Details about Oliver Bruce Linton

E-mail:
Homepage:	http://personal.lse.ac.uk/lintono/
Workplace:	Economics Department, London School of Economics (LSE), University of London, (more information at EDIRC)

Access statistics for papers by Oliver Bruce Linton.

Last updated 2009-05-19. Update your information in the RePEc Author Service.

Short-id: pli253

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Working Papers

2009

1. Optimal Smoothing for a Computationally and Statistically Efficient Single Index Estimator
   SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649

2008

2. Bootstrap Tests of Stochastic Dominance with Asymptotic Similarity on the Boundary
   PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania
   Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2008)
3. Evaluating Value-at-Risk Models via Quantile Regressions
   Working Papers Series, Central Bank of Brazil, Research Department
   Also in Economics Working Papers (Ensaios Economicos da EPGE), Graduate School of Economics, Getulio Vargas Foundation (Brazil) (2008)
4. Identification and Nonparametric Estimation of a Transformed Additively Separable Model
   Boston College Working Papers in Economics, Boston College Department of Economics
5. Testing for stochastic monotonicity
   CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies
   Also in STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE (2006) View citations
   See also Journal Article in Econometrica (2009)

2007

6. Consistent Estimation of the Risk-Return Tradeoff in the Presence of Measurement Error
   FMG Discussion Papers, Financial Markets Group
7. Efficient Estimation of a Semiparametric Characteristic- Based Factor Model of Security Returns
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute
   Also in FMG Discussion Papers, Financial Markets Group (2007)
   STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE (2007)
8. Evaluating hedge fund performance: a stochastic dominance approach
   FMG Discussion Papers, Financial Markets Group
9. Inference about Realized Volatility using Infill Subsampling
   STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE View citations

2006

10. Are there Monday effects in Stock Returns: A Stochastic Dominance Approach
    FMG Discussion Papers, Financial Markets Group View citations
    See also Journal Article in Journal of Empirical Finance (2007)
11. Estimating Features of a Distribution from Binomial Data
    Boston College Working Papers in Economics, Boston College Department of Economics View citations
    Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2001) View citations
12. Estimating Quadratic VariationConsistently in thePresence of Correlated MeasurementError
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE View citations
13. Nonparametric Matching and Efficient Estimators of Homothetically Separable Functions
    Boston College Working Papers in Economics, Boston College Department of Economics
    See also Journal Article in Econometrica (2007)
14. Nonparametric Transformation to White Noise
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE View citations
    See also Journal Article in Journal of Econometrics (2008)
15. Semiparametric Estimation of aCharacteristic-based Factor Model ofCommon Stock Returns
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE
    See also Journal Article in Journal of Empirical Finance (2007)

2005

16. Testing for Stochastic Dominance Efficiency
    Research Paper, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.

2004

17. A GARCH Model of the Implied Volatility of the Swiss Market Index from Options Prices
    FMG Discussion Papers, Financial Markets Group
18. A Local Instrumental Variable Estimation Method For Generalized Additive Volatility Models
    FMG Discussion Papers, Financial Markets Group View citations
    Also in STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE (2003)
19. A Quantilogram Approach to Evaluating Directional Predictability
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
    Also in STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE (2003) View citations
20. Consistent Testing for Stochastic Dominance: A Subsampling Approach
    FMG Discussion Papers, Financial Markets Group
    Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2002) View citations
    FMG Discussion Papers, Financial Markets Group (2002) View citations
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University (2002) View citations
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE (2002) View citations
21. Estimating Semiparametric ARCH Models by Kernel Smoothing Methods
    FMG Discussion Papers, Financial Markets Group View citations
    Also in STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE (2003) View citations
22. Estimation of Linear Regression Models by a Spread-Tolerant Estimator
    FMG Discussion Papers, Financial Markets Group
23. Flexible Term Structure Estimation: Which Method is Preferable?
    FMG Discussion Papers, Financial Markets Group
24. Nonparametric Inference for Unbalanced Time Series Data
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE View citations
    Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2004) View citations
    See also Journal Article in Econometric Theory (2005)
25. The Froot and Stein Model Revisited
    Finance, EconWPA
26. The Shape of the Risk Premium: Evidence from a Semiparametric GARCH Model
    FMG Discussion Papers, Financial Markets Group
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1999) View citations
27. Yield Curve Estimation by Kernel Smoothing
    FMG Discussion Papers, Financial Markets Group

2003

28. Asymptotic Expansions for Some Semiparametric Program Evaluation Estimators
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE View citations
    Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2001) View citations
29. Estimation of Semiparametric Models when the Criterion Function is not Smooth
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE View citations
    Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2002)
    See also Journal Article in Econometrica (2003)
30. Nonparametric Estimation of Homothetic and Homothetically Separable Functions
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE
    Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2003)
31. Nonparametric Neural Network Estimation of Lyapunov Exponents and a Direct Test for Chaos
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE View citations
    Also in STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE (2002)
    Working Papers, Department of Economics, Vanderbilt University (2003) View citations
    See also Journal Article in Journal of Econometrics (2004)
32. Semiparametric Regression Analysis under Imputation for Missing Response Data
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE
    Also in Working Papers, Humboldt University, Sonderforschungsbereich 373
33. Semiparametric regression analysis with missing response at random
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies View citations
    See also Journal Article in Journal of the American Statistical Association (2004)

2002

34. Limit Theorems for Estimating the Parameters of Differentiated Product Demand Systems
    Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research View citations
    Also in Cowles Foundation Discussion Papers, Cowles Foundation, Yale University (2002) View citations
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE (2000) View citations
    See also Journal Article in Review of Economic Studies (2004)
35. More Efficient Kernel Estimation in Nonparametric Regression with Autocorrelated Errors
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
    Also in STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE (2002) View citations

2001

36. A Nonparametric Regression Estimator that Adapts to Error Distribution of Unknown Form
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE
    Also in Working Papers, Humboldt University, Sonderforschungsbereich 373 View citations
    See also Journal Article in Econometric Theory (2007)
37. Estimating Multiplicative and Additive Hazard Functions by Kernel Methods
    Finance Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies View citations
    Also in STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE (2001)
38. Flexible Term Structure Estimation: Which Method Is Preferred?
    Yale School of Management Working Papers, Yale School of Management View citations
    Also in FMG Discussion Papers, Financial Markets Group (2001)
    See also Journal Article in Metrika (2006)
39. Is There Chaos in the World Economy? A Nonparametric Test Using Consistent Standard Errors
    FMG Discussion Papers, Financial Markets Group View citations
    Also in Working Papers, Department of Economics, Vanderbilt University (2001)
    See also Journal Article in International Economic Review (2003)
40. Nonparametric Estimation of a Multifactor Heath-Jarrow-Morton Model: An Integrated Approach
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University
41. Testing the Capital Asset Pricing Model Efficiently Under Elliptical Symmetry: A Semiparametric Approach
    Cahiers de recherche CREFE / CREFE Working Papers, CREFE, Université du Québec à Montréal View citations
    Also in FMG Discussion Papers, Financial Markets Group (2001)
    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)
42. The Estimation of Conditional Densities
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE View citations

2000

43. Edgeworth Approximations for Semiparametric Instrumental Variable Estimators and Test Statistics
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE
    See also Journal Article in Journal of Econometrics (2002)
44. Nonparametric Censored and Truncated Regression
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE
    Also in Boston College Working Papers in Economics, Boston College Department of Economics (2000)
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society (2000)
    See also Journal Article in Econometrica (2002)
45. Nonparametric Estimation with Aggregated Data
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE View citations
    See also Journal Article in Econometric Theory (2002)
46. Semiparametric Estimation of a Characteristic-Based Factor Model of Stock Returns
    FMG Discussion Papers, Financial Markets Group View citations
47. The Existence and Asymptotic Properties of a Backfitting Projection Algorithm under Weak Conditions
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE View citations
    Also in Cowles Foundation Discussion Papers, Cowles Foundation, Yale University (1997) View citations
48. Yield Curve Estimation by Kernel Smoothing Methods
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE
    Also in Econometric Society World Congress 2000 Contributed Papers, Econometric Society (2000) View citations
    See also Journal Article in Journal of Econometrics (2001)

1998

49. Estimating Yield Curves by Kernel Smoothing Methods
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
    Also in Working Papers, Humboldt University, Sonderforschungsbereich 373 View citations
50. Nonparametric Censored Regression
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University

1997

51. Second-Order Approximation for Semiparametric Instrumental Variable Estimators and Test Statistics
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
52. Some Higher Order Theory for a Consistent Nonparametric Model Specification Test
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
53. The Asymptotic Distribution of Nonparametric Estimates of the Lyapunov Exponent for Stochastic Time Series
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
    See also Journal Article in Journal of Econometrics (1999)

1996

54. An Asymptotic Expansion in the Garch(1,1) Model
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University
    See also Journal Article in Econometric Theory (1997)
55. Conditional Independence Restrictions: Testing and Estimation
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations

1995

56. Adaptive Testing in ARCH Models
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
    See also Journal Article in Econometric Reviews (2000)
57. Testing Additivity in Generalized Nonparametric Regression Models
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations

1994

58. Applied Nonparametric Methods
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
    Also in Working Papers, Humboldt University, Statistic und Oekonometrie View citations
    See also Chapter (1986)
59. Edgeworth Approximation for MINPIN Estimators in Semiparametric Regression Models
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
    See also Journal Article in Econometric Theory (1996)
60. Local Nonlinear Least Squares Estimation: Using Parametric Information Nonparametrically
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations

1993

61. Adaptive Estimation in ARCH Models
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
    See also Journal Article in Econometric Theory (1993)
62. Second Order Approximation in the Partially Linear Regression Model
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University
    See also Journal Article in Econometrica (1995)

Undated

63. A Local Instrumental Estimation Method for Generalized Additive Volatility Models
    Working Papers, Humboldt University, Sonderforschungsbereich 373
64. A Simulation Comparison between Integration and Backfitting Methods of Estimating Separable Nonparametric Regression Models
    Working Papers, Humboldt University, Sonderforschungsbereich 373 View citations
65. An Analysis of Transformations for Additive Nonparanetric Regression
    Working Papers, Humboldt University, Sonderforschungsbereich 373 View citations
66. An Optimization Interpretation of Integration and Backfitting Estimators for Separable Nonparametric Models
    Working Papers, Humboldt University, Sonderforschungsbereich 373 View citations
67. Estimation of Additive Regression Models with Links
    Working Papers, Humboldt University, Sonderforschungsbereich 373 View citations
68. Kernel estimation in a nonparametric marker dependent Hazard Model
    Working Papers, Humboldt University, Statistic und Oekonometrie View citations
69. Nonparametric Estimation of Additive Seperable Regression Models
    Working Papers, Humboldt University, Sonderforschungsbereich 373 View citations
70. Nonparametric Factor Analysis of Time Series
    Working Papers, Humboldt University, Sonderforschungsbereich 373
71. Nonparametric Regression
    Working Papers, Humboldt University, Sonderforschungsbereich 373 View citations
72. Testing Additivity in Generalized Nonparametric Regression Models aareadme.txt
    Working Papers, Humboldt University, Sonderforschungsbereich 373
73. We introduce a new analytical approach to price American options. Using an explicit and intuitive proxy for the exercise rule, we derive tractable pricing formulas using a short-maturity asymptotic expansion. Depending on model parameters, this method can accurately price options with time-to-maturity up to several years. The main advantage of our approach over existing methods lies in its straightforward extension to models with stochastic volatility and stochastic interest rates. We exploit this advantage by providing an analysis of the impact of volatility mean-reversion, volatility of volatility, and correlations on the American put price
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute

Journal Articles

2009

1. Testing for Stochastic Monotonicity
   Econometrica, 2009, 77, (2), 585-602 View citations
   See also Working Paper (2008)

2008

2. Estimating quadratic variation consistently in the presence of endogenous and diurnal measurement error
   Journal of Econometrics, 2008, 147, (1), 47-59
3. Nonparametric transformation to white noise
   Journal of Econometrics, 2008, 142, (1), 241-264
   See also Working Paper (2006)

2007

4. A NONPARAMETRIC REGRESSION ESTIMATOR THAT ADAPTS TO ERROR DISTRIBUTION OF UNKNOWN FORM
   Econometric Theory, 2007, 23, (03), 371-413
   See also Working Paper (2001)
5. A smoothed least squares estimator for threshold regression models
   Journal of Econometrics, 2007, 141, (2), 704-735 View citations
6. Are there Monday effects in stock returns: A stochastic dominance approach
   Journal of Empirical Finance, 2007, 14, (5), 736-755
   See also Working Paper (2006)
7. HIGHER ORDER ASYMPTOTIC THEORY WHEN A PARAMETER IS ON A BOUNDARY WITH AN APPLICATION TO GARCH MODELS
   Econometric Theory, 2007, 23, (06), 1136-1161
8. LOCAL LINEAR FITTING UNDER NEAR EPOCH DEPENDENCE
   Econometric Theory, 2007, 23, (01), 37-70
9. Nonparametric Matching and Efficient Estimators of Homothetically Separable Functions
   Econometrica, 2007, 75, (4), 1209-1227 View citations
   See also Working Paper (2006)
10. Semiparametric estimation of a characteristic-based factor model of common stock returns
    Journal of Empirical Finance, 2007, 14, (5), 694-717 View citations
    See also Working Paper (2006)
11. Semiparametric methods in econometrics
    Journal of Econometrics, 2007, 141, (1), 1-4
12. The quantilogram: With an application to evaluating directional predictability
    Journal of Econometrics, 2007, 141, (1), 250-282 View citations

2006

13. A CLOSED-FORM ESTIMATOR FOR THE GARCH(1,1) MODEL
    Econometric Theory, 2006, 22, (02), 323-337 View citations
14. Comment
    Journal of the American Statistical Association, 2006, 101, 998-1001
15. Flexible Term Structure Estimation: Which Method is Preferred?
    Metrika, 2006, 63, (1), 99-122 View citations
    See also Working Paper (2001)
16. The common and specific components of dynamic volatility
    Journal of Econometrics, 2006, 132, (1), 231-255 View citations

2005

17. Consistent Testing for Stochastic Dominance under General Sampling Schemes
    Review of Economic Studies, 2005, 72, (3), 735-765 View citations
18. Estimating Semiparametric ARCH(∞) Models by Kernel Smoothing Methods
    Econometrica, 2005, 73, (3), 771-836 View citations
19. NONPARAMETRIC INFERENCE FOR UNBALANCED TIME SERIES DATA
    Econometric Theory, 2005, 21, (01), 143-157
    See also Working Paper (2004)

2004

20. 03.5.2. Consistent Standard Errors for Target Variance Approach to GARCH Estimation Solution
    Econometric Theory, 2004, 20, (05), 990-993
21. Limit Theorems for Estimating the Parameters of Differentiated Product Demand Systems
    Review of Economic Studies, 2004, 71, 613-654 View citations
    See also Working Paper (2002)
22. Nonparametric neural network estimation of Lyapunov exponents and a direct test for chaos
    Journal of Econometrics, 2004, 120, (1), 1-33 View citations
    See also Working Paper (2003)
23. Semiparametric Regression Analysis With Missing Response at Random
    Journal of the American Statistical Association, 2004, 99, 334-345 View citations
    See also Working Paper (2003)
24. THE LIVE METHOD FOR GENERALIZED ADDITIVE VOLATILITY MODELS
    Econometric Theory, 2004, 20, (06), 1094-1139 View citations
25. Testing forward exchange rate unbiasedness efficiently: a semiparametric approach
    Journal of Applied Economics, 2004, VII, 325-353

2003

26. 03.5.2. Consistent Standard Errors for Target Variance Approach to GARCH Estimation
    Econometric Theory, 2003, 19, (05), 879-880 View citations
27. Estimation of Semiparametric Models when the Criterion Function Is Not Smooth
    Econometrica, 2003, 71, (5), 1591-1608 View citations
    See also Working Paper (2003)
28. Is There Chaos in the World Economy? A Nonparametric Test Using Consistent Standard Errors
    International Economic Review, 2003, 44, (1), 331-357 View citations
    See also Working Paper (2001)
29. More Efficient Local Polynomial Estimation in Nonparametric Regression With Autocorrelated Errors
    Journal of the American Statistical Association, 2003, 98, 980-992 View citations
30. The Shape of the Risk Premium: Evidence from a Semiparametric Generalized Autoregressive Conditional Heteroscedasticity Model
    Journal of Business & Economic Statistics, 2003, 21, (3), 354-67 View citations

2002

31. Edgeworth approximations for semiparametric instrumental variable estimators and test statistics
    Journal of Econometrics, 2002, 106, (2), 325-368 View citations
    See also Working Paper (2000)
32. NONPARAMETRIC ESTIMATION WITH AGGREGATED DATA
    Econometric Theory, 2002, 18, (02), 420-468 View citations
    See also Working Paper (2000)
33. Nonparametric Censored and Truncated Regression
    Econometrica, 2002, 70, (2), 765-779 View citations
    See also Working Paper (2000)
34. 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)

2001

35. ESTIMATING ADDITIVE NONPARAMETRIC MODELS BY PARTIAL Lq NORM: THE CURSE OF FRACTIONALITY
    Econometric Theory, 2001, 17, (06), 1037-1050
36. Nonparametric factor analysis of residual time series
    TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, 2001, 10, (1), 161-182
37. SECOND-ORDER APPROXIMATION FOR ADAPTIVE REGRESSION ESTIMATORS
    Econometric Theory, 2001, 17, (05), 984-1024 View citations
38. Testing additivity in generalized nonparametric regression models with estimated parameters
    Journal of Econometrics, 2001, 104, (1), 1-48 View citations
39. Yield curve estimation by kernel smoothing methods
    Journal of Econometrics, 2001, 105, (1), 185-223 View citations
    See also Working Paper (2000)

2000

40. Adaptive testing in arch models
    Econometric Reviews, 2000, 19, (2), 145-174 View citations
    See also Working Paper (1995)
41. EFFICIENT ESTIMATION OF GENERALIZED ADDITIVE NONPARAMETRIC REGRESSION MODELS
    Econometric Theory, 2000, 16, (04), 502-523 View citations
42. Local nonlinear least squares: Using parametric information in nonparametric regression
    Journal of Econometrics, 2000, 99, (1), 63-106 View citations

1999

43. Integration and backfitting methods in additive models-finite sample properties and comparison
    TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, 1999, 8, (2), 419-458 View citations
44. The asymptotic distribution of nonparametric estimates of the Lyapunov exponent for stochastic time series
    Journal of Econometrics, 1999, 91, (1), 1-42 View citations
    See also Working Paper (1997)

1998

45. AN INTRODUCTION TO ECONOMETRIC THEORY
    Econometric Theory, 1998, 14, (06), 795-798

1997

46. An Asymptotic Expansion in the GARCH(l, 1) Model
    Econometric Theory, 1997, 13, (04), 558-581
    See also Working Paper (1996)
47. Asymptotic Inefficiency of an Estimator Derived from a Kernel-Based Test Statistic
    Econometric Theory, 1997, 13, (02), 306-307
48. Kernel Regression with ?No? Information
    Econometric Theory, 1997, 13, (03), 464-465

1996

49. Edgeworth Approximation for MINPIN Estimators in Semiparametric Regression Models
    Econometric Theory, 1996, 12, (01), 30-60 View citations
    See also Working Paper (1994)
50. Estimation, Inference and Specification Analysis H. White, Cambridge University Press, 1994
    Econometric Theory, 1996, 12, (03), 581-583
51. Second order approximation in a linear regression with heteroskedasticity of unknown form
    Econometric Reviews, 1996, 15, (1), 1-32 View citations

1995

52. Differentiation of an Exponential Matrix Function
    Econometric Theory, 1995, 11, (05), 1182-1185
53. Second Order Approximation in the Partially Linear Regression Model
    Econometrica, 1995, 63, (5), 1079-1112 View citations
    See also Working Paper (1993)

1994

54. A multiplicative bias reduction method for nonparametric regression
    Statistics & Probability Letters, 1994, 19, (3), 181-187 View citations

1993

55. Adaptive Estimation in ARCH Models
    Econometric Theory, 1993, 9, (04), 539-569 View citations
    See also Working Paper (1993)

Chapters

1986

1. Applied nonparametric methods
   Chapter 38 in Handbook of Econometrics, 1986, vol. 4, pp 2295-2339
   See also Working Paper (1994)

Editor

1. Econometrics Journal
   Royal Economic Society