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Publications

Published Refereed Papers

  • “Neglected Heterogeneity in Moment Condition Models”, (with J. Hahn and W.K. Newey). Journal of Econometrics, 178 (2014), 86-100.
  • “Recent Developments in Empirical Likelihood and Related Methods”, (with P.M.D.C. Parente). Annual Review of Economics, 6 (2014), 77-102.
  • “Discrete Choice Nonresponse”, (with E.A. Ramalho). Review of Economic Studies, 80 (2013), 343-364.
  • “Efficient Aggregation of Panel Qualitative Survey Data”, (with J. Mitchell and M.R. Weale), Journal of Applied Econometrics, 28 (2013), 580-603.
  • “GEL Statistics Under Weak Identification”, (with P. Guggenberger and J.J.S. Ramalho). Journal of Econometrics, 170 (2012), 331-349.
  • “GEL Criteria for Moment Condition Models”. Econometric Theory, 27 (2011), 1192-1235.
  • “GEL Methods for Non-Smooth Moment Indicators”, (with P.M.D.C. Parente). Econometric Theory, 27 (2011), 74-113.
  • “Regression-Based Tests of the Seasonal Unit Root Hypothesis”, (with A.M.R. Taylor and T. del Barrio Castro). Econometric Theory, 25 (2009), 527-560.
  • “Generalized Empirical Likelihood Tests in Time Series Models with Potential Identification Failure”, (with P. Guggenberger). Journal of Econometrics, 142 (2008), 134-161.
  • “Efficient Information Theoretic Inference for Conditional Moment Restrictions”. Journal of Econometrics, 138 (2007), 430-460.
  • “Generalized Empirical Likelihood Estimators and Tests under Partial, Weak and Strong Identification”, (with P. Guggenberger). Econometric Theory, 21 (2005), 667-709.
  • “Automatic Positive Semi-Definite HAC Covariance Matrix and GMM Estimation”. Econometric Theory, 21 (2005), 158-170.
  • “Forecasting Manufacturing Output Growth Using Firm-Level Survey Data”, (with J. Mitchell and M.R. Weale). The Manchester School, 73 (2005), 479-499.
  • “An Indicator of Monthly GDP and an Early Estimate of Quarterly GDP Growth”, (with J. Mitchell, E.L. Salazar, M.R. Weale and S. Wright). Economic Journal, 115 (2005), F108-F129.
  • “Higher Order Properties of GMM and Generalized Empirical Likelihood Estimators”, (with W.K. Newey). Econometrica, 72 (2004), 219-255.
  • “Tests of Rank in Reduced Rank Regression Models”, (with G. Camba-Mendez, G. Kapetanios and M.R. Weale). Journal of Business and Economic Statistics, 21 (2003), 145-155.
  • “Duration Response Measurement Error”, (with A.D. Chesher and M.B.G. Dumangane). Journal of Econometrics, 111 (2002), 169-194.
  • “Generalized Empirical Likelihood Non-Nested Tests”, (with J.J.S. Ramalho). Journal of Econometrics, 107 (2002), 99-125.
  • “Quantification of Qualitative Firm-Level Survey Data”, (with J. Mitchell and M.R.Weale). Economic Journal, 112 (2002), C117-C135.
  • “Recursive and Rolling Regression-Based Tests of the Seasonal Unit Root Hypothesis”, (with A.M.R. Taylor). Journal of Econometrics, 105 (2001), 309-336.
  • “Tests of the Seasonal Unit Root Hypothesis against Heteroscedastic Seasonal Integration”, (with A.M.R. Taylor). Journal of Business and Economic Statistics, 19 (2001), 192-207.
  • “Bounds Testing Approaches to the Analysis of Long-Run Relationships”, (with M.H. Pesaran and Y. Shin). Journal of Applied Econometrics, 16 (2001), 289-326.
  • “An Automatic Leading Indicator of Economic Activity: Forecasting G.D.P. Growth for European Countries”, (with G. Camba-Mendez, G. Kapetanios and M.R. Weale). The Econometrics Journal, 4 (2001), S56-S90.
  • “Structural Analysis of Vector Error Correction Models with Exogenous I(1) Variables”, (with M.H. Pesaran and Y. Shin). Journal of Econometrics, 97 (2000), 293-343.
  • “Tests of Rank”, (with J-M. Robin). Econometric Theory, 16 (2000), 151-175.
  • “Likelihood Ratio Tests for the Seasonal Unit Root Hypothesis”, (with A.M.R. Taylor). Journal of Time Series Analysis, 20 (1999), 453-476.
  • “Measurement Error with Accounting Constraints: Point and Interval Estimation with an Application to UK GDP”, (with M.R. Weale and S.E. Satchell). Review of Economic Studies, 65 (1998), 109-134.
  • “The Power of Some Tests for Difference Stationarity under Local Heteroscedastic Integration”, (with B.P.M. McCabe). Journal of the American Statistical Association, 93 (1998), 751-761.
  • “Additional Critical Values and Asymptotic Representations for Seasonal Unit Root Tests”, (with A.M.R. Taylor). Journal of Econometrics, 85 (1998), 269-288.
  • “Likelihood Ratio Specification Tests”, (with A.D. Chesher). Econometrica, 65 (1997), 627-646.
  • “Alternative Semi-Parametric Likelihood Approaches to Generalized Method of Moments Estimation”. Economic Journal, 107 (1997), 503-519.
  • “Bartlett Corrections to Likelihood Ratio Tests”, (with A. Chesher). Biometrika, 82 (1995), 433-436.
  • “Asymptotically Optimal Tests using Limited Information and Testing for Exogeneity”. Econometric Theory, 10 (1994), 53-69.
  • “A Generalized R2 Criterion for Regression Models Estimated by Instrumental Variables”, (with M.H. Pesaran). Econometrica, 62 (1994), 705-710.
  • “Coherency and Estimation in Simultaneous Models with Censored or Qualitative Variables”, (with R.W. Blundell). Journal of Econometrics, 64 (1994), 355-373.
  • “Non-nested Tests for Competing Models Estimated by Generalized Method of Moments”. Econometrica, 60 (1992), 973-980.
  • “Conditions Initiales et Estimation Efficace dans les Modeles Dynamiques sur Donnees de Panel: une Application au Comportement d’Invetissement des Enterprises”, (with R.W. Blundell). Annales d’Economie et de Statistique, 20/21 (1991), 109-123.
  • “Distributional Specification Tests against Semi-parametric Alternatives”, (with S. Peters). Journal of Econometrics, 47 (1991), 175-194.
  • “A Unified Approach to Estimation and Orthogonality Tests in Linear Single Equation Econometric Models”, (with M.H. Pesaran). Journal of Econometrics, 44 (1990), 41-66.
  • “On the Use of Distributional Misspecification Checks in Limited Dependent Variable Models”. Economic Journal, 99 (1989), 178-192.
  • “Estimation in a Class of Simultaneous Equation Limited Dependent Variable Models”, (with R.W. Blundell). Review of Economic Studies, 56 (1989), 37-57.
  • “Testing for Exogeneity in Limited Dependent Variable Models using a Simplified Likelihood Ratio Statistic”. Journal of Applied Econometrics, 2 (1987), 237-245.
  • “Alternative Asymptotically Optimal Tests and their Application to Dynamic Specification”. Review of Economic Studies, 54 (1987), 665-680.
  • “Testing the Normality Assumption in Multivariate Simultaneous Limited Dependent Variable Models”. Journal of Econometrics, 34 (1987), 105-123.
  • “An Exogeneity Test for a Simultaneous Equation Tobit Model with an Application to Labor Supply”, (with R.W. Blundell). Econometrica, 54 (1986), 679-685.
  • “Some Tests for Misspecification in Bivariate Limited Dependent Variable Models”. Annales de l’INSEE, 59/60 (1985), 97-123.
  • “Wald Tests for the Independence of Stochastic Variables and Disturbance of a Single Linear Stochastic Simultaneous Equation”. Economics Letters, 17 (1985), 87-90.
  • “A Note on Likelihood Ratio Statistics for the Independence between a Subset of Stochastic Regressors and Disturbance”. International Economic Review, 25 (1984), 263-269.
  • “On the Classical Nature of the Wu-Hausman Statistics for the Independence of Stochastic Regressors and Disturbance”. Economics Letters, 11 (1983), 357-364.

Published Refereed Chapters

  • “Weak Instruments and Empirical Likelihood: A Discussion of the Papers by D.W.K. Andrews and J.H. Stock and Y. Kitamura”. Chapter 8 in Advances in Economics and Econometrics, Theory and Applications: Ninth World Congress of the Econometric Society, Volume 3, eds. R.W. Blundell, W.K. Newey and T. Persson, Econometric Society Monograph Series, ESM 43 (2007), 238-260. Cambridge University Press: Cambridge.
  • “Local GEL Estimation with Conditional Moment Restrictions”. Chapter 4 in The Refinement of Econometric Estimation and Test Procedures: Finite Sample and Asymptotic Analysis, eds. G.D.A. Phillips and E. Tzavalis, (2007), 100-122. Cambridge University Press: Cambridge.
  • “Asymptotic Bias for GMM and GEL Estimators with Estimated Nuisance Parameters”, (with W.K. Newey and J.J.S. Ramalho). Chapter 11 in Identification and Inference in Econometric Models: Essays in Honor of Thomas J. Rothenberg (2005), eds. D.W.K. Andrews and J.H. Stock, 245-281. Cambridge University Press: Cambridge.
  • “The Forecasting Performance of the OECD Composite Leading Indicators for France, Germany, Italy and the U.K.”, (with G. Camba-Mendez, G. Kapetanios and M.R.Weale). Chapter 17 in A Companion to Economic Forecasting (2002), eds. M.P. Clements and D.F. Hendry, 386-408. Blackwell: Oxford.
  • “Empirical Likelihood Estimation and Inference”. Chapter 4 in Applications of Differential Geometry to Econometrics (2000), eds. M. Salmon and P. Marriott, 119-150. Cambridge University Press: Cambridge.
  • “Measurement Errors and Data Estimation: the Quantification of Survey Data”, (with A.W.F. Cunningham and M.R.Weale). Chapter 3 in Applied Economics and Public Policy, (Department of Applied Economics 50th Anniversary Conference Volume) (1998), eds. I. Begg and S.G.B. Henry, 41-58. Cambridge University Press: Cambridge.
  • “Simultaneous Microeconometric Models with Censored or Qualitative Dependent Variables”, (with R.W. Blundell). Chapter 5 in Handbook of Statistics, Volume 10 (1993), eds. G.S. Maddala, C.R. Rao and H.D. Vinod, 117-143. North-Holland: Amsterdam.

Editorials

  • “The Econometrics Journal of the Royal Economic Society”, The Econometrics Journal, 11, (2008), i-iii.
  • “Finite Sample and Asymptotic Methods in Econometrics”, (with H.P. Boswijk). Journal of Econometrics, 111 (2002), 135-140.
  • “Forecasting in Econometrics: Editors’ Introduction”, (with P. Newbold). The Econometrics Journal, 4 (2001), i-ii.

Other Published Papers

  • “A Monthly Indicator of GDP”, (with E. Salazar, M.R. Weale and S. Wright). National Institute Economic Review, No. 3 (1997), 84-90. 6.5 Papers Submitted or Under Revision
  • “Discrete Choice Nonresponse”, (with E.J. Ramalho). Under revision for resubmission to Review of Economic Studies.
  • “Goodness of Fit Tests for Moment Condition Models”, (with J.J.S. Ramalho). Under revision for resubmission to Econometric Theory.
  • “GEL Methods for Non-Smooth Moment Indicators”, (with P.M.D.C. Parente). Under revision for resubmission to Econometric Theory.
  • “A Bayesian Indicator of Manufacturing Output from Qualitative Business Panel Survey Data”, (formerly “Aggregate versus Disaggregate Survey-Based Indicators of Economic Activity”), (with J. Mitchell and M.R. Weale). Submitted to Economic Journal.
  • “GEL Criteria forMoment Condition Models”. Under revision for resubmission to Econometric Theory.
  • “Approximations to the Distribution of Conditional Moment Test Statistics”, (with A. Chesher and S. Peters). Under revision for submission to Econometric Theory.

Unpublished Working Papers

  • “Regression-Based Tests of the Seasonal Unit Root Hypothesis”, (with A.M.R. Taylor). Discussion Paper 99-15, University of Birmingham (1999).
  • “Refined Asymptotic Comparisons of Classical Tests for Exogeneity”, (with M. Magdalinos). Working paper, University of Cambridge (1992).
  • “Testing for Seasonal Factorisations in Time Series Models”, (with A.R. Tremayne). Discussion Paper No. ES208, University of Manchester (1988).
  • “Least Squares Theory and the Hausman Specification Test”, (with G.R. Fisher). Discussion Paper No. 641, Institute for Economic Research, Queen’s University (1985).
  • “Separability, Exogeneity and Conditional Demand Models”, (with R.W. Blundell). Working paper, University of Manchester (1984).
  • “Lagrange Multiplier and Specification Tests for the Validity of Instrumental Variables”. Discussion Paper No. ES122, University of Manchester (1983).
  • “On C(α) Tests in Econometrics”. Working paper, University of Manchester (1982).
  • “Separable Hypotheses and Testing for Recursivity in the Triangular Simultaneous Equations Model”. Discussion Paper No. ES111, University of Manchester (1981).
  • “Some Tests for Independence in the Seemingly Unrelated Regression Equations Model”. Working paper, University of Manchester (1980).
  • “Two Asymptotically Equivalent Classes of Consistent Estimators for a Random Coefficient Model”. Discussion Paper No. ES110, University of Manchester (1979).

Book Reviews

  • Estimation, Inference and Specification Analysis, H.White, Cambridge University Press. Economica, 63 (1996), 522-524.
  • Estimation and Inference in Econometrics, R. Davidson and J.G. MacKinnon, Oxford University Press. Journal of Applied Econometrics, 10 (1995), 339-341.
  • Misspecification Tests in Econometrics, L.G. Godfrey, Cambridge University Press. Economica, 58 (1991), 129-130.
  • Statistical Games and Human Affairs, R.J. Bowden, Cambridge University Press. Manchester School, 58 (1990), 182-183.
  • Contributions to Econometrics: John Dennis Sargan, Vols. 1 and 2, (ed.) E. Maasoumi, Cambridge University Press. Economica, 56 (1989), 403-405.
  • The Econometrics of Disequilibrium, R.E. Quandt, Basil Blackwell. Manchester School, 57 (1989), 201-202.
  • Analysis of Panel Data, C. Hsiao, Cambridge University Press. Economica, 55 (1988), 284-285.
  • Exploiting Continuity: Entropy Estimation of Continuous Distributions, H. Theil and D.G. Fiebig, North-Holland. Manchester School, 53 (1985), 117-118.
  • Optimal Control for Econometric Models, (eds.) S. Holly, B. Rustem andM.B. Zarrop,Macmillan. Manchester School, 48 (1980), 95-97.

Professor Richard Smith












Professor of Econometric Theory and Economic Statistics

Research Group:
Econometrics

CV: Curriculum Vitae


Contact Details
Email: rjs27@cam.ac.uk
Room: 74
Office Hours: By appointment
College: Fellow of Gonville and Caius College


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