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Faculty of Economics

C13

Estimation: General


Title AuthorsYearJEL Codes
Semiparametric Single-index Predictive RegressionZhou, W., Gao, J., Harris, D. and Kew, H.[2019]C13 C14 C32 C51
Dependent Microstructure Noise and Integrated Volatility: Estimation from High-Frequency DataLi, Z. M., Laeven, R. J. A. and Vellekoop, M. H.[2019]C13 C14 C55 C58
The Impact of Unilateral Carbon Taxes on Cross-Border Electricity TradingGuo, B., Newbery, D., Gissey, G.[2019]Q48 F14 D61 C13
Nonparametric Recovery of the Yield Curve Evolution from Cross-Section and Time Series InformationKoo, B., La Vecchia, D., Linton, O.[2019]C13 C14 C22 G12
Efficient Estimation of Nonparametric Regression in The Presence of Dynamic HeteroskedasticityLinton, O., Xiao, Z.[2019]C13 C14
A Coupled Component GARCH Model for Intraday and Overnight VolatilityLinton, O., Wu, J.[2018]C12 C13
A New Semiparametric Estimation Approach for Large Dynamic Covariance Matrices with Multiple Conditioning VariablesChen, J., Li, D., Linton, O.[2018]C10 C13 C14 G11
Asymptotics of the principal components estimator of large factor models with weak factors and i.i.d. Gaussian noise.Onatski, A.[2018]C13 C33
Econometric Analysis of Production Networks with Dominant Units Pesaran, H. and Yang, C. F.[2016]C12 C13 C23 C67 E32
A multiple testing approach to the regularisation of large sample correlation matricesBailey , N., Smith, V. and Pesaran, H.[2014]C13,C58
Transformed Maximum Likelihood Estimation of Short Dynamic Panel Data Models with interactive effectsHayakawa, K., Smith, V. and Pesaran, H.[2014]C12 C13 C23
Robust Standard Errors in Transformed Likelihood Estimation of Dynamic Panel ModelsHayakawa, K. and Pesaran, M.[2012]C12 C13 C23
Testing Weak Cross-Sectional Dependence in Large PanelsPesaran, M. H.[2012]C12 C13 C33

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