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Published Papers

Hwang, S., Rubesam, A. and Salmon, M. Beta Herding Through Overconfidence: A Behavioral Explanation of the Low-Beta Anomaly, Journal of International Money and Finance (2021)
Jochmans, K. A Portmanteau Test for Serial Correlation in Short Panels, Econometric Theory, forthcoming (2020)
Jochmans, K. and Verardi, V. twexp and twgravity: Fitting Exponential Regression Models with Two-way Fixed Effects, Stata Journal (2020)
Jochmans, K. and Verardi, V. xtserialpm: A Portmanteau Test for Serial Correlation in a Linear Panel Model, Stata Journal (2020)
Jochmans, K. Heteroskedasticity-Robust Inference in Linear Regression Models with many Covariates, Journal of the American Statistical Association (2020)
Onatski, A. and Wang, C. Spurious Factor Analysis, Econometrica, forthcoming (2020)
Harvey, A. C. and Kattuman, P. A Farewell to R: Time Series Models for Tracking and Forecasting Epidemics, Covid Economics (2020)
Harvey, A. C. and Thiele, S. Co-integration and Control: Assessing the Impact of Events Using Time Series Data, Journal of Applied Econometrics, forthcoming (2020)
Bhattacharya, D. The Empirical Content of Binary Choice Models, Econometrica (2020)
Harvey, A. C. and Kattuman, P. Time Series Models Based on Growth Curves with Applications to Forecasting Coronavirus, Harvard Data Science Review (2020)
Linton, O. A coupled component DCS-EGARCH model for intraday and overnight volatility, Journal of Econometrics (2020)
Vogt, M., Linton, O. Multiscale clustering of nonparametric regression curves, Journal of Econometrics (2020)
Harvey, A. C. and Ito, R. Modeling time series when some observations are zero, Journal of Econometrics (2020)
Jochmans, K. Testing for Correlation in Error‐Component Models, Journal of Applied Econometrics (2020)
Jochmans, K. and Otsu, T. Likelihood Corrections for Two-way Models, Annals of Economics and Statistics (2019)
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)

<< Back to Research Group
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Econometrics Research Group




Tatiana Komarova
(LSE)
"tbc"
Thursday 4th March 2021 10:42am
Zoom (Econometrics Seminars)
Liudas Giraitis
()
"tbc"
Thursday 4th March 2021 10:42am
Zoom (Econometrics Seminars)



Recent Publications


Linton, O. A coupled component DCS-EGARCH model for intraday and overnight volatility Journal of Econometrics [2020]

Bhattacharya, D. The Empirical Content of Binary Choice Models Econometrica [2020]

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



Selected CWPE


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46

Inference on a distribution from noisy draws, Jochmans, K. and Weidner, M.

19
06

Semiparametric Nonlinear Panel Data Models with Measurement Error, Linton, O., Shiu, J-L.

19
58

Modified-Likelihood Estimation of Fixed-Effect Models for Dyadic Data, Jochmans, K.