
Cambridge Working Papers in Economics
Ma, S., Linton, O. and Gao, J. Estimation and Inference in Semiparametric Quantile Factor Models, CWPErem
Li, M. Z. and Linton, O. Robust Estimation of Integrated Volatility, CWPE2115

Harvey, A. C. Time Series Modeling of Epidemics: Leading Indicators, Control Groups and Policy Assessment, CWPE2114

Huang, W., Linton, O., Zhang, Z. A Unified Framework for Specification Tests of Continuous Treatment Effect Models, CWPE2113

Ding, Y. Augmented Real-Time GARCH: A Joint Model for Returns, Volatility and Volatility of Volatility, CWPE2112

Palumbo, D. Testing and Modelling Time Series with Time Varying Tails, CWPE2111

Ahmed, R. and Pesaran, M. H. Regional Heterogeneity and U.S. Presidential Elections, CWPE2092

Dong, C., Gao, J., Linton, O., Peng, B. On Time Trend of COVID-19: A Panel Data Study, CWPE2065

Escanciano, J C., Hoderlein, S., Lewbel, A., Linton, O., Srisuma, S. Nonparametric Euler Equation Identification and Estimation, CWPE2064

Linton, O. and Tang, H. Estimation of the Kronecker Covariance Model by Quadratic Form, CWPE2050

Jochmans, K. Heteroskedasticity-Robust Inference in Linear Regression Models with Many Covariates, CWPE2033

Jochmans, K. Testing Random Assignment to Peer Groups, CWPE2024

Anderson, G., Linton, O., Pittau, M G., Whang, Y-J., Zelli, R. On Unit Free Assessment of The Extent of Multilateral Distributional Variation, CWPE20123

Lee, K., Linton, O., Whang, Y-J. Testing for Time Stochastic Dominance, CWPE20121

Ge, S. Text-Based Linkages and Local Risk Spillovers in the Equity Market, CWPE20115

Ge, S. A Revisit to Sovereign Risk Contagion in Eurozone with Mutual Exciting Regime-Switching Model, CWPE20114

Ding, Y. Weak Diffusion Limits of Two Real-Time GARCH-type Models, CWPE20112

Wu, R. and Weeks, M. A Semi-Parametric Bayesian Generalized Least Square Estimator, CWPE2011

Pesaran, M. H. and Yang, C. F. Matching Theory and Evidence on Covid-19 using a Stochastic Network SIR Model, CWPE20102

Christiansen, T. and Weeks, M. Distributional Aspects of Microcredit Expansions, CWPE20100

Linton, O., Seo, M., Whang, Y-J. Testing Stochastic Dominance with Many Conditioning Variables, CWPE2004

Onatski, A. and Wang, C. Spurious Factor Analysis, CWPE2003

Jochmans, K., Verardi, V. Instrumental-Variable Estimation of Gravity Equations, CWPE1994

Jochmans, K. Testing for Correlation in Error-Component Models, CWPE1993

Zhou, W., Gao, J., Harris, D. and Kew, H. Semiparametric Single-index Predictive Regression, CWPE1981

Harvey, A. C., Hurn, S., Thiele, S. Modeling directional (circular) time series, CWPE1971

Dhaene, G., Jochmans, K. Profile-Score Adjustments for Incidental-Parameter Problems, CWPE1959

Jochmans, K. Modified-Likelihood Estimation of Fixed-Effect Models for Dyadic Data, CWPE1958

Jochmans, K. Heteroskedasticity-Robust Inference in Linear Regression Models, CWPE1957

Jochmans, K. and Weidner, M. Inference on a distribution from noisy draws, CWPE1946

Jochmans, K. and Verardi, V. twexp and twgravity: Estimating exponential regression models with two-way fixed effects, CWPE1945

Jochmans, K. and Verardi, V. xtserialpm: A portmanteau test for serial correlation in a linear panel model, CWPE1944

Jochmans, K. and Weidner, M. Fixed-Effect Regressions on Network Data, CWPE1938

Boneva, L., Elliott, D., Kaminska, I., Linton, O., McLaren, N., Morley, B. The Impact of QE on Liquidity: Evidence from the UK Corporate Bond Purchase Scheme, CWPE1937

Lee, L., Linton, O., Whang, Y-J. Quantilograms under Strong Dependence, CWPE1936

Ai, C., Linton, O., Motegi, K., Zhang, Z. A Unified Framework for Efficient Estimation of General Treatment Models, CWPE1934

Ma, S., Linton, O., Gao, J. Estimation and Inference in Semiparametric Quantile Factor Models, CWPE1933

Cheng, T., Gao, J., Linton, O. Nonparametric Predictive Regressions for Stock Return Prediction, CWPE1932

Koo, B., La Vecchia, D., Linton, O. Nonparametric Recovery of the Yield Curve Evolution from Cross-Section and Time Series Information, CWPE1916

Harvey, A. C., Liao, Y. Dynamic Tobit models, CWPE1913

Jochmans, K. Testing for Correlation in Error-Component Models, CWPE1910

Linton, O., Xiao, Z. Efficient Estimation of Nonparametric Regression in The Presence of Dynamic Heteroskedasticity, CWPE1907

Linton, O., Shiu, J-L. Semiparametric Nonlinear Panel Data Models with Measurement Error, CWPE1906

Jochmans, K., Otsu, T. Likelihood Corrections for Two-way Models, CWPE1887

Jochmans, K. A Portmanteau Test for Correlation in Short Panels, CWPE1886

Bhattacharya, D., Dupas, P., Kanaya, S. Demand and Welfare Analysis in Discrete Choice Models under Social Interactions, CWPE1885

Bhattacharya, D. Income Effects and Rationalizability in Multinomial Choice Models, CWPE1884

Bhattacharya, D. The Empirical Content of Binary Choice Models, CWPE1883

Lee, Y-Y., Bhattacharya, D. Applied Welfare Analysis for Discrete Choice with Interval-data on Income, CWPE1882

Dong, C., Gao, J., Linton, O. High Dimensional Semiparametric Moment Restriction Models, CWPE1881

Linton, O., Whang, Y-J., Yen, Y. The Lower Regression Function and Testing Expectation Dependence Dominance Hypotheses, CWPE1880

Linton, O., Wu, J. A Coupled Component GARCH Model for Intraday and Overnight Volatility, CWPE1879

Hafner, C., Linton, O., Tang, H. Estimation of a Multiplicative Correlation Structure in the Large Dimensional Case , CWPE1878

Hong, S-Y., Linton, O. Nonparametric estimation of infinite order regression and its application to the risk-return tradeoff, CWPE1877

Chen, J., Li, D., Linton, O. A New Semiparametric Estimation Approach for Large Dynamic Covariance Matrices with Multiple Conditioning Variables, CWPE1876

Corrado, L., Stengos, T., Weeks, M., Ege Yazgan, M. Robust Tests for Convergence Clubs, CWPE1873

Onatski, A. Asymptotics of the principal components estimator of large factor models with weak factors and i.i.d. Gaussian noise., CWPE1808

Dharmawansa, P., Johnstone, I. M., and Onatski, A. Local Asymptotic Normality of the Spectrum of High-Dimensional Spiked F-Ratios, CWPE1807

Johnstone, I. M. and Onatski, A. Testing in High-Dimensional Spiked Models, CWPE1806

Linton, O. and Mahmoodzadeh, S. Implications of High-Frequency Trading for Security Markets, CWPE1802

Kanaya, S., Bhattacharya, D. Uniform Convergence of Smoothed Distribution Functions with an Application to Delta Method for the Lorenz Curve, CWPE1760

Harvey, A. C. and Thiele, S. Co-integration and Control: Assessing the Impact of Events Using Time Series Data, CWPE1731

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, 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, CWPE1702

Pesaran, Hashem. and Johnsson. Ida. Double-question Survey Measures for the Analysis of Financial Bubbles and Crashes, CWPE1679

Pesaran, H. and Yang, C. F. Econometric Analysis of Production Networks with Dominant Units , 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, CWPE1677

Linton, O. and Wu, J. A coupled component GARCH model for intraday and overnight volatility, CWPE1671

Hafner, C. M. and Linton, O. Estimation of a Multiplicative Covariance Structure in the Large Dimensional Case, CWPE1664

Mohaddes, K. and Pesaran, M. H. Oil Prices and the Global Economy: Is It Different This Time Around?, CWPE1640

Onatski, A. and Wang, C. Alternative Asymptotics for Cointegration Tests in Large VARs, CWPE1637

Chen, X., Linton, O. and Schneeberger, S. Simple Nonparametric Estimators for the Bid-Ask Spread in the Roll Model, CWPE1620

Chudik, A., Kapetanios, G. and Pesaran, M. H. Big Data Analytics: A New Perspective, CWPE1611

Escanciano, J. C., Hoderlein, S., Lewbel, A. and Linton, O. Nonparametric Euler Equation Identification andEstimation, CWPE1560

Harvey, A. C. and Lange, R.-J. Modeling the Interactions between Volatility and Returns, CWPE1518

Harvey, A. C. and Lange, R.-J. Volatility Modeling with a Generalized t-distribution, CWPE1517

Hong, S. Y., Linton, O. and Zhang , H. J. Multivariate Variance Ratio Statistics, CWPE1459

Körber, L., Linton, O. and Vogt, M. The Effect of Fragmentation in Trading on Market Quality in the UK Equity Market, CWPE1454

Han, H., Linton, O., Oka, T. and Whang, Y.-J. The Cross-Quantilogram: Measuring Quantile Dependence and Testing Directional Predictability between Time Series, CWPE1452

Harvey, A. C. and Thiele, S. Testing against Changing Correlation, CWPE1439

Pesaran, H. and Smith, R. Tests of Policy Ineffectiveness in Macroeconometrics, CWPE1415

Bailey , N., Smith, V. and Pesaran, H. A multiple testing approach to the regularisation of large sample correlation matrices, CWPE1413

Hayakawa, K., Smith, V. and Pesaran, H. Transformed Maximum Likelihood Estimation of Short Dynamic Panel Data Models with interactive effects, CWPE1412

Chudik, A. and Pesaran, H. Theory and Practice of GVAR Modeling, CWPE1408

Pesaran, H., Cesa-Bianchi, A. and Rebucci, A. Uncertainty and Economic Activity: A Global Perspective, CWPE1407

Caivano, M. and Harvey, A. C. Two EGARCH models and one fat tail, CWPE1326

Caivano, M. and Harvey, A. C. Time series models with an EGB2 conditional distribution, CWPE1325

Robertson, D. and Sarafidis, V. IV Estimation of Panels with Factor Residuals , CWPE1321

Pesaran, H. and Chudik, A. Common Correlated Effects Estimation of Heterogeneous Dynamic Panel Data Models with Weakly Exogenous Regressors, CWPE1317

Andres, P. and Harvey, A. C. The Dyanamic Location/Scale Model: with applications to intra-day financial data, CWPE1240

Harvey, A. C. and Sucarrat, G. EGARCH models with fat tails, skewness and leverage, CWPE1236

Hayakawa, K. and Pesaran, M. Robust Standard Errors in Transformed Likelihood Estimation of Dynamic Panel Models, CWPE1224

Pesaran, M. and Yamagata, T. Testing CAPM with a Large Number of Assets (Updated 28th March 2012), CWPE1210

Pesaran, M. H. Testing Weak Cross-Sectional Dependence in Large Panels, CWPE1208

Bailey, N., Kapetanios, G. and Pesaran, M. H. Exponent of Cross-sectional Dependence: Estimation and Inference, CWPE1206

Pesaran, M. H., Pick, A. and Pranovich, M. Optimal Forecasts in the Presence of Structural Breaks (Updated 14 November 2011), CWPE1163

Pesaran, M. H. and Xu, T. Business Cycle Effects of Credit and Technology Shocks in a DSGE Model with Firm Defaults, CWPE1159

Cesa-Bianchi, A., Pesaran, M., Rebuccih, . A. and Xu, T. China's Emergence in the World Economy and Business Cycles in Latin America, CWPE1150

Pesaran, M. and Smith, R. P. Beyond the DSGE straightjacket, CWPE1138

Koop, G., Pesaran, M. H. and Smith, R. P. On Identification of Bayesian DSGE Models, CWPE1131

Winkelried, D. and Smith, R. J. Principal Components Instrumental Variable Estimation, CWPE1119

Pesaran, M. H. and Chudik, A. Aggregation in Large Dynamic Panels, CWPE1118

Doppelhofer, G. and Weeks, M. Robust Growth Determinants, CWPE1117

Harvey, A. C. Exponential Conditional Volatility Models, CWPE1040

Pesaran, M. H. Predictability of Asset Returns and the Efficient Market Hypothesis, CWPE1033

Pesaran , M. H. Conditional Volatility and Correlations of Weekly Returns and the VaR Analysis of 2008 Stock Market, CWPE1025

Pesaran , M. H. and Chudik, A. Econometric Analysis of High Dimensional VARs Featuring a Dominant Unit, CWPE1024

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