Published Papers
Oryshchenko, V. and Smith, R. J. Improved Density and Distribution Function Estimation, Electronic Journal of Statistics (2019)Linton, O. and Xiao, Z. Efficient estimation of nonparametric regression in the presence of dynamic heteroskedasticity, Journal of Econometrics (2019)
Rocha, M., Baddeley, M., Pollitt, M. and Weeks, M. Addressing self-disconnection among prepayment energy consumers: A behavioural approach, Energy Economics (2019)
Chen, J., Li, D., & Linton, O. A new semiparameteric estimation approach for large dynamic covariance matrices with multiple conditioning variables, Journal of Econometrics (2019)
Jochmans, K., and Weidner, M. Fixed-Effect Regressions on Network Data, Econometrica (2019)
Lee, Y-Y. and Bhattacharya, D. Applied welfare analysis for discrete choice with interval-data on income, Journal of Econometrics (2019)
Harvey, A. C. and Lange, R-J. Modeling the Interactions between Volatility and Returns using EGARCH‐M, Journal of Time Series Analysis (2018)
Dong, C. and Linton, O. Additive nonparametric models with time variable and both stationary and nonstationary regressors, Journal of Econometrics (2018)
Linton, O. and Mahmoodzadeh, S. Implications of high-frequency trading for security markets, Annual Review of Economics (2018)
Johnstone, I. M. and Onatski, A. Testing in High-dimensional Spiked Models, Annals of Statistics, forthcoming (2018)
Chen, J., Li, D., Linton, O., and Lu, Z. Semiparametric ultra-high dimensional model averaging of nonlinear dynamic time series, Journal of the American Statistical Association (2018)
Mitchell, J., Robertson, D. and Wright, S. R² bounds for predictive models: what univariate properties tell us about multivariate predictability, Journal of Business and Economic Statistics (2018)
Onatski, A. and Wang, C. Alternative Asymptotics for Cointegration Tests in Large VARs, Econometrica (2018)
Bhattacharya, D. Empirical Welfare Analysis for Discrete Choice: Some General Results, Quantitative Economics (2018)
Funie, A-I., Grigoras, P., Burovskiy, P., Luk, W. and Salmon, M. Run-time Reconfigurable Acceleration for Genetic Programming Fitness Evaluation in Trading Strategies, Journal of Signal Processing Systems (2018)
Harvey, A. C. and Lange, R-J. Volatility Modeling with a Generalized t Distribution, Journal of Time Series Analysis (2017)
Bhattacharya, D., Kanaya, S. and Stevens, M. Are University Admissions Academically Fair?, Review of Economics and Statistics (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, Journal of Applied Econometrics (2017)
Parente, P.M.D.C. and Smith, R. J. Tests of Additional Conditional Moment Restrictions, Journal of Econometrics (2017)
Jochmans, K. Semiparametric Analysis of Network Formation, Journal of Business and Economic Statistics (2017)
Bonhomme, S. and Jochmans, K. and Robin, J-M. Nonparametric Estimation of Non-Exchangeable Latent-Variable Models, Journal of Econometrics (2017)
Jochmans, K. Two-Way Models for Gravity, Review of Economics and Statistics (2017)
Chen, X.,Linton, O. and Yi, Y. Semiparametric identification of the bid-ask spread in extended Roll models, Journal of Econometrics (2017)
Al-Sadoon, M. M., Li, T. and Pesaran, M. H. Exponential class of dynamic binary choice panel data models with fixed effects, Econometrics Reviews (2017)
Robertson, D., Sarafidis, V. and Westerlund, J. Unit root inference in generally trending and cross-correlated fixed-T panels, Journal of Business and Economic Statistics (2017)
Vogt, M. and Linton, O. Classification of non-parametric regression functions in longitudinal data models, Journal of the Royal Statistical Society. Series B: Statistical Methodology (2017)
Hong, S.Y., Linton, O. and Zhang, H.J. An investigation into multivariate variance ratio statistics and their application to stock market predictability, Journal of Financial Econometrics (2017)
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