Details about Peter M. Robinson

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Short-id: pro222

Working Papers

2004

1. Cointegration in Fractional Systems with Deterministic Trends
   STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE
   See also Journal Article in Journal of Econometrics (2005)
2. Efficiency Improvements in Inference on Stationary and Nonstationary Fractional Time Series
   STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE View citations
3. PSEUDO-MAXIMUM LIKELIHOOD ESTIMATION OF ARCH($ \infty $) MODELS
   Econometric Society 2004 North American Summer Meetings, Econometric Society
4. ROBUST COVARIANCE MATRIX ESTIMATION: "HAC" Estimates with Long Memory/Antipersistence Correction
   STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE
5. The Distance between Rival Nonstationary Fractional Processes
   STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE
   See also Journal Article in Journal of Econometrics (2005)
6. The bootstrap and the Edgeworth correction for semiparametric averaged derivatives
   CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies
   See also Journal Article in Econometrica (2005)

2003

7. Cointegration in Fractional Systems with Unkown Integration Orders
   STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE View citations
   Also in Faculty Working Papers, School of Economics and Business Administration, University of Navarra (2002) View citations
   See also Journal Article in Econometrica (2003)
8. LARCH, Leverage and Long Memory
   STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE
9. Modified whittle estimation of multilateral spatial models
   CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies View citations

2002

10. Denis Sargan: Some Perspectives
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE
11. Edgeworth Expansions for Semiparametric Whittle Estimation of Long Memory
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE View citations
12. Higher-Order Kernel Semiparametric M-Estimation of Long Memory
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE
    See also Journal Article in Journal of Econometrics (2003)
13. Root-n-Consistent Estimation of Weak Fractional Cointegration
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra View citations

2001

14. Adapting to Unknown Disturbance Autocorrelation in Regression with Long Memory
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE
    See also Journal Article in Econometrica (2002)
15. Determination of Cointegrating Rank in Fractional Systems
    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 (2002)
16. Finite Sample Improvement in Statistical Inference with I(1) Processes
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE
    See also Journal Article in Journal of Applied Econometrics (2001)
17. Gaussian Estimation of Parametric Spectral Density with Unknown Pole
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE View citations
18. Narrow-Band Analysis of Nonstationary Processes
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE View citations
19. Parametric Estimation under Long-Range Dependence
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE View citations
20. Semiparametric Fractional Cointegration Analysis
    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 (2001)
21. The Estimation of Conditional Densities
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE View citations
22. The Memory of Stochastic Volatility Models
    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 (2001)

2000

23. A Model for Long Memory Conditional Heteroscedasticity - (Now published in Annals of Applied Probability, 10 (2000), pp.1002-1024.)
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE
24. 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.)
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE
25. Edgeworth Expansions for Spectral Density Estimates and Studentized Sample Mean - (Now published in Economic Theory, 17 (2001), pp.497-539
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE View citations
26. Testing of Seasonal Fractional Integration in UK and Japanese Consumption and Income
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE View citations
    Also in Economics Working Papers, European University Institute (1998) View citations
    See also Journal Article in Journal of Applied Econometrics (2001)
27. The Averaged Periodogram for Nonstationary Vector Time Series
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE View citations
28. Whittle Estimation of ARCH Models
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE View citations
29. Whittle Pseudo-Maximum Likelihood Estimation for Nonstationary Time Series - (Now published in Journal of the American Statistical Association, 95, (2000), pp.1229-1243.)
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE View citations

1999

30. Edgeworth Expansions for Semiparametric Averaged Derivatives - (Now published in Econometrica, 68 (2000), pp.931-979.)
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE
31. 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.)
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE

1998

32. Alternative Forms of Fractional Brownian Motion - (Now published in Journal of Statistical Planning and Inference, 80 (1999), pp.111-122.)
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE View citations
33. Long and Short Memory Conditional Heteroscedasticity in Estimating the Memory Parameter of Levels - (Now published in Econometric Theory, 15 (1999), pp.299-336.)
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE View citations
34. 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.)
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE View citations
35. Semiparametric Frequency Domain Analysis of Fractional Cointegration - (Revised version forthcoming in P M Robinson: Time Series with Long Memory (Oxford University Press)
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE
36. Semiparametric Inference in Seasonal and Cyclical Long Memory Processes - (Now published in Journal of Time Series Analysis, 21 (2000), pp.1-25.)
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE View citations
37. Variance-Type Estimation of Long Memory - (Now published in Stochastic Processes and their Applications, 29 (1999), pp.1-24.)
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE
38. Weak Convergence of Multivariate Fractional Processes - (Now published in Stochastic Processes and their Applications, 80 (1999), pp.103-120.)
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE

1997

39. A Nonparametric Test for I(0) - (Now published in Review of Economic Studies, 65 (1998), pp.475-495.)
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE
40. Inference-without-Smoothing in the Presence of Nonparametric Autocorrelation - (Now published in Econometrica, 66 (1998), pp.1163-1182.)
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE
41. Large-Sample Inference for Nonparametric Regression with Dependent Errors - (Now published in Annals of Statistics, 28 (1997), pp.2054-2083.)
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE
42. 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.)
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE
43. Nonlinear Time Series With Long Memory: A Model for Stochastic Volatility
    FMG Discussion Papers, Financial Markets Group View citations
44. 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.)
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE
45. 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.)
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE View citations
46. Time Series Regression with Long Range Dependence - (Now published in Annals of Statistics, 25, (1997)pp.2054-2083.)
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE

1976

47. Efficient Estimation of a Dynamic Error-Shock Model
    NBER Working Papers, National Bureau of Economic Research, Inc
    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 View citations
   See also Working Paper (2004)
2. The Bootstrap and the Edgeworth Correction for Semiparametric Averaged Derivatives
   Econometrica, 2005, 73, (3), 903-948 View citations
   See also Working Paper (2004)
3. The distance between rival nonstationary fractional processes
   Journal of Econometrics, 2005, 128, (2), 283-300 View citations
   See also Working Paper (2004)

2003

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

2002

6. Adapting to Unknown Disturbance Autocorrelation in Regression with Long Memory
   Econometrica, 2002, 70, (4), 1545-1581 View citations
   See also Working Paper (2001)
7. Determination of cointegrating rank in fractional systems
   Journal of Econometrics, 2002, 106, (2), 217-241 View citations
   See also Working Paper (2001)

2001

8. Finite sample improvements in statistical inference with I(1) processes
   Journal of Applied Econometrics, 2001, 16, (3), 431-444
   See also Working Paper (2001)
9. Semiparametric fractional cointegration analysis
   Journal of Econometrics, 2001, 105, (1), 225-247 View citations
   See also Working Paper (2001)
10. Testing of seasonal fractional integration in UK and Japanese consumption and income
    Journal of Applied Econometrics, 2001, 16, (2), 95-114 View citations
    See also Working Paper (2000)
11. The memory of stochastic volatility models
    Journal of Econometrics, 2001, 101, (2), 195-218 View citations
    See also Working Paper (2001)

2000

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

1998

13. A Nonparametric Test for I(0)
    Review of Economic Studies, 1998, 65, (3), 475-95 View citations
14. Inference-Without-Smoothing in the Presence of Nonparametric Autocorrelation
    Econometrica, 1998, 66, (5), 1163-1182 View citations
15. Real and Spurious Long-Memory Properties of Stock-Market Data: Comment
    Journal of Business & Economic Statistics, 1998, 16, (3), 276-79 View citations

1997

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

1996

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

1995

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

1994

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

1993

21. Highly Insignificant F-Ratios
    Econometrica, 1993, 61, (3), 687-96

1992

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

1991

23. Automatic Frequency Domain Inference on Semiparametric and Nonparametric Models
    Econometrica, 1991, 59, (5), 1329-63 View citations
24. Best Nonlinear Three-Stage Least Squares Estimation of Certain Econometric Models
    Econometrica, 1991, 59, (3), 755-86 View citations
25. Consistent Nonparametric Entropy-Based Testing
    Review of Economic Studies, 1991, 58, (3), 437-53 View citations
26. Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression
    Journal of Econometrics, 1991, 47, (1), 67-84 View citations

1989

27. Hypothesis Testing in Semiparametric and Nonparametric Models for Econometric Time Series
    Review of Economic Studies, 1989, 56, (4), 511-34 View citations
28. 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

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

1987

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

1986

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

1985

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

1982

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

1978

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

1976

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

1974

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