Details about Patrick Marsh

Access statistics for papers by Patrick Marsh.

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

Short-id: pma2702

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
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
3. The role of information in nonstationary regression
   Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics

2016

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

2006

5. Constructing Optimal Tests on a Lagged Dependent Variable
   Discussion Papers, Department of Economics, University of York
   See also Journal Article Constructing Optimal tests on a Lagged dependent variable, Journal of Time Series Analysis, Wiley Blackwell (2007) View citations (7) (2007)
6. Data Driven Likelihood Ratio Tests for Goodness-of-Fit with Estimated Parameters
   Discussion Papers, Department of Economics, University of York

Undated

7. A Measure of Distance for the Unit Root Hypothesis
   Discussion Papers, Department of Economics, University of York View citations (1)
8. A Two-Sample Non-Parametric Likelihood Ratio Test
   Discussion Papers, Department of Economics, University of York
   See also Journal Article A two-sample nonparametric likelihood ratio test, Journal of Nonparametric Statistics, Taylor & Francis Journals (2010) View citations (1) (2010)
9. Edgeworth Expansions in Gaussian Autoregression
   Discussion Papers, Department of Economics, University of York
   See also Journal Article Edgeworth expansions in Gaussian autoregression, Statistics & Probability Letters, Elsevier (2001) (2001)
10. Exact Inference for the Unit Root Hypothesis
    Discussion Papers, Department of Economics, University of York View citations (3)
11. Goodness of Fit Tests via Exponential Series Density Estimation
    Discussion Papers, Department of Economics, University of York View citations (3)
    See also Journal Article Goodness of fit tests via exponential series density estimation, Computational Statistics & Data Analysis, Elsevier (2007) View citations (2) (2007)
12. Nonparametric Likelihood Ratio Tests
    Discussion Papers, Department of Economics, University of York View citations (2)
13. Saddlepoint Approximations for Optimal Unit Root Tests
    Discussion Papers, Department of Economics, University of York View citations (1)
14. Saddlepoint Approximations in Non-Stationary Time Series
    Discussion Papers, Department of Economics, University of York
15. Some Geometry for the Maximal Invariant in Linear Regression
    Discussion Papers, Department of Economics, University of York View citations (1)
16. The Available Information for Invariant Tests of a Unit Root
    Discussion Papers, Department of Economics, University of York View citations (5)
    See also Journal Article THE AVAILABLE INFORMATION FOR INVARIANT TESTS OF A UNIT ROOT, Econometric Theory, Cambridge University Press (2007) View citations (6) (2007)

Journal Articles

2019

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

2013

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

2011

4. SADDLEPOINT AND ESTIMATED SADDLEPOINT APPROXIMATIONS FOR OPTIMAL UNIT ROOT TESTS
   Econometric Theory, 2011, 27, (5), 1026-1047 View citations (2)

2010

5. A two-sample nonparametric likelihood ratio test
   Journal of Nonparametric Statistics, 2010, 22, (8), 1053-1065 View citations (1)
   See also Working Paper A Two-Sample Non-Parametric Likelihood Ratio Test, Discussion Papers

2009

6. 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
7. THE PROPERTIES OF KULLBACK–LEIBLER DIVERGENCE FOR THE UNIT ROOT HYPOTHESIS
   Econometric Theory, 2009, 25, (6), 1662-1681 View citations (3)

2007

8. Constructing Optimal tests on a Lagged dependent variable
   Journal of Time Series Analysis, 2007, 28, (5), 723-743 View citations (7)
   See also Working Paper Constructing Optimal Tests on a Lagged Dependent Variable, Discussion Papers (2006) (2006)
9. Goodness of fit tests via exponential series density estimation
   Computational Statistics & Data Analysis, 2007, 51, (5), 2428-2441 View citations (2)
   See also Working Paper Goodness of Fit Tests via Exponential Series Density Estimation, Discussion Papers View citations (3)
10. THE AVAILABLE INFORMATION FOR INVARIANT TESTS OF A UNIT ROOT
    Econometric Theory, 2007, 23, (4), 686-710 View citations (6)
    See also Working Paper The Available Information for Invariant Tests of a Unit Root, Discussion Papers View citations (5)

2004

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

2001

12. Edgeworth expansions in Gaussian autoregression
    Statistics & Probability Letters, 2001, 54, (3), 233-241
    See also Working Paper Edgeworth Expansions in Gaussian Autoregression, Discussion Papers

1998

13. SADDLEPOINT APPROXIMATIONS FOR NONCENTRAL QUADRATIC FORMS
    Econometric Theory, 1998, 14, (5), 539-559 View citations (5)