Details about Douglas James Hodgson

Access statistics for papers by Douglas James Hodgson.

Last updated 2007-11-16. Update your information in the RePEc Author Service.

Short-id: pho14

Working Papers

2004

1. Models of foreign exchange intervention: Estimation and testing
   Econometric Society 2004 Australasian Meetings, Econometric Society

2002

2. Semiparametric Efficient Estimation of the Mean of a Time Series in the Presence of Conditional Heterogeneity of Unknown Form
   Cahiers de recherche CREFE / CREFE Working Papers, CREFE, Université du Québec à Montréal

2001

3. Efficient Estimation of Conditional Asset Pricing Models
   Cahiers de recherche CREFE / CREFE Working Papers, CREFE, Université du Québec à Montréal View citations
   See Also Journal Article in Journal of Business & Economic Statistics (2003)
4. Testing the Capital Asset Pricing Model Efficiently Under Elliptical Symmetry: A Semiparametric Approach
   FMG Discussion Papers, Financial Markets Group
   Also in
   Cahiers de recherche CREFE / CREFE Working Papers, CREFE, Université du Québec à Montréal (2001) View citations
   STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE (2000)
   See Also Journal Article in Journal of Applied Econometrics (2002)

1997

5. Semiparametric Efficient Estimation in Time Series
   RCER Working Papers, University of Rochester - Center for Economic Research (RCER)

1996

6. Robust Semiparametric Estimation in the Presence of Heterogeneity of Unknown Form
   RCER Working Papers, University of Rochester - Center for Economic Research (RCER)

1995

7. Adaptive Estimation of Cointegrated Models Simulation, Evidence and Application to the Forward Exchange Market
   RCER Working Papers, University of Rochester - Center for Economic Research (RCER)
8. Adaptive Estimation of Cointegrating Regressions with ARMA Errors
   RCER Working Papers, University of Rochester - Center for Economic Research (RCER)
   See Also Journal Article in Journal of Econometrics (1998)
9. Adaptive Estimation of Error Correlation Models
   RCER Working Papers, University of Rochester - Center for Economic Research (RCER)

Journal Articles

2007

1. Semiparametric efficiency bounds in dynamic non-linear systems under elliptical symmetry
   Econometrics Journal, 2007, 10, (1), 35-48

2006

2. Constructing Commercial Indices: A Semiparametric Adaptive Estimator Approach
   The Journal of Real Estate Finance and Economics, 2006, 32, (2), 151-168

2004

3. Asset pricing theory and the valuation of Canadian paintings
   Canadian Journal of Economics, 2004, 37, (3), 629-655 View citations
4. Testing forward exchange rate unbiasedness efficiently: a semiparametric approach
   Journal of Applied Economics, 2004, VII, 325-353

2003

5. Efficient Estimation of Conditional Asset-Pricing Models
   Journal of Business & Economic Statistics, 2003, 21, (2), 269-83 View citations
   See Also Working Paper (2001)

2002

6. Testing the capital asset pricing model efficiently under elliptical symmetry: a semiparametric approach
   Journal of Applied Econometrics, 2002, 17, (6), 617-639 View citations
   See Also Working Paper (2001)

2000

7. Unconditional pseudo-maximum likelihood and adaptive estimation in the presence of conditional heterogeneity of unknown form
   Econometric Reviews, 2000, 19, (2), 175-206 View citations

1999

8. Adaptive Estimation of Cointegrated Models: Simulation Evidence and an Application to the Forward Exchange Market
   Journal of Applied Econometrics, 1999, 14, (6), 627-50 View citations

1998

9. Adaptive estimation of cointegrating regressions with ARMA errors
   Journal of Econometrics, 1998, 85, (2), 231-267 View citations
   See Also Working Paper (1995)