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Suntory and Toyota International Centres for Economics and Related Disciplines, LSE

STICERD - Econometrics Paper Series

Contact information of Suntory and Toyota International Centres for Economics and Related Disciplines, LSE:
Web page: http://sticerd.lse.ac.uk/publications/

For technical questions regarding this series, please contact ()
Series handle: repec:cep:stiecm

2007

/2007/525 Multiple Local Whittle Estimation in StationarySystems
by Peter M Robinson [Downloadable!]
/2007/524 Efficient Estimation of a SemiparametricCharacteristic-Based Factor Model of Security Returns
by Gregory Connor & Matthias Hagmann & Oliver Linton [Downloadable!]
/2007/523 Inference about Realized Volatility using Infill Subsampling
by Ilze Kalnina & Oliver Linton [Downloadable!]
/2007/522 Diagnostic Testing For Cointegration
by Peter Robinson [Downloadable!]
/2007/520 On Discrete Sampling Of Time-Varyingcontinuous-Time Systems
by Peter Robinson [Downloadable!]
/2007/519 Fractional Cointegration In StochasticVolatility Models
by Afonso Gonçalves da Silva & Peter M Robinson [Downloadable!]
/2007/518 Specification Testing Forregression Models Withdependent Data
by Javier Hidalgo [Downloadable!]
/2007/517 Estimation of Nonlinear Error CorrectionModels
by Myung Hwan Seo [Downloadable!]
/2007/516 Semiparametric Estimation Of A Binaryresponse Model With A Change-Pointdue To A Covariate Threshold
by Sokbae Lee & Myunghwan Seo [Downloadable!]
/2007/515 Efficient Estimation of the SemiparametricSpatial Autoregressive Model
by Peter M Robinson [Downloadable!]

2006

/2006/509 Estimating Quadratic VariationConsistently in thePresence of Correlated MeasurementError
by Ilze Kalnina & Oliver Linton [Downloadable!]
/06/499 Root-N-Consistent Estimation Of Weakfractional Cointegration
by Javier Hualde & A Robinson [Downloadable!]
/2006/506 Semiparametric Estimation of aCharacteristic-based Factor Model ofCommon Stock Returns
by Gregory Connor & Oliver Linton [Downloadable!]
/2006/505 Conditional-Sum-of-Squares Estimation ofModels for Stationary Time Series with Long Memory
by Peter M Robinson [Downloadable!]
/2006/504 Testing For Stochasticmonotonicity
by Sokbae Lee & Oliver Linton & Yoon-Jae Whang [Downloadable!]
/2006/503 Nonparametric Transformation to White Noise
by Oliver Linton & Enno Mammen [Downloadable!]
/2006/502 Semiparametric Estimation of Fractional Cointegration
by Javier Hualde & Peter M Robinson [Downloadable!]
/2006/501 Finite Sample Performance in CointegrationAnalysis of Nonlinear Time Series with LongMemory
by Afonso Gonçalves da Silva & Peter M Robinson [Downloadable!]
/2006/500 Instrumental Variables Estimation of Stationaryand Nonstationary Cointegrating Regressions
by M. Gerolimetto & Peter M Robinson [Downloadable!]
/2006/499 Root-N-Consistent Estimation Of Weakfractional Cointegration
by Javier Hualde & Peter M Robinson [Downloadable!]
/2006/498 Nonparametric Spectrum Estimation for SpatialData
by Peter M Robinson [Downloadable!]
/2006/497 Consistent estimation of the memory parameterfor nonlinear time series
by Violetta Dalla & Liudas Giraitis & Javier Hidalgo [Downloadable!]
/06/497 Consistent estimation of the memory parameterfor nonlinear time series
by Violetta Dalla & Liudas Giraitis & Javier Hidalgo [Downloadable!]

2005

/2005/495 Pseudo-Maximum Likelihood Estimation of ARCH(8) Models
by Peter M Robinson & Paolo Zaffaroni [Downloadable!]
/2005/493 A method of moments estimator for semiparametric index models
by Bas Donkers & Marcia M Schafgans [Downloadable!]
/2005/492 Modified Whittle Estimation of Multilateral Models on a Lattice
by Peter M Robinson & J Vidal Sanz [Downloadable!]
/2005/487 Modelling Memory of Economic and Financial Time Series
by Peter M Robinson [Downloadable!]
/2005/486 A Parametric Bootstrap Test for Cycles
by Violetta Dalla & Javier Hidalgo [Downloadable!]
/2005/485 Testable Implications of Forecast Optimality
by Andrew J. Patton & Allan Timmermann [Downloadable!]
/2005/484 Unit Root Test in a Threshold Autoregression: Asymptotic Theory and Residual-based Block Bootstrap
by Myunghwan Seo [Downloadable!]
/2005/483 The Bootstrap and the Edgeworth Correction for Semiparametric Averaged Derivatives
by Yoshihiko Nishiyama & Peter M Robinson [Downloadable!]
/2005/482 Distribution Free Goodness-of-Fit Tests for Linear Processes
by Miguel A. Delgado & Javier Hidalgo & Carlos Velasco [Downloadable!]
/2005/481 Semiparametric Estimation for Stationary Processes whose Spectra have an Unknown Pole
by Javier Hidalgo [Downloadable!]

2004

/2004/480 Efficiency Improvements in Inference on Stationary and Nonstationary Fractional Time Series
by Peter M Robinson [Downloadable!]
/2004/479 Forecasting the density of asset returns
by Trino-Manuel Niguez & Javier Perote [Downloadable!]
/2004/476 Cointegration in Fractional Systems with Deterministic Trends
by Fabrizio Iacone & Peter M Robinson [Downloadable!]
/2004/474 Nonparametric Inference for Unbalanced Time Series Data
by Oliver Linton [Downloadable!]
/2004/471 ROBUST COVARIANCE MATRIX ESTIMATION: "HAC" Estimates with Long Memory/Antipersistence Correction
by Peter M Robinson [Downloadable!]
/2004/468 The Distance between Rival Nonstationary Fractional Processes
by Peter M Robinson [Downloadable!]

2003

/2003/463 A Quantilogram Approach to Evaluating Directional Predictability
by Oliver Linton & Yoon-Jae Whang [Downloadable!]
/2003/462 A Bootstrap Causality Test for Covariance Stationary Processes
by Javier Hidalgo [Downloadable!]
/2003/461 Nonparametric Estimation of Homothetic and Homothetically Separable Functions
by Arthur Lewbel & Oliver Linton [Downloadable!]
/2003/460 LARCH, Leverage and Long Memory
by Liudas Giraitis & Remigijus Leipus & Peter M Robinson & Donatas Surgailis [Downloadable!]
/2003/456 A Local Instrumental Variable Estimation Method for Generalized Additive Volatility Models
by Woocheol Kim & Oliver Linton [Downloadable!]
/2003/455 Nonparametric Neural Network Estimation of Lyapunov Exponents and a Direct Test for Chaos
by Oliver Linton & Mototsugu Shintani [Downloadable!]
/2003/454 Semiparametric Regression Analysis under Imputation for Missing Response Data
by Wolfgang Haerdle & Oliver Linton & Qihua Wang [Downloadable!]
/2003/453 Estimating Semiparametric ARCH (8) Models by Kernel Smoothing Methods
by Oliver Linton & Enno Mammen [Downloadable!]
/2003/452 An Alternative Bootstrap to Moving Blocks for Time Series Regression Models
by Javier Hidalgo [Downloadable!]
/2003/451 Asymptotic Expansions for Some Semiparametric Program Evaluation Estimators
by Hidehiko Ichimura & Oliver Linton [Downloadable!]
/2003/450 Estimation of Semiparametric Models when the Criterion Function is not Smooth
by Xiaohong Chen & Oliver Linton & Ingrid Van Keilegom [Downloadable!]
/2003/449 Cointegration in Fractional Systems with Unkown Integration Orders
by Javier Hualde & Peter M Robinson [Downloadable!]

2002

/2002/438 Edgeworth Expansions for Semiparametric Whittle Estimation of Long Memory
by Liudas Giraitis & Peter M Robinson [Downloadable!]
/2002/437 Denis Sargan: Some Perspectives
by Peter M Robinson [Downloadable!]
/2002/436 Higher-Order Kernel Semiparametric M-Estimation of Long Memory
by Marc Henry & Peter M Robinson [Downloadable!]
/2002/435 More Efficient Kernel Estimation in Nonparametric Regression with Autocorrelated Errors
by Raymond J Carroll & Oliver Linton & Enno Mammen & Zhijie Xiao [Downloadable!]
/2002/434 Nonparametric Neutral Network Estimation of Lyapunov Exponents and a Direct Test for Chaos
by Oliver Linton & Mototsugu Shintani [Downloadable!]
/2002/433 Consistent Testing for Stochastic Dominance: A Subsampling Approach
by Oliver Linton & Esfandiar Maasoumi & Yoon-Jae Whang [Downloadable!]
/2002/430 Consistent Order Selection with Strongly Dependent Data and its Application to Efficient Estimation
by Javier Hidalgo [Downloadable!]

2001

/2001/427 Adapting to Unknown Disturbance Autocorrelation in Regression with Long Memory
by Javier Hidalgo & Peter M Robinson [Downloadable!]
/2001/424 Gaussian Estimation of Parametric Spectral Density with Unknown Pole
by Liudas Giraitis & Javier Hidalgo & Peter M Robinson [Downloadable!]
/2001/423 Determination of Cointegrating Rank in Fractional Systems
by Peter M Robinson & Yoshihiro Yajima [Downloadable!]
/2001/422 Finite Sample Improvement in Statistical Inference with I(1) Processes
by D Marinucci & Peter M Robinson [Downloadable!]
/2001/421 Narrow-Band Analysis of Nonstationary Processes
by D Marinucci & Peter M Robinson [Downloadable!]
/2001/420 Semiparametric Fractional Cointegration Analysis
by D Marinucci & Peter M Robinson [Downloadable!]
/2001/419 A Nonparametric Regression Estimator that Adapts to Error Distribution of Unknown Form
by Oliver Linton & Zhijie Xiao [Downloadable!]
/2001/418 Prediction and Signal Extraction of Strong Dependent Processess in the Frequency Domain
by Javier Hidalgo & Yoshihiro Yajima [Downloadable!]
/2001/416 Parametric Estimation under Long-Range Dependence
by Liudas Giraitis & Peter M Robinson [Downloadable!]
/2001/415 The Estimation of Conditional Densities
by Xiaohong Chen & Oliver Linton & Peter M Robinson [Downloadable!]
/2001/411 Estimating Multiplicative and Additive Hazard Functions by Kernel Methods
by Oliver Linton & Jens Perch Nielsen & Sara van de Geer [Downloadable!]
/2001/410 The Memory of Stochastic Volatility Models
by Peter M Robinson [Downloadable!]

2000

/2000/408 The Averaged Periodogram for Nonstationary Vector Time Series
by D Marinucci & Peter M Robinson [Downloadable!]
/2000/406 Whittle Estimation of ARCH Models
by Liudas Giraitis & Peter M Robinson [Downloadable!]
/2000/402 Testing of Seasonal Fractional Integration in UK and Japanese Consumption and Income
by L A Gil-Alaña & Peter M Robinson [Downloadable!]
/2000/400 Limit Theorems for Estimating the Parameters of Differentiated Product Demand Systems
by Steve Berry & Oliver Linton & Ariel Pakes [Downloadable!]
/2000/399 Edgeworth Approximations for Semiparametric Instrumental Variable Estimators and Test Statistics
by Oliver Linton [Downloadable!]
/2000/398 Testing the Capital Asset Pricing Model Efficiently under Elliptical Symmetry: A Semiparametric Approach
by Douglas J Hodgson & Oliver Linton & Keith Vorkink [Downloadable!]
/2000/397 Nonparametric Estimation with Aggregated Data
by Oliver Linton & Yoon-Jae Whang [Downloadable!]
/2000/396 Simulated Asymptotic Least Squares Theory
by Ramdan Dridi [Downloadable!]
/2000/395 Noise and Competition in Strategic Oligopoly
by Ramdan Dridi & Laurent Germain [Downloadable!]
/2000/392 Semi-Parametric Indirect Inference
by Ramdan Dridi & Eric Renault [Downloadable!]
/2000/391 Whittle Pseudo-Maximum Likelihood Estimation for Nonstationary Time Series - (Now published in Journal of the American Statistical Association, 95, (2000), pp.1229-1243.)
by Peter M Robinson & Carlos Velasco [Downloadable!]
/2000/390 Edgeworth Expansions for Spectral Density Estimates and Studentized Sample Mean - (Now published in Economic Theory, 17 (2001), pp.497-539
by Peter M Robinson & Carlos Velasco [Downloadable!]
/2000/389 Nonparametric Censored and Truncated Regression
by Arthur Lewbel & Oliver Linton [Downloadable!]
/2000/388 Adaptive Varying-Coefficient Linear Models
by Zongwu Cai & Jianqin Fan & Qiwei Yao [Downloadable!]
/2000/387 Nonparametric Test for Causality with Long-Range Dependence - (Now published in Econometrica, 68, (2000) pp.1465-1490
by Javier Hidalgo [Downloadable!]
/2000/386 The Existence and Asymptotic Properties of a Backfitting Projection Algorithm under Weak Conditions
by Oliver Linton & Enno Mammen & N Nielsen [Downloadable!]
/2000/385 Yield Curve Estimation by Kernel Smoothing Methods
by Oliver Linton & Enno Mammen & Jens Perch Nielsen & C Tanggaard [Downloadable!]
/2000/383 Stationarity and Memory of ARCH Models
by Paolo Zaffaroni [Downloadable!]
/2000/382 A Model for Long Memory Conditional Heteroscedasticity - (Now published in Annals of Applied Probability, 10 (2000), pp.1002-1024.)
by Liudas Giraitis & Peter M Robinson & Donatas Surgailis [Downloadable!]
/2000/380 On Intercept Estimation in the Sample Selection Model
by Marcia M Schafgans & Victoria Zinde-Walsh [Downloadable!]
/2000/379 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.)
by Liudas Giraitis & Peter M Robinson & Alexander Samarov [Downloadable!]
/2000/378 Contemporaneous Aggregation of GARCH Processes
by Paolo Zaffaroni [Downloadable!]

1999

/1999/374 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.)
by Y Nishiyama & Peter M Robinson [Downloadable!]
/1999/373 Edgeworth Expansions for Semiparametric Averaged Derivatives - (Now published in Econometrica, 68 (2000), pp.931-979.)
by Y Nishiyama & Peter M Robinson [Downloadable!]

1998

/1998/365 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.)
by Fabio Busetti & Andrew C Harvey [Downloadable!]
/1998/363 Variance-Type Estimation of Long Memory - (Now published in Stochastic Processes and their Applications, 29 (1999), pp.1-24.)
by Liudas Giraitis & Peter M Robinson [Downloadable!]
/1998/360 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.)
by Josu Artech & Peter M Robinson [Downloadable!]
/1998/359 Semiparametric Inference in Seasonal and Cyclical Long Memory Processes - (Now published in Journal of Time Series Analysis, 21 (2000), pp.1-25.)
by Josu Artech & Peter M Robinson [Downloadable!]
/1998/357 Long and Short Memory Conditional Heteroscedasticity in Estimating the Memory Parameter of Levels - (Now published in Econometric Theory, 15 (1999), pp.299-336.)
by Marc Henry & Peter M Robinson [Downloadable!]
/1998/354 Alternative Forms of Fractional Brownian Motion - (Now published in Journal of Statistical Planning and Inference, 80 (1999), pp.111-122.)
by D Marinucci & Peter M Robinson [Downloadable!]
/1998/353 Band Spectrum Regression for Cointegrated Time Series with Long Memory Innovations
by D Marinucci [Downloadable!]
/1998/352 Weak Convergence of Multivariate Fractional Processes - (Now published in Stochastic Processes and their Applications, 80 (1999), pp.103-120.)
by D Marinucci & Peter M Robinson [Downloadable!]
/1998/350 Aggregation of Simple Linear Dynamics: Exact Asymptotic Results
by Marco Lippi & Paolo Zaffaroni [Downloadable!]
/1998/348 Semiparametric Frequency Domain Analysis of Fractional Cointegration - (Revised version forthcoming in P M Robinson: Time Series with Long Memory (Oxford University Press)
by D Marinucci & Peter M Robinson [Downloadable!]

1997

/1997/344 Interpolating Exogenous Variables in Open Continuous Time Dynamic Models
by J R McCrorie
/1997/343 Deriving the Exact Discrete Analog of a Continuous Time System
by J R McCrorie
/1997/342 A Nonparametric Test for I(0) - (Now published in Review of Economic Studies, 65 (1998), pp.475-495.)
by Ignacio Lobato & Peter M Robinson
/1997/340 Some Practical Issues in Maximum Simulated Likelihood
by V A Hajivassiliou
/1997/338 Inference-without-Smoothing in the Presence of Nonparametric Autocorrelation - (Now published in Econometrica, 66 (1998), pp.1163-1182.)
by Peter M Robinson
/1997/336 Large-Sample Inference for Nonparametric Regression with Dependent Errors - (Now published in Annals of Statistics, 28 (1997), pp.2054-2083.)
by Peter M Robinson
/1997/332 Beta Convergence
by C Michelacci & Paolo Zaffaroni
/1997/329 Gaussian Estimation of Long-Range Dependent Volatility in Asset Prices
by Paolo Zaffaroni
/1997/328 The Method of Simulated Scores for the Estimation of LDV Models
by V A Hajivassiliou & DL McFadden
/1997/327 Messy Time Series: A Unified Approach - (Now published in Advances in Econometrics, 13 (1998)pp.103-143.)
by Andrew C Harvey & Siem Jan Koopman & J Penzer
/1997/326 Semiparametric Estimation of a Sample Selection Model: A Simulation Study
by Marcia M Schafgans
/1997/325 Gender Wage Differences in Malaysia: Parametric and Semiparametric Estimation
by Marcia M Schafgans
/1997/324 Testing Game-Theoretic Models of Price Fixing Behaviour
by V A Hajivassiliou
/1997/323 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.)
by Liudas Giraitis & Peter M Robinson & Alexander Samarov
/1997/320 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.)
by Peter M Robinson & Paolo Zaffaroni
/1997/319 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.)
by Peter M Robinson & Paolo Zaffaroni
/1997/318 Time Series Regression with Long Range Dependence - (Now published in Annals of Statistics, 25, (1997)pp.2054-2083.)
by Javier Hidalgo & Peter M Robinson

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This page was last updated on 2008-5-8.

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