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Details about Karim Abadir

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Postal address:Tanaka Business School Imperial College London South Kensington campus London SW7 2AZ UK
Workplace:Business School, Imperial College, (more information at EDIRC)

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Last updated 2014-07-18. Update your information in the RePEc Author Service.

Short-id: pab8


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Working Papers

2012

  1. Approximating Moments by Nonlinear Transformations
    Working Paper Series, The Rimini Centre for Economic Analysis Downloads
  2. Asymptotic Normality for Weighted Sums of Linear Processes
    Working Paper Series, The Rimini Centre for Economic Analysis Downloads
    See also Journal Article in Econometric Theory (2014)
  3. Beyond Co-Integration: Modelling Co-Movements in Macro finance
    Working Paper Series, The Rimini Centre for Economic Analysis Downloads
  4. Biases of Correlograms and of AR Representations of Stationary Series
    Working Paper Series, The Rimini Centre for Economic Analysis Downloads
    Also in Discussion Papers, Department of Economics, University of York

    See also Journal Article in Journal of Time Series Econometrics (2012)
  5. The Square Root of a Matrix
    Working Paper Series, The Rimini Centre for Economic Analysis Downloads
    See also Journal Article in Journal of Time Series Econometrics (2012)

2011

  1. An I() model with trend and cycles
    Post-Print, HAL Downloads
    Also in Post-Print, HAL (2011) Downloads
    Working Paper Series, The Rimini Centre for Economic Analysis (2010) Downloads

    See also Journal Article in Journal of Econometrics (2011)

2010

  1. EXPLICIT SOLUTIONS FOR THE ASYMPTOTICALLY-OPTIMAL BANDWIDTH IN CROSS VALIDATION
    Working Papers, HAL Downloads
    Also in Working Paper Series, The Rimini Centre for Economic Analysis (2010) Downloads
  2. Is the Economic Crisis Over (and Out)?
    Working Paper Series, The Rimini Centre for Economic Analysis Downloads
    Also in Professional Reports, The Rimini Centre for Economic Analysis (2010) Downloads

    See also Journal Article in Review of Economic Analysis (2011)
  3. Model-Free Estimation of Large Variance Matrices
    Working Paper Series, The Rimini Centre for Economic Analysis Downloads

2008

  1. Macro and Financial Markets: The Memory of an Elephant?
    Working Paper Series, The Rimini Centre for Economic Analysis Downloads View citations (1)
  2. Nelson-Plosser revisited: the ACF approach
    Working Paper Series, The Rimini Centre for Economic Analysis Downloads View citations (4)
    Also in Working Papers, Business School - Economics, University of Glasgow (2005) Downloads View citations (3)

    See also Journal Article in Journal of Econometrics (2013)
  3. On efficient simulation in dynamic models
    Economics and Quantitative Methods, Department of Economics, University of Insubria Downloads View citations (1)
    Also in Discussion Papers, Exeter University, Department of Economics (1995)

2007

  1. Location of value added activities in hi-tech industries. The case of pharma-biotech firms in Italy
    Economics and Quantitative Methods, Department of Economics, University of Insubria Downloads View citations (1)
  2. On some definitions in matrix algebra
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo Downloads View citations (1)

2005

  1. Distilling co-movements from persistent macro and financial series
    Working Paper Series, European Central Bank Downloads View citations (1)

2003

  1. Normal's deconvolution and the independence of sample mean and variance (problem 03.4.1)
    Open Access publications from Tilburg University, Tilburg University Downloads
  2. The central limit theorem for student's distribution (problem 03.6.1)
    Open Access publications from Tilburg University, Tilburg University Downloads

2001

  1. Aggregation, Persistence and Volatility in a Macromodel
    Working Papers, Banco de Portugal, Economics and Research Department Downloads View citations (1)
    Also in Discussion Papers, Department of Economics, University of York View citations (39)

    See also Journal Article in Review of Economic Studies (2002)
  2. Notation in Econometrics: A Proposal for a Standard
    Discussion Paper, Tilburg University, Center for Economic Research Downloads
    See also Journal Article in Econometrics Journal (2002)

2000

  1. A Comparison of Minimum MSE and Maximum Power for the nearly Integrated Non-Gaussian Model
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
    Also in Discussion Papers, Department of Economics, University of York

    See also Journal Article in Journal of Econometrics (2004)

1999

  1. Aggregation and persistence in a macromodel
    Working Papers Department of Economics, ISEG - School of Economics and Management, Department of Economics, University of Lisbon

1995

  1. An Introduction to Hypergeometric Functions for Economists
    Discussion Papers, Exeter University, Department of Economics
    See also Journal Article in Econometric Reviews (1999)
  2. Bias Nonmonotonicity in Stochastic Difference Equations
    Discussion Papers, Exeter University, Department of Economics
    Also in Discussion Papers, Department of Economics, University of York View citations (2)
  3. Testing for Cointegration
    Discussion Papers, Exeter University, Department of Economics

1994

  1. Cointegration Theory, Equilibrium and Disequilibrium Economics
    Discussion Papers, Exeter University, Department of Economics
    See also Journal Article in Manchester School (2004)
  2. The Asymptotic Influence of VAR Dimension on Estimator Biases
    Discussion Papers, Exeter University, Department of Economics
  3. The Joint Density of Two Functionals of a Brownian Motion
    Discussion Papers, Exeter University, Department of Economics View citations (1)
  4. The Joint Moment Generating Function of Quadratic Forms in Multivariate Autoregressive Series
    Discussion Papers, Exeter University, Department of Economics
    See also Journal Article in Econometric Theory (2001)
  5. The Marginal Density of Bivariate Cointegration Estimators
    Discussion Papers, Exeter University, Department of Economics View citations (1)

1992

  1. Some Expansions for the Parabolic Cylinder Function
    American Cairo - Economics and Political Sciences, The American University in Cairo, Economics Department
  2. The Limiting Distribution of Functional of a Viener Process
    American Cairo - Economics and Political Sciences, The American University in Cairo, Economics Department
  3. The Limiting Distribution of the T Ratio Under a Unit Root
    American Cairo - Economics and Political Sciences, The American University in Cairo, Economics Department View citations (5)
    See also Journal Article in Econometric Theory (1995)

Undated

  1. Asymmetric Kernels for Density Estimation
    Discussion Papers, Department of Economics, University of York
  2. Density-Embedding Functions
    Discussion Papers, Department of Economics, University of York View citations (8)
  3. Depreciation Rates and Capital Stocks
    Discussion Papers, Department of Economics, University of York Downloads View citations (8)
    See also Journal Article in Manchester School (2001)
  4. Local Whittle estimation, fully extended for nonstationarity
    Discussion Papers, Department of Economics, University of York View citations (2)
  5. On the Definitions of (Co-)Integration
    Discussion Papers, Department of Economics, University of York View citations (8)
  6. Semiparametric estimation and inference for trending I(d) and related processes
    Discussion Papers, Department of Economics, University of York View citations (3)
  7. Testing joint hypotheses when one of the alternatives is one-sided
    Discussion Papers, Department of Economics, University of York View citations (1)
    See also Journal Article in Journal of Econometrics (2007)
  8. The Influence of VAR Dimensions on Estimator Biases
    Discussion Papers, Department of Economics, University of York View citations (11)
    See also Journal Article in Econometrica (1999)
  9. The Joint Moment Generating Function of Quadratic Forms in Multivariate Autoregressive Series: The Case with Deterministic Components
    Discussion Papers, Department of Economics, University of York
  10. Two estimators of the long-run variance
    Discussion Papers, Department of Economics, University of York

Journal Articles

2014

  1. ASYMPTOTIC NORMALITY FOR WEIGHTED SUMS OF LINEAR PROCESSES
    Econometric Theory, 2014, 30, (01), 252-284 Downloads
    See also Working Paper (2012)
  2. Design-free estimation of variance matrices
    Journal of Econometrics, 2014, 181, (2), 165-180 Downloads View citations (1)

2013

  1. Lies, Damned Lies, and Statistics? Examples From Finance and Economics
    Central European Journal of Economic Modelling and Econometrics, 2013, 5, (4), 231-248 Downloads
  2. Nelson–Plosser revisited: The ACF approach
    Journal of Econometrics, 2013, 175, (1), 22-34 Downloads View citations (7)
    See also Working Paper (2008)

2012

  1. Biases of Correlograms and of AR Representations of Stationary Series
    Journal of Time Series Econometrics, 2012, 4, (1), 1-11 Downloads
    See also Working Paper (2012)
  2. The Square Root of a Matrix
    Journal of Time Series Econometrics, 2012, 4, (2), 1-7 Downloads
    See also Working Paper (2012)

2011

  1. An I(d) model with trend and cycles
    Journal of Econometrics, 2011, 163, (2), 186-199 Downloads View citations (2)
    See also Working Paper (2011)
  2. Is the economic crisis over (and out)?
    Review of Economic Analysis, 2011, 3, (2), 102-108 Downloads View citations (1)
    See also Working Paper (2010)

2009

  1. Two estimators of the long-run variance: Beyond short memory
    Journal of Econometrics, 2009, 150, (1), 56-70 Downloads View citations (3)

2007

  1. Nonstationarity-extended local Whittle estimation
    Journal of Econometrics, 2007, 141, (2), 1353-1384 Downloads View citations (39)
  2. Testing joint hypotheses when one of the alternatives is one-sided
    Journal of Econometrics, 2007, 140, (2), 695-718 Downloads View citations (16)
    See also Working Paper

2005

  1. Autocovariance functions of series and of their transforms
    Journal of Econometrics, 2005, 124, (2), 227-252 Downloads View citations (2)
  2. THE MEAN-MEDIAN-MODE INEQUALITY: COUNTEREXAMPLES
    Econometric Theory, 2005, 21, (02), 477-482 Downloads View citations (1)

2004

  1. 03.3.1. Normal's Deconvolution and the Independence of Sample Mean and Variance Solution
    Econometric Theory, 2004, 20, (04), 805-807 Downloads
  2. 03.6.1 The Central Limit Theorem for Student's Distribution Solution
    Econometric Theory, 2004, 20, (06), 1261-1263 Downloads
  3. A comparison of minimum MSE and maximum power for the nearly integrated non-Gaussian model
    Journal of Econometrics, 2004, 119, (1), 45-71 Downloads
    See also Working Paper (2000)
  4. Cointegration Theory, Equilibrium and Disequilibrium Economics
    Manchester School, 2004, 72, (1), 60-71 Downloads View citations (2)
    See also Working Paper (1994)
  5. Optimal asymmetric kernels
    Economics Letters, 2004, 83, (1), 61-68 Downloads View citations (10)

2003

  1. 03.4.1. Normal's Deconvolution and the Independence of Sample Mean and Variance
    Econometric Theory, 2003, 19, (04), 691-691 Downloads
  2. 03.6.1. The Central Limit Theorem for Student's Distribution
    Econometric Theory, 2003, 19, (06), 1195-1195 Downloads
  3. DENSITY FUNCTIONALS, WITH AN OPTION-PRICING APPLICATION
    Econometric Theory, 2003, 19, (05), 778-811 Downloads View citations (14)
  4. Rejoinder to Comment by Doornik, Nielsen, and Rothenberg
    Econometrica, 2003, 71, (1), 385-386 Downloads

2002

  1. Aggregation, Persistence and Volatility in a Macro Model
    Review of Economic Studies, 2002, 69, (4), 749-779 Downloads View citations (13)
    Also in Review of Economic Studies, 2002, 69, (4), 749-79 (2002) View citations (37)

    See also Working Paper (2001)
  2. Notation in econometrics: a proposal for a standard
    Econometrics Journal, 2002, 5, (1), 76-90 Downloads View citations (18)
    See also Working Paper (2001)
  3. Simple Robust Testing of Regression Hypotheses: A Comment
    Econometrica, 2002, 70, (5), 2097-2099 Downloads

2001

  1. Depreciation Rates and Capital Stocks
    Manchester School, 2001, 69, (1), 42-51 Downloads View citations (7)
    See also Working Paper
  2. THE JOINT MOMENT GENERATING FUNCTION OF QUADRATIC FORMS IN MULTIVARIATE AUTOREGRESSIVE SERIES
    Econometric Theory, 2001, 17, (01), 222-246 Downloads View citations (2)
    Also in Econometric Theory, 1996, 12, (04), 682-704 (1996) Downloads View citations (1)

    See also Working Paper (1994)

2000

  1. Is More Information a Good Thing? Bias Nonmonotonicity in Stochastic Difference Equations
    Bulletin of Economic Research, 2000, 52, (2), 91-100 View citations (4)
  2. Quantiles for t-statistics based on M-estimators of unit roots
    Economics Letters, 2000, 67, (2), 131-137 Downloads View citations (3)

1999

  1. An introduction to hypergeometric functions for economists
    Econometric Reviews, 1999, 18, (3), 287-330 Downloads View citations (26)
    See also Working Paper (1995)
  2. The Influence of VAR Dimensions on Estimator Biases
    Econometrica, 1999, 67, (1), 163-182 View citations (28)
    See also Working Paper

1997

  1. The 'Devil's Horns' Problem of Inverting Confluent Characteristic Functions
    Econometrica, 1997, 65, (5), 1221-1226
  2. Two Mixed Normal Densities from Cointegration Analysis
    Econometrica, 1997, 65, (3), 671-680 View citations (4)

1995

  1. A New Test for Nonstationarity Against the Stable Alternative
    Econometric Theory, 1995, 11, (01), 81-104 Downloads View citations (2)
  2. The Limiting Distribution of the t Ratio Under a Unit Root
    Econometric Theory, 1995, 11, (04), 775-793 Downloads View citations (11)
    See also Working Paper (1992)
  3. Unbiased estimation as a solution to testing for random walks
    Economics Letters, 1995, 47, (3-4), 263-268 Downloads View citations (5)

1993

  1. Ols Bias in a Nonstationary Autoregression
    Econometric Theory, 1993, 9, (01), 81-93 Downloads View citations (21)
  2. On the Asymptotic Power of Unit Root Tests
    Econometric Theory, 1993, 9, (02), 189-221 Downloads View citations (8)

1992

  1. A Distribution Generating Equation for Unit-Root Statistics
    Oxford Bulletin of Economics and Statistics, 1992, 54, (3), 305-23 View citations (5)

Books

2005

  1. Matrix Algebra
    Cambridge Books, Cambridge University Press View citations (25)
    Also in Cambridge Books, Cambridge University Press (2005) View citations (18)

Editor

  1. Econometrics Journal
    Royal Economic Society
 
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