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Published Papers

Harvey, A. C. and Ito, R. Modeling time series when some observations are zero, Journal of Econometrics (2020)
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)

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Econometrics Research Group




Bruno Ferman
(Sao Paolo School of Economics)
Wednesday 19th February 2020 2:00pm
Keynes Room,



Recent Publications


Jochmans, K., and Weidner, M. Fixed-Effect Regressions on Network Data Econometrica [2019]

Harvey, A. C. and Ito, R. Modeling time series when some observations are zero Journal of Econometrics [2020]

Chen, J., Li, D., & Linton, O. A new semiparameteric estimation approach for large dynamic covariance matrices with multiple conditioning variables Journal of Econometrics [2019]



Selected CWPE


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Quantilograms under Strong Dependence, Lee, L., Linton, O., Whang, Y-J.

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xtserialpm: A portmanteau test for serial correlation in a linear panel model, Jochmans, K. and Verardi, V.

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45

twexp and twgravity: Estimating exponential regression models with two-way fixed effects, Jochmans, K. and Verardi, V.