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Published Papers

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, forthcoming (2018)
Bhattacharya, D. Empirical Welfare Analysis for Discrete Choice: Some General Results, Quantitative Economics, forthcoming (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)
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, forthcoming (2017)
Bonhomme, S. and Jochmans, K. and Robin, J-M. Nonparametric Estimation of Non-Exchangeable Latent-Variable Models, Journal of Econometrics, forthcoming (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)
Harvey, A. C. and R-J. Lange Volatility Modelling with a Generalized t-distribution, Journal of Time Series Analysis (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)
Battey, H., Feng, Q., and Smith, R. J. Improving Confidence Set Estimation when Parameters are Weakly Identified, Statistics & Probability Letters (2016)
Bonhomme, S. and Jochmans, K. and Robin, J-M. Non-parametric Estimation of Finite Mixtures from Repeated Measurements, Journal of the Royal Statistical Society - Series B (2016)
Bonhomme, S. and Jochmans, K. and Robin, J-M. Estimating Multivariate Latent-Structure Models, Annals of Statistics (2016)
Dhaene, G. and Jochmans, K. Likelihood Inference in an Autoregression with Fixed Effects, Econometric Theory (2016)
Jochmans, K., Henry, M. and Salanié, B. Inference on Two-Component Mixtures Under Tail Restrictions, Econometric Theory (2016)
Pesaran, M. H. and Chudik, A. Theory and Practice of GVAR Modeling, Journal of Economic Surveys (2016)
Harvey, A. C.and Thiele, S. Testing against changing correlation, Journal of Empirical Finance (2016)
Linton, O., Whang, Y.-J. and Yen, Y.-M. A nonparametric test of a strong leverage hypothesis, Journal of Econometrics (2016)
Linton, O. and Wu, R. Comment on: Reflections on the probability space induced by moment conditions with implications for Bayesian Inference, Journal of Financial Econometrics (2016)
Han, H., Linton, O., Oka, T. and Whang,Y.-J. The cross-quantilogram: Measuring quantile dependence and testing directional predictability between time series, Journal of Econometrics (2016)
Caivano, M., Harvey, A. C. and Luati, A. Robust time series models with trend and seasonal components, SERIEs : Journal of the Spanish Economic Association (2016)
Chen, J., Degui, L., Linton, O. and Lu, Z. Semiparametric dynamic portfolio choice with multiple conditioning variables, Journal of Econometrics (2016)

<< Back to Research Group
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Econometrics Research Group

Yingying Li
(HKUST Business School)
'Approaching Mean-Variance Efficiency for Large Portfolios'
Wednesday 12th September 2018 2:00pm
Keynes Room,

Tim Armstrong
Wednesday 19th September 2018 2:00pm
Keynes Room,

Recent Publications

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

Latest CWPE


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


A Discrete Choice Model For Large Heterogeneous Panels with Interactive Fixed Effects with..., Boneva, L. and Linton, O.


Determinants of long-term economic growth redux: A Measurement Error Model Averaging (MEMA..., Doppelhofer, G., Moe Hansen, O-P. and and Weeks, M.