
Cambridge Working Papers in Economics
Ma, S., Linton, O. and Gao, J. Estimation and Inference in Semiparametric Quantile Factor Models, CWPErem
Hong, Y., Linton, O. B., McCabe, B., Sun, J., Wang, S. Kolmogorov-Smirnov Type Testing for Structural Breaks: A New Adjusted-Range Based Self-Normalization Approach, CWPE2367

Jian, L., Linton, O. B., Tang, H., Zhang, Y. Improving Estimation Efficiency via Regression-Adjustment in Covariate-Adaptive Randomizations with Imperfect Compliance, CWPE2366

Pesaran, M. H., Yang, L. Trimmed Mean Group Estimation of Average Treatment Effects in Ultra Short T Panels under Correlated Heterogeneity, CWPE2364

Johnsson, I., Pesaran, M. H., Yang, C. F. Structural Econometric Estimation of the Basic Reproduction Number for Covid-19 Across U.S. States and Selected Countries, CWPE2360

Pesaran, M. H., Yang, L. Heterogeneous Autoregressions in Short T Panel Data Models, CWPE2342

Pesaran, M. H., Smith, R. P. The Role of Pricing Errors in Linear Asset Pricing Models with Strong, Semi-strong, and Latent Factors, CWPE2317

Im, K S., Pesaran, M. H., Shin, Y. Reflections on "Testing for Unit Roots in Heterogeneous Panels", CWPE2310

Bachmair, K. The Effects of the LIBOR Scandal on Volatility and Liquidity in LIBOR Futures Markets, CWPE2303

Chen, J., Li, D., Li, Y., Linton, O. B. Estimating Time-Varying Networks for High-Dimensional Time Series, CWPE2273

Linton, O. B., Xu, E. Auditing the Auditors: An evaluation of the REF2021 Output Results, CWPE2266

Ashby, M., Linton, O. B. Do consumption-based asset pricing models explain the dynamics of stock market returns?, CWPE2259

Cheng, T., Dong, C., Gao, J., Linton, O. GMM Estimation for High–Dimensional Panel Data Models, CWPE2245

Vogt, M., Walsh, C., Linton, O. CCE Estimation of High-Dimensional Panel Data Models with Interactive Fixed Effects, CWPE2242

Gao, J., Linton, O., Peng, B. A Nonparametric Panel Model for Climate Data with Seasonal and Spatial Variation, CWPE2239

Bhattacharya, D., Shvets, J. Inferring the Performance Diversity Trade-Off in University Admissions: Evidence from Cambridge, CWPE2238

Linton, O. B., Tang, H., Wu, J. A Structural Dynamic Factor Model for Daily Global Stock Market Returns, CWPE2237

Chudik, A., Pesaran, M. H., Rebucci, A. Social Distancing, Vaccination and Evolution of COVID-19 Transmission Rates in Europe, CWPE2230

Gao, Z., Pesaran, M. H. Identification and Estimation of Categorical Random Coeficient Models, CWPE2228

Cun, W., Pesaran, M. H. A Spatiotemporal Equilibrium Model of Migration and Housing Interlinkages, CWPE2225

Nocera, A., Pesaran, M. H. Causal effects of the Fed's large-scale asset purchases on firms' capital structure, CWPE2224

Pesaran, M. H., Pick, A., Timmermann, A. Forecasting with panel data: estimation uncertainty versus parameter heterogeneity, CWPE2219

Bu, R., Li, D., Linton, O., Wang, H. Nonparametric Estimation of Large Spot Volatility Matrices for High-Frequency Financial Data, CWPE2218

Chudik, A., Pesaran, M. H. and Smith, R. P. Revisiting the Great Ratios Hypothesis, CWPE2215

Hafner, C. M., Linton, O. B. and Wang, L. Dynamic Autoregressive Liquidity (DArLiQ), CWPE2214

Mohaddes, K., Ng, R. N. C., Pesaran, M. H., Raissi, M. and Yang, J-C. Climate Change and Economic Activity: Evidence from U.S. States, CWPE2205

Menkveld, A., Dreber, A., Holzmeister, F., Huber, J., Johannesson, M., Kirchler, M., Neusüss, S., Razen, M., Weitzel, U., Linton, O. Non-Standard Errors, CWPE2182

Ding, Y. Conditional Heteroskedasticity in the Volatility of Asset Returns, CWPE2179

Pesaran, M. H. and Xie, Y. A Bias-Corrected CD Test for Error Cross-Sectional Dependence in Panel Data Models with Latent Factors, CWPE2158

Laudati, D. and Pesaran, M. H. Identifying the Effects of Sanctions on the Iranian Economy using Newspaper Coverage, CWPE2155

Li, Y-N., Chen, J. and Linton, O. Estimation of Common Factors for Microstructure Noise and Efficient Price in a High-frequency Dual Factor Model, CWPE2150

Chung, D., Linton, O. and Whang Y-J. Consistent Testing for an Implication of Supermodular Dominance, CWPE2134

Harvey, A. Score-Driven Time Series Models, CWPE2133

Harvey, A. and Palumbo, D. Regime Switching Models for Directional and Linear Observations, CWPE2123

Li, M. Z. and Linton, O. Robust Estimation of Integrated and Spot Volatility, CWPE2115

Harvey, A. C. Time Series Modeling of Epidemics: Leading Indicators, Control Groups and Policy Assessment, CWPE2114

Huang, W., Linton, O., Zhang, Z. A Unified Framework for Specification Tests of Continuous Treatment Effect Models, CWPE2113

Ding, Y. Augmented Real-Time GARCH: A Joint Model for Returns, Volatility and Volatility of Volatility, CWPE2112

Palumbo, D. Testing and Modelling Time Series with Time Varying Tails, CWPE2111

Ahmed, R. and Pesaran, M. H. Regional Heterogeneity and U.S. Presidential Elections, CWPE2092

Chudik, A., Mohaddes, K., Pesaran, M. H., Raissi, M. and Rebucci, A. A Counterfactual Economic Analysis of Covid-19 Using a Threshold Augmented Multi-Country Model, CWPE2088

Dong, C., Gao, J., Linton, O., Peng, B. On Time Trend of COVID-19: A Panel Data Study, CWPE2065

Escanciano, J C., Hoderlein, S., Lewbel, A., Linton, O., Srisuma, S. Nonparametric Euler Equation Identification and Estimation, CWPE2064

Ge, S., Li, S. and Linton, O. A Dynamic Network of Arbitrage Characteristics, CWPE2060

Linton, O. and Tang, H. Estimation of the Kronecker Covariance Model by Quadratic Form, CWPE2050

Li, S. and Linton, O. When will the Covid-19 pandemic peak?, CWPE2025

Anderson, G., Linton, O., Pittau, M G., Whang, Y-J., Zelli, R. On Unit Free Assessment of The Extent of Multilateral Distributional Variation, CWPE20123

Lee, K., Linton, O., Whang, Y-J. Testing for Time Stochastic Dominance, CWPE20121

Ding, Y. Diffusion Limits of Real-Time GARCH, CWPE20112

Wu, R. and Weeks, M. A Semi-Parametric Bayesian Generalized Least Square Estimator, CWPE2011

Connor, G., Li, S., Linton, O. A Dynamic Semiparametric Characteristics-based Model for Optimal Portfolio Selection, CWPE20103

Pesaran, M. H. and Yang, C. F. Matching Theory and Evidence on Covid-19 using a Stochastic Network SIR Model, CWPE20102

Christiansen, T. and Weeks, M. Distributional Aspects of Microcredit Expansions, CWPE20100

Linton, O., Seo, M., Whang, Y-J. Testing Stochastic Dominance with Many Conditioning Variables, CWPE2004

Onatski, A. and Wang, C. Spurious Factor Analysis, CWPE2003

Harvey, A. C., Hurn, S., Thiele, S. Modeling directional (circular) time series, CWPE1971

Kahn, M. E., Mohaddes, K., Ng, R. N. C., Pesaran, M. H., Raissi, M. and Yang, J-C. Long-Term Macroeconomic Effects of Climate Change: A Cross-Country Analysis, CWPE1965

Harvey, A. C. and Palumbo, D. Score-Driven Models for Realized Volatility, CWPE1950

Boneva, L., Elliott, D., Kaminska, I., Linton, O., McLaren, N. and Morley, B. The Impact of Corporate QE on Liquidity: Evidence from the UK, CWPE1937

Lee, L., Linton, O., Whang, Y-J. Quantilograms under Strong Dependence, CWPE1936

Ai, C., Linton, O., Motegi, K., Zhang, Z. A Unified Framework for Efficient Estimation of General Treatment Models, CWPE1934

Ma, S., Linton, O., Gao, J. Estimation and Inference in Semiparametric Quantile Factor Models, CWPE1933

Cheng, T., Gao, J., Linton, O. Nonparametric Predictive Regressions for Stock Return Prediction, CWPE1932

Koo, B., La Vecchia, D., Linton, O. Nonparametric Recovery of the Yield Curve Evolution from Cross-Section and Time Series Information, CWPE1916

Harvey, A. C., Liao, Y. Dynamic Tobit models, CWPE1913

Merrick Li, Z. and Linton, O. A ReMeDI for Microstructure Noise, CWPE1908

Linton, O., Xiao, Z. Efficient Estimation of Nonparametric Regression in The Presence of Dynamic Heteroskedasticity, CWPE1907

Linton, O., Shiu, J-L. Semiparametric Nonlinear Panel Data Models with Measurement Error, CWPE1906

Bhattacharya, D., Dupas, P., Kanaya, S. Demand and Welfare Analysis in Discrete Choice Models with Social Interactions, CWPE1885

Bhattacharya, D. Income Effects and Rationalizability in Multinomial Choice Models, CWPE1884

Bhattacharya, D. The Empirical Content of Binary Choice Models, CWPE1883

Lee, Y-Y., Bhattacharya, D. Applied Welfare Analysis for Discrete Choice with Interval-data on Income, CWPE1882

Dong, C., Gao, J., Linton, O. High Dimensional Semiparametric Moment Restriction Models, CWPE1881

Linton, O., Whang, Y-J., Yen, Y. The Lower Regression Function and Testing Expectation Dependence Dominance Hypotheses, CWPE1880

Linton, O. and Wu, J. A Coupled Component GARCH Model for Intraday and Overnight Volatility, CWPE1879

Hafner, C., Linton, O., Tang, H. Estimation of a Multiplicative Correlation Structure in the Large Dimensional Case , CWPE1878

Hong, S-Y., Linton, O. Nonparametric estimation of infinite order regression and its application to the risk-return tradeoff, CWPE1877

Chen, J., Li, D., Linton, O. A New Semiparametric Estimation Approach for Large Dynamic Covariance Matrices with Multiple Conditioning Variables, CWPE1876

Chudik, A.,Pesaran, H., Mohaddes, K. Identifying Global and National Output and Fiscal Policy Shocks Using a GVAR, CWPE1874

Corrado, L., Stengos, T., Weeks, M., Ege Yazgan, M. Robust Tests for Convergence Clubs, CWPE1873

O'Neill, E., Weeks, M. Causal Tree Estimation of Heterogeneous Household Response to Time-Of-Use Electricity Pricing Schemes, CWPE1865

Onatski, A. Asymptotics of the principal components estimator of large factor models with weak factors and i.i.d. Gaussian noise., CWPE1808

Dharmawansa, P., Johnstone, I. M., and Onatski, A. Local Asymptotic Normality of the Spectrum of High-Dimensional Spiked F-Ratios, CWPE1807

Johnstone, I. M. and Onatski, A. Testing in High-Dimensional Spiked Models, CWPE1806

Onatski, A. and Wang, C. Extreme canonical correlations and high-dimensional cointegration analysis, CWPE1805

Linton, O. and Mahmoodzadeh, S. Implications of High-Frequency Trading for Security Markets, CWPE1802

Kanaya, S., Bhattacharya, D. Uniform Convergence of Smoothed Distribution Functions with an Application to Delta Method for the Lorenz Curve, CWPE1760

Auld, T. and Linton, O. The Behaviour of Betting and Currency Markets on the Night of the EU Referendum, CWPE1750

Harvey, A. C. and Thiele, S. Co-integration and Control: Assessing the Impact of Events Using Time Series Data, CWPE1731

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, CWPE1703

Doppelhofer, G., Moe Hansen, O-P. and and Weeks, M. Determinants of long-term economic growth redux: A Measurement Error Model Averaging (MEMA) approach, CWPE1702

Pesaran, Hashem. and Johnsson. Ida. Double-question Survey Measures for the Analysis of Financial Bubbles and Crashes, CWPE1679

Pesaran, H. and Yang, C. F. Econometric Analysis of Production Networks with Dominant Units , CWPE1678

Chudik, A., and Kapetanios, G. and Pesaran, Hashem A One-Covariate at a Time, Multiple Testing Approach to Variable Selection in High-Dimensional Linear Regression Models, CWPE1677

Robertson, D. and Tambakis, D. Long-Run Debt Ratios with Fiscal Fatigue, CWPE1674

Linton, O. and Wu, J. A coupled component GARCH model for intraday and overnight volatility, CWPE1671

Hafner, C. M. and Linton, O. Estimation of a Multiplicative Covariance Structure in the Large Dimensional Case, CWPE1664

Mohaddes, K. and Pesaran, M. H. Oil Prices and the Global Economy: Is It Different This Time Around?, CWPE1640

Onatski, A. and Wang, C. Alternative Asymptotics for Cointegration Tests in Large VARs, CWPE1637

Chen, X., Linton, O. and Schneeberger, S. Simple Nonparametric Estimators for the Bid-Ask Spread in the Roll Model, CWPE1620

Chudik, A., Kapetanios, G. and Pesaran, M. H. Big Data Analytics: A New Perspective, CWPE1611

Escanciano, J. C., Hoderlein, S., Lewbel, A. and Linton, O. Nonparametric Euler Equation Identification and Estimation, CWPE1560

Hong, S. Y., Linton, O. and Zhang, H. J. An investigation into Multivariate Variance Ratio Statistics and their application to Stock Market Predictability, CWPE1552

Chudik, A., Mohaddes, K., Pesaran, M. H. and Raissi, M. Is There a Debt-threshold Effect on Output Growth?, CWPE1520

Harvey, A. C. and Lange, R.-J. Modeling the Interactions between Volatility and Returns, CWPE1518

Harvey, A. C. and Lange, R.-J. Volatility Modeling with a Generalized t-distribution, CWPE1517

Mohaddes, K. and Pesaran, M. Country-Specific Oil Supply Shocks and the Global Economy: A Counterfactual Analysis, CWPE1516

Chudik, A., Mohaddes, K., Pesaran, M. H. and Raissi, M. Long-Run Effects in Large Heterogenous Panel Data Models with Cross-Sectionally Correlated Errors, CWPE1501

Hong, S. Y., Linton, O. and Zhang , H. J. Multivariate Variance Ratio Statistics, CWPE1459

Körber, L., Linton, O. and Vogt, M. The Effect of Fragmentation in Trading on Market Quality in the UK Equity Market, CWPE1454

Han, H., Linton, O., Oka, T. and Whang, Y.-J. The Cross-Quantilogram: Measuring Quantile Dependence and Testing Directional Predictability between Time Series, CWPE1452

Harvey, A. C. and Thiele, S. Testing against Changing Correlation, CWPE1439

Pesaran, H. and Smith, R. Tests of Policy Ineffectiveness in Macroeconometrics, CWPE1415

Bailey , N., Smith, V. and Pesaran, H. A multiple testing approach to the regularisation of large sample correlation matrices, CWPE1413

Hayakawa, K., Smith, V. and Pesaran, H. Transformed Maximum Likelihood Estimation of Short Dynamic Panel Data Models with interactive effects, CWPE1412

Iyer, S., Velu, C. and Weeks, M. Divine Competition: Religious Organisations and Service Provision in India, CWPE1409

Chudik, A. and Pesaran, H. Theory and Practice of GVAR Modeling, CWPE1408

Pesaran, H., Cesa-Bianchi, A. and Rebucci, A. Uncertainty and Economic Activity: A Global Perspective, CWPE1407

Bailey, N., Holly, S. and Pesaran, H. A Two Stage Approach to Spatiotemporal Analysis with Strong and weak cross Sectional Dependence , CWPE1362

Chudik, A., Mohaddes, K., Pesaran, M. H. and Raissi, M. Debt, Inflation and Growth: Robust Estimation of Long-Run Effects in Dynamic Panel Data Models, CWPE1350

Caivano, M. and Harvey, A. C. Two EGARCH models and one fat tail, CWPE1326

Caivano, M. and Harvey, A. C. Time series models with an EGB2 conditional distribution, CWPE1325

Robertson, D. and Sarafidis, V. IV Estimation of Panels with Factor Residuals , CWPE1321

Pesaran, H. and Chudik, A. Common Correlated Effects Estimation of Heterogeneous Dynamic Panel Data Models with Weakly Exogenous Regressors, CWPE1317

Mohaddes, K. and Pesaran, M. One Hundred Years of Oil Income and the Iranian Economy: A curse or a Blessing, CWPE1302

Andres, P. and Harvey, A. C. The Dyanamic Location/Scale Model: with applications to intra-day financial data, CWPE1240

Harvey, A. C. and Sucarrat, G. EGARCH models with fat tails, skewness and leverage, CWPE1236

Hayakawa, K. and Pesaran, M. Robust Standard Errors in Transformed Likelihood Estimation of Dynamic Panel Models, CWPE1224

Esfahani, H., Mohaddes, K. and Pesaran, M. H. An Empirical Growth Model for Major Oil Exporters, CWPE1215

Pesaran, M. and Yamagata, T. Testing CAPM with a Large Number of Assets (Updated 28th March 2012), CWPE1210

Pesaran, M. H. Testing Weak Cross-Sectional Dependence in Large Panels, CWPE1208

Bailey, N., Kapetanios, G. and Pesaran, M. H. Exponent of Cross-sectional Dependence: Estimation and Inference, CWPE1206

Pesaran, M. H., Pick, A. and Pranovich, M. Optimal Forecasts in the Presence of Structural Breaks (Updated 14 November 2011), CWPE1163

Pesaran, M. H. and Xu, T. Business Cycle Effects of Credit and Technology Shocks in a DSGE Model with Firm Defaults, CWPE1159

Cesa-Bianchi, A., Pesaran, M., Rebuccih, . A. and Xu, T. China's Emergence in the World Economy and Business Cycles in Latin America, CWPE1150

Pesaran, M. and Smith, R. P. Beyond the DSGE straightjacket, CWPE1138

Koop, G., Pesaran, M. H. and Smith, R. P. On Identification of Bayesian DSGE Models, CWPE1131

Winkelried, D. and Smith, R. J. Principal Components Instrumental Variable Estimation, CWPE1119

Pesaran, M. H. and Chudik, A. Aggregation in Large Dynamic Panels, CWPE1118

Doppelhofer, G. and Weeks, M. Robust Growth Determinants, CWPE1117

Corrado, L. and Weeks, M. Tests for Convergence Clubs, CWPE1110

Harvey, A. C. Exponential Conditional Volatility Models, CWPE1040

Pesaran, M. H. Predictability of Asset Returns and the Efficient Market Hypothesis, CWPE1033

Corrado, L. and Weeks, M. Identification Strategies in Survey Response Using Vignettes, CWPE1031

Pesaran , M. H. Conditional Volatility and Correlations of Weekly Returns and the VaR Analysis of 2008 Stock Market, CWPE1025

Pesaran , M. H. and Chudik, A. Econometric Analysis of High Dimensional VARs Featuring a Dominant Unit, CWPE1024

Iyer, S. and Weeks, M. Social Interactions, Ethnicity and Fertility in Kenya, CWPE0903

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