STICERD - Econometrics Paper Series

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1999: Studentization in Edgworth Expansions for Estimates of Semiparametric Index Models - (Now published in C Hsiao, K Morimune and J Powell (eds): Nonlinear Statistical Modeling (Festschrift for Takeshi Amemiya), (Cambridge University Press, 2001), pp.197-240.)

Yoshihiko Nishiyama and Peter M Robinson

1999: Edgeworth Expansions for Semiparametric Averaged Derivatives - (Now published in Econometrica, 68 (2000), pp.931-979.)

Yoshihiko Nishiyama and Peter M Robinson

1998: Testing for the Presence of a Random Walk in Series with Structural Breaks - (Now published in Journal of Time Series Analysis, 22 (2001), pp.127-150.)

Fabio Busetti and Andrew Harvey

1998: Variance-Type Estimation of Long Memory - (Now published in Stochastic Processes and their Applications, 29 (1999), pp.1-24.)

Liudas Giraitis and Peter M Robinson

1998: Seasonal and Cyclical Long Memory - (Now published in S Ghosh (ed): Asymptotics, Nonparametrics and Time Series: A Tribute to Madam Lal Puri (Marcel Decker, 1999), pp.115-145.)

Josu Artech and Peter M Robinson

1998: Semiparametric Inference in Seasonal and Cyclical Long Memory Processes - (Now published in Journal of Time Series Analysis, 21 (2000), pp.1-25.)

Josu Artech and Peter M Robinson

1998: Long and Short Memory Conditional Heteroscedasticity in Estimating the Memory Parameter of Levels - (Now published in Econometric Theory, 15 (1999), pp.299-336.)

Marc Henry and Peter M Robinson

1998: Alternative Forms of Fractional Brownian Motion - (Now published in Journal of Statistical Planning and Inference, 80 (1999), pp.111-122.)

D Marinucci and Peter M Robinson

1998: Band Spectrum Regression for Cointegrated Time Series with Long Memory Innovations

D Marinucci

1998: Weak Convergence of Multivariate Fractional Processes - (Now published in Stochastic Processes and their Applications, 80 (1999), pp.103-120.)

D Marinucci and Peter M Robinson

1998: Aggregation of Simple Linear Dynamics: Exact Asymptotic Results

Marco Lippi and Paolo Zaffaroni

1998: Semiparametric Frequency Domain Analysis of Fractional Cointegration - (Revised version forthcoming in P M Robinson: Time Series with Long Memory (Oxford University Press)

D Marinucci and Peter M Robinson

1997: Interpolating Exogenous Variables in Open Continuous Time Dynamic Models

J R McCrorie

1997: Deriving the Exact Discrete Analog of a Continuous Time System

J R McCrorie

1997: A Nonparametric Test for I(0) - (Now published in 'Review of Economic Studies', 65 (1998), pp.475-495.)

Ignacio Lobato and Peter M Robinson

1997: Some Practical Issues in Maximum Simulated Likelihood

Vassilis Hajivassiliou

1997: Inference-without-Smoothing in the Presence of Nonparametric Autocorrelation - (Now published in 'Econometrica', 66 (1998), pp.1163-1182.)

Peter M Robinson

1997: Large-Sample Inference for Nonparametric Regression with Dependent Errors - (Now published in 'Annals of Statistics', 28 (1997), pp.2054-2083.)

Peter M Robinson

1997: Beta Convergence

C Michelacci and Paolo Zaffaroni

1997: Gaussian Estimation of Long-Range Dependent Volatility in Asset Prices

Paolo Zaffaroni

1997: The Method of Simulated Scores for the Estimation of LDV Models

Vassilis Hajivassiliou and Daniel McFadden

1997: Messy Time Series: A Unified Approach - (Now published in 'Advances in Econometrics', 13 (1998)pp.103-143.)

Andrew Harvey, Siem Jan Koopman and J Penzer

1997: Semiparametric Estimation of a Sample Selection Model: A Simulation Study

Marcia M Schafgans

1997: Gender Wage Differences in Malaysia: Parametric and Semiparametric Estimation

Marcia M Schafgans

1997: Testing Game-Theoretic Models of Price Fixing Behaviour

Vassilis Hajivassiliou

1997: Rate Optimal Semiparametric Estimation of the Memory Parameter of the Gaussian Time Serieswith Long-Range Dependence - (Now published in 'Journal of Time Series Analysis', 18 (1997), pp.49-60.)

Liudas Giraitis, Peter M Robinson and Alexander Samarov

1997: Nonlinear Time Series with Long Memory: A Model for Stochastic Volatility - (Now published in 'Journal of Statistical Planning and Inference', 68 (1998), pp.359-371.)

Peter M Robinson and Paolo Zaffaroni

1997: Modelling Nonlinearity and Long Memory in Time Series - (Now published in 'Nonlinear Dynamics and Time Series', C D Cutler and D T Kaplan (eds), Fields Institute Communications, 11 (1997), pp.61-170.)

Peter M Robinson and Paolo Zaffaroni

1997: Time Series Regression with Long Range Dependence - (Now published in 'Annals of Statistics', 25, (1997)pp.2054-2083.)

Javier Hidalgo and Peter M Robinson

1996: Testing of Unit Root and Other Nonstationary Hypotheses in Macroeconomic Time Series - (Now published in 'Journal of Econometrics', 80, 1997, pp.241-268.)

Luis Gil-Alana and Peter M Robinson

1996: Autocorrelation-Robust Inference - (Now published in 'Handbook of Statistics', vol.15, G S Maddala and C R Rao (eds), Elsevier Science Publishers BV (1997), pp.267-298.)

Peter M Robinson and Carlos Velasco

1996: Multivariate Structural Time Series Models - (Now published in 'System Dynamics in Economic and Financial Models', CHeij, H Schumacher, B Hanzon and C Praagman (eds.) John Wiley & Sons, Chichester (1997), pp.269-298.)

Andrew Harvey and Siem Jan Koopman

1996: Testing for a Slowly Changing Level with Special Reference to Stochastic Volatility - (Now published in 'Journal of Econometrics', 87 (1998), pp.167-189.)

Andrew Harvey and Mariane Streibel

1996: Nonparametric Estimation with Strongly Dependent Multivariate Time-Series - (Now published in 'Journal of Time Series Analysis',18 (1997)pp.95-122.)

Javier Hidalgo

1996: Spectral Analysis for Bivariate Time Series with Long Memory - (Now published in 'Econometric Theory',12 (1997)pp.773-792.)

Javier Hidalgo

1995: Aggregate and Regional Disagggregate Fluctuations (Now published in Empirical Economics (1996), vol.21, no.1, pp.137-159.)

Danny Quah

1995: The Modelling and Seasonal Adjustment of Weekly Observations - (Now published in 'Journal of Business and Economic Statistics', 15 (1997), pp.354-368.)

Andrew Harvey, Siem Jan Koopman and Marco Riani

1995: Measuring Core Inflation (Now published in Economic Journal, vol. 105, No. 432 (September 1995), pp.1130-1144.)

Danny Quah and Shaun Vahey

1995: Empirics for Economic Growth and Convergence (Now published in European Economic Review, vol.40, no.6 (1996), pp.1353-1375.)

Danny Quah

1993: Exploiting Cross Section Variation for Unit Root Inference in Dynamic Data (Now published in Economics Letters 44 (1), 1994, pp.9-19.)

Danny Quah

1993: Estimation and Testing of Stochastic Variance Models

Andrew Harvey and Neil Shephard

1993: Seasonality in Dynamic Regression Models (Now published in Economic Journal 104 (1994), pp.1324-1345.)

Andrew Harvey and Andrew Scott

1993: Galton's Fallacy and Tests of the Convergence Hypothesis (Now published in Scandinavian Journal of Economics 95 (4), 1993, pp.427-443.)

Danny Quah

1993: The Multivariate Invariance Principle for Globally Nonstationary Processes, with an Application to I(2) Models

James Davidson

1992: Conditions for Strong and Uniform Mixing in Linear Processes

James Davidson

1992: Deletion Diagnostics and Transformations for Time Series

A.C. Atkinson and Neil Shephard

1992: Quasi-Maximum Likelihood Estimation of Stochastic Variance Models

Esther Ruiz

1992: The Central Limit Theorem for Globally Nonstationary Near-Epoch Dependent Functions of Mixing Processes: The Asymptotically Degenerate Case (Now published in Economic Theory 9 (1993), pp.402-412.)

James Davidson

1992: An L1-Convergence Theorem for Heterogeneous Mixingale Arrays with Trending Moments (Now published in Statistics & Probability Letters 16 (1993), pp.301-304.)

James Davidson

1992: Exact Score for Time Series Models in State Space Form (Now published in Biometrika (1992), 79, 4, pp.283-6.)

Siem Jan Koopman and Neil Shephard

1991: Detrending, Stylized Facts and The Business Cycle (Now published in Journal of Applied Econometrics, vol.8 (1993), pp.231-247.)

Andrew Harvey and Albert Jaeger

1990: A Local Scale Model: An Unobserved Component Alternative to Integrated GARCH Processes (Now published in Journal of Econometrics, vol.60, (1994), pp.181-202.)

Neil Shephard

1990: Central Limit Theorems for Nonstationary Mixing Processes and Near-Epoch Dependent Functions (Now published in Economic Theory, vol.8, no.3 (1992).)

James Davidson