Cambridge Working Papers in Economics

Ma, S., Linton, O. and Gao, J. Estimation and Inference in Semiparametric Quantile Factor Models, CWPErem (2019)
Ahmed, R. and Pesaran, M. H. Regional Heterogeneity and U.S. Presidential Elections, CWPE2092 (2020)
Dong, C., Gao, J., Linton, O., Peng, B. On Time Trend of COVID-19: A Panel Data Study, CWPE2065 (2020)
Escanciano, J C., Hoderlein, S., Lewbel, A., Linton, O., Srisuma, S. Nonparametric Euler Equation Identification and Estimation, CWPE2064 (2020)
Linton, O. and Tang, H. Estimation of the Kronecker Covariance Model by Quadratic Form, CWPE2050 (2020)
Jochmans, K. Heteroskedasticity-Robust Inference in Linear Regression Models with Many Covariates, CWPE2033 (2020)
Jochmans, K. Testing Random Assignment to Peer Groups, CWPE2024 (2020)
Ge, S. Text-Based Linkages and Local Risk Spillovers in the Equity Market, CWPE20115 (2020)
Ge, S. A Revisit to Sovereign Risk Contagion in Eurozone with Mutual Exciting Regime-Switching Model, CWPE20114 (2020)
Ding, Y. Weak Diffusion Limit of Real-Time GARCH Models: The Role of Current Return Information, CWPE20112 (2020)
Wu, R. and Weeks, M. A Semi-Parametric Bayesian Generalized Least Square Estimator, CWPE2011 (2020)
Pesaran, M. H. and Yang, C. F. Matching Theory and Evidence on Covid-19 using a Stochastic Network SIR Model, CWPE20102 (2020)
Christiansen, T. and Weeks, M. Distributional Aspects of Microcredit Expansions, CWPE20100 (2020)
Linton, O., Seo, M., Whang, Y-J. Testing Stochastic Dominance with Many Conditioning Variables, CWPE2004 (2020)
Onatski, A. and Wang, C. Spurious Factor Analysis, CWPE2003 (2020)
Jochmans, K., Verardi, V. Instrumental-Variable Estimation of Gravity Equations, CWPE1994 (2019)
Jochmans, K. Testing for Correlation in Error-Component Models, CWPE1993 (2019)
Zhou, W., O’Neill, E., Moncaster, A., Reiner, D., Guthrie, P. Applying Bayesian Model Averaging to Characterise Urban Residential Stock Turnover Dynamics, CWPE1986 (2019)
Zhou, W., Gao, J., Harris, D. and Kew, H. Semiparametric Single-index Predictive Regression, CWPE1981 (2019)
Harvey, A. C., Hurn, S., Thiele, S. Modeling directional (circular) time series, CWPE1971 (2019)
Dhaene, G., Jochmans, K. Profile-Score Adjustments for Incidental-Parameter Problems, CWPE1959 (2019)
Jochmans, K. Modified-Likelihood Estimation of Fixed-Effect Models for Dyadic Data, CWPE1958 (2019)
Jochmans, K. Heteroskedasticity-Robust Inference in Linear Regression Models, CWPE1957 (2019)
Jochmans, K. and Weidner, M. Inference on a distribution from noisy draws, CWPE1946 (2019)
Jochmans, K. and Verardi, V. twexp and twgravity: Estimating exponential regression models with two-way fixed effects, CWPE1945 (2019)
Jochmans, K. and Verardi, V. xtserialpm: A portmanteau test for serial correlation in a linear panel model, CWPE1944 (2019)
Jochmans, K. and Weidner, M. Fixed-Effect Regressions on Network Data, CWPE1938 (2019)
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 (2019)
Lee, L., Linton, O., Whang, Y-J. Quantilograms under Strong Dependence, CWPE1936 (2019)
Ai, C., Linton, O., Motegi, K., Zhang, Z. A Unified Framework for Efficient Estimation of General Treatment Models, CWPE1934 (2019)
Ma, S., Linton, O., Gao, J. Estimation and Inference in Semiparametric Quantile Factor Models, CWPE1933 (2019)
Cheng, T., Gao, J., Linton, O. Nonparametric Predictive Regressions for Stock Return Prediction, CWPE1932 (2019)
Koo, B., La Vecchia, D., Linton, O. Nonparametric Recovery of the Yield Curve Evolution from Cross-Section and Time Series Information, CWPE1916 (2019)
Harvey, A. C., Liao, Y. Dynamic Tobit models, CWPE1913 (2019)
Jochmans, K. Testing for Correlation in Error-Component Models, CWPE1910 (2019)
Linton, O., Xiao, Z. Efficient Estimation of Nonparametric Regression in The Presence of Dynamic Heteroskedasticity, CWPE1907 (2019)
Linton, O., Shiu, J-L. Semiparametric Nonlinear Panel Data Models with Measurement Error, CWPE1906 (2019)
Jochmans, K., Otsu, T. Likelihood Corrections for Two-way Models, CWPE1887 (2018)
Jochmans, K. A Portmanteau Test for Correlation in Short Panels, CWPE1886 (2018)
Bhattacharya, D., Dupas, P., Kanaya, S. Demand and Welfare Analysis in Discrete Choice Models under Social Interactions, CWPE1885 (2018)
Bhattacharya, D. Income Effects and Rationalizability in Multinomial Choice Models, CWPE1884 (2018)
Bhattacharya, D. The Empirical Content of Binary Choice Models, CWPE1883 (2018)
Lee, Y-Y., Bhattacharya, D. Applied Welfare Analysis for Discrete Choice with Interval-data on Income, CWPE1882 (2018)
Dong, C., Gao, J., Linton, O. High Dimensional Semiparametric Moment Restriction Models, CWPE1881 (2018)
Linton, O., Whang, Y-J., Yen, Y. The Lower Regression Function and Testing Expectation Dependence Dominance Hypotheses, CWPE1880 (2018)
Linton, O., Wu, J. A Coupled Component GARCH Model for Intraday and Overnight Volatility, CWPE1879 (2018)
Hafner, C., Linton, O., Tang, H. Estimation of a Multiplicative Correlation Structure in the Large Dimensional Case , CWPE1878 (2018)
Hong, S-Y., Linton, O. Nonparametric estimation of infinite order regression and its application to the risk-return tradeoff, CWPE1877 (2018)
Chen, J., Li, D., Linton, O. A New Semiparametric Estimation Approach for Large Dynamic Covariance Matrices with Multiple Conditioning Variables, CWPE1876 (2018)
Corrado, L., Stengos, T., Weeks, M., Ege Yazgan, M. Robust Tests for Convergence Clubs, CWPE1873 (2018)
Onatski, A. Asymptotics of the principal components estimator of large factor models with weak factors and i.i.d. Gaussian noise., CWPE1808 (2018)
Dharmawansa, P., Johnstone, I. M., and Onatski, A. Local Asymptotic Normality of the Spectrum of High-Dimensional Spiked F-Ratios, CWPE1807 (2018)
Johnstone, I. M. and Onatski, A. Testing in High-Dimensional Spiked Models, CWPE1806 (2018)
Linton, O. and Mahmoodzadeh, S. Implications of High-Frequency Trading for Security Markets, CWPE1802 (2018)
Kanaya, S., Bhattacharya, D. Uniform Convergence of Smoothed Distribution Functions with an Application to Delta Method for the Lorenz Curve, CWPE1760 (2017)
Harvey, A. C. and Thiele, S. Co-integration and Control: Assessing the Impact of Events Using Time Series Data, CWPE1731 (2017)
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 (2017)
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 (2017)
Pesaran, Hashem. and Johnsson. Ida. Double-question Survey Measures for the Analysis of Financial Bubbles and Crashes, CWPE1679 (2016)
Pesaran, H. and Yang, C. F. Econometric Analysis of Production Networks with Dominant Units , CWPE1678 (2016)
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 (2016)
Linton, O. and Wu, J. A coupled component GARCH model for intraday and overnight volatility, CWPE1671 (2016)
Hafner, C. M. and Linton, O. Estimation of a Multiplicative Covariance Structure in the Large Dimensional Case, CWPE1664 (2016)
Mohaddes, K. and Pesaran, M. H. Oil Prices and the Global Economy: Is It Different This Time Around?, CWPE1640 (2016)
Onatski, A. and Wang, C. Alternative Asymptotics for Cointegration Tests in Large VARs, CWPE1637 (2016)
Chen, X., Linton, O. and Schneeberger, S. Simple Nonparametric Estimators for the Bid-Ask Spread in the Roll Model, CWPE1620 (2016)
Chudik, A., Kapetanios, G. and Pesaran, M. H. Big Data Analytics: A New Perspective, CWPE1611 (2016)
Escanciano, J. C., Hoderlein, S., Lewbel, A. and Linton, O. Nonparametric Euler Equation Identification andEstimation, CWPE1560 (2015)
Harvey, A. C. and Lange, R.-J. Modeling the Interactions between Volatility and Returns, CWPE1518 (2015)
Harvey, A. C. and Lange, R.-J. Volatility Modeling with a Generalized t-distribution, CWPE1517 (2015)
Hong, S. Y., Linton, O. and Zhang , H. J. Multivariate Variance Ratio Statistics, CWPE1459 (2014)
Körber, L., Linton, O. and Vogt, M. The Effect of Fragmentation in Trading on Market Quality in the UK Equity Market, CWPE1454 (2014)
Han, H., Linton, O., Oka, T. and Whang, Y.-J. The Cross-Quantilogram: Measuring Quantile Dependence and Testing Directional Predictability between Time Series, CWPE1452 (2014)
Harvey, A. C. and Thiele, S. Testing against Changing Correlation, CWPE1439 (2014)
Pesaran, H. and Smith, R. Tests of Policy Ineffectiveness in Macroeconometrics, CWPE1415 (2014)
Bailey , N., Smith, V. and Pesaran, H. A multiple testing approach to the regularisation of large sample correlation matrices, CWPE1413 (2014)
Hayakawa, K., Smith, V. and Pesaran, H. Transformed Maximum Likelihood Estimation of Short Dynamic Panel Data Models with interactive effects, CWPE1412 (2014)
Chudik, A. and Pesaran, H. Theory and Practice of GVAR Modeling, CWPE1408 (2014)
Pesaran, H., Cesa-Bianchi, A. and Rebucci, A. Uncertainty and Economic Activity: A Global Perspective, CWPE1407 (2014)
Caivano, M. and Harvey, A. C. Two EGARCH models and one fat tail, CWPE1326 (2013)
Caivano, M. and Harvey, A. C. Time series models with an EGB2 conditional distribution, CWPE1325 (2013)
Robertson, D. and Sarafidis, V. IV Estimation of Panels with Factor Residuals , CWPE1321 (2013)
Pesaran, H. and Chudik, A. Common Correlated Effects Estimation of Heterogeneous Dynamic Panel Data Models with Weakly Exogenous Regressors, CWPE1317 (2013)
Andres, P. and Harvey, A. C. The Dyanamic Location/Scale Model: with applications to intra-day financial data, CWPE1240 (2012)
Harvey, A. C. and Sucarrat, G. EGARCH models with fat tails, skewness and leverage, CWPE1236 (2012)
Hayakawa, K. and Pesaran, M. Robust Standard Errors in Transformed Likelihood Estimation of Dynamic Panel Models, CWPE1224 (2012)
Pesaran, M. and Yamagata, T. Testing CAPM with a Large Number of Assets (Updated 28th March 2012), CWPE1210 (2012)
Pesaran, M. H. Testing Weak Cross-Sectional Dependence in Large Panels, CWPE1208 (2012)
Bailey, N., Kapetanios, G. and Pesaran, M. H. Exponent of Cross-sectional Dependence: Estimation and Inference, CWPE1206 (2012)
Pesaran, M. H., Pick, A. and Pranovich, M. Optimal Forecasts in the Presence of Structural Breaks (Updated 14 November 2011), CWPE1163 (2011)
Pesaran, M. H. and Xu, T. Business Cycle Effects of Credit and Technology Shocks in a DSGE Model with Firm Defaults, CWPE1159 (2011)
Cesa-Bianchi, A., Pesaran, M., Rebuccih, . A. and Xu, T. China's Emergence in the World Economy and Business Cycles in Latin America, CWPE1150 (2011)
Pesaran, M. and Smith, R. P. Beyond the DSGE straightjacket, CWPE1138 (2011)
Koop, G., Pesaran, M. H. and Smith, R. P. On Identification of Bayesian DSGE Models, CWPE1131 (2011)
Winkelried, D. and Smith, R. J. Principal Components Instrumental Variable Estimation, CWPE1119 (2011)
Pesaran, M. H. and Chudik, A. Aggregation in Large Dynamic Panels, CWPE1118 (2011)
Doppelhofer, G. and Weeks, M. Robust Growth Determinants, CWPE1117 (2011)
Harvey, A. C. Exponential Conditional Volatility Models, CWPE1040 (2010)
Pesaran, M. H. Predictability of Asset Returns and the Efficient Market Hypothesis, CWPE1033 (2010)
Pesaran , M. H. Conditional Volatility and Correlations of Weekly Returns and the VaR Analysis of 2008 Stock Market, CWPE1025 (2010)
Pesaran , M. H. and Chudik, A. Econometric Analysis of High Dimensional VARs Featuring a Dominant Unit, CWPE1024 (2010)

<< Back to Research Group