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Cambridge Working Papers in Economics

TitleAuthorsCWPE NumberYear
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, HashemCWPE1677 (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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Econometrics Research Group

Byunghoon (David) Kang
(Lancaster University)
'Inference in Nonparametric Series Estimation with Specification Searches for the Number of Series Terms'
Wednesday 25th April 2018 2:00pm
Keynes Room,
Dacheng Xiu
(Chicago Booth)
'Asset Pricing with Omitted Factors'
Wednesday 2nd May 2018 2:00pm
B4, Criminology

Faculty Events

12 Sep

Recent Publications

Onatski, A. and Wang, C. Alternative Asymptotics for Cointegration Tests in Large VARs Econometrica, forthcoming [2018]

Latest CWPE


Implications of High-Frequency Trading for Security Markets, Linton, O. and Mahmoodzadeh, S.


Local Asymptotic Normality of the Spectrum of High-Dimensional Spiked F-Ratios, Dharmawansa, P., Johnstone, I. M., and Onatski, A.


Determinants of long-term economic growth redux: A Measurement Error Model Averaging (MEMA..., Doppelhofer, G., Moe Hansen, O-P. and and Weeks, M.