EconPapers    
Economics at your fingertips  
 

Details about Patrick Marsh

E-mail:
Homepage:https://www.nottingham.ac.uk/economics/people/patrick.marsh
Workplace:School of Economics, University of Nottingham, (more information at EDIRC)

Access statistics for papers by Patrick Marsh.

Last updated 2020-11-09. Update your information in the RePEc Author Service.

Short-id: pma2702


Jump to Journal Articles

Working Papers

2019

  1. Nonparametric conditional density specification testing and quantile estimation; with application to S&P500 returns
    Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics Downloads
  2. Properties of the power envelope for tests against both stationary and explosive alternatives: the effect of trends
    Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics Downloads
  3. The role of information in nonstationary regression
    Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics Downloads

2016

  1. Nonparametric density estimation and testing
    Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics Downloads

2006

  1. Constructing Optimal Tests on a Lagged Dependent Variable
    Discussion Papers, Department of Economics, University of York Downloads
    See also Journal Article in Journal of Time Series Analysis (2007)
  2. Data Driven Likelihood Ratio Tests for Goodness-of-Fit with Estimated Parameters
    Discussion Papers, Department of Economics, University of York Downloads

Undated

  1. A Measure of Distance for the Unit Root Hypothesis
    Discussion Papers, Department of Economics, University of York Downloads View citations (1)
  2. A Two-Sample Non-Parametric Likelihood Ratio Test
    Discussion Papers, Department of Economics, University of York Downloads
    See also Journal Article in Journal of Nonparametric Statistics (2010)
  3. Edgeworth Expansions in Gaussian Autoregression
    Discussion Papers, Department of Economics, University of York Downloads
    See also Journal Article in Statistics & Probability Letters (2001)
  4. Exact Inference for the Unit Root Hypothesis
    Discussion Papers, Department of Economics, University of York Downloads View citations (3)
  5. Goodness of Fit Tests via Exponential Series Density Estimation
    Discussion Papers, Department of Economics, University of York Downloads View citations (2)
    See also Journal Article in Computational Statistics & Data Analysis (2007)
  6. Nonparametric Likelihood Ratio Tests
    Discussion Papers, Department of Economics, University of York Downloads View citations (2)
  7. Saddlepoint Approximations for Optimal Unit Root Tests
    Discussion Papers, Department of Economics, University of York Downloads
  8. Saddlepoint Approximations in Non-Stationary Time Series
    Discussion Papers, Department of Economics, University of York Downloads
  9. Some Geometry for the Maximal Invariant in Linear Regression
    Discussion Papers, Department of Economics, University of York Downloads View citations (1)
  10. The Available Information for Invariant Tests of a Unit Root
    Discussion Papers, Department of Economics, University of York Downloads View citations (1)
    See also Journal Article in Econometric Theory (2007)

Journal Articles

2019

  1. Correction to: Nonparametric series density estimation and testing
    Statistical Methods & Applications, 2019, 28, (1), 101-101 Downloads
  2. Nonparametric series density estimation and testing
    Statistical Methods & Applications, 2019, 28, (1), 77-99 Downloads View citations (1)

2013

  1. A Review of Non‐Parametric Econometrics
    Econometrics Journal, 2013, 16, (2), B1-B3 Downloads

2011

  1. SADDLEPOINT AND ESTIMATED SADDLEPOINT APPROXIMATIONS FOR OPTIMAL UNIT ROOT TESTS
    Econometric Theory, 2011, 27, (5), 1026-1047 Downloads View citations (1)

2010

  1. A two-sample nonparametric likelihood ratio test
    Journal of Nonparametric Statistics, 2010, 22, (8), 1053-1065 Downloads View citations (1)
    See also Working Paper

2009

  1. COMMENTARIES ON “Unit Root Testing in Practice: Dealing with Uncertainty over the Trend and Initial Condition,” by David I. Harvey, Stephen J. Leybourne, and A.M. Robert Taylor
    Econometric Theory, 2009, 25, (3), 637-643 Downloads
  2. THE PROPERTIES OF KULLBACK–LEIBLER DIVERGENCE FOR THE UNIT ROOT HYPOTHESIS
    Econometric Theory, 2009, 25, (6), 1662-1681 Downloads View citations (3)

2007

  1. Constructing Optimal tests on a Lagged dependent variable
    Journal of Time Series Analysis, 2007, 28, (5), 723-743 Downloads View citations (4)
    See also Working Paper (2006)
  2. Goodness of fit tests via exponential series density estimation
    Computational Statistics & Data Analysis, 2007, 51, (5), 2428-2441 Downloads View citations (2)
    See also Working Paper
  3. THE AVAILABLE INFORMATION FOR INVARIANT TESTS OF A UNIT ROOT
    Econometric Theory, 2007, 23, (4), 686-710 Downloads View citations (5)
    See also Working Paper

2004

  1. TRANSFORMATIONS FOR MULTIVARIATE STATISTICS
    Econometric Theory, 2004, 20, (5), 963-987 Downloads View citations (5)

2001

  1. Edgeworth expansions in Gaussian autoregression
    Statistics & Probability Letters, 2001, 54, (3), 233-241 Downloads
    See also Working Paper

1998

  1. SADDLEPOINT APPROXIMATIONS FOR NONCENTRAL QUADRATIC FORMS
    Econometric Theory, 1998, 14, (5), 539-559 Downloads View citations (5)
 
Page updated 2021-04-13