STICERD - Econometrics Paper Series

From Suntory and Toyota International Centres for Economics and Related Disciplines, LSE
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2013: Non-Nested Testing of Spatial Correlation

Miguel Delgado and Peter M Robinson

2013: Improved Lagrange Multiplier Tests in Spatial Autoregressions

Peter M Robinson and Francesca Rossi

2013: Extremum Sieve Estimation in k-out-of-n Systems

Tatiana Komarova

2013: Series Estimation under Cross-sectional Dependence

Jungyoon Lee and Peter M Robinson

2013: Testing for equality of an increasing number of spectral density functions

Javier Hidalgo, Pedro Souza and Pedro Souza

2013: Improved Tests for Spatial Correlation

Peter M Robinson and Francesca Rossi

2013: SPECIFICATION FOR LATTICE PROCESSES

Javier Hidalgo and Myung Hwan Seo

2013: Panel Nonparametric Regression with Fixed Effects

Jungyoon Lee and Peter M Robinson

2013: Efficient Inference on Fractionally Integrated Panel Data Models with Fixed Effects

Peter M Robinson and Carlos Velasco

2013: ON TESTABILITY OF COMPLEMENTARITY IN MODELS WITH MULTIPLE EQUILIBRIA

Taisuke Otsu and Yoshiyasu Rai

2012: Testing for Structural Stability in the Whole Sample

Javier Hidalgo and Myung Hwan Seo

2012: Binary Choice Models with Discrete Regressors: Identification and Misspecification

Tatiana Komarova

2011: TESTING FOR STRUCTURAL STABILITY IN THE WHOLE SAMPLE

Javier Hidalgo and Myung Hwan Seo

2011: Inference on Power Law Spatial Trends (Running Title: Power Law Trends)

Peter M Robinson

2011: Adapting Kernel Estimation to Uncertain Smoothness

Yulia Kotlyarova, Marcia M Schafgans and Victoria Zinde-Walsh

2010: Quantile Uncorrelation and Instrumental Regression

Tatiana Komorova, Thomas Severini and Elie Tamer

2010: Semiparametric Estimation of Locally Stationary Diffusion Models

Bonsoo Koo and Oliver Linton

2010: Semiparametric Estimation of Markov Decision Processeswith Continuous State Space

Oliver Linton and Sorawoot Srisuma

2010: Loch Linear Fitting under Near Epoch Dependence: Uniform Consistency with Convergence Rate

Degui Li, Oliver Linton and Zudi Lu

2010: Estimation of Structural Optimization Models: A Note on Identification

Sorawoot Srisuma

2009: Nonparametric Identification inAsymmetricSecond-Price Auctions: A New Approach

Tatiana Komorova

2009: Efficient Estimation of a Multivariate Multiplicative Volatility Model

Christian Hafner and Oliver Linton

2009: ESTIMATION OF A SEMIPARAMETRICIGARCH(1,1) MODEL

Woocheol Kim and Oliver Linton

2009: Nonparametric Regression with a Latent Time Series

Oliver Linton, Søren Feodor Nielsen and Jens Perch Nielsen

2009: Optimal Smoothing for a Computationallyand StatisticallyEfficient Single Index Estimator

Wolfgang Härdle, Oliver Linton and Yingcun Xia

2009: An Alternative Way of ComputingEfficient Instrumental VariableEstimators

Xiaohong Chen, David Jacho-Chávez and Oliver Linton

2009: Nonparametric Estimation of a Polarization Measure

Gordon Anderson, Oliver Linton and Yoon-Jae Whang

2009: Uniform Bahadur Representation for LocalPolynomial Estimates of M-Regressionand Its Application to The Additive Model

Efang Kong, Oliver Linton and Yingcun Xia

2009: Large-Sample Inference on SpatialDependence

Peter M Robinson

2009: Inference On Nonparametrically Trending Time Series With Fractional Errors

Peter M Robinson

2009: Developments in the Analysis of Spatial Data

Peter M Robinson

2009: Correlation Testing in Time Series, SpatialandCross-Sectional Data

Peter M Robinson

2008: Smoothness Adaptive AverageDerivative Estimation

Marcia M Schafgans and Victoria Zinde-Walshyz

2008: Bootstrap Tests of Stochastic Dominance with AsymptoticSimilarity on the Boundary

Oliver Linton, Kyungchul Song and Yoon-Jae Whang

2007: Multiple Local Whittle Estimation in StationarySystems

Peter M Robinson

2007: Efficient Estimation of a SemiparametricCharacteristic-Based Factor Model of Security Returns

Gregory Connor, Matthias Hagmann and Oliver Linton

2007: Inference about Realized Volatility using Infill Subsampling

Ilze Kalnina and Oliver Linton

2007: DIAGNOSTIC TESTING FOR COINTEGRATION

Peter Robinson

2007: ON DISCRETE SAMPLING OF TIME-VARYINGCONTINUOUS-TIME SYSTEMS

Peter Robinson

2007: Fractional Cointegration In StochasticVolatility Models

Afonso Gonçalves da Silva and Peter M Robinson

2007: SPECIFICATION TESTING FORREGRESSION MODELS WITHDEPENDENT DATA

Javier Hidalgo

2007: Estimation of Nonlinear Error CorrectionModels

Myung Hwan Seo

2007: SEMIPARAMETRIC ESTIMATION OF A BINARYRESPONSE MODEL WITH A CHANGE-POINTDUE TO A COVARIATE THRESHOLD

Sokbae (Simon) Lee and Myung Hwan Seo

2007: Efficient Estimation of the SemiparametricSpatial Autoregressive Model

Peter M Robinson

2006: Estimating Quadratic VariationConsistently in thePresence of Correlated MeasurementError

Ilze Kalnina and Oliver Linton

2006: Semiparametric Estimation of aCharacteristic-based Factor Model ofCommon Stock Returns

Gregory Connor and Oliver Linton

2006: Conditional-Sum-of-Squares Estimation ofModels for Stationary Time Series with Long Memory

Peter M Robinson

2006: TESTING FOR STOCHASTICMONOTONICITY

Sokbae (Simon) Lee, Oliver Linton and Yoon-Jae Whang

2006: Nonparametric Transformation to White Noise

Oliver Linton and Enno Mammen

2006: Semiparametric Estimation of Fractional Cointegration

Javier Hualde and Peter M Robinson

2006: Finite Sample Performance in CointegrationAnalysis of Nonlinear Time Series with LongMemory

Afonso Gonçalves da Silva and Peter M Robinson

2006: Instrumental Variables Estimation of Stationaryand Nonstationary Cointegrating Regressions

Margherita Gerolimetto and Peter M Robinson

2006: ROOT-N-CONSISTENT ESTIMATION OF WEAKFRACTIONAL COINTEGRATION

Javier Hualde and Peter M Robinson

2006: ROOT-N-CONSISTENT ESTIMATION OF WEAKFRACTIONAL COINTEGRATION

Javier Hualde and A Robinson

2006: Nonparametric Spectrum Estimation for SpatialData

Peter M Robinson

2006: Consistent estimation of the memory parameterfor nonlinear time series

Violetta Dalla, Liudas Giraitis and Javier Hidalgo

2006: Consistent estimation of the memory parameterfor nonlinear time series

Violetta Dalla, Liudas Giraitis and Javier Hidalgo