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Published Papers

Onatski, A. and Wang, C. Spectral Distribution of the Sample Covariance of High-Dimensional Time Series With Unit Roots, Statistica Sinica, forthcoming (2021)
Harvey, A. C. Time Series Models for Epidemics: Leading Indicators, Control Groups and Policy Assessment, 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., Kattuman, P. and Thamotheram, C. Tracking The Mutant: Forecasting and Nowcasting COVID-19 in the UK in 2021, National Institute Economic Review (2021)
Li, S. and Linton, O. When Will the Covid-19 Pandemic Peak?, Journal of Econometrics (2021)
Merrick Li, Z. and Linton, O. A ReMeDI for Microstructure Noise, Econometrica, 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)
Escanciano, J C., Hoderlein, S., Lewbel, A., Linton, O. and Srisuma, S. Nonparametric Euler Equation Identification and Estimation, Econometric Theory, forthcoming (2021)
Linton, O. and Tang, H. Estimation of the Kronecker Covariance Model by Quadratic Form, Econometric Theory, forthcoming (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)
Onatski, A. and Wang, C. Spurious Factor Analysis, Econometrica (2021)
Harvey, A. C. and Liao, Y. Dynamic Tobit models, Econometrics and Statistics (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)
Bhattacharya, D. The Empirical Content of Binary Choice Models, Econometrica (2021)
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)
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)
Harvey, A. C. and Thiele, S. Co-integration and Control: Assessing the Impact of Events Using Time Series Data, Journal of Applied Econometrics (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. and Wu, J. A Coupled Component DCS GARCH 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)

<< Back to Research Group
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Econometrics Research Group




Anna Bykhovskaya
(University of Wisconsin-Madison)
"Cointegration in High-Dimensional VARs"
Saturday 23rd October 2021 6:46pm
Zoom (Econometrics)
Alessandro Casini
(University of Roma Tor Vergata)
"Theory of Evolutionary Spectra for Heteroskedasticity and Autocorrelation Robust Inference in Possibly Misspecified and Nonstationary Models "
Saturday 23rd October 2021 6:46pm
Zoom (Econometrics)



Faculty Events


26 Jun

Fourteenth Annual SoFiE Conference
Churchill College, University of Cambridge



Recent Publications


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]

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



Selected CWPE


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71

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

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37

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

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94

Instrumental-Variable Estimation of Gravity Equations, Jochmans, K., Verardi, V.