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Patrick Marsh

Personal Details

First Name:Patrick
Middle Name:
Last Name:Marsh
Suffix:
RePEc Short-ID:pma2702
https://www.nottingham.ac.uk/economics/people/patrick.marsh

Affiliation

School of Economics
University of Nottingham

Nottingham, United Kingdom
http://www.nottingham.ac.uk/economics/

+44 (0) 115 951 5620
+44 (0) 115 951 4159
University Park, Nottingham NG7 2RD
RePEc:edi:denotuk (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Patrick Marsh, 2019. "Nonparametric conditional density specification testing and quantile estimation; with application to S&P500 returns," Discussion Papers 19/02, University of Nottingham, Granger Centre for Time Series Econometrics.
  2. Patrick Marsh, 2019. "Properties of the power envelope for tests against both stationary and explosive alternatives: the effect of trends," Discussion Papers 19/03, University of Nottingham, Granger Centre for Time Series Econometrics.
  3. Patrick Marsh, 2019. "The role of information in nonstationary regression," Discussion Papers 19/04, University of Nottingham, Granger Centre for Time Series Econometrics.
  4. Patrick Marsh, 2016. "Nonparametric density estimation and testing," Discussion Papers 16/03, University of Nottingham, Granger Centre for Time Series Econometrics.
  5. Patrick Marsh, 2006. "Data Driven Likelihood Ratio Tests for Goodness-of-Fit with Estimated Parameters," Discussion Papers 06/20, Department of Economics, University of York.
  6. Patrick Marsh, 2006. "Constructing Optimal Tests on a Lagged Dependent Variable," Discussion Papers 06/19, Department of Economics, University of York.
  7. Patrick Marsh, "undated". "A Two-Sample Non-Parametric Likelihood Ratio Test," Discussion Papers 05/25, Department of Economics, University of York.
  8. Patrick Marsh, "undated". "Saddlepoint Approximations in Non-Stationary Time Series," Discussion Papers 00/57, Department of Economics, University of York.
  9. Patrick Marsh, "undated". "A Measure of Distance for the Unit Root Hypothesis," Discussion Papers 05/02, Department of Economics, University of York.
  10. Patrick Marsh, "undated". "Goodness of Fit Tests via Exponential Series Density Estimation," Discussion Papers 05/24, Department of Economics, University of York.
  11. Giovanni Forchini & Patrick Marsh, "undated". "Exact Inference for the Unit Root Hypothesis," Discussion Papers 00/54, Department of Economics, University of York.
  12. Patrick Marsh, "undated". "Edgeworth Expansions in Gaussian Autoregression," Discussion Papers 00/58, Department of Economics, University of York.
  13. Patrick Marsh, "undated". "Saddlepoint Approximations for Optimal Unit Root Tests," Discussion Papers 09/31, Department of Economics, University of York.
  14. Patrick Marsh, "undated". "Some Geometry for the Maximal Invariant in Linear Regression," Discussion Papers 04/07, Department of Economics, University of York.
  15. Patrick Marsh, "undated". "Nonparametric Likelihood Ratio Tests," Discussion Papers 00/56, Department of Economics, University of York.
  16. Patrick Marsh, "undated". "The Available Information for Invariant Tests of a Unit Root," Discussion Papers 05/03, Department of Economics, University of York.

Articles

  1. Patrick Marsh, 2019. "Nonparametric series density estimation and testing," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 28(1), pages 77-99, March.
  2. Patrick Marsh, 2019. "Correction to: Nonparametric series density estimation and testing," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 28(1), pages 101-101, March.
  3. Patrick Marsh, 2013. "A Review of Non‐Parametric Econometrics," Econometrics Journal, Royal Economic Society, vol. 16(2), pages 1-3, June.
  4. Marsh, Patrick, 2011. "Saddlepoint And Estimated Saddlepoint Approximations For Optimal Unit Root Tests," Econometric Theory, Cambridge University Press, vol. 27(5), pages 1026-1047, October.
  5. Patrick Marsh, 2010. "A two-sample nonparametric likelihood ratio test," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 22(8), pages 1053-1065.
  6. Marsh, Patrick, 2009. "COMMENTARIES ON “Unit Root Testing in Practice: Dealing with Uncertainty over the Trend and Initial Condition,” by David I. Harvey, Stephen J. Leybourne, and A.M. Robert Taylor," Econometric Theory, Cambridge University Press, vol. 25(3), pages 637-643, June.
  7. Marsh, Patrick, 2009. "The Properties Of Kullback–Leibler Divergence For The Unit Root Hypothesis," Econometric Theory, Cambridge University Press, vol. 25(6), pages 1662-1681, December.
  8. Marsh, Patrick, 2007. "Goodness of fit tests via exponential series density estimation," Computational Statistics & Data Analysis, Elsevier, vol. 51(5), pages 2428-2441, February.
  9. Marsh, Patrick, 2007. "The Available Information For Invariant Tests Of A Unit Root," Econometric Theory, Cambridge University Press, vol. 23(4), pages 686-710, August.
  10. Patrick Marsh, 2007. "Constructing Optimal tests on a Lagged dependent variable," Journal of Time Series Analysis, Wiley Blackwell, vol. 28(5), pages 723-743, September.
  11. Marsh, Patrick, 2004. "Transformations For Multivariate Statistics," Econometric Theory, Cambridge University Press, vol. 20(5), pages 963-987, October.
  12. Marsh, Patrick, 2001. "Edgeworth expansions in Gaussian autoregression," Statistics & Probability Letters, Elsevier, vol. 54(3), pages 233-241, October.
  13. Marsh, Patrick W.N., 1998. "Saddlepoint Approximations For Noncentral Quadratic Forms," Econometric Theory, Cambridge University Press, vol. 14(5), pages 539-559, October.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Patrick Marsh, 2006. "Constructing Optimal Tests on a Lagged Dependent Variable," Discussion Papers 06/19, Department of Economics, University of York.

    Cited by:

    1. Heather Battey & Oliver Linton, 2013. "Nonparametric estimation of multivariate elliptic densities via finite mixture sieves," CeMMAP working papers CWP41/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    2. Patrick Marsh, 2019. "Properties of the power envelope for tests against both stationary and explosive alternatives: the effect of trends," Discussion Papers 19/03, University of Nottingham, Granger Centre for Time Series Econometrics.

  2. Patrick Marsh, "undated". "A Two-Sample Non-Parametric Likelihood Ratio Test," Discussion Papers 05/25, Department of Economics, University of York.

    Cited by:

    1. L. Baringhaus & D. Kolbe, 2015. "Two-sample tests based on empirical Hankel transforms," Statistical Papers, Springer, vol. 56(3), pages 597-617, August.

  3. Patrick Marsh, "undated". "A Measure of Distance for the Unit Root Hypothesis," Discussion Papers 05/02, Department of Economics, University of York.

    Cited by:

    1. Harvey, David I. & Leybourne, Stephen J. & Taylor, A.M. Robert, 2007. "A simple, robust and powerful test of the trend hypothesis," Journal of Econometrics, Elsevier, vol. 141(2), pages 1302-1330, December.

  4. Patrick Marsh, "undated". "Goodness of Fit Tests via Exponential Series Density Estimation," Discussion Papers 05/24, Department of Economics, University of York.

    Cited by:

    1. Patrick Marsh, "undated". "A Two-Sample Non-Parametric Likelihood Ratio Test," Discussion Papers 05/25, Department of Economics, University of York.
    2. Patrick Marsh, 2019. "Nonparametric conditional density specification testing and quantile estimation; with application to S&P500 returns," Discussion Papers 19/02, University of Nottingham, Granger Centre for Time Series Econometrics.
    3. Patrick Marsh, 2006. "Data Driven Likelihood Ratio Tests for Goodness-of-Fit with Estimated Parameters," Discussion Papers 06/20, Department of Economics, University of York.
    4. Patrick Marsh, 2019. "Nonparametric series density estimation and testing," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 28(1), pages 77-99, March.

  5. Giovanni Forchini & Patrick Marsh, "undated". "Exact Inference for the Unit Root Hypothesis," Discussion Papers 00/54, Department of Economics, University of York.

    Cited by:

    1. Marsh, Patrick, 2007. "The Available Information For Invariant Tests Of A Unit Root," Econometric Theory, Cambridge University Press, vol. 23(4), pages 686-710, August.
    2. Patrick Marsh, 2007. "Constructing Optimal tests on a Lagged dependent variable," Journal of Time Series Analysis, Wiley Blackwell, vol. 28(5), pages 723-743, September.

  6. Patrick Marsh, "undated". "Some Geometry for the Maximal Invariant in Linear Regression," Discussion Papers 04/07, Department of Economics, University of York.

    Cited by:

    1. Robert L. Paige & P. Harshini Fernando, 2008. "Robust Inference in Conditionally Linear Nonlinear Regression Models," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 35(1), pages 158-168, March.

  7. Patrick Marsh, "undated". "Nonparametric Likelihood Ratio Tests," Discussion Papers 00/56, Department of Economics, University of York.

    Cited by:

    1. Patrick Marsh, "undated". "Goodness of Fit Tests via Exponential Series Density Estimation," Discussion Papers 05/24, Department of Economics, University of York.

  8. Patrick Marsh, "undated". "The Available Information for Invariant Tests of a Unit Root," Discussion Papers 05/03, Department of Economics, University of York.

    Cited by:

    1. Patrick Marsh, 2019. "The role of information in nonstationary regression," Discussion Papers 19/04, University of Nottingham, Granger Centre for Time Series Econometrics.
    2. David I. Harvey & Stephen J. Leybourne & A. M. Robert Taylor, 2007. "Unit root testing in practice: dealing with uncertainty over the trend and initial condition," Discussion Papers 07/03, University of Nottingham, Granger Centre for Time Series Econometrics.
    3. Patrick Marsh, "undated". "Saddlepoint Approximations for Optimal Unit Root Tests," Discussion Papers 09/31, Department of Economics, University of York.
    4. Harvey David I. & Leybourne Stephen J. & Whitehouse Emily J., 2018. "Testing for a unit root against ESTAR stationarity," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 22(1), pages 1-29, February.
    5. Patrick Marsh, 2019. "Properties of the power envelope for tests against both stationary and explosive alternatives: the effect of trends," Discussion Papers 19/03, University of Nottingham, Granger Centre for Time Series Econometrics.
    6. David I. Harvey, & Stephen J. Leybourne, & A. M. Robert Taylor, 2007. "Testing for a unit root when uncertain about the trend [Revised to become 07/03 above]," Discussion Papers 06/03, University of Nottingham, Granger Centre for Time Series Econometrics.

Articles

  1. Patrick Marsh, 2019. "Nonparametric series density estimation and testing," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 28(1), pages 77-99, March.

    Cited by:

    1. Patrick Marsh, 2019. "Nonparametric conditional density specification testing and quantile estimation; with application to S&P500 returns," Discussion Papers 19/02, University of Nottingham, Granger Centre for Time Series Econometrics.

  2. Marsh, Patrick, 2011. "Saddlepoint And Estimated Saddlepoint Approximations For Optimal Unit Root Tests," Econometric Theory, Cambridge University Press, vol. 27(5), pages 1026-1047, October.

    Cited by:

    1. Patrick Marsh, 2019. "Properties of the power envelope for tests against both stationary and explosive alternatives: the effect of trends," Discussion Papers 19/03, University of Nottingham, Granger Centre for Time Series Econometrics.

  3. Patrick Marsh, 2010. "A two-sample nonparametric likelihood ratio test," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 22(8), pages 1053-1065.
    See citations under working paper version above.
  4. Marsh, Patrick, 2009. "The Properties Of Kullback–Leibler Divergence For The Unit Root Hypothesis," Econometric Theory, Cambridge University Press, vol. 25(6), pages 1662-1681, December.

    Cited by:

    1. Patrick Marsh, 2019. "The role of information in nonstationary regression," Discussion Papers 19/04, University of Nottingham, Granger Centre for Time Series Econometrics.
    2. Patrick Marsh, "undated". "Saddlepoint Approximations for Optimal Unit Root Tests," Discussion Papers 09/31, Department of Economics, University of York.
    3. Astill, Sam & Harvey, David I. & Leybourne, Stephen J. & Taylor, A.M. Robert, 2014. "Robust tests for a linear trend with an application to equity indices," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 168-185.

  5. Marsh, Patrick, 2007. "Goodness of fit tests via exponential series density estimation," Computational Statistics & Data Analysis, Elsevier, vol. 51(5), pages 2428-2441, February.
    See citations under working paper version above.
  6. Marsh, Patrick, 2007. "The Available Information For Invariant Tests Of A Unit Root," Econometric Theory, Cambridge University Press, vol. 23(4), pages 686-710, August.
    See citations under working paper version above.
  7. Patrick Marsh, 2007. "Constructing Optimal tests on a Lagged dependent variable," Journal of Time Series Analysis, Wiley Blackwell, vol. 28(5), pages 723-743, September.
    See citations under working paper version above.
  8. Marsh, Patrick, 2004. "Transformations For Multivariate Statistics," Econometric Theory, Cambridge University Press, vol. 20(5), pages 963-987, October.

    Cited by:

    1. Kamanzi‐wa‐Binyavanga, 2009. "Calculating Cumulants of a Taylor Expansion of a Multivariate Function," International Statistical Review, International Statistical Institute, vol. 77(2), pages 212-221, August.
    2. Loperfido, Nicola, 2014. "Linear transformations to symmetry," Journal of Multivariate Analysis, Elsevier, vol. 129(C), pages 186-192.
    3. Schluter, Christian & van Garderen, Kees Jan, 2009. "Edgeworth expansions and normalizing transforms for inequality measures," Journal of Econometrics, Elsevier, vol. 150(1), pages 16-29, May.
    4. Gonçalves, Sílvia & Meddahi, Nour, 2011. "Box-Cox transforms for realized volatility," Journal of Econometrics, Elsevier, vol. 160(1), pages 129-144, January.
    5. Wu, Ximing, 2010. "Exponential Series Estimator of multivariate densities," Journal of Econometrics, Elsevier, vol. 156(2), pages 354-366, June.

  9. Marsh, Patrick W.N., 1998. "Saddlepoint Approximations For Noncentral Quadratic Forms," Econometric Theory, Cambridge University Press, vol. 14(5), pages 539-559, October.

    Cited by:

    1. Giovanni Forchini & Patrick Marsh, "undated". "Exact Inference for the Unit Root Hypothesis," Discussion Papers 00/54, Department of Economics, University of York.
    2. Broda, S. & Paolella, M.S., 2009. "Evaluating the density of ratios of noncentral quadratic forms in normal variables," Computational Statistics & Data Analysis, Elsevier, vol. 53(4), pages 1264-1270, February.
    3. Patrick Marsh, "undated". "Saddlepoint Approximations for Optimal Unit Root Tests," Discussion Papers 09/31, Department of Economics, University of York.
    4. Patrick Marsh, "undated". "Saddlepoint Approximations in Non-Stationary Time Series," Discussion Papers 00/57, Department of Economics, University of York.
    5. Giovanni Forchini, "undated". "The Distribution of a Ratio of Quadratic Forms in Noncentral Normal Variables," Discussion Papers 01/12, Department of Economics, University of York.

More information

Research fields, statistics, top rankings, if available.

Statistics

Access and download statistics for all items

Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 15 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ECM: Econometrics (15) 2000-12-19 2000-12-19 2000-12-19 2000-12-19 2004-04-04 2005-03-20 2005-04-16 2005-08-13 2005-08-13 2006-10-14 2006-10-14 2016-11-20 2019-03-25 2019-03-25 2019-03-25. Author is listed
  2. NEP-ETS: Econometric Time Series (9) 2001-02-21 2001-02-21 2001-02-21 2005-03-20 2005-04-16 2006-10-14 2019-03-25 2019-03-25 2019-03-25. Author is listed

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