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Published Papers

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. Empirical Welfare Analysis for Discrete Choice: Some General Results, Quantitative Economics, forthcoming (2018)
Onatski, A. and Wang, C. Alternative Asymptotics for Cointegration Tests in Large VARs, Econometrica, forthcoming (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)
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)
Johnstone, I. M. and Onatski, A. Testing in High-dimensional Spiked Models, Annals of Statistics, forthcoming (2018)
Linton, O. and Mahmoodzadeh, S. Implications of high-frequency trading for security markets, Annual Review of Economics (2018)
Dong, C. and Linton, O. Additive nonparametric models with time variable and both stationary and nonstationary regressors, Journal of Econometrics (2018)
Harvey, A. C. and Lange, R-J. Modeling the Interactions between Volatility and Returns using EGARCH‐M, Journal of Time Series Analysis (2018)
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)
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)
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)
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)
Chen, X.,Linton, O. and Yi, Y. Semiparametric identification of the bid-ask spread in extended Roll models, Journal of Econometrics (2017)
Jochmans, K. Two-Way Models for Gravity, Review of Economics and Statistics (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. Semiparametric Analysis of Network Formation, Journal of Business and Economic Statistics, forthcoming (2017)
Parente, P.M.D.C. and Smith, R. J. Tests of Additional Conditional Moment Restrictions, Journal of Econometrics (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)
Bhattacharya, D., Kanaya, S. and Stevens, M. Are University Admissions Academically Fair?, Review of Economics and Statistics (2017)
Harvey, A. C. and Lange, R-J. Volatility Modeling with a Generalized t Distribution, Journal of Time Series Analysis (2017)
Chen, J., Degui, L., Linton, O. and Lu, Z. Semiparametric dynamic portfolio choice with multiple conditioning variables, 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)
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)
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)
Linton, O., Whang, Y.-J. and Yen, Y.-M. A nonparametric test of a strong leverage hypothesis, Journal of Econometrics (2016)
Harvey, A. C.and Thiele, S. Testing against changing correlation, Journal of Empirical Finance (2016)
Pesaran, M. H. and Chudik, A. Theory and Practice of GVAR Modeling, Journal of Economic Surveys (2016)
Jochmans, K., Henry, M. and Salanié, B. Inference on Two-Component Mixtures Under Tail Restrictions, Econometric Theory (2016)
Dhaene, G. and Jochmans, K. Likelihood Inference in an Autoregression with Fixed Effects, Econometric Theory (2016)
Bonhomme, S. and Jochmans, K. and Robin, J-M. Estimating Multivariate Latent-Structure Models, Annals of Statistics (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)
Battey, H., Feng, Q., and Smith, R. J. Improving Confidence Set Estimation when Parameters are Weakly Identified, Statistics & Probability Letters (2016)

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Econometrics Research Group




Anders Kock
(Oxford)
'TBA'
Wednesday 16th January 2019 2:00pm
Keynes Room,
Erik Hjalmarsson
(Gothenberg)
'TBA'
Wednesday 30th January 2019 2:00pm
Keynes Room,



Faculty Events




Recent Publications


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



Selected CWPE


17
03

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

18
06

Testing in High-Dimensional Spiked Models, Johnstone, I. M. and Onatski, A.

18
02

Implications of High-Frequency Trading for Security Markets, Linton, O. and Mahmoodzadeh, S.