| Title | Authors | CWPE Number | Year |
|---|
| Asymptotics of the principal components estimator of large factor models with weak factors and i.i.d. Gaussian noise. | Onatski, A. | CWPE1808  | (2018) |
| Local Asymptotic Normality of the Spectrum of High-Dimensional Spiked F-Ratios | Dharmawansa, P., Johnstone, I. M., and Onatski, A. | CWPE1807 | (2018) |
| Testing in High-Dimensional Spiked Models | Johnstone, I. M. and Onatski, A. | CWPE1806 | (2018) |
| Implications of High-Frequency Trading for Security Markets | Linton, O. and Mahmoodzadeh, S. | CWPE1802 | (2018) |
| Co-integration and control: assessing the impact of events using time series data | Harvey, A. and Thiele, S. | CWPE1731 | (2017) |
| A Discrete Choice Model For Large Heterogeneous Panels with Interactive Fixed Effects with an Application to the Determinants of Corporate Bond Issuance | Boneva, L. and Linton, O. | CWPE1703 | (2017) |
| Determinants of long-term economic growth redux: A Measurement Error Model Averaging (MEMA) approach | Doppelhofer, G., Moe Hansen, O-P. and and Weeks, M. | CWPE1702 | (2017) |
| Double-question Survey Measures for the Analysis of Financial Bubbles and Crashes | Pesaran, Hashem. and Johnsson. Ida. | CWPE1679 | (2016) |
| Econometric Analysis of Production Networks with Dominant Units | Pesaran, H. and Yang, C. F. | CWPE1678 | (2016) |
| A One-Covariate at a Time, Multiple Testing Approach to Variable Selection in High-Dimensional Linear Regression Models | Chudik, A., and Kapetanios, G. and Pesaran, Hashem | CWPE1677 | (2016) |
| Long-Run Debt Ratios with Fiscal Fatigue | Robertson, D. and Tambakis, D. | CWPE1674 | (2016) |
| A coupled component GARCH model for intraday and overnight volatility | Linton, O. and Wu, J. | CWPE1671 | (2016) |
| Estimation of a Multiplicative Covariance Structure in the Large Dimensional Case | Hafner, C. M. and Linton, O. | CWPE1664 | (2016) |
| Oil Prices and the Global Economy: Is It Different This Time Around? | Mohaddes, K. and Pesaran, M. H. | CWPE1640 | (2016) |
| Alternative Asymptotics for Cointegration Tests in Large VARs | Onatski, A. and Wang, C. | CWPE1637 | (2016) |
| Simple Nonparametric Estimators for the Bid-Ask Spread in the Roll Model | Chen, X., Linton, O. and Schneeberger, S. | CWPE1620 | (2016) |
| Big Data Analytics: A New Perspective | Chudik, A., Kapetanios, G. and Pesaran, M. H. | CWPE1611 | (2016) |
| Nonparametric Euler Equation Identification andEstimation | Escanciano, J. C., Hoderlein, S., Lewbel, A. and Linton, O. | CWPE1560 | (2015) |
| Modeling the Interactions between Volatility and Returns | Harvey, A. C. and Lange, R.-J. | CWPE1518 | (2015) |
| Volatility Modeling with a Generalized t-distribution | Harvey, A. C. and Lange, R.-J. | CWPE1517 | (2015) |
| Multivariate Variance Ratio Statistics | Hong, S. Y., Linton, O. and Zhang , H. J. | CWPE1459 | (2014) |
| The Effect of Fragmentation in Trading on Market Quality in the UK Equity
Market | Körber, L., Linton, O. and Vogt, M. | CWPE1454 | (2014) |
| The Cross-Quantilogram: Measuring Quantile Dependence and Testing Directional Predictability between Time Series | Han, H., Linton, O., Oka, T. and Whang, Y.-J. | CWPE1452 | (2014) |
| Testing against Changing Correlation | Harvey, A. C. and Thiele, S. | CWPE1439 | (2014) |
| Tests of Policy Ineffectiveness in Macroeconometrics | Pesaran, H. and Smith, R. | CWPE1415 | (2014) |
| A multiple testing approach to the regularisation of large sample correlation matrices | Bailey , N., Smith, V. and Pesaran, H. | CWPE1413 | (2014) |
| Transformed Maximum Likelihood Estimation of Short Dynamic Panel Data Models with interactive effects | Hayakawa, K., Smith, V. and Pesaran, H. | CWPE1412 | (2014) |
| Theory and Practice of GVAR Modeling | Chudik, A. and Pesaran, H. | CWPE1408 | (2014) |
| Uncertainty and Economic Activity: A Global Perspective | Pesaran, H., Cesa-Bianchi, A. and Rebucci, A. | CWPE1407 | (2014) |
| Two EGARCH models and one fat tail | Caivano, M. and Harvey, A. C. | CWPE1326 | (2013) |
| Time series models with an EGB2 conditional distribution | Caivano, M. and Harvey, A. C. | CWPE1325 | (2013) |
| IV Estimation of Panels with Factor Residuals | Robertson, D. and Sarafidis, V. | CWPE1321 | (2013) |
| Common Correlated Effects Estimation of Heterogeneous Dynamic Panel Data Models with Weakly Exogenous Regressors | Pesaran, H. and Chudik, A. | CWPE1317 | (2013) |
| The Dyanamic Location/Scale Model: with applications to intra-day financial data | Andres, P. and Harvey, A. C. | CWPE1240 | (2012) |
| EGARCH models with fat tails, skewness and leverage | Harvey, A. C. and Sucarrat, G. | CWPE1236 | (2012) |
| Robust Standard Errors in Transformed Likelihood Estimation of Dynamic Panel Models | Hayakawa, K. and Pesaran, M. | CWPE1224 | (2012) |
| Testing CAPM with a Large Number of Assets (Updated 28th March 2012) | Pesaran, M. and Yamagata, T. | CWPE1210 | (2012) |
| Testing Weak Cross-Sectional Dependence in Large Panels | Pesaran, M. H. | CWPE1208 | (2012) |
| Exponent of Cross-sectional Dependence: Estimation and Inference | Bailey, N., Kapetanios, G. and Pesaran, M. H. | CWPE1206 | (2012) |
| Optimal Forecasts in the Presence of Structural Breaks (Updated 14 November 2011) | Pesaran, M. H., Pick, A. and Pranovich, M. | CWPE1163 | (2011) |
| Business Cycle Effects of Credit and Technology Shocks in a DSGE Model with Firm Defaults | Pesaran, M. H. and Xu, T. | CWPE1159 | (2011) |
| China's Emergence in the World Economy and Business Cycles in Latin America | Cesa-Bianchi, A., Pesaran, M., Rebuccih, . A. and Xu, T. | CWPE1150 | (2011) |
| Beyond the DSGE straightjacket | Pesaran, M. and Smith, R. P. | CWPE1138 | (2011) |
| On Identification of Bayesian DSGE Models | Koop, G., Pesaran, M. H. and Smith, R. P. | CWPE1131 | (2011) |
| Principal Components Instrumental Variable Estimation | Winkelried, D. and Smith, R. J. | CWPE1119 | (2011) |
| Aggregation in Large Dynamic Panels | Pesaran, M. H. and Chudik, A. | CWPE1118 | (2011) |
| Robust Growth Determinants | Doppelhofer, G. and Weeks, M. | CWPE1117 | (2011) |
| Exponential Conditional Volatility Models | Harvey, A. C. | CWPE1040 | (2010) |
| Predictability of Asset Returns and the Efficient Market Hypothesis | Pesaran, M. H. | CWPE1033 | (2010) |
| Conditional Volatility and Correlations of Weekly Returns and the VaR Analysis of 2008 Stock Market | Pesaran , M. H. | CWPE1025 | (2010) |
| Econometric Analysis of High Dimensional VARs Featuring a Dominant Unit | Pesaran , M. H. and Chudik, A. | CWPE1024 | (2010) |
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