana Komarova, Thomas Severini and Elie Tamer

We introduce a notion of median uncorrelation that is a natural extension of mean (linear) uncorrelation. A scalar random variable Y is median uncorrelated with a kdimensional random vector X if and only if the slope fro...Read more...

September 2010

Econometrics Paper

Semiparametric Estimation of Locally Stationary Diffusion Models

Bonsoo Koo and Oliver Linton

This paper proposes a class of locally stationary diffusion processes. The model has a time varying but locally linear drift and a volatility coefficient that is allowed to vary over time and space. We propose estimators...Read more...

August 2010

Econometrics Paper

Semiparametric Estimation of Markov Decision Processeswith Continuous State Space

Sorawoot Srisuma and Oliver Linton

We propose a general two-step estimation method for the structural parameters of popular semiparametric Markovian discrete choice models that include a class of Markovian Games and allow for continuous observable state s...Read more...

August 2010

Econometrics Paper

Loch Linear Fitting under Near Epoch Dependence: Uniform Consistency with Convergence Rate

Degui Li, Zudi Lu and Oliver Linton

Local linear fitting is a popular nonparametric method in nonlinear statistical and econometric modelling. Lu and Linton (2007) established the point wise asymptotic distribution (central limit theorem) for the local lin...Read more...

August 2010

Econometrics Paper

Estimation of Structural Optimization Models: A Note on Identification

Sorawoot Srisuma

Bajari, Benkard and Levin (2007) propose an estimation methodology for a broad class of dynamic optimization problems. To carry out their procedure, one needs to select a set of alternative policy functions and compare t...Read more...

May 2010

Econometrics Paper

Statistical Inference on Regression with Spatial Dependence

Peter M Robinson and Supachoke Thawornkaiwong

Central limit theorems are developed for instrumental variables estimates of linear and semi-parametric partly linear regression models for spatial data. General forms of spatial dependence and heterogeneity in explanato...Read more...

April 2010

Econometrics Paper

Nonparametric Trending Regression with Cross-Sectional Dependence

Peter M Robinson

Panel data, whose series length T is large but whose cross-section size N need not be, are assumed to have a common time trend. The time trend is of unknown form, the model includes additive, unknown, individual-specific...Read more...

January 2010

Econometrics Paper

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

Tatiana Komarova

This paper proposes an approach to proving nonparametric identification for distributions of bidders' values in asymmetric second-price auctions. I consider the case when bidders have independent private values and the o...Read more...

October 2009

Econometrics Paper

Efficient Estimation of a Multivariate Multiplicative Volatility Model

Christian M. Hafner and Oliver Linton

We propose a multivariate generalization of the multiplicative volatility model of Engle and Rangel (2008), which has a nonparametric long run component and a unit multivariate GARCH short run dynamic component. We sugge...Read more...

October 2009

Econometrics Paper

ESTIMATION OF A SEMIPARAMETRIC IGARCH(1,1) MODEL

Woocheol Kim and Oliver Linton

We propose a semiparametric IGARCH model that allows for persistence in variance but also allows for more flexible functional form. We assume that the difference of the squared process is weakly stationary. We propose an...Read more...

October 2009

Econometrics Paper

Nonparametric Regression with a Latent Time Series

Oliver Linton, S?ren Feodor Nielsen and Jens Perch Nielsen

In this paper we investigate a class of semiparametric models for panel datasets where the cross-section and time dimensions are large. Our model contains a latent time series that is to be estimated and perhaps forecast...Read more...

October 2009

Econometrics Paper

Optimal Smoothing for a Computationally and Statistically Efficient Single Index Estimator

Wolfgang Hardle, Oliver Linton and Yingcun Xia

In semiparametric models it is a common approach to under-smooth the nonparametric functions in order that estimators of the finite dimensional parameters can achieve root-n consistency. The requirement of under-smoothin...Read more...

July 2009

Econometrics Paper

An Alternative Way of Computing Efficient Instrumental Variable Estimators

Xiaohong Chen, David T. Jacho-Chavez and Oliver Linton

A new way of constructing efficient semiparametric instrumental variable estimators is proposed. The method involves the combination of a large number of possibly inefficient estimators rather than combining the instrume...Read more...

June 2009

Econometrics Paper

Nonparametric Estimation of a Polarization Measure

Gordon Anderson, Oliver Linton and Yoon-Jae Whang

This paper develops methodology for nonparametric estimation of a polarization measure due to Anderson (2004) and Anderson, Ge, and Leo (2006) based on kernel estimation techniques. We give the asymptotic distribution th...Read more...

June 2009

Econometrics Paper

Uniform Bahadur Representation for Local Polynomial Estimates of M-Regression and Its Application to The Additive Model

Efang Kong, Oliver Linton and Yingcun Xia

We use local polynomial fitting to estimate the nonparametric M-regression function for strongly mixing stationary processes {(Y_i,?X_i ) } . We establish a strong uniform consistency rate for the Bahadur representation ...Read more...

January 2009

Econometrics Paper

Large-Sample Inference on Spatial Dependence

Peter M Robinson

We consider cross-sectional data that exhibit no spatial correla- tion, but are feared to be spatially dependent. We demonstrate that a spatial version of the stochastic volatility model of financial econometrics, entail...Read more...

January 2009

Econometrics Paper

Inference On Nonparametrically Trending Time Series With Fractional Errors

Peter M Robinson

The central limit theorem for nonparametric kernel estimates of a smooth trend, with linearly-generated errors, indicates asymptotic independence and homoscedasticity across fixed points, irrespective of whether disturba...Read more...

January 2009

Econometrics Paper

Developments in the Analysis of Spatial Data

Peter M Robinson

Disregarding spatial dependence can invalidate methods for analyzing cross-sectional and panel data. We discuss ongoing work on developing methods that allow for, test for, or estimate, spatial dependence. Much of the st...Read more...

January 2009

Econometrics Paper

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

Peter M Robinson

We provide a general class of tests for correlation in time series, spatial, spatiotemporal and cross-sectional data. We motivate our focus by reviewing how computational and theoretical difficulties of point estimation ...Read more...

January 2009

Econometrics Paper

Smoothness Adaptive Average Derivative Estimation

Marcia M Schafgans and Victoria Zinde-Walsh

Many important models, such as index models widely used in limited dependent variables, partial linear models and nonparametric demand studies utilize estimation of average derivatives (sometimes weighted) of the conditi...Read more...

August 2008

Econometrics Paper

Bootstrap Tests of Stochastic Dominance with Asymptotic Similarity on the Boundary

Oliver Linton, Kyungchul Song and Yoon-Jae Whang

We propose a new method of testing stochastic dominance which improves on existing tests based on bootstrap or subsampling. Our test requires estimation of the contact sets between the marginal distributions. Our tests h...Read more...

February 2008

Econometrics Paper

Multiple Local Whittle Estimation in Stationary Systems

Peter M Robinson

Moving from univariate to bivariate jointly dependent long memory time series introduces a phase parameter (?), at the frequency of principal interest, zero; for short memory series ? = 0 automatically. The latter case h...Read more...

October 2007

Econometrics Paper

Efficient Estimation of a Semiparametric Characteristic-Based Factor Model of Security Returns

Gregory Connor, Matthias Hagmann and Oliver Linton

This paper develops a new estimation procedure for characteristic-based factor models of security returns. We treat the factor model as a weighted additive nonparametric regression model, with the factor returns serving ...Read more...

October 2007

Econometrics Paper

Inference about Realized Volatility using Infill Subsampling

Ilze Kalnina and Oliver Linton

We investigate the use of subsampling for conducting inference about the quadratic variation of a discretely observed diffusion process under an infill asymptotic scheme. We show that the usual subsampling method of Poli...Read more...

September 2007

Econometrics Paper

DIAGNOSTIC TESTING FOR COINTEGRATION

Peter Robinson

We develop a sequence of tests for specifying the cointegrating rank of, possibly fractional, multiple time series. Memory parameters of observables are treated as unknown, as are those of possible cointegrating errors. ...Read more...

September 2007

Econometrics Paper

ON DISCRETE SAMPLING OF TIME-VARYING CONTINUOUS-TIME SYSTEMS

Peter Robinson

We consider a multivariate continuous time process, generated by a system of linear stochastic differential equations, driven by white noise and involving coefficients that possibly vary over time. The process is observa...Read more...

June 2007

Econometrics Paper

Fractional Cointegration In Stochastic Volatility Models

Afonso Goncalves da Silva and Peter M Robinson

Asset returns are frequently assumed to be determined by one or more common factors. We consider a bivariate factor model, where the unobservable common factor and idiosyncratic errors are stationary and serially uncorre...Read more...

May 2007

Econometrics Paper

SPECIFICATION TESTING FOR REGRESSION MODELS WITH DEPENDENT DATA

Javier Hidalgo

We describe and examine a consistent test for the correct specification of a regression function with dependent data. The test is based on the supremum of the difference between the parametric and nonparametric estimates...Read more...

May 2007

Econometrics Paper

Estimation of Nonlinear Error Correction Models

Myung Hwan Seo

Asymptotic inference in nonlinear vector error correction models (VECM) that exhibit regime-specific short-run dynamics is nonstandard and complicated. This paper contributes the literature in several important ways. Fir...Read more...

March 2007

Econometrics Paper

SEMIPARAMETRIC ESTIMATION OF A BINARY RESPONSE MODEL WITH A CHANGE-POINT DUE TO A COVARIATE THRESHOLD

Sokbae Lee and Myunghwan Seo

This paper is concerned with semiparametric estimation of a threshold binary response model. The estimation method considered in the paper is semiparametric since the parameters for a regression function are finite-dimen...Read more...

February 2007

Econometrics Paper

Efficient Estimation of the Semiparametric Spatial Autoregressive Model

Peter M Robinson

Efficient semiparametric and parametric estimates are developed for a spatial autoregressive model, containing nonstochastic explanatory variables and innovations suspected to be non-normal. The main stress is on the cas...Read more...

February 2007

Econometrics Paper

Selectivity and the gender wage gap decomposition in the presence of a joint decision process

Marcia M Schafgans and Morton Stelcnery

In this paper we revisit the gender decomposition of wages in the presence of selection bias. We show that when labor market participation decisions of couples are not independent, the sample selection corrections used i...Read more...

December 2006

Econometrics Paper

Estimating Quadratic Variation Consistently in the Presence of Correlated Measurement Error

Ilze Kalnina and Oliver Linton

We propose an econometric model that captures the e?ects of market microstructure on a latent price process. In particular, we allow for correlation between the measurement error and the return process and we allow the m...Read more...

October 2006

Econometrics Paper

Identification and Nonparametric Estimation of a Transformed Additively Separable Model

David T. Jacho-Chavez, Arthur Lewbel and Oliver Linton

Let r (x, z) be a function that, along with its derivatives, can be consistently estimated nonparametrically. This paper discusses identification and consistent estimation of the unknown functions H, M, G and F, where r ...Read more...

September 2006

Econometrics Paper

ESTIMATING FEATURES OF A DISTRIBUTION FROM BINOMIAL DATA

Arthur Lewbel, Oliver Linton and DL McFadden

A statistical problem that arises in several fields is that of estimating the features of an unknown distribution, which may be conditioned on covariates, using a sample of binomial observations on whether draws from thi...Read more...

September 2006

Econometrics Paper

Semiparametric Estimation of a Characteristic-based Factor Model of Common Stock Returns

Gregory Connor and Oliver Linton

We introduce an alternative version of the Fama-French three-factor model of stock returns together with a new estimation methodology. We assume that the factor betas in the model are smooth nonlinear functions of observ...Read more...

September 2006

Econometrics Paper

Conditional-Sum-of-Squares Estimation of Models for Stationary Time Series with Long Memory

Peter M Robinson

Employing recent results of Robinson (2005) we consider the asymptotic properties of conditional-sum-of-squares (CSS) estimates of parametric models for stationary time series with long memory. CSS estimation has been co...Read more...

September 2006

Econometrics Paper

TESTING FOR STOCHASTIC MONOTONICITY

Sokbae Lee, Oliver Linton and Yoon-Jae Whang

We propose a test of the hypothesis of stochastic monotonicity. This hypothesis is of interest in many applications. Our test is based on the supremum of a rescaled U-statistic. We show that its asymptotic distribution i...Read more...

August 2006

Econometrics Paper

Nonparametric Transformation to White Noise

Oliver Linton and Enno Mammen

We consider a semiparametric distributed lag model in which the ?news impact curve? m is nonparametric but the response is dynamic through some linear filters. A special case of this is a nonparametric regression with se...Read more...

August 2006

Econometrics Paper

Semiparametric Estimation of Fractional Cointegration

Javier Hualde and Peter M Robinson

A semiparametric bivariate fractionally cointegrated system is considered, integration orders possibly being unknown and I (0) unobservable inputs having nonparametric spectral density. Two kinds of estimate of the coint...Read more...

May 2006

Econometrics Paper

Finite Sample Performance in Cointegration Analysis of Nonlinear Time Series with Long Memory

Afonso Goncalves da Silva and Peter M Robinson

Nonlinear functions of multivariate financial time series can exhibit long memory and fractional cointegration. However, tools for analysing these phenomena have principally been justified under assumptions that are inva...Read more...

April 2006

Econometrics Paper

Instrumental Variables Estimation of Stationary and Nonstationary Cointegrating Regressions

Peter M Robinson and M. Gerolimetto

Instrumental variables estimation is classically employed to avoid simultaneous equations bias in a stable environment. Here we use it to improve upon ordinary least squares estimation of cointegrating regressions betwee...Read more...

April 2006

Econometrics Paper

ROOT-N-CONSISTENT ESTIMATION OF WEAK FRACTIONAL COINTEGRATION

Javier Hualde and Peter M Robinson

Empirical evidence has emerged of the possibility of fractional cointegration such that the gap, ?, between the integration order d of observable time series, and the integration order ? of cointegrating errors, is less ...Read more...

March 2006

Econometrics Paper

Nonparametric Spectrum Estimation for Spatial Data

Peter M Robinson

Smoothed nonparametric kernel spectral density estimates are considered for stationary data observed on a d-dimensional lattice. The implications for edge effect bias of the choice of kernel and bandwidth are considered....Read more...

February 2006

Econometrics Paper

Consistent estimation of the memory parameter for nonlinear time series

Violetta Dalla, Liudas Giraitis and Javier Hidalgo

For linear processes, semiparametric estimation of the memory parameter, based on the log-periodogram and local Whittle estimators, has been exhaustively examined and their properties are well established. However, excep...Read more...

January 2006

Econometrics Paper

A Smoothed Least Squares Estimator For Threshold Regression Models

Myunghwan Seo and Oliver Linton

We propose a smoothed least squares estimator of the parameters of a threshold regression model. Our model generalizes that considered in Hansen (2000) to allow the thresholding to depend on a linear index of observed re...Read more...

October 2005

Econometrics Paper

Pseudo-Maximum Likelihood Estimation of ARCH(8) Models

Peter M Robinson and Paolo Zaffaroni

Strong consistency and asymptotic normality of the Gaussian pseudo-maximum likelihood estimate of the parameters in a wide class of ARCH(8) processes are established. We require the ARCH weights to decay at least hyperbo...Read more...

October 2005

Econometrics Paper

A method of moments estimator for semiparametric index models

Bas Donkers and Marcia M Schafgans

We propose an easy to use derivative based two-step estimation procedure for semi-parametric index models. In the first step various functionals involving the derivatives of the unknown function are estimated using nonpa...Read more...

July 2005

Econometrics Paper

Modified Whittle Estimation of Multilateral Models on a Lattice

Peter M Robinson and J Vidal Sanz

In the estimation of parametric models for stationary spatial or spatio-temporal data on a d-dimensional lattice, for d >= 2, the achievement of asymptotic efficiency under Gaussianity, and asymptotic normality more gene...Read more...

June 2005

Econometrics Paper

Modelling Memory of Economic and Financial Time Series

Peter M Robinson

Much time series data are recorded on economic and financial variables. Statistical modelling of such data is now very well developed, and has applications in forecasting. We review a variety of statistical models from t...Read more...

March 2005

Econometrics Paper

A Parametric Bootstrap Test for Cycles

Violetta Dalla and Javier Hidalgo

The paper proposes a simple test for the hypothesis of strong cycles and as a by-product a test for weak dependence for linear processes. We show that the limit distribution of the test is the maximum of a (semi)Gaussian...Read more...

February 2005

Econometrics Paper

Testable Implications of Forecast Optimality

Andrew J. Patton and Allan Timmermann

Evaluation of forecast optimality in economics and finance has almost exclusively been conducted on the assumption of mean squared error loss under which forecasts should be unbiased and forecast errors serially uncorrel...Read more...

January 2005

Econometrics Paper

Unit Root Test in a Threshold Autoregression: Asymptotic Theory and Residual-based Block Bootstrap

Myunghwan Seo

There is a growing literature on unit root testing in threshold autoregressive models. This paper makes two contributions to the literature. First, an asymptotic theory is developed for unit root testing in a threshold a...Read more...

January 2005

Econometrics Paper

The Bootstrap and the Edgeworth Correction for Semiparametric Averaged Derivatives

Yoshihiko Nishiyama and Peter M Robinson

In a number of semiparametric models, smoothing seems necessary in order to obtain estimates of the parametric component which are asymptotically normal and converge at parametric rate. However, smoothing can inflate the...Read more...

January 2005

Econometrics Paper

Distribution Free Goodness-of-Fit Tests for Linear Processes

Miguel A. Delgado, Javier Hidalgo and Carlos Velasco

This article proposes a class of goodness-of-fit tests for the autocorrelation function of a time series process, including those exhibiting long-range dependence. Test statistics for composite hypotheses are functionals...Read more...

January 2005

Econometrics Paper

Semiparametric Estimation for Stationary Processes whose Spectra have an Unknown Pole

Javier Hidalgo

We consider the estimation of the location of the pole and memory parameter, ?<sup>0</sup> and a respectively, of covariance stationary linear processes whose spectral density function f(?) satisfies f(?) ~ C|? - ?<sup>0...Read more...

January 2005

Econometrics Paper

Efficiency Improvements in Inference on Stationary and Nonstationary Fractional Time Series

Peter M Robinson

We consider a time series model involving a fractional stochastic component, whose integration order can lie in the stationary/invertible or nonstationary regions and be unknown, and additive deterministic component cons...Read more...

November 2004

Econometrics Paper

Forecasting the density of asset returns

Trino-Manuel Niguez and Javier Perote

In this paper we introduce a transformation of the Edgeworth-Sargan series expansion of the Gaussian distribution, that we call Positive Edgeworth-Sargan (PES). The main advantage of this new density is that it is well d...Read more...

October 2004

Econometrics Paper

Cointegration in Fractional Systems with Deterministic Trends

Fabrizio Iacone and Peter M Robinson

We consider a cointegrated system generated by processes that may be fractionally integrated, and by additive polynomial and generalized polynomial trends. In view of the consequent competition between stochastic and det...Read more...

May 2004

Econometrics Paper

Nonparametric Inference for Unbalanced Time Series Data

Oliver Linton

This paper is concerned with the practical problem of conducting inference in a vector time series setting when the data is unbalanced or incomplete. In this case, one can work only with the common sample, to which a sta...Read more...

April 2004

Econometrics Paper

ROBUST COVARIANCE MATRIX ESTIMATION: 'HAC' Estimates with Long Memory/Antipersistence Correction

Peter M Robinson

Smoothed nonparametric estimates of the spectral density matrix at zero frequency have been widely used in econometric inference, because they can consistently estimate the covariance matrix of a partial sum of a possibl...Read more...

March 2004

Econometrics Paper

The Distance between Rival Nonstationary Fractional Processes

Peter M Robinson

Asymptotic inference on nonstationary fractional time series models, including cointegrated ones, is proceeding along two routes, determined by alternative definitions of nonstationary processes. We derive bounds for the...Read more...

March 2004

Econometrics Paper

Consistent Testing for Stochastic Dominance under General Sampling Schemes

Oliver Linton, Esfandiar Maasoumi and Yoon-Jae Whang

We propose a procedure for estimating the critical values of the extended Kolmogorov-Smirnov tests of Stochastic Dominance of arbitrary order in the general K-prospect case. We allow for the observations to be serially d...Read more...

December 2003

Econometrics Paper

A Quantilogram Approach to Evaluating Directional Predictability

Oliver Linton and Yoon-Jae Whang

In this note we propose a simple method of measuring directional predictability and testing for the hypothesis that a given time series has no directional predictability. The test is based on the correlogram of quantile ...Read more...

November 2003

Econometrics Paper

A Bootstrap Causality Test for Covariance Stationary Processes

Javier Hidalgo

This paper examines a nonparametric test for Granger-causality for a vector covariance stationary linear process under, possibly, the presence of long-range dependence. We show that the test converges to a non-distributi...Read more...

November 2003

Econometrics Paper

Nonparametric Estimation of Homothetic and Homothetically Separable Functions

Arthur Lewbel and Oliver Linton

For vectors x and w, let r(x,w) be a function that can be nonparametrically estimated consistently and asymptotically normally. We provide consistent, asymptotically normal estimators for the functions g and h, where r(x...Read more...

October 2003

Econometrics Paper

LARCH, Leverage and Long Memory

Liudas Giraitis, Remigijus Leipus, Peter M Robinson and Donatas Surgailis

We consider the long memory and leverage properties of a model for the conditional variance of an observable stationary sequence, where the conditional variance is the square of an inhomogeneous linear combination of pas...Read more...

October 2003

Econometrics Paper

A Local Instrumental Variable Estimation Method for Generalized Additive Volatility Models

Woocheol Kim and Oliver Linton

We investigate a new separable nonparametric model for time series, which includes many ARCH models and AR models already discussed in the literature. We also propose a new estimation procedure based on a localization of...Read more...

May 2003

Econometrics Paper

Nonparametric Neural Network Estimation of Lyapunov Exponents and a Direct Test for Chaos

Oliver Linton and Mototsugu Shintani

This paper derives the asymptotic distribution of the nonparametric neural network estimator of the Lyapunov exponent in a noisy system. Positivity of the Lyapunov exponent is an operational definition of chaos. We intro...Read more...

May 2003

Econometrics Paper

Semiparametric Regression Analysis under Imputation for Missing Response Data

Wolfgang Haerdle, Oliver Linton and Qihua Wang

We develop inference tools in a semiparametric regression model with missing response data. A semiparametric regression imputation estimator, a marginal average estimator and a (marginal) propensity score weighted estima...Read more...

May 2003

Econometrics Paper

Estimating Semiparametric ARCH (8) Models by Kernel Smoothing Methods

Oliver Linton and Enno Mammen

We investigate a class of semiparametric ARCH(8) models that includes as a special case the partially nonparametric (PNP) model introduced by Engle and Ng (1993) and which allows for both flexible dynamics and flexible f...Read more...

May 2003

Econometrics Paper

An Alternative Bootstrap to Moving Blocks for Time Series Regression Models

Javier Hidalgo

The purpose of this paper is to introduce and examine two alternative, although similar, approaches to the Moving Blocks and subsampling Bootstraps to bootstrapping the estimator of the parameters for time series regress...Read more...

May 2003

Econometrics Paper

Asymptotic Expansions for Some Semiparametric Program Evaluation Estimators

Hidehiko Ichimura and Oliver Linton

We investigate the performance of a class of semiparametric estimators of the treatment effect via asymptotic expansions. We derive approximations to the first two moments of the estimator that are valid to 'second order...Read more...

May 2003

Econometrics Paper

Estimation of Semiparametric Models when the Criterion Function is not Smooth

Xiaohong Chen, Oliver Linton and Ingrid Van Keilegom

We provide easy to verify sufficient conditions for the consistency and asymptotic normality of a class of semiparametric optimization estimators where the criterion function does not obey standard smoothness conditions ...Read more...

May 2003

Econometrics Paper

Cointegration in Fractional Systems with Unkown Integration Orders

Javier Hualde and Peter M Robinson

The semiparametric local Whittle or Gaussian estimate of the long memory parameter is known to have especially nice limiting distributional properties, being asymptotically normal with a limiting variance that is complet...Read more...

February 2003

Econometrics Paper

Edgeworth Expansions for Semiparametric Whittle Estimation of Long Memory

Liudas Giraitis and Peter M Robinson

September 2002

Econometrics Paper

Denis Sargan: Some Perspectives

Peter M Robinson

We attempt to present Denis Sargan's work in some kind of historical perspective, in two ways. First, we discuss some previous members of the Tooke Chair of Economic Science and Statistics, which was founded in 1859 and ...Read more...

September 2002

Econometrics Paper

Higher-Order Kernel Semiparametric M-Estimation of Long Memory

Marc Henry and Peter M Robinson

Econometric interest in the possibility of long memory has developed as a flexible alternative to, or compromise between, the usual short memory or unit root prescriptions, for example in the context of modelling cointeg...Read more...

September 2002

Econometrics Paper

More Efficient Kernel Estimation in Nonparametric Regression with Autocorrelated Errors

Raymond J Carroll, Oliver Linton, Enno Mammen and Zhijie Xiao

We propose a modification of kernel time series regression estimators that improves efficiency when the innovation process is autocorrelated. The procedure is based on a pre-whitening transformation of the dependent vari...Read more...

June 2002

Econometrics Paper

Nonparametric Neutral Network Estimation of Lyapunov Exponents and a Direct Test for Chaos

Oliver Linton and Mototsugu Shintani

This paper derives the asymptotic distribution of nonparametric neural network estimator of the Lyapunov exponent in a noisy system proposed by Nychka et al (1992) and others. Positivity of the Lyapunov exponent is an op...Read more...

March 2002

Econometrics Paper

Consistent Testing for Stochastic Dominance: A Subsampling Approach

Oliver Linton, Esfandiar Maasoumi and Yoon-Jae Whang

We study a very general setting, and propose a procedure for estimating the critical values of the extended Kolmogorov-Smirnov tests of First and Second Order Stochastic Dominance due to McFadden (1989) in the general k-...Read more...

March 2002

Econometrics Paper

Consistent Order Selection with Strongly Dependent Data and its Application to Efficient Estimation

Javier Hidalgo

Order selection based on criteria by Akaike (1974), AIC, Schwarz (1978), BIC or Hannan and Quinn (1979) HIC is often applied in empirical examples. They have been used in the context of order selection of weakly dependen...Read more...

February 2002

Econometrics Paper

Adapting to Unknown Disturbance Autocorrelation in Regression with Long Memory

Javier Hidalgo and Peter M Robinson

We show that it is possible to adapt to nonparametric disturbance auto-correlation in time series regression in the presence of long memory in both regressors and disturbances by using a smoothed nonparametric spectrum e...Read more...

September 2001

Econometrics Paper

Gaussian Estimation of Parametric Spectral Density with Unknown Pole

Liudas Giraitis, Javier Hidalgo and Peter M Robinson

We consider a parametric spectral density with power-law behaviour about a fractional pole at the unknown frequency w. The case of unknown w, especially w = 0, is standard in the long memory literature. When w is unknown...Read more...

August 2001

Econometrics Paper

Determination of Cointegrating Rank in Fractional Systems

Peter M Robinson and Yoshihiro Yajima

This paper develops methods of investigating the existence and extent of cointegration in fractionally integrated systems. We focus on stationary series, with some discussion of extension to nonstationarity. The setting ...Read more...

July 2001

Econometrics Paper

Finite Sample Improvement in Statistical Inference with I(1) Processes

D Marinucci and Peter M Robinson

Robinson and Marinucci (1998) investigated the asymptotic behaviour of a narrow-band semiparametric procedure termed Frequency Domain Least Squares (FDLS) in the broad context of fractional cointegration analysis. Here w...Read more...

July 2001

Econometrics Paper

Narrow-Band Analysis of Nonstationary Processes

D Marinucci and Peter M Robinson

The behaviour of averaged periodograms and cross-periodograms of a broad class of nonstationary processes is studied. The processes include nonstationary ones that are fractional of any order, as well as asymptotically s...Read more...

July 2001

Econometrics Paper

Semiparametric Fractional Cointegration Analysis

D Marinucci and Peter M Robinson

Fractional cointegration is viewed from a semiparametric viewpoint as a narrow-band phenomenon at frequency zero. We study a narrow-band frequency domain least squares estimate of the cointegrating vector, and related se...Read more...

July 2001

Econometrics Paper

A Nonparametric Regression Estimator that Adapts to Error Distribution of Unknown Form

Oliver Linton and Zhijie Xiao

We propose a new estimator for nonparametric regression based on local likelihood estimation using an estimated error score function obtained from the residuals of a preliminary nonparametric regression. We show that our...Read more...

June 2001

Econometrics Paper

Prediction and Signal Extraction of Strong Dependent Processess in the Frequency Domain

Javier Hidalgo and Yoshihiro Yajima

We frequently observe that one of the aims of time series analysts is to predict future values of the data. For weakly dependent data, when the model is known up to a finite set of parameters, its statistical properties ...Read more...

June 2001

Econometrics Paper

Parametric Estimation under Long-Range Dependence

Liudas Giraitis and Peter M Robinson

Parametric estimation is discussed in a variety of models exhibiting long-range dependence....Read more...

May 2001

Econometrics Paper

The Estimation of Conditional Densities

Xiaohong Chen, Oliver Linton and Peter M Robinson

We discuss a number of issues in the smoothed nonparametric estimation of kernel conditional probability density functions for stationary processes. The kernel conditional density estimate is a ratio of joint and margina...Read more...

May 2001

Econometrics Paper

The Memory of Stochastic Volatility Models

Peter M Robinson

A valid asymptotic expansion for the covariance of functions of multivariate normal vectors is applied to approximate autovariances of time series generated by nonlinear transformation of Gaussian latent variates, and no...Read more...

February 2001

Econometrics Paper

Estimating Multiplicative and Additive Hazard Functions by Kernel Methods

Oliver Linton, Jens Perch Nielsen and Sara van de Geer

We propose new procedures for estimating the univariate quantities of interest in both additive and multiplicative nonparametric marker dependent hazard models. We work with a full counting process framework that allows ...Read more...

February 2001

Econometrics Paper

The Averaged Periodogram for Nonstationary Vector Time Series

D Marinucci and Peter M Robinson

Averaged periodogram; nonstationary processes; fractional Brownian motion....Read more...

December 2000

Econometrics Paper

Testing of Seasonal Fractional Integration in UK and Japanese Consumption and Income

L A Gil-Ala?a and Peter M Robinson

The seasonal structure of quarterly UK and Japanese consumption and income is examined by means of fractionally-based tests proposed by Robinson (1994). These series were analysed from an autoregressive unit root viewpoi...Read more...

November 2000

Econometrics Paper

Whittle Estimation of ARCH Models

Liudas Giraitis and Peter M Robinson

For a class of parametric ARCH models, Whittle estimation based on squared observations is shown to be inconsistent and asymptotically normal. Our conditions require the squares to have short memory autocorrelation, by c...Read more...

November 2000

Econometrics Paper

Limit Theorems for Estimating the Parameters of Differentiated Product Demand Systems

Steve Berry, Oliver Linton and Ariel Pakes

We provide an asymptotic distribution theory for a class of Generalized Method of Moments estimators that arise in the study of differentiated product markets when the number of observations is associated with the number...Read more...

July 2000

Econometrics Paper

Edgeworth Approximations for Semiparametric Instrumental Variable Estimators and Test Statistics

Oliver Linton

We stablish the validity of higher order asymptotic expansions to the distribution of a version of the nonlinear semiparametric instrumental variable considered in Newey (1990) as well as to the distribution of a Wald st...Read more...

July 2000

Econometrics Paper

Nonparametric Estimation with Aggregated Data

Oliver Linton and Yoon-Jae Whang

We introduce a kernel-based estimator of the density function and regression function for data that have been grouped into family totals. We allow for a common intra-family component but require that observations from di...Read more...

July 2000

Econometrics Paper

Testing the Capital Asset Pricing Model Efficiently under Elliptical Symmetry: A Semiparametric Approach

Douglas J Hodgson, Oliver Linton and Keith Vorkink

Adaptive estimation; capital asset pricing model; efficiency...Read more...

July 2000

Econometrics Paper

Simulated Asymptotic Least Squares Theory

Ramdan Dridi

We develop in this paper a general econometric methodology referred to as the Simulated Asymptotic Least Squares (SALS). It is shown that this approach provides a unifying theory for 'approximation-based' or simulation-b...Read more...

June 2000

Econometrics Paper

Noise and Competition in Strategic Oligopoly

Ramdan Dridi and Laurent Germain

Focusing on homogeneous beliefs, we can distinguish two commonly shared ideas that, i) the competition between informed traders destroys their trading profits, ii) trading with a noisy signal brings about a loss in the e...Read more...

June 2000

Econometrics Paper

Whittle Pseudo-Maximum Likelihood Estimation for Nonstationary Time Series - (Now published in 'Journal of the American Statistical Association', 95, (2000), pp.1229-1243.)

Peter M Robinson and Carlos Velasco

Whittle pseudo-maximum likelihood estimates of parameters for stationary time series have been found to be consistent and asumptotically normal in the presence of long-range dependence. Generalizing the definition of the...Read more...

May 2000

Econometrics Paper

Semi-Parametric Indirect Inference

Ramdan Dridi and Eric Renault

We develop in this paper a generalization of the Indirect Inference (II) to semi-parametric settings and termed Semi-parametric Indirect Inference (SII). We introduce a new notion of Partial Encompassing which lays the e...Read more...

May 2000

Econometrics Paper

Edgeworth Expansions for Spectral Density Estimates and Studentized Sample Mean - (Now published in 'Economic Theory', 17 (2001), pp.497-539.

Peter M Robinson and Carlos Velasco

We establish valid Edgeworth expansions for the distribution of smoothed nonparametric spectral estimates, and of studentized versions of linear statistics such as the same mean, where the studentization employs such a n...Read more...

May 2000

Econometrics Paper

Nonparametric Censored and Truncated Regression

Arthur Lewbel and Oliver Linton

The nonparametric censored regression model, with a fixed, known censoring point (normalized to zero), is y = max[0,m(x) + e], where both the regression function m(x) and the distribution of the error e are unknown. This...Read more...

April 2000

Econometrics Paper

Yield Curve Estimation by Kernel Smoothing Methods

Oliver Linton, Enno Mammen, Jens Perch Nielsen and C Tanggaard

We introduce a new method for the estimation of discount functions, yield curves and forward curves from government issued coupon bonds. Our approach is nonparametric and does not assume a particular functional form for ...Read more...

April 2000

Econometrics Paper

Nonparametric Test for Causality with Long-Range Dependence - (Now published in 'Econometrica', 68, (2000) pp.1465-1490.

Javier Hidalgo

This paper introduces a nonparametric Granger-causality test for covariance stationary linear processes under, possibly, the presence of long-range dependence. We show that the test is consistent and has power against co...Read more...

April 2000

Econometrics Paper

Adaptive Varying-Coefficient Linear Models

Zongwu Cai, Jianqin Fan and Qiwei Yao

Varying-coefficient linear models arise from multivariate nonparametric regression, nonlinear time series modelling and forecasting, functional data analysis, longitudinal data analysis, and others. It has been a common ...Read more...

April 2000

Econometrics Paper

The Existence and Asymptotic Properties of a Backfitting Projection Algorithm under Weak Conditions

Oliver Linton, Enno Mammen and N Nielsen

We derive the asymptotic distribution of a new backfitting procedure for estimating the closest additive approximation to a nonparametric regression function. The procedure employs a recent projection interpretation of p...Read more...

April 2000

Econometrics Paper

A Model for Long Memory Conditional Heteroscedasticity - (Now published in 'Annals of Applied Probability', 10 (2000), pp.1002-1024.)

Liudas Giraitis, Peter M Robinson and Donatas Surgailis

March 2000

Econometrics Paper

Stationarity and Memory of ARCH Models

Paolo Zaffaroni

Sufficient conditions for strict stationarity of ARCH(8) are established, without imposing covariance stationarity and for any specification of the conditional second moment coefficients. GARCH(p,q) as well as the case o...Read more...

March 2000

Econometrics Paper

Adaptive Semiparametric Estimation of the Memory Parameter - (Now published with revised title, Adaptive Rate-Optimal Estimation of the Memory Parameter, in 'Journal of Multivariate Analysis, 72 (2000), pp.183-207.)

Liudas Giraitis, Peter M Robinson and Alexander Samarov

January 2000

Econometrics Paper

Contemporaneous Aggregation of GARCH Processes

Paolo Zaffaroni

We study the impact of large cross-sections of contemporaneous aggregation of GARCH processes and of dynamic GARCH factor models. The results crucially depend on the shape of the cross-sectional distribution of the GARCH...Read more...

January 2000

Econometrics Paper

On Intercept Estimation in the Sample Selection Model

Marcia M Schafgans

We provide a proof of the consistency and asymptotic normality of the estimator suggested by Heckman (1990) for the intercept of a semiparametrically estimated sample selection model. The estimator is based on 'identific...Read more...

January 2000

Econometrics Paper

Studentization in Edgworth Expansions for Estimates of Semiparametric Index Models - (Now published in C Hsiao, K Morimune and J Powell (eds): 'Nonlinear Statistical Modeling' (Festschrift for Takeshi Amemiya), (Cambridge University Press, 2001), pp.197-240.)

Yoshihiko Nishiyama and Peter M Robinson

We establish valid theoretical and empirical Edgeworth expansions for density-weighted averaged derivative estimates of semiparametric index models....Read more...

October 1999

Econometrics Paper

Edgeworth Expansions for Semiparametric Averaged Derivatives - (Now published in 'Econometrica', 68 (2000), pp.931-979.)

Yoshihiko Nishiyama and Peter M Robinson

A valid Edgeworth expansion is established for the limit distribution of density-weighted semiparametric averaged derivative estimates of single index models. The leading term that corrects the normal limit varies in mag...Read more...

October 1999

Econometrics Paper

Testing for the Presence of a Random Walk in Series with Structural Breaks - (Now published in 'Journal of Time Series Analysis', 22 (2001), pp.127-150.)

Fabio Busetti and Andrew C Harvey

The paper considers tests for the presence of a random walk component in a stationary or trend stationary time series and extends them to series which contain structural breaks. The locally best invariant (LBI) test is d...Read more...

December 1998

Econometrics Paper

Variance-Type Estimation of Long Memory - (Now published in 'Stochastic Processes and their Applications', 29 (1999), pp.1-24.)

Liudas Giraitis and Peter M Robinson

The aggregation procedure when a sample of length N is divided into blocks of length m = o(N), m ? ? and observations in each block are replaced by their sample mean, is widely used in statistical inference. Taqqu, Tever...Read more...

October 1998

Econometrics Paper

Semiparametric Inference in Seasonal and Cyclical Long Memory Processes - (Now published in 'Journal of Time Series Analysis', 21 (2000), pp.1-25.)

Josu Artech and Peter M Robinson

Several semiparametric estimates of the memory parameter in standard long memory time series are now available. They consider only local behaviour of the spectrum near zero frequency, about which the spectrum is symmetri...Read more...

September 1998

Econometrics Paper

Seasonal and Cyclical Long Memory - (Now published in S Ghosh (ed): 'Asymptotics, Nonparametrics and Time Series: A Tribute to Madam Lal Puri (Marcel Decker, 1999), pp.115-145.)

Josu Artech and Peter M Robinson

There has recently been great interest in time series with long memory, namely series whose dependence decays slowly in the sense that autocovariances are not summable and the spectral density is unbounded. This concept ...Read more...

September 1998

Econometrics Paper

Long and Short Memory Conditional Heteroscedasticity in Estimating the Memory Parameter of Levels - (Now published in 'Econometric Theory', 15 (1999), pp.299-336.)

Marc Henry and Peter M Robinson

Semiparametric estimates of long memory seem useful in the analysis of long financial time series because they are consistent under much broader conditions than parametric estimates. However, recent large sample theory f...Read more...

August 1998

Econometrics Paper

Weak Convergence of Multivariate Fractional Processes - (Now published in 'Stochastic Processes and their Applications', 80 (1999), pp.103-120.)

D Marinucci and Peter M Robinson

Weak convergence to a form of fractional Brownian motion is established for a wide class of nonstationary fractionally integrated multivariate processes. Instrumental for the main argument is a result of some independent...Read more...

July 1998

Econometrics Paper

Band Spectrum Regression for Cointegrated Time Series with Long Memory Innovations

D Marinucci

Band spectrum regression is considered for cointegrated time series with long memory innovations. The estimates we advocate are shown to be consistent when cointegrating relationships among stationary variables are inves...Read more...

July 1998

Econometrics Paper

Alternative Forms of Fractional Brownian Motion - (Now published in 'Journal of Statistical Planning and Inference', 80 (1999), pp.111-122.)

D Marinucci and Peter M Robinson

It is pointed out that two contradictory definitions of fractional Brownian motion are well established, one prevailing in the probabilistic literature, the other in the econometric literature. Each is associated with a ...Read more...

July 1998

Econometrics Paper

Aggregation of Simple Linear Dynamics: Exact Asymptotic Results

Marco Lippi and Paolo Zaffaroni

his paper deal with aggregation of AR(1) micro variables driven by a common and idiosyncratic shock with random coefficients. We provide a rigorous analysis, based on results on sums of r.v.'s with a possibly finite firs...Read more...

April 1998

Econometrics Paper

Semiparametric Frequency Domain Analysis of Fractional Cointegration - (Revised version forthcoming in P M Robinson: 'Time Series with Long Memory' (Oxford University Press).

D Marinucci and Peter M Robinson

The concept of cointegration has principally been developed under the assumption that the raw data vector zt is I(1) and the cointegrating residual et is I(0), but is also of interest in more general, including fractiona...Read more...

March 1998

Econometrics Paper

Deriving the Exact Discrete Analog of a Continuous Time System

J R McCrorie

We present a method of deriving the exact discrete model satisfied by equispaced data generated by a system of linear stochastic differential equations without implying the usual restrictions on observed discrete data th...Read more...

December 1997

Econometrics Paper

Interpolating Exogenous Variables in Open Continuous Time Dynamic Models

J R McCrorie

As the exact discrete model induced by an open continuous time system depends on the continous time paths of the exogenous variables, these need to be interpolated for the purpose of estimation. We examine some recently ...Read more...

December 1997

Econometrics Paper

Some Practical Issues in Maximum Simulated Likelihood

V A Hajivassiliou

In this paper, I explore ways of recapturing the efficiency property for estimators that rely on simulation. In particular, I show that this can be achieved by exploiting two-step maximum stimulated likelihood (SL) estim...Read more...

November 1997

Econometrics Paper

A Nonparametric Test for I(0) - (Now published in 'Review of Economic Studies', 65 (1998), pp.475-495.)

Ignacio Lobato and Peter M Robinson

There is frequently interest in testing that a scalar or vector time series is I(0), possibly after first- differencing or other detrending, while the I(0) assumption is also taken for granted in autocorrelation-consiste...Read more...

November 1997

Econometrics Paper

Inference-without-Smoothing in the Presence of Nonparametric Autocorrelation - (Now published in 'Econometrica', 66 (1998), pp.1163-1182.)

Peter M Robinson

In a number of econometric models, rules of large-sample inference require a consistent estimate of f(0), where f (?) is the spectral density matrix of yt = ut?xt, for covariance stationary vectors ut, xt. Typically yt i...Read more...

October 1997

Econometrics Paper

Large-Sample Inference for Nonparametric Regression with Dependent Errors - (Now published in 'Annals of Statistics', 28 (1997), pp.2054-2083.)

Peter M Robinson

A central limit theorem is given for certain weighted sums of a covariance stationary process, assuming it is linear in martingale differences, but without any restriction on its spectrum. We apply the result to kernel n...Read more...

September 1997

Econometrics Paper

Beta Convergence

C Michelacci and Paolo Zaffaroni

Unit root in output, an exceptional 2% rate of convergence, and no change in the underlying dynamics of output seems to be three stylized facts that can not go together. This paper extends the Solow-Swan growth model all...Read more...

July 1997

Econometrics Paper

Gaussian Estimation of Long-Range Dependent Volatility in Asset Prices

Paolo Zaffaroni

Asset returns have a very complicated dynamic pattern. Yet they display regularity across different assets and periods. We consider a new family of volatility models which account for such patterns, focussing in particul...Read more...

May 1997

Econometrics Paper

The Method of Simulated Scores for the Estimation of LDV Models

V A Hajivassiliou and DL McFadden

The method of simulated scores (MSS) is presented for estimating limited dependent variables models (LDV) with flexible correlation structure in the unobservables. We propose simulators that are continuous in the unknown...Read more...

May 1997

Econometrics Paper

Semiparametric Estimation of a Sample Selection Model: A Simulation Study

Marcia M Schafgans

Standard approaches to the estimation of sample selection models are known to be inconsistent under non-normality. In particular, this paper considers the two-step Heckman (1976, 1979) estimator of the interecept of the ...Read more...

March 1997

Econometrics Paper

Testing Game-Theoretic Models of Price Fixing Behaviour

V A Hajivassiliou

This paper analyses price fixing by the Joint Executive Committee railroad cartel from 1880 to 1886 and develops tests of two game-theoretic models of tacit collusion. The first model, due to Abreu, Pearce and Stacchetti...Read more...

March 1997

Econometrics Paper

Gender Wage Differences in Malaysia: Parametric and Semiparametric Estimation

Marcia M Schafgans

This paper is an empirical study on the labor force in (Peninsular) Malaysia. It applies both parametric and semiparametric sample selection methods to the estimation of wage equations. These equations are then used to a...Read more...

March 1997

Econometrics Paper

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

Many series are subject to data irregularities such as missing values, outliers, structural breaks and irregular spacing. Data can also be messy, and hence difficult to handle by standard procedures, when they are intrin...Read more...

March 1997

Econometrics Paper

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

There exist several estimators of the memory parameter in long-memory time series models with mean ? and the spectrum specified only locally near zero frequency. In this paper we give a lower bound for the rate of conver...Read more...

February 1997

Econometrics Paper

Time Series Regression with Long Range Dependence - (Now published in 'Annals of Statistics', 25, (1997)pp.2054-2083.)

Javier Hidalgo and Peter M Robinson

A general limit theorem is established for time series regression estimates which include generalized least squares, in the presence of long range dependence in both errors and stochastic regressors. The setting and resu...Read more...

January 1997

Econometrics Paper

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

We introduce a nonlinear model of stochastic volatility within the class of ?product type? models. It allows different degrees of dependence for the ?raw? series and for the ?squared? series, for instance implying weak d...Read more...

January 1997

Econometrics Paper

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

We discuss models that impart a form of long memory in raw time series xt or instantaneous functions thereof, in particular . on the basis of a linear or nonlinear model. The capacity of linear models for xt to imply lon...Read more...

January 1997

Econometrics Paper

Autocorrelation-Robust Inference - (Now published in 'Handbook of Statistics', vol.15, G S Maddala and C R Rao (eds), Elsevier Science Publishers BV (1997), pp.267-298.)

Peter M Robinson and Carlos Velasco

We consider statistical inference in the presence of serial dependence. The main focus is on use of statistics that are constructed as if no dependence were believed present, and are asymptotically normal in the presence...Read more...

December 1996

Econometrics Paper

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-Ala?a and Peter M Robinson

Recently proposed tests for unit root and other nonstationarity of Robinson (1994a) are applied to an extended version of the data set used by Nelson and Plosser (1982). Unusually, the tests are efficient (against approp...Read more...

December 1996

Econometrics Paper

Testing for a Slowly Changing Level with Special Reference to Stochastic Volatility - (Now published in 'Journal of Econometrics', 87 (1998), pp.167-189.)

Andrew C Harvey and Mariane Streibel

A test for the presence of a stationary first-order autoregressive process embedded in white noise is constructed so as to be relatively powerful when the autoregressive parameter is close to one. This is done by setting...Read more...

March 1996

Econometrics Paper

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

Much of economic analysis presupposes that certain economic time series can be decomposed into trends and cycles. Structural time series models are explicitly set up in terms of such unobserved components. This paper set...Read more...

March 1996

Econometrics Paper

Nonparametric Estimation with Strongly Dependent Multivariate Time-Series - (Now published in 'Journal of Time Series Analysis',18 (1997)pp.95-122.)

Javier Hidalgo

Smooth nonparametric kernel density and regression estimators are studied when the data is strongly dependent. In particular, we derive Central (and Noncentral) Limit Theorems for the kernel density estimator of a multiv...Read more...

February 1996

Econometrics Paper

Spectral Analysis for Bivariate Time Series with Long Memory - (Now published in 'Econometric Theory',12 (1997)pp.773-792.)

Javier Hidalgo

This paper provides limit theorems for special density matrix estimators and functionals of it for a bivariate co variance stationary process whose spectral density matrix has singularities not only at the origin but pos...Read more...

February 1996

Econometrics Paper

Aggregate and Regional Disagggregate Fluctuations (Now published in Empirical Economics (1996), vol.21, no.1, pp.137-159.)

Danny Quah

This paper models fluctuations in regional disaggregates as a nonstationary, dynamically evolving distribution. Doing so enables study of the dynamics of aggregate fluctuations jointly with those of the rich cross-sectio...Read more...

August 1995

Econometrics Paper

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

A number of important economic time series are recorded on a particular day every week. Seasonal adjustment of such series is difficult because the number of weeks varies between 52 and 53 and the position of the recordi...Read more...

1995

Econometrics Paper

Empirics for Economic Growth and Convergence (Now published in European Economic Review, vol.40, no.6 (1996), pp.1353-1375.)

Danny Quah

The convergence hypothesis has generated a huge empirical literature: this paper critically reviews some of the earlier key findings, clarifies their implications, and relates them to more recent results. Particular atte...Read more...

1995

Econometrics Paper

Measuring Core Inflation (Now published in Economic Journal, vol. 105, No. 432 (September 1995), pp.1130-1144.)

Danny Quah and Shaun P. Vahey

In this paper, we argue that measured (RPI) inflation is conceptually mismatched with core inflation: the difference is more than just 'measurement error'. We propose a technique for measuring core inflation, based on an...Read more...

1995

Econometrics Paper

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

This paper reinterprets a simple model of growth and fluctuations across many economies to allow explicitly characterizing the dynamically evolving corss-economy distribution of income. Such a framework provides a more n...Read more...

1994

Econometrics Paper

Seasonality in Dynamic Regression Models (Now published in Economic Journal 104 (1994), pp.1324-1345.)

Andrew C Harvey and Andrew Scott

This paper examines the implications of treating seasonality as an unobserved component which changes slowly over time. This approach simplifies the specification of dynamic relationships by separating non-seasonal from ...Read more...

1993

Econometrics Paper

Exploiting Cross Section Variation for Unit Root Inference in Dynamic Data (Now published in Economics Letters 44 (1), 1994, pp.9-19.)

Danny Quah

This paper considers unit root regressions in data having simultaneously extensive cross-section and time-series variation. The standard least-squares estimators in such data structures turn out to have an asymptotic dis...Read more...

1993

Econometrics Paper

The Multivariate Invariance Principle for Globally Nonstationary Processes, with an Application to I(2) Models

James Davidson

A multivariate invariance principle is given for dependent processes exhibiting trending variances and other types of global nonstationarity. The limit processes obtained in these results are not Brownian motion, but mem...Read more...

1993

Econometrics Paper

Estimation and Testing of Stochastic Variance Models

Andrew C Harvey and N.G. Shephard

A stochastic variance model may be estimated by quasi-maximum likelihood procedure by transforming to a linear state space form. The properties of observations corrected for heteroscedasticity can be derived. A model wit...Read more...

1993

Econometrics Paper

Galton's Fallacy and Tests of the Convergence Hypothesis (Now published in Scandinavian Journal of Economics 95 (4), 1993, pp.427-443.)

Danny Quah

Recent tests for the convergence hypothesis derive from regressing average growth rates on initial levels: a negative initial coefficient is interpreted as convergence. These tests turn out to be plagued by Galton's clas...Read more...

1993

Econometrics Paper

Conditions for Strong and Uniform Mixing in Linear Processes

James Davidson

A sufficiency condition for strong mixing in infinite order moving average processes due to Gorodetski (1977) is extended, showing how smoothness conditions on the marginal distributions can be traded off against summabi...Read more...

1992

Econometrics Paper

Quasi-Maximum Likelihood Estimation of Stochastic Variance Models

Esther Ruiz

Changes in variance or volatility over time can be modelled using stochastic volatility (SV) models. This approach is based on treating the variance as an unobservable variable, the logarithm of which is modelled as a li...Read more...

1992

Econometrics Paper

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

The score vector for a time series model which fits into the Gaussian state space form can be approximated by numerically differentiating the log-likelihood. If the parameter vector is of length p, this involves the runn...Read more...

1992

Econometrics Paper

An L1-Convergence Theorem for Heterogeneous Mixingale Arrays with Trending Moments (Now published in Statistics & Probability Letters 16 (1993), pp.301-304.)

James Davidson

This paper gives a generalization of an L1-convergence theorem for dependent processes due to Andrews (1988). Among the cases covered by this result are weak laws of large numbers of random sequences {X1} having moments ...Read more...

1992

Econometrics Paper

Deletion Diagnostics and Transformations for Time Series

A.C. Atkinson and N.G. Shephard

Deletion diagnostics are developed for structural time series models. These show the effect of the deletion of individual observations on residuals and on the estimates of regression parameters. The methods are extended ...Read more...

1992

Econometrics Paper

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

The central limit theorem in Davidson (1992a) is extended to allow cases where the variances of sequence coordinates can be tending to zero. A trade off is demonstrated between the degree of dependence (mixing size) and ...Read more...

1992

Econometrics Paper

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

The stylized facts of macroeconomic time series can be presented by fitting structural time series models. Within this framework, we analyze the consequences of the widely used detrending technique popularized by Hodrick...Read more...

1991