Faculty of Economics

Econometrics Research Group

                                                                  Research Grants | Published Papers | Cambridge Working Papers


Research Grants

Publications

Published Papers
  • Vogt, M. and Linton, O. Classification of non-parametric regression functions in longitudinal data models (2017) Journal of the Royal Statistical Society. Series B: Statistical Methodology
  • Harvey, A. C.and Thiele, S. Testing against changing correlation (2016) Journal of Empirical Finance
  • Linton, O., Whang, Y.-J. and Yen, Y.-M. A nonparametric test of a strong leverage hypothesis (2016) Journal of Econometrics
  • Robertson, D., Sarafidis, V. and Westerlund, J. Unit root inference in generally trending and cross-correlated fixed-T panels (2016) Journal of Business and Economic Statistics
  • Linton, O. and Wu, R. Comment on: Reflections on the probability space induced by moment conditions with implications for Bayesian Inference (2016) Journal of Financial Econometrics
  • Han, H., Linton, O., Oka, T. and Whang,Y.-J. The cross-quantilogram: Measuring quantile dependence and testing directional predictability between time series (2016) Journal of Econometrics
  • Bhattacharya, D. Are university admissions academically fair? (2016) Review of Economics and Statistics
  • Caivano, M., Harvey, A. C. and Luati, A. Robust time series models with trend and seasonal components (2016) SERIEs : Journal of the Spanish Economic Association
  • Chen, J., Degui, L., Linton, O. and Lu, Z. Semiparametric dynamic portfolio choice with multiple conditioning variables (2016) Journal of Econometrics
  • Park,S., Hong, S.Y. and Linton,O. Estimating the quadratic covariation matrix for asynchronously observed high frquency stock returns corrupted by additive measurement error (2015) Journal of Econometrics
  • Bhattacharya, D. Nonparametric welfare analysis for discrete choice (2015) Econometrica
  • Isohatala, J., Kusmartsev, F., Milne, A. and Robertson, D. Leverage constraints and real interest rates (2015) Manchester School
  • Li, D., Linton, O. and Lu, Z. A flexible semiparametric forecasting model for time series (2015) Journal of Econometrics
  • Boneva, L., Linton, O. and Vogt, M. The effect of fragmentation in trading on market quality in the UK equity market (2015) Journal of Applied Econometrics
  • Boneva, L., Linton, O. and Vogt, M. A semiparametric model for heterogeneous panel data with fixed effects (2015) Journal of Econometrics
  • Onatski, A. Asymptotic analysis of the squared estimation error in misspecified factor models (2015) Journal of Econometrics
  • Robertson, D. and Sarafidis, V. IV estimation of panels with factor residuals (2015) Journal of Econometrics
  • Koo, B., and Linton, O. Let's get lade: robust estimation of semiparametric multiplicative volatility models (2015) Econometric Theory
  • Hautsch, N., Kyj, L.M. and Malec, P. Do high-frequency data improve high-dimensional porfolio allocations? (2015) Journal of Applied Econometrics
more.... Cambridge Working Papers in Economics
  • Boneva, L. and Linton, O. A Discrete Choice Model For Large Heterogeneous Panels with Interactive Fixed Effects with an Application to the Determinants of Corporate Bond Issuance (2017) Cambridge Working Papers in Economics, CWPE1703
  • Doppelhofer, G., Moe Hansen, O-P. and and Weeks, M. Determinants of long-term economic growth redux: A Measurement Error Model Averaging (MEMA) approach (2017) Cambridge Working Papers in Economics, CWPE1702
  • Pesaran, Hashem. and Johnsson. Ida. Double-question Survey Measures for the Analysis of Financial Bubbles and Crashes (2016) Cambridge Working Papers in Economics, CWPE1679
  • Pesaran, H. and Cynthia, F-Y. Econometric Analysis of Production Networks with Dominant Units (2016) Cambridge Working Papers in Economics, CWPE1678
  • Chudik, A., and Kapetanios, G. and Pesaran, Hashem A One-Covariate at a Time, Multiple Testing Approach to Variable Selection in High-Dimensional Linear Regression Models (2016) Cambridge Working Papers in Economics, CWPE1677
  • Robertson, D. and Tambakis, D. Long-Run Debt Ratios with Fiscal Fatigue (2016) Cambridge Working Papers in Economics, CWPE1674
  • Linton, O. and Wu, J. A coupled component GARCH model for intraday and overnight volatility (2016) Cambridge Working Papers in Economics, CWPE1671
  • Hafner, C. M. and Linton, O. Estimation of a Multiplicative Covariance Structure in the Large Dimensional Case (2016) Cambridge Working Papers in Economics, CWPE1664
  • Mohaddes, K. and Pesaran, M. H. Oil Prices and the Global Economy: Is It Different This Time Around? (2016) Cambridge Working Papers in Economics, CWPE1640
  • Onatski, A. and Wang, C. Alternative Asymptotics for Cointegration Tests in Large VARs (2016) Cambridge Working Papers in Economics, CWPE1637
  • Malec, P. A Semiparametric Intraday GARCH Model (2016) Cambridge Working Papers in Economics, CWPE1633
  • Chen, X., Linton, O. and Schneeberger, S. Simple Nonparametric Estimators for the Bid-Ask Spread in the Roll Model (2016) Cambridge Working Papers in Economics, CWPE1620
  • Chudik, A., Kapetanios, G. and Pesaran, M. H. Big Data Analytics: A New Perspective (2016) Cambridge Working Papers in Economics, CWPE1611
  • Escanciano, J. C., Hoderlein, S., Lewbel, A. and Linton, O. Nonparametric Euler Equation Identification andEstimation (2015) Cambridge Working Papers in Economics, CWPE1560
  • Harvey, A. C. and Lange, R.-J. Modeling the Interactions between Volatility and Returns (2015) Cambridge Working Papers in Economics, CWPE1518
  • Harvey, A. C. and Lange, R.-J. Volatility Modeling with a Generalized t-distribution (2015) Cambridge Working Papers in Economics, CWPE1517
  • Bibinger, M., Hautsch, N., Malec , P. and Reiss, M. Estimating the Spot Covariation of Asset Prices – Statistical Theory and Empirical Evidence (2014) Cambridge Working Papers in Economics, CWPE1464
  • Hong, S. Y., Linton, O. and Zhang , H. J. Multivariate Variance Ratio Statistics (2014) Cambridge Working Papers in Economics, CWPE1459
  • Körber, L., Linton, O. and Vogt, M. The Effect of Fragmentation in Trading on Market Quality in the UK Equity Market (2014) Cambridge Working Papers in Economics, CWPE1454
  • Brugler, J. and Linton, O. Circuit Breakers on the London Stock Exchange: Do they improve subsequent market quality? (2014) Cambridge Working Papers in Economics, CWPE1453
  • Han, H., Linton, O., Oka, T. and Whang, Y.-J. The Cross-Quantilogram: Measuring Quantile Dependence and Testing Directional Predictability between Time Series (2014) Cambridge Working Papers in Economics, CWPE1452
  • Harvey, A. C. and Thiele, S. Testing against Changing Correlation (2014) Cambridge Working Papers in Economics, CWPE1439
  • Pesaran, H. and Smith, R. Tests of Policy Ineffectiveness in Macroeconometrics (2014) Cambridge Working Papers in Economics, CWPE1415
  • Bailey , N., Smith, V. and Pesaran, H. A multiple testing approach to the regularisation of large sample correlation matrices (2014) Cambridge Working Papers in Economics, CWPE1413
  • Hayakawa, K., Smith, V. and Pesaran, H. Transformed Maximum Likelihood Estimation of Short Dynamic Panel Data Models with interactive effects (2014) Cambridge Working Papers in Economics, CWPE1412
  • Chudik, A. and Pesaran, H. Theory and Practice of GVAR Modeling (2014) Cambridge Working Papers in Economics, CWPE1408
  • Pesaran, H., Cesa-Bianchi, A. and Rebucci, A. Uncertainty and Economic Activity: A Global Perspective (2014) Cambridge Working Papers in Economics, CWPE1407
  • Caivano, M. and Harvey, A. C. Two EGARCH models and one fat tail (2013) Cambridge Working Papers in Economics, CWPE1326
  • Caivano, M. and Harvey, A. C. Time series models with an EGB2 conditional distribution (2013) Cambridge Working Papers in Economics, CWPE1325
  • Robertson, D. and Sarafidis, V. IV Estimation of Panels with Factor Residuals (2013) Cambridge Working Papers in Economics, CWPE1321
  • Pesaran, H. and Chudik, A. Common Correlated Effects Estimation of Heterogeneous Dynamic Panel Data Models with Weakly Exogenous Regressors (2013) Cambridge Working Papers in Economics, CWPE1317
  • Andres, P. and Harvey, A. C. The Dyanamic Location/Scale Model: with applications to intra-day financial data (2012) Cambridge Working Papers in Economics, CWPE1240
  • Harvey, A. C. and Sucarrat, G. EGARCH models with fat tails, skewness and leverage (2012) Cambridge Working Papers in Economics, CWPE1236
  • Hayakawa, K. and Pesaran, M. Robust Standard Errors in Transformed Likelihood Estimation of Dynamic Panel Models (2012) Cambridge Working Papers in Economics, CWPE1224
  • Pesaran, M. and Yamagata, T. Testing CAPM with a Large Number of Assets (Updated 28th March 2012) (2012) Cambridge Working Papers in Economics, CWPE1210
  • Pesaran, M. H. Testing Weak Cross-Sectional Dependence in Large Panels (2012) Cambridge Working Papers in Economics, CWPE1208
  • Bailey, N., Kapetanios, G. and Pesaran, M. H. Exponent of Cross-sectional Dependence: Estimation and Inference (2012) Cambridge Working Papers in Economics, CWPE1206
  • Pesaran, M. H., Pick, A. and Pranovich, M. Optimal Forecasts in the Presence of Structural Breaks (Updated 14 November 2011) (2011) Cambridge Working Papers in Economics, CWPE1163
  • Pesaran, M. H. and Xu, T. Business Cycle Effects of Credit and Technology Shocks in a DSGE Model with Firm Defaults (2011) Cambridge Working Papers in Economics, CWPE1159
  • Cesa-Bianchi, A., Pesaran, M., Rebuccih, . A. and Xu, T. China’s Emergence in the World Economy and Business Cycles in Latin America (2011) Cambridge Working Papers in Economics, CWPE1150
  • Pesaran, M. and Smith, R. P. Beyond the DSGE straightjacket (2011) Cambridge Working Papers in Economics, CWPE1138
  • Koop, G., Pesaran, M. H. and Smith, R. P. On Identification of Bayesian DSGE Models (2011) Cambridge Working Papers in Economics, CWPE1131
  • Winkelried, D. and Smith, R. J. Principal Components Instrumental Variable Estimation (2011) Cambridge Working Papers in Economics, CWPE1119
  • Pesaran, M. H. and Chudik, A. Aggregation in Large Dynamic Panels (2011) Cambridge Working Papers in Economics, CWPE1118
  • Doppelhofer, G. and Weeks, M. Robust Growth Determinants (2011) Cambridge Working Papers in Economics, CWPE1117
  • Harvey, A. C. Exponential Conditional Volatility Models (2010) Cambridge Working Papers in Economics, CWPE1040
  • Pesaran, M. H. Predictability of Asset Returns and the Efficient Market Hypothesis (2010) Cambridge Working Papers in Economics, CWPE1033
  • Pesaran , M. H. Conditional Volatility and Correlations of Weekly Returns and the VaR Analysis of 2008 Stock Market (2010) Cambridge Working Papers in Economics, CWPE1025
  • Pesaran , M. H. and Chudik, A. Econometric Analysis of High Dimensional VARs Featuring a Dominant Unit (2010) Cambridge Working Papers in Economics, CWPE1024
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