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Published Papers

Merrick Li, Z. and Linton, O. A ReMeDI for Microstructure Noise, Econometrica (2022)
Ding, Y. A Simple Joint Model for Returns, Volatility and Volatility of Volatility, Journal of Econometrics, forthcoming (2022)
Boneva, L., Elliott, D., Kaminska, I., Linton, O., McLaren, N. and Morley, B. The Impact of Corporate QE on Liquidity: Evidence from the UK, The Economic Journal, forthcoming (2022)
Parente, P. M. D. C. and Smith, R. J. Quasi-Maximum Likelihood and the Kernel Block Bootstrap for Nonlinear Dynamic Models, Journal of Time Series Analysis (2021)
Bhattacharya, D. The Empirical Content of Binary Choice Models, Econometrica (2021)
Harvey, A. C. and Kattuman, P. A Farewell to R: Time Series Models for Tracking and Forecasting Epidemics, Journal of the Royal Society Interface (2021)
Harvey, A. C. and Liao, Y. Dynamic Tobit models, Econometrics and Statistics (2021)
Onatski, A. and Wang, C. Spurious Factor Analysis, Econometrica (2021)
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)
Linton, O. and Tang, H. Estimation of the Kronecker Covariance Model by Quadratic Form, Econometric Theory, forthcoming (2021)
Escanciano, J C., Hoderlein, S., Lewbel, A., Linton, O. and Srisuma, S. Nonparametric Euler Equation Identification and Estimation, Econometric Theory, forthcoming (2021)
Ai, C., Linton, O., Motegi, K. and Zhang, Z. A Unified Framework for Efficient Estimation of General Treatment Models, Quantitative Economics, forthcoming (2021)
Li, S. and Linton, O. When Will the Covid-19 Pandemic Peak?, Journal of Econometrics (2021)
Harvey, A. C., Kattuman, P. and Thamotheram, C. Tracking The Mutant: Forecasting and Nowcasting COVID-19 in the UK in 2021, National Institute Economic Review (2021)
Harvey, A. C. Score-Driven Time Series Models, Annual Review of Statistics and Its Application, to appear (2021)
Harvey, A. C. Time Series Models for Epidemics: Leading Indicators, Control Groups and Policy Assessment, National Institute Economic Review (2021)
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, Energy Economics (2021)
Onatski, A. and Wang, C. Spectral Distribution of the Sample Covariance of High-Dimensional Time Series With Unit Roots, Statistica Sinica, forthcoming (2021)
Wu, J., Zhang, Z. and Zhou, S. X. Credit Rating Prediction Through Supply Chains: A Machine Learning Approach, Production and Operations Management (2021)
Harvey, A. C. and Ito, R. Modeling time series when some observations are zero, Journal of Econometrics (2020)
Vogt, M., Linton, O. Multiscale clustering of nonparametric regression curves, Journal of Econometrics (2020)
Linton, O. and Wu, J. A Coupled Component DCS GARCH Model for Intraday and Overnight Volatility, Journal of Econometrics (2020)
Iyer, S. and Weeks, M. Social Interactions, Ethnicity, Religion and Fertility in Kenya, Journal of Demographic Economics (2020)
Harvey, A. C. and Kattuman, P. Time Series Models Based on Growth Curves with Applications to Forecasting Coronavirus, Harvard Data Science Review (2020)
Harvey, A. C. and Thiele, S. Co-integration and Control: Assessing the Impact of Events Using Time Series Data, Journal of Applied Econometrics (2020)
Auld, T. and Linton, O. The Behaviour of Betting and Currency Markets on the Night of the EU Referendum, International Journal of Forecasting (2019)
Chudik, A., Mohaddes, K., Pesaran, M. H. and Raissi, M. Rising Public Debt to GDP Can Harm Economic Growth, Economic Letter, Federal Reserve Bank of Dallas (2018)
Mohaddes, K. and Pesaran, M. H. Oil Prices and the Global Economy: Is It Different This Time Around?, Energy Economics (2017)
Bailey, N., Holly, S. and Pesaran, M.H. A two-stage approach to spatio-temporal analysis with strong and weak cross-sectional dependence, Journal of Applied Econometrics (2016)
Chudik, A., Mohaddes, K., Pesaran, M. H. and Raissi, M. Long-Run Effects in Large Heterogenous Panel Data Models with Cross-Sectionally Correlated Errors, Advances in Econometrics (2016)
Mohaddes, K. and Pesaran, M. H. Country-Specific Oil Supply Shocks and the Global Economy: A Counterfactual Analysis, Energy Economics (2016)
Mohaddes, K. and Pesaran, M. H. One hundred years of oil income and the Iranian economy, Iran and the Global Economy: Petro Populism, Islam and Economic Sanctions (2013)
Esfahani, H. S., Mohaddes, K. and Pesaran, M. H. Oil Exports and the Iranian Economy, The Quarterly Review of Economics and Finance (2013)
Esfahani, H. S., Mohaddes, K. and Pesaran, M. H. An empirical growth model for major oil exporters, Journal of Applied Econometrics (2013)
Holly, S., Pesaran, M.H. and Yamagata, T. The spatial and temporal diffusion of house prices in the UK, Journal of Urban Economics (2011)
Holly, S., Pesaran, M. H. and Yamagata, T. A spatio-temporal model of house prices in the USA, Journal of Econometrics (2010)
Esfahani, H. S., Mohaddes, K. and Pesaran, M. H. Oil Exports and the Iranian Economy, Institute for the Study of Labor (IZA) Working Papers (2009)
Esfahani, H. S., Mohaddes, K. and Pesaran, M. H. Oil Exports and the Iranian Economy, CESifo Working Papers (2009)
Iyer, S. and Weeks, M. Social Interactions, Ethnicity and Fertility in Kenya, not yet submitted (2009)
Harris, C., Anand, S. and Linton, O. On Ultrapoverty, Arguments for a Better World: Essays in Honor of Amartya Sen (2008)

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Econometrics Research Group




Vira Semenova
(University of Berkeley, California)
"Automated Inference on Sharp Bounds"
Wednesday 28th September 2022 11:46pm
Keynes Hybrid (Econometrics)
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"TBC"
Wednesday 28th September 2022 11:46pm
Keynes (Econometrics)



Recent Publications


Harvey, A. C. Time Series Models for Epidemics: Leading Indicators, Control Groups and Policy Assessment National Institute Economic Review [2021]

Escanciano, J C., Hoderlein, S., Lewbel, A., Linton, O. and Srisuma, S. Nonparametric Euler Equation Identification and Estimation Econometric Theory, forthcoming [2021]

Li, S. and Linton, O. When Will the Covid-19 Pandemic Peak? Journal of Econometrics [2021]



Selected CWPE


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

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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.

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13

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