Details about Patrick Marsh
Access statistics for papers by Patrick Marsh.
Last updated 20201109. Update your information in the RePEc Author Service.
Shortid: pma2702
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Working Papers
2019
 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
 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
 The role of information in nonstationary regression
Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics
2016
 Nonparametric density estimation and testing
Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics
2006
 Constructing Optimal Tests on a Lagged Dependent Variable
Discussion Papers, Department of Economics, University of York
See also Journal Article in Journal of Time Series Analysis (2007)
 Data Driven Likelihood Ratio Tests for GoodnessofFit with Estimated Parameters
Discussion Papers, Department of Economics, University of York
Undated
 A Measure of Distance for the Unit Root Hypothesis
Discussion Papers, Department of Economics, University of York View citations (1)
 A TwoSample NonParametric Likelihood Ratio Test
Discussion Papers, Department of Economics, University of York
See also Journal Article in Journal of Nonparametric Statistics (2010)
 Edgeworth Expansions in Gaussian Autoregression
Discussion Papers, Department of Economics, University of York
See also Journal Article in Statistics & Probability Letters (2001)
 Exact Inference for the Unit Root Hypothesis
Discussion Papers, Department of Economics, University of York View citations (3)
 Goodness of Fit Tests via Exponential Series Density Estimation
Discussion Papers, Department of Economics, University of York View citations (2)
See also Journal Article in Computational Statistics & Data Analysis (2007)
 Nonparametric Likelihood Ratio Tests
Discussion Papers, Department of Economics, University of York View citations (2)
 Saddlepoint Approximations for Optimal Unit Root Tests
Discussion Papers, Department of Economics, University of York
 Saddlepoint Approximations in NonStationary Time Series
Discussion Papers, Department of Economics, University of York
 Some Geometry for the Maximal Invariant in Linear Regression
Discussion Papers, Department of Economics, University of York View citations (1)
 The Available Information for Invariant Tests of a Unit Root
Discussion Papers, Department of Economics, University of York View citations (1)
See also Journal Article in Econometric Theory (2007)
Journal Articles
2019
 Correction to: Nonparametric series density estimation and testing
Statistical Methods & Applications, 2019, 28, (1), 101101
 Nonparametric series density estimation and testing
Statistical Methods & Applications, 2019, 28, (1), 7799 View citations (1)
2013
 A Review of Non‐Parametric Econometrics
Econometrics Journal, 2013, 16, (2), B1B3
2011
 SADDLEPOINT AND ESTIMATED SADDLEPOINT APPROXIMATIONS FOR OPTIMAL UNIT ROOT TESTS
Econometric Theory, 2011, 27, (5), 10261047 View citations (1)
2010
 A twosample nonparametric likelihood ratio test
Journal of Nonparametric Statistics, 2010, 22, (8), 10531065 View citations (1)
See also Working Paper
2009
 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), 637643
 THE PROPERTIES OF KULLBACK–LEIBLER DIVERGENCE FOR THE UNIT ROOT HYPOTHESIS
Econometric Theory, 2009, 25, (6), 16621681 View citations (3)
2007
 Constructing Optimal tests on a Lagged dependent variable
Journal of Time Series Analysis, 2007, 28, (5), 723743 View citations (4)
See also Working Paper (2006)
 Goodness of fit tests via exponential series density estimation
Computational Statistics & Data Analysis, 2007, 51, (5), 24282441 View citations (2)
See also Working Paper
 THE AVAILABLE INFORMATION FOR INVARIANT TESTS OF A UNIT ROOT
Econometric Theory, 2007, 23, (4), 686710 View citations (5)
See also Working Paper
2004
 TRANSFORMATIONS FOR MULTIVARIATE STATISTICS
Econometric Theory, 2004, 20, (5), 963987 View citations (5)
2001
 Edgeworth expansions in Gaussian autoregression
Statistics & Probability Letters, 2001, 54, (3), 233241
See also Working Paper
1998
 SADDLEPOINT APPROXIMATIONS FOR NONCENTRAL QUADRATIC FORMS
Econometric Theory, 1998, 14, (5), 539559 View citations (5)

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