| Title | Authors | Journal | Year |
|---|
| 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. Lange | Journal 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) |
| Are university admissions academically fair? | Bhattacharya, D., Kanaya, K. and Stevens, S. | Review of Economics and 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. | forthcoming in Journal of Econometrics | (2017) |
| Semiparametric Analysis of Network Formation | Jochmans, K. | forthcoming in Journal of Business & Economic 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) |
| 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 | (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) |
| 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) |
| On Identification of Bayesian DSGE Models | Koop, G., Pesaran, M. H. and Smith, R. P. | Journal of Business and Economic Statistics | (2013) |
| Global bahadur representation for nonparametric censored regression quantiles and its applications | Kong, E., Linton, O. and Xia, Y. | Econometric Theory | (2013) |
| Testing conditional independence restrictions | Linton, O. and Gozalo, P. | Econometric Reviews | (2013) |
| Estimation of and Inference about the Expected Shortfall for Time Series with Infinite Variance | Linton, O. and Xiao, Z. | Econometric Theory | (2013) |
| Panel unit root tests in the presence of a multifactor error structure | Pesaran, M.H., Smith, L. V., Yamagata, T. | Journal of Econometrics | (2013) |
| Econometric analysis of high dimensional VARs featuring a dominant unit | Pesaran, M. H. and Chudik, A. | Econometric Reviews | (2013) |
| Aggregation in large dynamic panels | Pesaran, M. H. and Chudik, A. | Journal of Econometrics | (2013) |
| Optimal forecasts in the presence of structural breaks | Pesaran, M. H., Pick, A. and Pranovitch, M. | Journal of Econometrics | (2013) |
| Asymptotic power of sphericity tests for high-dimensional data | Onatski, A., Moreira, M. J. and Hallin, M. | Annals of Statistics | (2013) |
| Discrete choice nonresponse | Smith, R. J. and Ramalho, E. J. | Review of Economic Studies | (2013) |
| Efficient aggregation of panel qualitative survey data | Smith, R. J., Mitchell, J. and Weale, M. R. | Journal of Applied Econometrics | (2013) |
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