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Faculty of Economics


Estimation: General

Title AuthorsYearJEL Codes
Should We Augment Large Covariance Matrix Estimation with Auxiliary Network Information?Ge, S., Li, S., Linton, O. B., Liu, W., Su, W.[2024]C13 C58 G11
Structural Econometric Estimation of the Basic Reproduction Number for Covid-19 Across U.S. States and Selected CountriesJohnsson, I., Pesaran, M. H., Yang, C. F.[2023]C13 C33 I12 I18 J18
Estimating Time-Varying Networks for High-Dimensional Time SeriesChen, J., Li, D., Li, Y., Linton, O. B. [2022]C13 C14 C32 C38
GMM Estimation for High–Dimensional Panel Data ModelsCheng, T., Dong, C., Gao, J., Linton, O. [2022]C13 C14 C23
CCE Estimation of High-Dimensional Panel Data Models with Interactive Fixed EffectsVogt, M., Walsh, C., Linton, O.[2022]C13 C23 C55
Identification and Estimation of Categorical Random Coeficient ModelsGao, Z., Pesaran, M. H.[2022]C01 C21 C13 C46 J30
Estimation of Common Factors for Microstructure Noise and Efficient Price in a High-frequency Dual Factor ModelLi, Y-N., Chen, J. and Linton, O. [2021]C10 C13 C14 C33 C38
The Cost of Carbon Leakage: Britain’s Carbon Price Support and Cross-border Electricity TradeGuo, B. and Newbery, D.[2020]Q48 F14 D61 C13
Estimation of Spatial Sample Selection Models: A Partial Maximum Likelihood ApproachRabovic, R., Cizek, P.[2020]C13 C31 C34
Matching Theory and Evidence on Covid-19 using a Stochastic Network SIR ModelPesaran, M. H. and Yang, C. F.[2020]C13 C15 C31 D85 I18 J18
Semiparametric Single-index Predictive RegressionZhou, W., Gao, J., Harris, D. and Kew, H.[2019]C13 C14 C32 C51
Dependent Microstructure Noise and Integrated Volatility: Estimation from High-Frequency DataLi, Z. M., Laeven, R. J. A. and Vellekoop, M. H.[2019]C13 C14 C55 C58
The Impact of Unilateral Carbon Taxes on Cross-Border Electricity TradingGuo, B., Newbery, D., Gissey, G.[2019]Q48 F14 D61 C13
Nonparametric Recovery of the Yield Curve Evolution from Cross-Section and Time Series InformationKoo, B., La Vecchia, D., Linton, O.[2019]C13 C14 C22 G12
Efficient Estimation of Nonparametric Regression in The Presence of Dynamic HeteroskedasticityLinton, O., Xiao, Z.[2019]C13 C14
A New Semiparametric Estimation Approach for Large Dynamic Covariance Matrices with Multiple Conditioning VariablesChen, J., Li, D., Linton, O.[2018]C10 C13 C14 G11
Asymptotics of the principal components estimator of large factor models with weak factors and i.i.d. Gaussian noise.Onatski, A.[2018]C13 C33
Econometric Analysis of Production Networks with Dominant Units Pesaran, H. and Yang, C. F.[2016]C12 C13 C23 C67 E32
A multiple testing approach to the regularisation of large sample correlation matricesBailey , N., Smith, V. and Pesaran, H.[2014]C13,C58
Transformed Maximum Likelihood Estimation of Short Dynamic Panel Data Models with interactive effectsHayakawa, K., Smith, V. and Pesaran, H.[2014]C12 C13 C23
Robust Standard Errors in Transformed Likelihood Estimation of Dynamic Panel ModelsHayakawa, K. and Pesaran, M.[2012]C12 C13 C23
Testing Weak Cross-Sectional Dependence in Large PanelsPesaran, M. H.[2012]C12 C13 C33

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