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Details about Peter M. Robinson

Homepage:http://econ.lse.ac.uk/staff/pmr/
Workplace:Economics Department, London School of Economics (LSE), (more information at EDIRC)

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Short-id: pro222


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Working Papers

2004

  1. PSEUDO-MAXIMUM LIKELIHOOD ESTIMATION OF ARCH($ \infty $) MODELS
    Econometric Society 2004 North American Summer Meetings, Econometric Society View citations (1)
  2. The bootstrap and the Edgeworth correction for semiparametric averaged derivatives
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies Downloads View citations (5)
    See also Journal Article in Econometrica (2005)

2003

  1. Modified whittle estimation of multilateral spatial models
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies Downloads View citations (2)

2002

  1. Cointegration in Fractional Systems with Unknown Integration Orders
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra Downloads View citations (27)
    See also Journal Article in Econometrica (2003)

1998

  1. Testing of Seasonal Fractional Integration in U.K. and Japanese Consumption and Income
    Economics Working Papers, European University Institute View citations (15)
    See also Journal Article in Journal of Applied Econometrics (2001)

1997

  1. Nonlinear Time Series With Long Memory: A Model for Stochastic Volatility
    FMG Discussion Papers, Financial Markets Group Downloads View citations (6)

1976

  1. Efficient Estimation of a Dynamic Error-Shock Model
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads
    See also Journal Article in International Economic Review (1978)

Journal Articles

2005

  1. Cointegration in fractional systems with deterministic trends
    Journal of Econometrics, 2005, 129, (1-2), 263-298 Downloads View citations (15)
  2. The Bootstrap and the Edgeworth Correction for Semiparametric Averaged Derivatives
    Econometrica, 2005, 73, (3), 903-948 Downloads View citations (17)
    See also Working Paper (2004)
  3. The distance between rival nonstationary fractional processes
    Journal of Econometrics, 2005, 128, (2), 283-300 Downloads View citations (24)

2003

  1. Cointegration in Fractional Systems with Unknown Integration Orders
    Econometrica, 2003, 71, (6), 1727-1766 Downloads View citations (49)
    See also Working Paper (2002)
  2. Higher-order kernel semiparametric M-estimation of long memory
    Journal of Econometrics, 2003, 114, (1), 1-27 Downloads View citations (11)

2002

  1. Adapting to Unknown Disturbance Autocorrelation in Regression with Long Memory
    Econometrica, 2002, 70, (4), 1545-1581 Downloads View citations (7)
  2. Determination of cointegrating rank in fractional systems
    Journal of Econometrics, 2002, 106, (2), 217-241 Downloads View citations (115)

2001

  1. Finite sample improvements in statistical inference with I(1) processes
    Journal of Applied Econometrics, 2001, 16, (3), 431-444 Downloads View citations (2)
  2. Semiparametric fractional cointegration analysis
    Journal of Econometrics, 2001, 105, (1), 225-247 Downloads View citations (82)
  3. Testing of seasonal fractional integration in UK and Japanese consumption and income
    Journal of Applied Econometrics, 2001, 16, (2), 95-114 Downloads View citations (62)
    See also Working Paper (1998)
  4. The memory of stochastic volatility models
    Journal of Econometrics, 2001, 101, (2), 195-218 Downloads View citations (35)

2000

  1. Edgeworth Expansions for Semiparametric Averaged Derivatives
    Econometrica, 2000, 68, (4), 931-980 View citations (28)

1998

  1. Inference-Without-Smoothing in the Presence of Nonparametric Autocorrelation
    Econometrica, 1998, 66, (5), 1163-1182 View citations (21)
  2. Real and Spurious Long-Memory Properties of Stock-Market Data: Comment
    Journal of Business & Economic Statistics, 1998, 16, (3), 276-79 View citations (6)

1997

  1. Testing of unit root and other nonstationary hypotheses in macroeconomic time series
    Journal of Econometrics, 1997, 80, (2), 241-268 Downloads View citations (161)

1996

  1. Averaged periodogram estimation of long memory
    Journal of Econometrics, 1996, 73, (1), 303-324 Downloads View citations (42)
  2. Testing for structural change in a long-memory environment
    Journal of Econometrics, 1996, 70, (1), 159-174 Downloads View citations (62)

1995

  1. The Normal Approximation for Semiparametric Averaged Derivatives
    Econometrica, 1995, 63, (3), 667-80 Downloads View citations (15)

1994

  1. Semiparametric estimation from time series with long-range dependence
    Journal of Econometrics, 1994, 64, (1-2), 335-353 Downloads View citations (4)

1993

  1. Highly Insignificant F-Ratios
    Econometrica, 1993, 61, (3), 687-96 Downloads View citations (4)

1992

  1. Nonparametric and Semiparametric Methods for Economic Research
    Journal of Economic Surveys, 1992, 6, (3), 201-49 View citations (12)

1991

  1. Automatic Frequency Domain Inference on Semiparametric and Nonparametric Models
    Econometrica, 1991, 59, (5), 1329-63 Downloads View citations (46)
  2. Best Nonlinear Three-Stage Least Squares Estimation of Certain Econometric Models
    Econometrica, 1991, 59, (3), 755-86 Downloads View citations (14)
  3. Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression
    Journal of Econometrics, 1991, 47, (1), 67-84 Downloads View citations (151)

1989

  1. Tests for Serial Dependence and Other Specification Analysis in Models of Markets in Disequilibrium
    Journal of Business & Economic Statistics, 1989, 7, (3), 343-52

1988

  1. Root- N-Consistent Semiparametric Regression
    Econometrica, 1988, 56, (4), 931-54 Downloads View citations (436)
  2. Semiparametric Econometrics: A Survey
    Journal of Applied Econometrics, 1988, 3, (1), 35-51 Downloads View citations (32)
  3. The Stochastic Difference between Econometric Statistics
    Econometrica, 1988, 56, (3), 531-48 Downloads View citations (32)
  4. Using Gaussian Estimators Robustly
    Oxford Bulletin of Economics and Statistics, 1988, 50, (1), 97-106

1987

  1. Asymptotically Efficient Estimation in the Presence of Heteroskedasticity of Unknown Form
    Econometrica, 1987, 55, (4), 875-91 Downloads View citations (62)

1986

  1. Nonparametric Methods in Specification
    Economic Journal, 1986, 96, (380a), 134-41 Downloads View citations (2)

1985

  1. Tests for Serial Dependence in Limited Dependent Variable Models
    International Economic Review, 1985, 26, (3), 629-38 Downloads View citations (2)

1982

  1. On the Asymptotic Properties of Estimators of Models Containing Limited Dependent Variables
    Econometrica, 1982, 50, (1), 27-41 Downloads View citations (34)

1978

  1. Efficient Estimation of a Dynamic Error-Shock Model
    International Economic Review, 1978, 19, (2), 467-79 Downloads
    See also Working Paper (1976)

1976

  1. Instrumental Variables Estimation of Differential Equations
    Econometrica, 1976, 44, (4), 765-76 Downloads View citations (2)
  2. The Estimation of Linear Differential Equations with Constant Coefficients
    Econometrica, 1976, 44, (4), 751-64 Downloads View citations (3)

1974

  1. Identification, Estimation and Large-Sample Theory for Regressions Containing Unobservable Variables
    International Economic Review, 1974, 15, (3), 680-92 Downloads View citations (6)
 
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