STICERD - Econometrics Paper Series

From Suntory and Toyota International Centres for Economics and Related Disciplines, LSE
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2005: Pseudo-Maximum Likelihood Estimation of ARCH(8) Models

Peter M Robinson and Paolo Zaffaroni

2005: A method of moments estimator for semiparametric index models

Bas Donkers and Marcia M Schafgans

2005: Modified Whittle Estimation of Multilateral Models on a Lattice

Peter M Robinson and Jose Vidal-Sanz

2005: Modelling Memory of Economic and Financial Time Series

Peter M Robinson

2005: A Parametric Bootstrap Test for Cycles

Violetta Dalla and Javier Hidalgo

2005: Testable Implications of Forecast Optimality

Andrew Patton and Allan Timmermann

2005: Unit Root Test in a Threshold Autoregression: Asymptotic Theory and Residual-based Block Bootstrap

Myung Hwan Seo

2005: The Bootstrap and the Edgeworth Correction for Semiparametric Averaged Derivatives

Yoshihiko Nishiyama and Peter M Robinson

2005: Distribution Free Goodness-of-Fit Tests for Linear Processes

Miguel Delgado, Javier Hidalgo and Carlos Velasco

2005: Semiparametric Estimation for Stationary Processes whose Spectra have an Unknown Pole

Javier Hidalgo

2004: Efficiency Improvements in Inference on Stationary and Nonstationary Fractional Time Series

Peter M Robinson

2004: Forecasting the density of asset returns

Trino Ñíguez Grau and Javier Perote

2004: Cointegration in Fractional Systems with Deterministic Trends

Fabrizio Iacone and Peter M Robinson

2004: Nonparametric Inference for Unbalanced Time Series Data

Oliver Linton

2004: ROBUST COVARIANCE MATRIX ESTIMATION: "HAC" Estimates with Long Memory/Antipersistence Correction

Peter M Robinson

2004: The Distance between Rival Nonstationary Fractional Processes

Peter M Robinson

2003: A Quantilogram Approach to Evaluating Directional Predictability

Oliver Linton and Yoon-Jae Whang

2003: A Bootstrap Causality Test for Covariance Stationary Processes

Javier Hidalgo

2003: Nonparametric Estimation of Homothetic and Homothetically Separable Functions

Arthur Lewbel and Oliver Linton

2003: LARCH, Leverage and Long Memory

Liudas Giraitis, Remigijus Leipus, Peter M Robinson and Donatas Surgailis

2003: A Local Instrumental Variable Estimation Method for Generalized Additive Volatility Models

Woocheol Kim and Oliver Linton

2003: Nonparametric Neural Network Estimation of Lyapunov Exponents and a Direct Test for Chaos

Oliver Linton and Mototsugu Shintani

2003: Semiparametric Regression Analysis under Imputation for Missing Response Data

Wolfgang Haerdle, Oliver Linton and Qihua Wang

2003: Estimating Semiparametric ARCH (8) Models by Kernel Smoothing Methods

Oliver Linton and Enno Mammen

2003: An Alternative Bootstrap to Moving Blocks for Time Series Regression Models

Javier Hidalgo

2003: Asymptotic Expansions for Some Semiparametric Program Evaluation Estimators

Hidehiko Ichimura and Oliver Linton

2003: Estimation of Semiparametric Models when the Criterion Function is not Smooth

Xiaohong Chen, Oliver Linton and Ingrid Van Keilegom

2003: Cointegration in Fractional Systems with Unkown Integration Orders

Javier Hualde and Peter M Robinson

2002: Edgeworth Expansions for Semiparametric Whittle Estimation of Long Memory

Liudas Giraitis and Peter M Robinson

2002: Denis Sargan: Some Perspectives

Peter M Robinson

2002: Higher-Order Kernel Semiparametric M-Estimation of Long Memory

Marc Henry and Peter M Robinson

2002: More Efficient Kernel Estimation in Nonparametric Regression with Autocorrelated Errors

Raymond J Carroll, Oliver Linton, Enno Mammen and Zhijie Xiao

2002: Nonparametric Neutral Network Estimation of Lyapunov Exponents and a Direct Test for Chaos

Oliver Linton and Mototsugu Shintani

2002: Consistent Testing for Stochastic Dominance: A Subsampling Approach

Oliver Linton, Esfandiar Maasoumi and Yoon-Jae Whang

2002: Consistent Order Selection with Strongly Dependent Data and its Application to Efficient Estimation

Javier Hidalgo

2001: Adapting to Unknown Disturbance Autocorrelation in Regression with Long Memory

Javier Hidalgo and Peter M Robinson

2001: Gaussian Estimation of Parametric Spectral Density with Unknown Pole

Liudas Giraitis, Javier Hidalgo and Peter M Robinson

2001: Determination of Cointegrating Rank in Fractional Systems

Peter M Robinson and Yoshihiro Yajima

2001: Finite Sample Improvement in Statistical Inference with I(1) Processes

D Marinucci and Peter M Robinson

2001: Narrow-Band Analysis of Nonstationary Processes

D Marinucci and Peter M Robinson

2001: Semiparametric Fractional Cointegration Analysis

D Marinucci and Peter M Robinson

2001: A Nonparametric Regression Estimator that Adapts to Error Distribution of Unknown Form

Oliver Linton and Zhijie Xiao

2001: Prediction and Signal Extraction of Strong Dependent Processess in the Frequency Domain

Javier Hidalgo and Yoshihiro Yajima

2001: Parametric Estimation under Long-Range Dependence

Liudas Giraitis and Peter M Robinson

2001: The Estimation of Conditional Densities

Xiaohong Chen, Oliver Linton and Peter M Robinson

2001: Estimating Multiplicative and Additive Hazard Functions by Kernel Methods

Oliver Linton, Jens Perch Nielsen and Sara van de Geer

2001: The Memory of Stochastic Volatility Models

Peter M Robinson

2000: The Averaged Periodogram for Nonstationary Vector Time Series

D Marinucci and Peter M Robinson

2000: Whittle Estimation of ARCH Models

Liudas Giraitis and Peter M Robinson

2000: Testing of Seasonal Fractional Integration in UK and Japanese Consumption and Income

Luis Gil-Alana and Peter M Robinson

2000: Limit Theorems for Estimating the Parameters of Differentiated Product Demand Systems

Steven Berry, Oliver Linton and Ariel Pakes

2000: Edgeworth Approximations for Semiparametric Instrumental Variable Estimators and Test Statistics

Oliver Linton

2000: Testing the Capital Asset Pricing Model Efficiently under Elliptical Symmetry: A Semiparametric Approach

Douglas J Hodgson, Oliver Linton and Keith Vorkink

2000: Nonparametric Estimation with Aggregated Data

Oliver Linton and Yoon-Jae Whang

2000: Simulated Asymptotic Least Squares Theory

Ramdan Dridi

2000: Noise and Competition in Strategic Oligopoly

Ramdan Dridi and Laurent Germain

2000: Semi-Parametric Indirect Inference

Ramdan Dridi and Eric Renault

2000: Whittle Pseudo-Maximum Likelihood Estimation for Nonstationary Time Series - (Now published in Journal of the American Statistical Association, 95, (2000), pp.1229-1243.)

Peter M Robinson and Carlos Velasco

2000: Edgeworth Expansions for Spectral Density Estimates and Studentized Sample Mean - (Now published in Economic Theory, 17 (2001), pp.497-539

Peter M Robinson and Carlos Velasco

2000: Nonparametric Censored and Truncated Regression

Arthur Lewbel and Oliver Linton

2000: Adaptive Varying-Coefficient Linear Models

Zongwu Cai, Jianqin Fan and Qiwei Yao

2000: Nonparametric Test for Causality with Long-Range Dependence - (Now published in Econometrica, 68, (2000) pp.1465-1490

Javier Hidalgo

2000: The Existence and Asymptotic Properties of a Backfitting Projection Algorithm under Weak Conditions

Oliver Linton, Enno Mammen and N Nielsen

2000: Yield Curve Estimation by Kernel Smoothing Methods

Oliver Linton, Enno Mammen, Jens Perch Nielsen and Carsten Tanggaard

2000: Stationarity and Memory of ARCH Models

Paolo Zaffaroni

2000: A Model for Long Memory Conditional Heteroscedasticity - (Now published in Annals of Applied Probability, 10 (2000), pp.1002-1024.)

Liudas Giraitis, Peter M Robinson and Donatas Surgailis

2000: On Intercept Estimation in the Sample Selection Model

Marcia M Schafgans and Victoria Zinde-Walsh

2000: Adaptive Semiparametric Estimation of the Memory Parameter - (Now published with revised title, Adaptive Rate-Optimal Estimation of the Memory Parameter, in Journal of Multivariate Analysis, 72 (2000), pp.183-207.)

Liudas Giraitis, Peter M Robinson and Alexander Samarov

2000: Contemporaneous Aggregation of GARCH Processes

Paolo Zaffaroni