skip to content

Published Papers

TitleAuthorsJournalYear
Empirical Welfare Analysis for Discrete Choice: Some General Results Bhattacharya, D.Quantitative Economcs, forthcoming (2018)
Alternative Asymptotics for Cointegration Tests in Large VARs Onatski, A. and Wang, C. Econometrica, forthcoming (2018)
An investigation into multivariate variance ratio statistics and their application to stock market predictability Hong, S.Y., Linton, O. and Zhang, H.J.Journal of Financial Econometrics (2017)
Volatility Modelling with a Generalized t-distribution Harvey, A. C. and R-J. LangeJournal of Time Series Analysis (2017)
Run-time Reconfigurable Acceleration for Genetic Programming Fitness Evaluation in Trading Strategies Funie, A-I., Grigoras, P., Burovskiy, P., Luk, W. and Salmon, M.Journal of Signal Processing Systems (2017)
Classification of non-parametric regression functions in longitudinal data models Vogt, M. and Linton, O.Journal of the Royal Statistical Society. Series B: Statistical Methodology (2017)
Unit root inference in generally trending and cross-correlated fixed-T panels Robertson, D., Sarafidis, V. and Westerlund, J.Journal of Business and Economic Statistics (2017)
Exponential class of dynamic binary choice panel data models with fixed effects Al-Sadoon, M. M., Li, T. and Pesaran, M. H.Econometrics Reviews, (2017)
Semiparametric identification of the bid-ask spread in extended Roll models Chen, X.,Linton, O. and Yi, Y.Journal of Econometrics (2017)
Two-Way Models for Gravity Jochmans, K. Review of Economics and Statistics (2017)
Nonparametric Estimation of Non-Exchangeable Latent-Variable Models Bonhomme, S. and Jochmans, K. and Robin, J-M.Journal of Econometrics, forthcoming (2017)
Semiparametric Analysis of Network Formation Jochmans, K. Journal of Business & Economic Statistics, forthcoming (2017)
Tests of Additional Conditional Moment Restrictions Parente, P.M.D.C. and Smith, R. J.Journal of Econometrics (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.Journal of Applied Econometrics (2017)
Two-way models for gravity Jochmans, K.Review of Economics and Statistics (2017)
Are University Admissions Academically Fair? Bhattacharya, D., Kanaya, S. and Stevens, M.Review of Economics and Statistics (2017)
Semiparametric dynamic portfolio choice with multiple conditioning variables Chen, J., Degui, L., Linton, O. and Lu, Z.Journal of Econometrics (2016)
Robust time series models with trend and seasonal components Caivano, M., Harvey, A. C. and Luati, A. SERIEs : Journal of the Spanish Economic Association (2016)
The cross-quantilogram: Measuring quantile dependence and testing directional predictability between time series Han, H., Linton, O., Oka, T. and Whang,Y.-J.Journal of Econometrics (2016)
Comment on: Reflections on the probability space induced by moment conditions with implications for Bayesian Inference Linton, O. and Wu, R.Journal of Financial Econometrics (2016)
A nonparametric test of a strong leverage hypothesis Linton, O., Whang, Y.-J. and Yen, Y.-M.Journal of Econometrics (2016)
Testing against changing correlation Harvey, A. C.and Thiele, S.Journal of Empirical Finance (2016)
Theory and Practice of GVAR Modeling Pesaran, M. H. and Chudik, A.Journal of Economic Surveys (2016)
Inference on Two-Component Mixtures Under Tail Restrictions Jochmans, K., Henry, M. and Salanié, B.Econometric Theory (2016)
Likelihood Inference in an Autoregression with Fixed Effects Dhaene, G. and Jochmans, K.Econometric Theory (2016)
Estimating Multivariate Latent-Structure Models Bonhomme, S. and Jochmans, K. and Robin, J-M.Annals of Statistics (2016)
Non-parametric Estimation of Finite Mixtures from Repeated Measurements Bonhomme, S. and Jochmans, K. and Robin, J-M.Journal of the Royal Statistical Society - Series B (2016)
Improving Confidence Set Estimation when Parameters are Weakly Identified Battey, H., Feng, Q., and Smith, R. J.Statistics & Probability Letters (2016)
Let's get lade: robust estimation of semiparametric multiplicative volatility models Koo, B., and Linton, O.Econometric Theory (2015)
IV estimation of panels with factor residuals Robertson, D. and Sarafidis, V.Journal of Econometrics (2015)
Asymptotic analysis of the squared estimation error in misspecified factor models Onatski, A.Journal of Econometrics (2015)
A semiparametric model for heterogeneous panel data with fixed effects Boneva, L., Linton, O. and Vogt, M.Journal of Econometrics (2015)
The effect of fragmentation in trading on market quality in the UK equity market Boneva, L., Linton, O. and Vogt, M.Journal of Applied Econometrics (2015)
A flexible semiparametric forecasting model for time series Li, D., Linton, O. and Lu, Z.Journal of Econometrics (2015)
Leverage constraints and real interest rates Isohatala, J., Kusmartsev, F., Milne, A. and Robertson, D.Manchester School (2015)
Nonparametric welfare analysis for discrete choice Bhattacharya, D.Econometrica (2015)
Estimating the quadratic covariation matrix for asynchronously observed high frquency stock returns corrupted by additive measurement error Park,S., Hong, S.Y. and Linton,O.Journal of Econometrics (2015)
Split-panel Jackknife Estimation of Fixed-Effect Models Dhaene, G. and Jochmans, K.Review of Economic Studies (2015)
Multiplicative-Error Models with Sample Selection Jochmans, K. Journal of Econometrics (2015)
Neglected heterogeneity in moment condition models Smith, R. J., Hahn, J. and Newey, W. K.Journal of Econometrics (2014)
Recent developments in empirical likelihood and related methods Parente, P.M.D.C. and Smith, R.J.Annual Review of Economics (2014)
Time series models with an EGB2 conditional distribution Caivano, M. and Harvey, A. C.Journal of Time Series Analysis (2014)
Filtering with heavy tails Harvey, A. C. and Luati, A.Journal of the American Statistical Association (2014)
EGARCH models with fat tails, skewness and leverage Harvey, A. C. and Sucarrat, G.Computational Statistics & Data Analysis (2014)
Advances in robust and flexible inference in econometrics: a special issue in honour of Joel I. Horowitz Chen, X.,Lee, S., Linton, O. and Tamer, E.Econometrics Journal (2014)
Averaging of an increasing number of moment condition estimators Chen, X., Jacho-Chavez, D.T. and Linton, O.Econometric Theory (2014)
Signal Detection in High Dimension: The Multispiked Case Onatski, A., Moreira, M. J. and Hallin, M.The Annals of Statistics (2014)
<< Back to Research Group

Econometrics Research Group




Matt Harding
(University of California)
'TBA'
Wednesday 6th June 2018 2:00pm
Keynes Room,
Rasmus Pedersen
(University of Copenhagen)
'TBA'
Wednesday 30th May 2018 2:00pm
Keynes Room,



Faculty Events



12 Sep




Recent Publications


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



Latest CWPE


17
31

Co-integration and control: assessing the impact of events using time series data, Harvey, A. and Thiele, S.

18
08

Asymptotics of the principal components estimator of large factor models with weak factors..., Onatski, A.

18
06

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