Details about Peter M. Robinson

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Short-id: pro222

Working Papers

2004

1. PSEUDO-MAXIMUM LIKELIHOOD ESTIMATION OF ARCH($ \infty $) MODELS
   Econometric Society 2004 North American Summer Meetings, Econometric Society View citations (1)
2. The bootstrap and the Edgeworth correction for semiparametric averaged derivatives
   CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies View citations (6)
   See also Journal Article The Bootstrap and the Edgeworth Correction for Semiparametric Averaged Derivatives, Econometrica, Econometric Society (2005) View citations (20) (2005)

2003

3. Modified whittle estimation of multilateral spatial models
   CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies View citations (2)

2002

4. Cointegration in Fractional Systems with Unknown Integration Orders
   Faculty Working Papers, School of Economics and Business Administration, University of Navarra View citations (38)
   See also Journal Article Cointegration in Fractional Systems with Unknown Integration Orders, Econometrica, Econometric Society (2003) View citations (106) (2003)

1998

5. Testing of Seasonal Fractional Integration in U.K. and Japanese Consumption and Income
   Economics Working Papers, European University Institute View citations (15)
   See also Journal Article Testing of seasonal fractional integration in UK and Japanese consumption and income, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2001) View citations (93) (2001)

1997

6. Nonlinear Time Series With Long Memory: A Model for Stochastic Volatility
   FMG Discussion Papers, Financial Markets Group View citations (7)

1976

7. Efficient Estimation of a Dynamic Error-Shock Model
   NBER Working Papers, National Bureau of Economic Research, Inc
   See also Journal Article Efficient Estimation of a Dynamic Error-Shock Model, International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association (1978) (1978)

Journal Articles

2005

1. Cointegration in fractional systems with deterministic trends
   Journal of Econometrics, 2005, 129, (1-2), 263-298 View citations (22)
2. The Bootstrap and the Edgeworth Correction for Semiparametric Averaged Derivatives
   Econometrica, 2005, 73, (3), 903-948 View citations (20)
   See also Working Paper The bootstrap and the Edgeworth correction for semiparametric averaged derivatives, CeMMAP working papers (2004) View citations (6) (2004)
3. The distance between rival nonstationary fractional processes
   Journal of Econometrics, 2005, 128, (2), 283-300 View citations (36)

2003

4. Cointegration in Fractional Systems with Unknown Integration Orders
   Econometrica, 2003, 71, (6), 1727-1766 View citations (106)
   See also Working Paper Cointegration in Fractional Systems with Unknown Integration Orders, Faculty Working Papers (2002) View citations (38) (2002)
5. Higher-order kernel semiparametric M-estimation of long memory
   Journal of Econometrics, 2003, 114, (1), 1-27 View citations (16)

2002

6. Adapting to Unknown Disturbance Autocorrelation in Regression with Long Memory
   Econometrica, 2002, 70, (4), 1545-1581 View citations (16)
7. Determination of cointegrating rank in fractional systems
   Journal of Econometrics, 2002, 106, (2), 217-241 View citations (186)

2001

8. Finite sample improvements in statistical inference with I(1) processes
   Journal of Applied Econometrics, 2001, 16, (3), 431-444 View citations (4)
9. Semiparametric fractional cointegration analysis
   Journal of Econometrics, 2001, 105, (1), 225-247 View citations (120)
10. Testing of seasonal fractional integration in UK and Japanese consumption and income
    Journal of Applied Econometrics, 2001, 16, (2), 95-114 View citations (93)
    See also Working Paper Testing of Seasonal Fractional Integration in U.K. and Japanese Consumption and Income, Economics Working Papers (1998) View citations (15) (1998)
11. The memory of stochastic volatility models
    Journal of Econometrics, 2001, 101, (2), 195-218 View citations (48)

2000

12. Edgeworth Expansions for Semiparametric Averaged Derivatives
    Econometrica, 2000, 68, (4), 931-980 View citations (36)

1998

13. Inference-Without-Smoothing in the Presence of Nonparametric Autocorrelation
    Econometrica, 1998, 66, (5), 1163-1182 View citations (37)
14. Real and Spurious Long-Memory Properties of Stock-Market Data: Comment
    Journal of Business & Economic Statistics, 1998, 16, (3), 276-79 View citations (9)

1997

15. Testing of unit root and other nonstationary hypotheses in macroeconomic time series
    Journal of Econometrics, 1997, 80, (2), 241-268 View citations (239)

1996

16. Averaged periodogram estimation of long memory
    Journal of Econometrics, 1996, 73, (1), 303-324 View citations (57)
17. Testing for structural change in a long-memory environment
    Journal of Econometrics, 1996, 70, (1), 159-174 View citations (73)

1995

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

1994

19. Semiparametric estimation from time series with long-range dependence
    Journal of Econometrics, 1994, 64, (1-2), 335-353 View citations (5)

1993

20. Highly Insignificant F-Ratios
    Econometrica, 1993, 61, (3), 687-96 View citations (6)

1992

21. Nonparametric and Semiparametric Methods for Economic Research
    Journal of Economic Surveys, 1992, 6, (3), 201-49 View citations (15)

1991

22. Automatic Frequency Domain Inference on Semiparametric and Nonparametric Models
    Econometrica, 1991, 59, (5), 1329-63 View citations (61)
23. Best Nonlinear Three-Stage Least Squares Estimation of Certain Econometric Models
    Econometrica, 1991, 59, (3), 755-86 View citations (15)
24. Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression
    Journal of Econometrics, 1991, 47, (1), 67-84 View citations (215)

1989

25. Tests for Serial Dependence and Other Specification Analysis in Models of Markets in Disequilibrium
    Journal of Business & Economic Statistics, 1989, 7, (3), 343-52 View citations (1)

1988

26. Root- N-Consistent Semiparametric Regression
    Econometrica, 1988, 56, (4), 931-54 View citations (1154)
27. Semiparametric Econometrics: A Survey
    Journal of Applied Econometrics, 1988, 3, (1), 35-51 View citations (46)
28. The Stochastic Difference between Econometric Statistics
    Econometrica, 1988, 56, (3), 531-48 View citations (59)
29. Using Gaussian Estimators Robustly
    Oxford Bulletin of Economics and Statistics, 1988, 50, (1), 97-106 View citations (2)

1987

30. Asymptotically Efficient Estimation in the Presence of Heteroskedasticity of Unknown Form
    Econometrica, 1987, 55, (4), 875-91 View citations (115)

1986

31. Nonparametric Methods in Specification
    Economic Journal, 1986, 96, (380a), 134-41 View citations (2)

1985

32. Tests for Serial Dependence in Limited Dependent Variable Models
    International Economic Review, 1985, 26, (3), 629-38 View citations (5)

1982

33. On the Asymptotic Properties of Estimators of Models Containing Limited Dependent Variables
    Econometrica, 1982, 50, (1), 27-41 View citations (72)

1978

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

1976

35. Instrumental Variables Estimation of Differential Equations
    Econometrica, 1976, 44, (4), 765-76 View citations (4)
36. The Estimation of Linear Differential Equations with Constant Coefficients
    Econometrica, 1976, 44, (4), 751-64 View citations (3)

1974

37. Identification, Estimation and Large-Sample Theory for Regressions Containing Unobservable Variables
    International Economic Review, 1974, 15, (3), 680-92 View citations (7)