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Staff Biography

[No Photo] Professor Peter ROBINSON
Tooke Professor of Economic Science and Statistics

Tel: +44 (0)20 7955 7516
Fax: +44 (0)20 7955 6592
Email: p.m.robinson@lse.ac.uk
STICERD ,  LSE

Personal WebSite WWW
Publications on LSE Research Online book
Research Interests:
  • Econometrics
  • Time series analysis
  • Spatial analysis
  • Nonparametric inference
  • Semiparametric inference
STICERD/CASE Publications:
  • Adaptive Inference on Pure Spatial Models
    Jungyoon Lee, Peter M Robinson, January 2018
    Paper No' EM 596: Read Abstract | Full paper (pdf)

  • Non-Nested Testing of Spatial Correlation
    Miguel A. Delgado, Peter M Robinson, November 2013
    Paper No' EM/2013/568: Read Abstract | Full paper (pdf)

  • Improved Lagrange Multiplier Tests in Spatial Autoregressions
    Peter M Robinson, Francesca Rossi, October 2013
    Paper No' EM/2013/566: Read Abstract | Full paper (pdf)

  • Series Estimation under Cross-sectional Dependence
    Jungyoon Lee, Peter M Robinson, June 2013
    Paper No' EM/2013/570: Read Abstract | Full paper (pdf)

  • Improved Tests for Spatial Correlation
    Peter M Robinson, Francesca Rossi, May 2013
    Paper No' EM/2013/565: Read Abstract | Full paper (pdf)

  • Panel Nonparametric Regression with Fixed Effects
    Jungyoon Lee, Peter M Robinson, March 2013
    Paper No' EM/2013/569: Read Abstract | Full paper (pdf)

  • Efficient Inference on Fractionally Integrated Panel Data Models with Fixed Effects
    Peter M Robinson, Carlos Velasco, March 2013
    Paper No' EM/2013/567: Read Abstract | Full paper (pdf)

  • Inference on Power Law Spatial Trends (Running Title: Power Law Trends)
    Peter M Robinson, May 2011
    Paper No' EM/2011/556: Read Abstract | Full paper (pdf)

  • Asymptotic Theory for Nonparametric Regression with Spatial Data
    Peter M Robinson, September 2010
    Paper No' EM/2010/555: Read Abstract | Full paper (pdf)

  • Statistical Inference on Regression with Spatial Dependence
    Peter M Robinson, Supachoke Thawornkaiwong, April 2010
    Paper No' EM/2010/554: Read Abstract | Full paper (pdf)

  • Nonparametric Trending Regression with Cross-Sectional Dependence
    Peter M Robinson, January 2010
    Paper No' EM/2010/553: Read Abstract | Full paper (pdf)

  • Large-Sample Inference on Spatial Dependence
    Peter M Robinson, January 2009
    Paper No' EM/2009/533: Read Abstract | Full paper (pdf)

  • Inference On Nonparametrically Trending Time Series With Fractional Errors
    Peter M Robinson, January 2009
    Paper No' EM/2009/532: Read Abstract | Full paper (pdf)

  • Developments in the Analysis of Spatial Data
    Peter M Robinson, January 2009
    Paper No' EM/2009/531: Read Abstract | Full paper (pdf)

  • Correlation Testing in Time Series, Spatial and Cross-Sectional Data
    Peter M Robinson, January 2009
    Paper No' EM/2009/530: Read Abstract | Full paper (pdf)

  • Multiple Local Whittle Estimation in Stationary Systems
    Peter M Robinson, October 2007
    Paper No' EM/2007/525: Read Abstract | Full paper (pdf)

  • DIAGNOSTIC TESTING FOR COINTEGRATION
    Peter Robinson, September 2007
    Paper No' EM/2007/522: Read Abstract | Full paper (pdf)

  • ON DISCRETE SAMPLING OF TIME-VARYING CONTINUOUS-TIME SYSTEMS
    Peter Robinson, June 2007
    Paper No' EM/2007/520: Read Abstract | Full paper (pdf)

  • Fractional Cointegration In Stochastic Volatility Models
    Afonso  Gonçalves da Silva, Peter M Robinson, May 2007
    Paper No' EM/2007/519: Read Abstract | Full paper (pdf)

  • Efficient Estimation of the Semiparametric Spatial Autoregressive Model
    Peter M Robinson, February 2007
    Paper No' EM/2007/515: Read Abstract | Full paper (pdf)

  • Conditional-Sum-of-Squares Estimation of Models for Stationary Time Series with Long Memory
    Peter M Robinson, September 2006
    Paper No' EM/2006/505: Read Abstract | Full paper (pdf)

  • Semiparametric Estimation of Fractional Cointegration
    Javier Hualde, Peter M Robinson, May 2006
    Paper No' EM/2006/502: Read Abstract | Full paper (pdf)

  • Finite Sample Performance in Cointegration Analysis of Nonlinear Time Series with Long Memory
    Afonso  Gonçalves da Silva, Peter M Robinson, April 2006
    Paper No' EM/2006/501: Read Abstract | Full paper (pdf)

  • Instrumental Variables Estimation of Stationary and Nonstationary Cointegrating Regressions
    M. Gerolimetto, Peter M Robinson, April 2006
    Paper No' EM/2006/500: Read Abstract | Full paper (pdf)

  • ROOT-N-CONSISTENT ESTIMATION OF WEAK FRACTIONAL COINTEGRATION
    Javier Hualde, Peter M Robinson, March 2006
    Paper No' EM/2006/499: Read Abstract | Full paper (pdf)

  • Nonparametric Spectrum Estimation for Spatial Data
    Peter M Robinson, February 2006
    Paper No' EM/2006/498: Read Abstract | Full paper (pdf)

  • Pseudo-Maximum Likelihood Estimation of ARCH(8) Models
    Peter M Robinson, Paolo Zaffaroni, October 2005
    Paper No' EM/2005/495: Read Abstract | Full paper (pdf)

  • Modified Whittle Estimation of Multilateral Models on a Lattice
    Peter M Robinson, J Vidal Sanz, June 2005
    Paper No' EM/2005/492: Read Abstract | Full paper (pdf)

  • Modelling Memory of Economic and Financial Time Series
    Peter M Robinson, March 2005
    Paper No' EM/2005/487: Read Abstract | Full paper (pdf)

  • The Bootstrap and the Edgeworth Correction for Semiparametric Averaged Derivatives
    Yoshihiko Nishiyama, Peter M Robinson, January 2005
    Paper No' EM/2005/483: Read Abstract | Full paper (pdf)

  • Efficiency Improvements in Inference on Stationary and Nonstationary Fractional Time Series
    Peter M Robinson, November 2004
    Paper No' EM/2004/480: Read Abstract | Full paper (pdf)

  • Cointegration in Fractional Systems with Deterministic Trends
    Fabrizio Iacone, Peter M Robinson, May 2004
    Paper No' EM/2004/476: Read Abstract | Full paper (pdf)

  • ROBUST COVARIANCE MATRIX ESTIMATION: 'HAC' Estimates with Long Memory/Antipersistence Correction
    Peter M Robinson, March 2004
    Paper No' EM/2004/471: Read Abstract | Full paper (pdf)

  • The Distance between Rival Nonstationary Fractional Processes
    Peter M Robinson, March 2004
    Paper No' EM/2004/468: Read Abstract | Full paper (pdf)

  • LARCH, Leverage and Long Memory
    Liudas Giraitis, Remigijus Leipus, Peter M Robinson, Donatas Surgailis, October 2003
    Paper No' EM/2003/460: Read Abstract | Full paper (pdf)

  • Cointegration in Fractional Systems with Unkown Integration Orders
    Javier Hualde, Peter M Robinson, February 2003
    Paper No' EM/2003/449: Read Abstract | Full paper (pdf)

  • Edgeworth Expansions for Semiparametric Whittle Estimation of Long Memory
    Liudas Giraitis, Peter M Robinson, September 2002
    Paper No' EM/2002/438: Read Abstract | Full paper (pdf)

  • Denis Sargan: Some Perspectives
    Peter M Robinson, September 2002
    Paper No' EM/2002/437: Read Abstract | Full paper (pdf)

  • Higher-Order Kernel Semiparametric M-Estimation of Long Memory
    Marc Henry, Peter M Robinson, September 2002
    Paper No' EM/2002/436: Read Abstract | Full paper (pdf)

  • Adapting to Unknown Disturbance Autocorrelation in Regression with Long Memory
    Javier Hidalgo, Peter M Robinson, September 2001
    Paper No' EM/2001/427: Read Abstract | Full paper (pdf)

  • Gaussian Estimation of Parametric Spectral Density with Unknown Pole
    Liudas Giraitis, Javier Hidalgo, Peter M Robinson, August 2001
    Paper No' EM/2001/424: Read Abstract | Full paper (pdf)

  • Determination of Cointegrating Rank in Fractional Systems
    Peter M Robinson, Yoshihiro Yajima, July 2001
    Paper No' EM/2001/423: Read Abstract | Full paper (pdf)

  • Finite Sample Improvement in Statistical Inference with I(1) Processes
    D Marinucci, Peter M Robinson, July 2001
    Paper No' EM/2001/422: Read Abstract | Full paper (pdf)

  • Narrow-Band Analysis of Nonstationary Processes
    D Marinucci, Peter M Robinson, July 2001
    Paper No' EM/2001/421: Read Abstract | Full paper (pdf)

  • Semiparametric Fractional Cointegration Analysis
    D Marinucci, Peter M Robinson, July 2001
    Paper No' EM/2001/420: Read Abstract | Full paper (pdf)

  • Parametric Estimation under Long-Range Dependence
    Liudas Giraitis, Peter M Robinson, May 2001
    Paper No' EM/2001/416: Read Abstract | Full paper (pdf)

  • The Estimation of Conditional Densities
    Xiaohong Chen, Oliver Linton, Peter M Robinson, May 2001
    Paper No' EM/2001/415: Read Abstract | Full paper (pdf)

  • The Memory of Stochastic Volatility Models
    Peter M Robinson, February 2001
    Paper No' EM/2001/410: Read Abstract | Full paper (pdf)

  • The Averaged Periodogram for Nonstationary Vector Time Series
    D Marinucci, Peter M Robinson, December 2000
    Paper No' EM/2000/408: Read Abstract | Full paper (pdf)

  • Whittle Estimation of ARCH Models
    Liudas Giraitis, Peter M Robinson, November 2000
    Paper No' EM/2000/406: Read Abstract | Full paper (pdf)

  • Testing of Seasonal Fractional Integration in UK and Japanese Consumption and Income
    L A Gil-Alaña, Peter M Robinson, November 2000
    Paper No' EM/2000/402: Read Abstract | Full paper (pdf)

  • Whittle Pseudo-Maximum Likelihood Estimation for Nonstationary Time Series - (Now published in 'Journal of the American Statistical Association', 95, (2000), pp.1229-1243.)
    Peter M Robinson, Carlos Velasco, May 2000
    Paper No' EM/2000/391: Read Abstract | Full paper (pdf)

  • Edgeworth Expansions for Spectral Density Estimates and Studentized Sample Mean - (Now published in 'Economic Theory', 17 (2001), pp.497-539.
    Peter M Robinson, Carlos Velasco, May 2000
    Paper No' EM/2000/390: Read Abstract | Full paper (pdf)

  • A Model for Long Memory Conditional Heteroscedasticity - (Now published in 'Annals of Applied Probability', 10 (2000), pp.1002-1024.)
    Liudas Giraitis, Peter M Robinson, Donatas Surgailis, March 2000
    Paper No' EM/2000/382: Full paper (pdf)

  • Adaptive Semiparametric Estimation of the Memory Parameter - (Now published with revised title, Adaptive Rate-Optimal Estimation of the Memory Parameter, in 'Journal of Multivariate Analysis, 72 (2000), pp.183-207.)
    Liudas Giraitis, Peter M Robinson, Alexander Samarov, January 2000
    Paper No' EM/2000/379: Full paper (pdf)

  • Studentization in Edgworth Expansions for Estimates of Semiparametric Index Models - (Now published in C Hsiao, K Morimune and J Powell (eds): 'Nonlinear Statistical Modeling' (Festschrift for Takeshi Amemiya), (Cambridge University Press, 2001), pp.197-240.)
    Y Nishiyama, Peter M Robinson, October 1999
    Paper No' EM/1999/374: Read Abstract | Full paper (pdf)

  • Edgeworth Expansions for Semiparametric Averaged Derivatives - (Now published in 'Econometrica', 68 (2000), pp.931-979.)
    Y Nishiyama, Peter M Robinson, October 1999
    Paper No' EM/1999/373: Read Abstract | Full paper (pdf)

  • Variance-Type Estimation of Long Memory - (Now published in 'Stochastic Processes and their Applications', 29 (1999), pp.1-24.)
    Liudas Giraitis, Peter M Robinson, October 1998
    Paper No' EM/1998/363: Read Abstract | Full paper (pdf)

  • Seasonal and Cyclical Long Memory - (Now published in S Ghosh (ed): 'Asymptotics, Nonparametrics and Time Series: A Tribute to Madam Lal Puri (Marcel Decker, 1999), pp.115-145.)
    Josu Artech, Peter M Robinson, September 1998
    Paper No' EM/1998/360: Read Abstract | Full paper (pdf)

  • Semiparametric Inference in Seasonal and Cyclical Long Memory Processes - (Now published in 'Journal of Time Series Analysis', 21 (2000), pp.1-25.)
    Josu Artech, Peter M Robinson, September 1998
    Paper No' EM/1998/359: Read Abstract | Full paper (pdf)

  • Long and Short Memory Conditional Heteroscedasticity in Estimating the Memory Parameter of Levels - (Now published in 'Econometric Theory', 15 (1999), pp.299-336.)
    Marc Henry, Peter M Robinson, August 1998
    Paper No' EM/1998/357: Read Abstract | Full paper (pdf)

  • Alternative Forms of Fractional Brownian Motion - (Now published in 'Journal of Statistical Planning and Inference', 80 (1999), pp.111-122.)
    D Marinucci, Peter M Robinson, July 1998
    Paper No' EM/1998/354: Read Abstract | Full paper (pdf)

  • Weak Convergence of Multivariate Fractional Processes - (Now published in 'Stochastic Processes and their Applications', 80 (1999), pp.103-120.)
    D Marinucci, Peter M Robinson, July 1998
    Paper No' EM/1998/352: Read Abstract | Full paper (pdf)

  • Employability And Exclusion: What Governments Can Do
    Peter Robinson,  , May 1998
    Paper No' CEPSP09: Read Abstract

  • Semiparametric Frequency Domain Analysis of Fractional Cointegration - (Revised version forthcoming in P M Robinson: 'Time Series with Long Memory' (Oxford University Press).
    D Marinucci, Peter M Robinson, March 1998
    Paper No' EM/1998/348: Read Abstract | Full paper (pdf)

  • A Nonparametric Test for I(0) - (Now published in 'Review of Economic Studies', 65 (1998), pp.475-495.)
    Ignacio Lobato, Peter M Robinson, November 1997
    Paper No' EM/1997/342: Read Abstract
    Paper copy now out of print.

  • Inference-without-Smoothing in the Presence of Nonparametric Autocorrelation - (Now published in 'Econometrica', 66 (1998), pp.1163-1182.)
    Peter M Robinson, October 1997
    Paper No' EM/1997/338: Read Abstract
    Paper copy now out of print.

  • Large-Sample Inference for Nonparametric Regression with Dependent Errors - (Now published in 'Annals of Statistics', 28 (1997), pp.2054-2083.)
    Peter M Robinson, September 1997
    Paper No' EM/1997/336: Read Abstract
    Paper copy now out of print.

  • Literacy, Numeracy And Economic Performance
    Peter Robinson, September 1997
    Paper No' CEPSP08: Read Abstract

  • Measure for Measure: A Critical note on the National Targets for Education and Training and International Comparisons of Educational Attainment
    Peter Robinson, July 1997
    Paper No' CEPDP0355: Read Abstract

  • The Myth of Parity of Esteem: Earnings and Qualifications
    Peter Robinson, July 1997
    Paper No' CEPDP0354: Read Abstract | Full paper (pdf)

  • Rate Optimal Semiparametric Estimation of the Memory Parameter of the Gaussian Time Serieswith Long-Range Dependence - (Now published in 'Journal of Time Series Analysis', 18 (1997), pp.49-60.)
    Liudas Giraitis, Peter M Robinson, Alexander Samarov, February 1997
    Paper No' EM/1997/323: Read Abstract
    Paper copy now out of print.

  • Qualifications and the Labour Market in Britain: 1984-1994 Skill Biased Change in the Demand for Labour or Credentialism?
    Marco Manacorda, Peter Robinson, February 1997
    Paper No' CEPDP0330: Read Abstract

  • Water Under the Bridge: Changes in Employment in Britain and the OECD
    Peter Robinson, February 1997
    Paper No' CEPDP0325: Read Abstract | Full paper (pdf)

  • Nonlinear Time Series with Long Memory: A Model for Stochastic Volatility - (Now published in 'Journal of Statistical Planning and Inference', 68 (1998), pp.359-371.)
    Peter M Robinson, Paolo Zaffaroni, January 1997
    Paper No' EM/1997/320: Read Abstract
    Paper copy now out of print.

  • Modelling Nonlinearity and Long Memory in Time Series - (Now published in 'Nonlinear Dynamics and Time Series', C D Cutler and D T Kaplan (eds), Fields Institute Communications, 11 (1997), pp.61-170.)
    Peter M Robinson, Paolo Zaffaroni, January 1997
    Paper No' EM/1997/319: Read Abstract
    Paper copy now out of print.

  • Time Series Regression with Long Range Dependence - (Now published in 'Annals of Statistics', 25, (1997)pp.2054-2083.)
    Javier Hidalgo, Peter M Robinson, January 1997
    Paper No' EM/1997/318: Read Abstract
    Paper copy now out of print.

  • Testing of Unit Root and Other Nonstationary Hypotheses in Macroeconomic Time Series - (Now published in 'Journal of Econometrics', 80, 1997, pp.241-268.)
    L A Gil-Alaña, Peter M Robinson, December 1996
    Paper No' EM/1996/317: Read Abstract
    Paper copy now out of print.

  • Autocorrelation-Robust Inference - (Now published in 'Handbook of Statistics', vol.15, G S Maddala and C R Rao (eds), Elsevier Science Publishers BV (1997), pp.267-298.)
    Peter M Robinson, Carlos Velasco, December 1996
    Paper No' EM/1996/316: Read Abstract
    Paper copy now out of print.

  • The Education Debate: Have We Got Our Priorities Right?
    Peter Robinson, June 1996
    Paper No' CEPCP010:

  • Rhetoric And Reality: Britain''s New Vocational Qualifications
    Peter Robinson, January 1996
    Paper No' CEPSP01: Read Abstract

  • The British Disease Overcome? Living Standards
    Peter Robinson, August 1995
    Paper No' CEPDP0260: Read Abstract

  • The Decline of the Swedish Model and the Limits to Active Labour Market Policy
    Peter Robinson, August 1995
    Paper No' CEPDP0259: Read Abstract

  • Is there an Explanation for Rising Pay Inequality in the UK?
    Peter Robinson, August 1994
    Paper No' CEPDP0206: Read Abstract
    Paper copy now out of print.

  • The British Labour Market in Historical Perspective: Changes in the Structure of Employment and Unemployment
    Peter Robinson, July 1994
    Paper No' CEPDP0202: Read Abstract
    Paper copy now out of print.


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