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Published Papers

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, forthcoming (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)
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 (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)
Jochmans, K. Semiparametric Analysis of Network Formation, 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




Xu Cheng
(University of Pennsylvania)
"Macro-Finance Decoupling: Robust Evaluations of Macro Asset Pricing Models"
Sunday 29th November 2020 8:34pm
Zoom (Econometrics Seminars)



Recent Publications


Jochmans, K. and Verardi, V. xtserialpm: A Portmanteau Test for Serial Correlation in a Linear Panel Model Stata Journal [2020]

Harvey, A. C. and Kattuman, P. A Farewell to R: Time Series Models for Tracking and Forecasting Epidemics Covid Economics [2020]

Rocha, M., Baddeley, M., Pollitt, M. and Weeks, M. Addressing self-disconnection among prepayment energy consumers: A behavioural approach Energy Economics [2019]



Selected CWPE


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59

Profile-Score Adjustments for Incidental-Parameter Problems, Dhaene, G., Jochmans, K.

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16

Nonparametric Recovery of the Yield Curve Evolution from Cross-Section and Time Series Inf..., Koo, B., La Vecchia, D., Linton, O.

19
07

Efficient Estimation of Nonparametric Regression in The Presence of Dynamic Heteroskedasti..., Linton, O., Xiao, Z.