Details about Douglas James Hodgson

Access statistics for papers by Douglas James Hodgson.

Last updated 2011-02-05. Update your information in the RePEc Author Service.

Short-id: pho14

Working Papers

2011

1. Age-Price Profiles for Canadian Painters at Auction
   CIRANO Working Papers, CIRANO View citations (11)
2. Dynamic Price Dependence of Canadian and International Art Markets: An Empirical Analysis
   CIRANO Working Papers, CIRANO

2009

3. A Test for the Presence of Central Bank Intervention in the Foreign Exchange Market With an Application to the Bank of Canada
   CIRANO Working Papers, CIRANO
4. Dimension Reduction and Model Averaging for Estimation of Artists' Age-Valuation Profiles
   CIRANO Working Papers, CIRANO View citations (5)

2004

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

2002

6. 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

7. Efficient Estimation of Conditional Asset Pricing Models
   Cahiers de recherche CREFE / CREFE Working Papers, CREFE, Université du Québec à Montréal View citations (7)
   See also Journal Article Efficient Estimation of Conditional Asset-Pricing Models, Journal of Business & Economic Statistics, American Statistical Association (2003) View citations (30) (2003)
8. 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 (1)
   See also Journal Article Testing the capital asset pricing model efficiently under elliptical symmetry: a semiparametric approach, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2002) View citations (43) (2002)

1997

9. Semiparametric Efficient Estimation in Time Series
   RCER Working Papers, University of Rochester - Center for Economic Research (RCER) View citations (1)

1996

10. Robust Semiparametric Estimation in the Presence of Heterogeneity of Unknown Form
    RCER Working Papers, University of Rochester - Center for Economic Research (RCER) View citations (1)

1995

11. 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) View citations (1)
    See also Journal Article Adaptive Estimation of Cointegrated Models: Simulation Evidence and an Application to the Forward Exchange Market, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (1999) View citations (5) (1999)
12. Adaptive Estimation of Cointegrating Regressions with ARMA Errors
    RCER Working Papers, University of Rochester - Center for Economic Research (RCER)
    See also Journal Article Adaptive estimation of cointegrating regressions with ARMA errors, Journal of Econometrics, Elsevier (1998) View citations (18) (1998)
13. Adaptive Estimation of Error Correlation Models
    RCER Working Papers, University of Rochester - Center for Economic Research (RCER) View citations (6)
    See also Journal Article ADAPTIVE ESTIMATION OF ERROR CORRECTION MODELS, Econometric Theory, Cambridge University Press (1998) View citations (23) (1998)

Journal Articles

2007

1. Semiparametric efficiency bounds in dynamic non-linear systems under elliptical symmetry
   Econometrics Journal, 2007, 10, (1), 35-48 View citations (7)

2006

2. Constructing Commercial Indices: A Semiparametric Adaptive Estimator Approach
   The Journal of Real Estate Finance and Economics, 2006, 32, (2), 151-168 View citations (8)

2004

3. Asset pricing theory and the valuation of Canadian paintings
   Canadian Journal of Economics, 2004, 37, (3), 629-655 View citations (55)
4. Testing forward exchange rate unbiasedness efficiently: a semiparametric approach
   Journal of Applied Economics, 2004, 7, 325-353 View citations (5)

2003

5. Efficient Estimation of Conditional Asset-Pricing Models
   Journal of Business & Economic Statistics, 2003, 21, (2), 269-83 View citations (30)
   See also Working Paper Efficient Estimation of Conditional Asset Pricing Models, Cahiers de recherche CREFE / CREFE Working Papers (2001) View citations (7) (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 (43)
   See also Working Paper Testing the Capital Asset Pricing Model Efficiently Under Elliptical Symmetry: A Semiparametric Approach, FMG Discussion Papers (2001) (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 (12)

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 (5)
   See also Working Paper Adaptive Estimation of Cointegrated Models Simulation, Evidence and Application to the Forward Exchange Market, RCER Working Papers (1995) View citations (1) (1995)

1998

9. ADAPTIVE ESTIMATION OF ERROR CORRECTION MODELS
   Econometric Theory, 1998, 14, (1), 44-69 View citations (23)
   See also Working Paper Adaptive Estimation of Error Correlation Models, RCER Working Papers (1995) View citations (6) (1995)
10. Adaptive estimation of cointegrating regressions with ARMA errors
    Journal of Econometrics, 1998, 85, (2), 231-267 View citations (18)
    See also Working Paper Adaptive Estimation of Cointegrating Regressions with ARMA Errors, RCER Working Papers (1995) (1995)