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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
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
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...
John Hills and Ben Richards
The combination of spending cuts, efforts to protect the poorest from some of their effects, and ‘localised’ decision-making are leading to an increase in the numbers of means tests designed by lower level institutions. ...Read more...
1 May 2012
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...
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...
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...
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...
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...