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Peter M. Robinson

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Personal Details

First Name:Peter
Middle Name:M.
Last Name:Robinson
Suffix:
RePEc Short-ID:pro222
Email:[This author has chosen not to make the email address public]
Homepage:http://econ.lse.ac.uk/staff/pmr/
Postal Address:
Phone:
Location: London, United Kingdom
Homepage: http://econ.lse.ac.uk/
Email:
Phone: +44 (0)20 7955 7545
Fax: +44 (0)20 7831 1840
Postal: Houghton Street, London WC2A 2AE
Handle: RePEc:edi:edlseuk (more details at EDIRC)

This author is featured on the following reading lists, publication compilations or Wikipedia entries:

  1. Benutzer:Ephraim33/Nobelpreisträgerprojekt in Wikipedia (German)
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  1. Paolo Zaffaroni & Peter M. Robinson, 2004. "PSEUDO-MAXIMUM LIKELIHOOD ESTIMATION OF ARCH($ \infty $) MODELS," Econometric Society 2004 North American Summer Meetings 326, Econometric Society.
  2. Y. Nishiyama & Peter Robinson, 2004. "The bootstrap and the Edgeworth correction for semiparametric averaged derivatives," CeMMAP working papers CWP12/04, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  3. Peter Robinson & J. Vidal Sanz, 2003. "Modified whittle estimation of multilateral spatial models," CeMMAP working papers CWP18/03, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  4. Peter M. Robinson & Javier Hualde, 2002. "Cointegration in Fractional Systems with Unknown Integration Orders," Faculty Working Papers 07/02, School of Economics and Business Administration, University of Navarra.
  5. Gil-Alana, L. & Robinson, P.M., 1998. "Testing of Seasonal Fractional Integration in U.K. and Japanese Consumption and Income," Economics Working Papers eco98/20, European University Institute.
  6. Paolo Zaffaroni & Peter M. Robinson, 1997. "Nonlinear Time Series With Long Memory: A Model for Stochastic Volatility," FMG Discussion Papers dp253, Financial Markets Group.
  7. Cheng Hsiao & P. M. Robinson, 1976. "Efficient Estimation of a Dynamic Error-Shock Model," NBER Working Papers 0157, National Bureau of Economic Research, Inc.

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  1. Robinson, P.M. & Iacone, F., 2005. "Cointegration in fractional systems with deterministic trends," Journal of Econometrics, Elsevier, vol. 129(1-2), pages 263-298.
  2. Yoshihiko Nishiyama & Peter M. Robinson, 2005. "The Bootstrap and the Edgeworth Correction for Semiparametric Averaged Derivatives," Econometrica, Econometric Society, vol. 73(3), pages 903-948, 05.
  3. Robinson, P.M., 2005. "The distance between rival nonstationary fractional processes," Journal of Econometrics, Elsevier, vol. 128(2), pages 283-300, October.
  4. Robinson, Peter M. & Henry, Marc, 2003. "Higher-order kernel semiparametric M-estimation of long memory," Journal of Econometrics, Elsevier, vol. 114(1), pages 1-27, May.
  5. P. M. Robinson & J. Hualde, 2003. "Cointegration in Fractional Systems with Unknown Integration Orders," Econometrica, Econometric Society, vol. 71(6), pages 1727-1766, November.
  6. Robinson, Peter M. & Yajima, Yoshihiro, 2002. "Determination of cointegrating rank in fractional systems," Journal of Econometrics, Elsevier, vol. 106(2), pages 217-241, February.
  7. Javier Hidalgo & Peter M. Robinson, 2002. "Adapting to Unknown Disturbance Autocorrelation in Regression with Long Memory," Econometrica, Econometric Society, vol. 70(4), pages 1545-1581, July.
  8. Marinucci, D. & Robinson, P. M., 2001. "Semiparametric fractional cointegration analysis," Journal of Econometrics, Elsevier, vol. 105(1), pages 225-247, November.
  9. D. Marinucci & P. M. Robinson, 2001. "Finite sample improvements in statistical inference with I(1) processes," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(3), pages 431-444.
  10. L. A. Gil-Alana & P. M. Robinson, 2001. "Testing of seasonal fractional integration in UK and Japanese consumption and income," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(2), pages 95-114.
  11. Robinson, P. M., 2001. "The memory of stochastic volatility models," Journal of Econometrics, Elsevier, vol. 101(2), pages 195-218, April.
  12. Y. Nishiyama & P. M. Robinson, 2000. "Edgeworth Expansions for Semiparametric Averaged Derivatives," Econometrica, Econometric Society, vol. 68(4), pages 931-980, July.
  13. Lobato, Ignacio N & Robinson, Peter M, 1998. "A Nonparametric Test for I(0)," Review of Economic Studies, Wiley Blackwell, vol. 65(3), pages 475-95, July.
  14. Robinson, P M, 1998. "Real and Spurious Long-Memory Properties of Stock-Market Data: Comment," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(3), pages 276-79, July.
  15. P. M. Robinson, 1998. "Inference-Without-Smoothing in the Presence of Nonparametric Autocorrelation," Econometrica, Econometric Society, vol. 66(5), pages 1163-1182, September.
  16. Gil-Alana, L. A. & Robinson, P. M., 1997. "Testing of unit root and other nonstationary hypotheses in macroeconomic time series," Journal of Econometrics, Elsevier, vol. 80(2), pages 241-268, October.
  17. Hidalgo, Javier & Robinson, Peter M., 1996. "Testing for structural change in a long-memory environment," Journal of Econometrics, Elsevier, vol. 70(1), pages 159-174, January.
  18. Lobato, I. & Robinson, P. M., 1996. "Averaged periodogram estimation of long memory," Journal of Econometrics, Elsevier, vol. 73(1), pages 303-324, July.
  19. Robinson, P M, 1995. "The Normal Approximation for Semiparametric Averaged Derivatives," Econometrica, Econometric Society, vol. 63(3), pages 667-80, May.
  20. Cheng, Bing & Robinson, P. M., 1994. "Semiparametric estimation from time series with long-range dependence," Journal of Econometrics, Elsevier, vol. 64(1-2), pages 335-353.
  21. Robinson, P M, 1993. "Highly Insignificant F-Ratios," Econometrica, Econometric Society, vol. 61(3), pages 687-96, May.
  22. Delgado, Miguel A & Robinson, Peter M, 1992. " Nonparametric and Semiparametric Methods for Economic Research," Journal of Economic Surveys, Wiley Blackwell, vol. 6(3), pages 201-49.
  23. Robinson, P M, 1991. "Consistent Nonparametric Entropy-Based Testing," Review of Economic Studies, Wiley Blackwell, vol. 58(3), pages 437-53, May.
  24. Robinson, P M, 1991. "Best Nonlinear Three-Stage Least Squares Estimation of Certain Econometric Models," Econometrica, Econometric Society, vol. 59(3), pages 755-86, May.
  25. Robinson, P. M., 1991. "Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression," Journal of Econometrics, Elsevier, vol. 47(1), pages 67-84, January.
  26. Robinson, P M, 1991. "Automatic Frequency Domain Inference on Semiparametric and Nonparametric Models," Econometrica, Econometric Society, vol. 59(5), pages 1329-63, September.
  27. Robinson, P M, 1989. "Hypothesis Testing in Semiparametric and Nonparametric Models for Econometric Time Series," Review of Economic Studies, Wiley Blackwell, vol. 56(4), pages 511-34, October.
  28. Bera, Anil K & Robinson, Peter M, 1989. "Tests for Serial Dependence and Other Specification Analysis in Models of Markets in Disequilibrium," Journal of Business & Economic Statistics, American Statistical Association, vol. 7(3), pages 343-52, July.
  29. Robinson, Peter M, 1988. "Root- N-Consistent Semiparametric Regression," Econometrica, Econometric Society, vol. 56(4), pages 931-54, July.
  30. Robinson, Peter M, 1988. "The Stochastic Difference between Econometric Statistics," Econometrica, Econometric Society, vol. 56(3), pages 531-48, May.
  31. Robinson, P M, 1988. "Semiparametric Econometrics: A Survey," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 3(1), pages 35-51, January.
  32. Robinson, P M, 1988. "Using Gaussian Estimators Robustly," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 50(1), pages 97-106, February.
  33. Robinson, P M, 1987. "Asymptotically Efficient Estimation in the Presence of Heteroskedasticity of Unknown Form," Econometrica, Econometric Society, vol. 55(4), pages 875-91, July.
  34. Robinson, P M, 1986. "Nonparametric Methods in Specification," Economic Journal, Royal Economic Society, vol. 96(380a), pages 134-41, Supplemen.
  35. Robinson, P M & Bera, Anil K & Jarque, Carlos M, 1985. "Tests for Serial Dependence in Limited Dependent Variable Models," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 26(3), pages 629-38, October.
  36. Robinson, Peter M, 1982. "On the Asymptotic Properties of Estimators of Models Containing Limited Dependent Variables," Econometrica, Econometric Society, vol. 50(1), pages 27-41, January.
  37. Hsiao, Cheng & Robinson, P M, 1978. "Efficient Estimation of a Dynamic Error-Shock Model," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 19(2), pages 467-79, June.
  38. Robinson, P M, 1976. "The Estimation of Linear Differential Equations with Constant Coefficients," Econometrica, Econometric Society, vol. 44(4), pages 751-64, July.
  39. Robinson, P M, 1976. "Instrumental Variables Estimation of Differential Equations," Econometrica, Econometric Society, vol. 44(4), pages 765-76, July.
  40. Robinson, P M, 1974. "Identification, Estimation and Large-Sample Theory for Regressions Containing Unobservable Variables," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 15(3), pages 680-92, October.
10 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-ECM: Econometrics (10) 2003-11-03 2003-11-03 2003-11-03 2003-11-03 2003-11-03 2005-01-02 2005-01-02 2005-01-02 2005-01-02 2005-06-14. Author is listed
  2. NEP-ETS: Econometric Time Series (8) 2003-11-03 2003-11-03 2003-11-03 2003-11-03 2005-01-02 2005-01-02 2005-01-02 2005-01-02. Author is listed
  3. NEP-FIN: Finance (1) 2005-01-02
  4. NEP-HIS: Business, Economic & Financial History (1) 2003-11-03
  5. NEP-HPE: History & Philosophy of Economics (1) 2003-11-03
  6. NEP-IFN: International Finance (1) 2003-11-03
  7. NEP-MFD: Microfinance (5) 2003-11-03 2003-11-03 2003-11-03 2003-11-03 2003-11-03. Author is listed
  8. NEP-RMG: Risk Management (1) 2003-11-03
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