JEL classification

Journal of Economic Literature Classification (10696) C - Mathematical and Quantitative Methods (1374) C2 - Econometric Methods: Single Equation Models; Single Variables (285) C22 - Time-Series Models (101)
Number of items at this level: 101.
2025
  • Young, Alwyn (2025). Consistency of the OLS bootstrap for independently but not-identically distributed data: a permutation perspective. Econometrics, 13(4). https://doi.org/10.3390/econometrics13040041 picture_as_pdf
    • 2023
  • Esteve, Vicente, Prats, María A. (2023). External sustainability in Spanish economy: bubbles and crises, 1970–2020. Review of International Economics, 31(1), 60 - 80. https://doi.org/10.1111/roie.12611 picture_as_pdf
    • 2022
  • Jana, Rabin K., Ghosh, Indranil, Jawadi, Fredj, Uddin, Gazi Salah, Sousa, Ricardo M. (2022). COVID-19 news and the US equity market interactions: an inspection through econometric and machine learning lens. Annals of Operations Research, https://doi.org/10.1007/s10479-022-04744-x
  • Sinha, Avik, Schneider, Nicolas, Song, Malin, Shahzad, Umer (2022). The determinants of solid waste generation in the OECD: evidence from cross-elasticity changes in a common correlated effects framework. Resources, Conservation and Recycling, 182, https://doi.org/10.1016/j.resconrec.2022.106322
    • 2021
  • Karadima, Maria, Louri, Helen (2021). Determinants of non-performing loans in Greece: the intricate role of fiscal expansion. (GreeSE papers 160). Hellenic Observatory, London School of Economics and Political Science. picture_as_pdf
    • 2020
  • Dalla, Violetta, Giraitis, Liudas, Robinson, Peter M. (2020). Asymptotic theory for time series with changing mean and variance. Journal of Econometrics, 219(2), 281 - 313. https://doi.org/10.1016/j.jeconom.2020.03.005
    • 2017
  • Daniele, Vittorio, Foresti, Pasquale, Napolitano, Oreste (2017). The stability of money demand in the long-run: Italy 1861–2011. Cliometrica, 11(2), 217-244. https://doi.org/10.1007/s11698-016-0143-8
  • Gómez-Zamudio, Luis M., Ibarra, Raúl (2017). Are daily financial data useful for forecasting GDP? Evidence from Mexico. Economía, 17(2), 173 - 203. https://doi.org/10.31389/eco.70 picture_as_pdf
    • 2016
  • Koundouri, Phoebe, Kourogenis, Nikolaos, Pittis, Nikitas, Samartzis, Panagiotis (2016). Factor models of stock returns: GARCH errors versus time-varying betas. Journal of Forecasting, 35(5), 445-461. https://doi.org/10.1002/for.2387
    • 2015
  • Malkhozov, Aytek, Tamoni, Andrea (2015). News shocks and asset prices. (Systemic Risk Centre Discussion Papers 34). Systemic Risk Centre, The London School of Economics and Political Science.
    • 2014
  • Jawadi, Fredj, Mallick, Sushanta Kumar, Sousa, Ricardo J. (2014). Nonlinear monetary policy reaction functions in large emerging economies: the case of Brazil and China. Applied Economics, 46(9), 973-984. https://doi.org/10.1080/00036846.2013.851774
  • Robinson, Peter M. (2014). The estimation of misspecified long memory models. Journal of Econometrics, 178(2), 225-230. https://doi.org/10.1016/j.jeconom.2013.08.023
    • 2013
  • Petralias, Athanassios, Petros, Sotirios, Prodromídis, Pródromos (2013). Greece in recession: economic predictions, mispredictions and policy implications. (GreeSE: Hellenic Observatory papers on Greece and Southeast Europe 75). Hellenic Observatory, London School of Economics and Political Science.
    • 2012
  • Gospodinov, Nikolay, Otsu, Taisuke (2012). Local GMM estimation of time series models with conditional moment restrictions. Journal of Econometrics, 170(2), 476-490. https://doi.org/10.1016/j.jeconom.2012.05.017
  • Otsu, Taisuke, Seo, Myung Hwan, Whang, Yoon-Jae (2012). Testing for non-nested conditional moment restrictions using unconditional empirical likelihood. Journal of Econometrics, 167(2), 370-382. https://doi.org/10.1016/j.jeconom.2011.09.022
    • 2011
  • Artis, Michael, Curran, Declan, Sensier, Marianne (2011). Investigating agglomeration economies in a panel of European cities and regions. (SERC Discussion Papers SERCDP0078). Spatial Economics Research Centre (SERC), London School of Economics and Political Science.
  • Broto, Carmen, Díaz-Cassou, Javier, Erce, Aitor (2011). Measuring and explaining the volatility of capital flows to emerging countries. Journal of Banking and Finance, 35(8), 1941-1953. https://doi.org/10.1016/j.jbankfin.2011.01.004
  • Danielsson, Jon (2011). Financial risk forecasting: the theory and practice of forecasting market risk with implementation in R and Matlab. Wiley-Blackwell.
  • Hualde, Javier, Robinson, Peter (2011). Gaussian pseudo-maximum likelihood estimation of fractional time series models. Annals of Statistics, 39(6), 3152-3181. https://doi.org/10.1214/11-AOS931SUPP
  • Jarocinski, Marek, Marcet, Albert (2011). Autoregressions in small samples, priors about observables and initial conditions. (CEP Discussion Papers CEPDP1061). London School of Economics and Political Science. Centre for Economic Performance. picture_as_pdf
  • Phillips, Lauren (2011-03-16 - 2011-03-19) Politics and efficient markets: the impact of political information on financial market performance [Paper]. ISA Annual Convention 2011: Global Governance: Political Authority in Transition, Quebec, Canada, CAN.
    • 2010
  • Kalogeropoulos, Konstantinos, Roberts, Gareth O., Dellaportas, Petros (2010). Inference for stochastic volatility models using time change transformations. Annals of Statistics, 38(2), 784-807. https://doi.org/10.1214/09-AOS702
  • Liu, Jun M., Chen, Rong, Yao, Qiwei (2010). Nonparametric transfer function models. Journal of Econometrics, 157(1), 151-164. https://doi.org/10.1016/j.jeconom.2009.10.029
    • 2009
  • Delgado, Miguel A, Hidalgo, Javier, Velasco, Carlos (2009-05-22 - 2009-05-23) Bootstrap assisted specification tests for the FARIMA model [Paper]. Third Time Series conference, Montréal, Canada, CAN.
    • 2008
  • Linton, Oliver (2008). A nonparametric threshold model with application to zero returns. Statistics and Its Interface, 1(2), 321-326.
  • Robinson, Peter (2008). Correlation testing in time series, spatial and cross-sectional data. (Econometrics Papers EM/2009/530). Suntory and Toyota International Centres for Economics and Related Disciplines.
  • Robinson, Peter (2008). Correlation testing in time series, spatial and cross-sectional data. Journal of Econometrics, 147(1), 5-16. https://doi.org/10.1016/j.jeconom.2008.09.001
    • 2007
  • Carrasco, M., Chernov, Mikhail, Florens, Jean-Pierre, Ghysels, E. (2007). Efficient estimation of general dynamic models with a continuum of moment conditions. Journal of Econometrics, 140(2), 529-573. https://doi.org/10.1016/j.jeconom.2006.07.013
  • Gonçalves da Silva, Afonso, Robinson, Peter (2007). Fractional cointegration in stochastic volatility models. Suntory and Toyota International Centres for Economics and Related Disciplines.
  • Hidalgo, Javier (2007). Specification testing for regression models with dependent data. (EM 518). Suntory and Toyota International Centres for Economics and Related Disciplines.
  • Hidalgo, Javier, Zaffaroni, Paolo (2007). A goodness-of-fit test for ARCH(∞)(∞) models. Journal of Econometrics, 141(2), 835-875. https://doi.org/10.1016/j.jeconom.2006.11.005
  • Kalogeropoulos, Konstantinos (2007). Likelihood-based inference for a class of multivariate diffusions with unobserved paths. Journal of Statistical Planning and Inference, 137(10), 3092-3102. https://doi.org/10.1016/j.jspi.2006.05.017
  • Nobay, A. Robert, Paya, Ivan, Peel, David A. (2007). Inflation dynamics in the US - a nonlinear perspective. (Financial Markets Group Discussion Papers 601). Financial Markets Group, The London School of Economics and Political Science.
    • 2006
  • Dalla, Violetta, Giraitis, Liudas, Hidalgo, Javier (2006). Consistent estimation of the memory parameter for nonlinear time series. (EM 497). Suntory and Toyota International Centres for Economics and Related Disciplines.
  • Robinson, Peter M. (2006). Nonparametric spectrum estimation for spatial data. Suntory and Toyota International Centres for Economics and Related Disciplines.
    • 2005
  • Dalla, Violetta, Hidalgo, Javier (2005). A parametric bootstrap test for cycles. (Econometrics Paper EM/2005/486). Suntory and Toyota International Centres for Economics and Related Disciplines.
  • Dalla, Violetta, Hidalgo, Javier (2005). A parametric bootstrap test for cycles. Journal of Econometrics, 129(1-2), 219-261. https://doi.org/10.1016/j.jeconom.2004.09.008
  • Delgado, Miguel A., Hidalgo, Javier, Velasco, Carlos (2005). Distribution free goodness-of-fit tests for linear processes. (EM 482). Suntory and Toyota International Centres for Economics and Related Disciplines.
  • Hidalgo, Javier (2005). Semiparametric estimation for stationary processes whose spectra have an unknown pole. (EM 481). Suntory and Toyota International Centres for Economics and Related Disciplines.
  • Hidalgo, Javier (2005). A bootstrap causality test for covariance stationary processes. Journal of Econometrics, 126(1), 115-143. https://doi.org/10.1016/j.jeconom.2004.02.009
  • Patton, Andrew J., Timmermann, Allan (2005). Testable implications of forecast optimality. (EM 485). Suntory and Toyota International Centres for Economics and Related Disciplines.
  • Robinson, Peter (2005). Modelling memory of economic and financial time series. (Econometrics; EM/2005/487 EM/05/487). Suntory and Toyota International Centres for Economics and Related Disciplines.
  • Robinson, Peter (2005). The distance between rival nonstationary fractional processes. Journal of Econometrics, 128(2), 283-300. https://doi.org/10.1016/j.jeconom.2004.08.015
  • Seo, Myung Hwan (2005). Unit root test in a threshold autoregression: asymptotic theory and residual-based block bootstrap. (EM 484). Suntory and Toyota International Centres for Economics and Related Disciplines.
    • 2004
  • Hodgson, Douglas J, Linton, Oliver, Vorkink, Keith (2004). Testing forward exchange rate unbiasedness efficiently : a semiparametric approach. Journal of Applied Economics, 7(2), 325-353.
  • Iacone, Fabrizio, Robinson, Peter M. (2004). Cointegration in fractional systems with deterministic trends. (Econometrics; EM/2004/476 EM/04/476). Suntory and Toyota International Centres for Economics and Related Disciplines.
  • Kim, Woocheol, Linton, Oliver (2004). A local instrumental variable estimation method for generalized additive volatility models. (Financial Markets Group Discussion Papers 509). Financial Markets Group, The London School of Economics and Political Science.
  • Kristensen, Dennis (2004). Estimation of partial differential equations with applications in finance. (Financial Markets Group Discussion Papers 499). Financial Markets Group, The London School of Economics and Political Science.
  • Linton, Oliver (2004). Nonparametric inference for unbalanced time series data. (Econometrics; EM/2004/474 EM/04/474). Suntory and Toyota International Centres for Economics and Related Disciplines.
  • Mencia, Javier F., Sentana, Enrique (2004). Estimation and testing of dynamic models with generalised hyperbolic innovations. (Financial Markets Group Discussion Papers 502). Financial Markets Group, The London School of Economics and Political Science.
  • Robinson, Peter (2004). Efficiency improvements in inference on stationary and nonstationary fractional time series. (Econometrics; EM/2004/480 EM/04/480). Suntory and Toyota International Centres for Economics and Related Disciplines.
  • Robinson, Peter M. (2004). Robust covariance matrix estimation : HAC estimates with long memory/antipersistence correction. (Econometrics; EM/2004/471 EM/04/471). Suntory and Toyota International Centres for Economics and Related Disciplines.
  • Robinson, Peter M. (2004). The distance between rival nonstationary fractional processes. (Econometrics; EM/2004/468 EM/03/468). Suntory and Toyota International Centres for Economics and Related Disciplines.
    • 2003
  • Giraitis, Liudas, Leipus, Remigijus, Robinson, Peter M., Surgailis, Donatas (2003). LARCH, leverage and long memory. (Econometrics; EM/2003/460 EM/03/460). Suntory and Toyota International Centres for Economics and Related Disciplines.
  • Hidalgo, Javier (2003). An alternative bootstrap to moving blocks for time series regression models. Journal of Econometrics, 117(2), 369-399. https://doi.org/10.1016/S0304-4076(03)00154-4
  • Hidalgo, Javier (2003). An alternative bootstrap to moving blocks for time series regression models. (EM 452). Suntory and Toyota International Centres for Economics and Related Disciplines.
  • Hidalgo, Javier (2003). A bootstrap causality test for covariance stationary processes. (EM 462). Suntory and Toyota International Centres for Economics and Related Disciplines.
  • Linton, Oliver, Whang, Yoon-Jae (2003). A quantilogram approach to evaluating directional predictability. (Econometrics; EM/2003/463 EM/03/463). Suntory and Toyota International Centres for Economics and Related Disciplines.
  • Robinson, Peter M., Hualde, Javier (2003). Cointegration in fractional systems with unknown integration orders. (Econometrics; EM/2003/449 EM/03/449). Suntory and Toyota International Centres for Economics and Related Disciplines.
  • Shintani, Mototsugu, Linton, Oliver (2003). Nonparametric neural network estimation of Lyapunov exponents and a direct test for chaos. (Econometrics; EM/2003/455 EM/03/455). Suntory and Toyota International Centres for Economics and Related Disciplines.
    • 2002
  • Hidalgo, Javier (2002). Consistent order selection with strongly dependent data and its application to efficient estimation. (EM 430). Suntory and Toyota International Centres for Economics and Related Disciplines.
  • Hidalgo, Javier (2002). Consistent order selection with strongly dependent data and its application to efficient estimation. Journal of Econometrics, 110(2), 213-239. https://doi.org/10.1016/S0304-4076(02)00094-5
  • Jobst, Andreas A. (2002). Loan securitisation: default term structure and asset pricing based on loss prioritisation. (Financial Markets Group Discussion Papers 422). Financial Markets Group, The London School of Economics and Political Science.
  • Pesaran, M. Hashem, Timmermann, Allan (2002). Market timing and return prediction under model instability. (Financial Markets Group Discussion Papers 412). Financial Markets Group, The London School of Economics and Political Science.
  • Robinson, Peter, Henry, Marc (2002). Higher-order kernel semiparametric M-estimation of long memory. (Econometrics; EM/2002/436 EM/02/436). Suntory and Toyota International Centres for Economics and Related Disciplines.
  • Shintani, Mototsugu, Linton, Oliver (2002). Nonparametric neural network estimation of Lyapunov exponents and a direct test for chaos. (Econometrics; EM/2002/434 EM/02/434). Suntory and Toyota International Centres for Economics and Related Disciplines.
    • 2001
  • Chen, Xiaohong, Linton, Oliver, Robinson, Peter (2001). The estimation of conditional densities. (Econometrics; EM/2001/415 EM/01/415). Suntory and Toyota International Centres for Economics and Related Disciplines.
  • Giraitis, Liudas, Hidalgo, Javier, Robinson, Peter (2001). Gaussian estimation of parametric spectral density with unknown pole. (Econometrics; EM/2001/424 EM/01/424). Suntory and Toyota International Centres for Economics and Related Disciplines.
  • Giraitis, Liudas, Robinson, Peter M. (2001). Parametric estimation under long-range dependence. (Econometrics; EM/2001/416 EM/01/416). Suntory and Toyota International Centres for Economics and Related Disciplines.
  • Hidalgo, Javier, Robinson, Peter (2001). Adapting to unknown disturbance autocorrelation in regression with long memory. (Econometrics; EM/2001/427 EM/01/427). Suntory and Toyota International Centres for Economics and Related Disciplines.
  • Hidalgo, Javier, Yajima, Y. (2001). Prediction and signal extraction of strong dependent processess in the frequency domain. (EM 418). Suntory and Toyota International Centres for Economics and Related Disciplines.
  • Marinucci, D, Robinson, Peter (2001). Narrow-band analysis of nonstationary processes. (Econometrics; EM/2001/421 EM/01/421). Suntory and Toyota International Centres for Economics and Related Disciplines.
  • Marinucci, D, Robinson, Peter M. (2001). Semiparametric fractional cointegration analysis. (Econometrics; EM/2001/420 EM/01/420). Suntory and Toyota International Centres for Economics and Related Disciplines.
  • Marinucci, D., Robinson, Peter (2001). Finite sample improvements in statistical inference with I(1) processes. (Econometrics; EM/2001/422 EM/01/422). Suntory and Toyota International Centres for Economics and Related Disciplines.
  • Perez-Quiros, Gabriel, Timmermann, Allan (2001). Business cycle asymmetries in stock returns: evidence from higher order moments and conditional densities. Journal of Econometrics, 103(1-2), 259 - 306. https://doi.org/10.1016/S0304-4076(01)00045-8
  • Robinson, Peter, Yajima, Yoshihiro (2001). Determination of cointegrating rank in fractional systems. (Econometrics; EM/2001/423 EM/01/423). Suntory and Toyota International Centres for Economics and Related Disciplines.
  • Robinson, Peter M. (2001). The memory of stochastic volatility models. (Econometrics; EM/2001/410 EM/01/410). Suntory and Toyota International Centres for Economics and Related Disciplines.
    • 2000
  • Fan, Jianqing, Yao, Qiwei, Cai, Zongwu (2000). Adaptive varying-coefficient linear models. (EM 388). Suntory and Toyota International Centres for Economics and Related Disciplines.
  • Gil-Alana, L A, Robinson, Peter M. (2000). Testing of seasonal fractional integration in UK and Japanese consumption and income. (Econometrics; EM/2000/402 EM/00/402). Suntory and Toyota International Centres for Economics and Related Disciplines.
  • Giraitis, Liudas, Robinson, Peter M. (2000). Whittle estimation of ARCH models. (Econometrics; EM/2000/406 EM/00/406). Suntory and Toyota International Centres for Economics and Related Disciplines.
  • Hodgson, Douglas J, Linton, Oliver, Vorkink, Keith (2000). Testing the capital asset pricing model efficiently under elliptical symmetry : a semiparametric approach. (Econometrics; EM/2000/398 EM/00/398). Suntory and Toyota International Centres for Economics and Related Disciplines.
  • Marinucci, D, Robinson, Peter M. (2000). The averaged periodogram for nonstationary vector time series. (Econometrics; EM/2000/408 EM/00/408). Suntory and Toyota International Centres for Economics and Related Disciplines.
  • Perez-Quiros, Gabriel, Timmermann, Allan (2000). Business cycle asymmetries in stock returns: evidence from higher order moments and conditional densities. (Financial Markets Group Discussion Papers 360). Financial Markets Group, The London School of Economics and Political Science. picture_as_pdf
  • Quah, Danny (2000). Cross-country growth comparison : theory to empirics. (CEP discussion paper; CEPDP0442 442). London School of Economics and Political Science. Centre for Economic Performance.
  • Robinson, Peter M., Velasco, Carlos (2000). Edgeworth expansions for spectral density estimates and studentized sample mean. (Econometrics; EM/2000/390 EM/00/390). Suntory and Toyota International Centres for Economics and Related Disciplines.
  • Robinson, Peter M., Velasco, Carlos (2000). Whittle pseudo-maximum likelihood estimation for nonstationary time series. (Econometrics; EM/2000/391 EM/00/391). Suntory and Toyota International Centres for Economics and Related Disciplines.
  • Zaffaroni, Paolo (2000). Stationarity and memory of ARCH models. (EM 383). Suntory and Toyota International Centres for Economics and Related Disciplines.
    • 1999
  • Danielsson, Jon, Payne, Richard (1999). Real trading patterns and prices in spot foreign exchange markets. (Financial Markets Group Discussion Papers 320). Financial Markets Group, The London School of Economics and Political Science. picture_as_pdf
  • Haldane, Andrew, Quah, Danny (1999). UK Phillips curves and monetary policy. Journal of Monetary Economics, 44(2), 259-278. https://doi.org/10.1016/S0304-3932(99)00025-2
  • Quah, Danny (1999). Cross-country growth comparison : theory to empirics. (CEPR discussion paper; no. 2294). Centre for Economic Policy Research (Great Britain).
    • 1998
  • Busetti, Fabio, Harvey, Andrew (1998). Testing for the presence of a random walk in series with structural breaks. (EM 365). Suntory and Toyota International Centres for Economics and Related Disciplines.
  • Giraitis, Liudas, Robinson, Peter M. (1998). Variance-type estimation of long memory. (Econometrics; EM/1998/363 EM/98/363). Suntory and Toyota International Centres for Economics and Related Disciplines.
  • Marinucci, D, Robinson, Peter M. (1998). Semiparametric frequency domain analysis of fractional cointegration. (Econometrics; EM/1998/348 EM/98/348). Suntory and Toyota International Centres for Economics and Related Disciplines.
    • 1997
  • Robinson, Peter M., Zaffaroni, Paolo (1997). Modelling nonlinearity and long memory in time series. (Econometrics; EM/1997/319 EM/1997/319). Suntory and Toyota International Centres for Economics and Related Disciplines.
    • 1996
  • Quah, Danny (1996). Empirics for economic growth and convergence. European Economic Review, 40(6), 1353-1375. https://doi.org/10.1016/0014-2921(95)00051-8
  • Quah, Danny (1996). Regional convergence clusters across Europe. European Economic Review, 40(3-5.), 951-958. https://doi.org/10.1016/0014-2921(95)00105-0
  • Sandmann, G., Koopman, Siem (1996). Maximum likelihood estimation of stochastic volatility models. (Financial Markets Group Discussion Papers 248). Financial Markets Group, The London School of Economics and Political Science. picture_as_pdf
  • Snell, Andy, Tonks, Ian (1996). Using time series methods to assess information and inventory effects in a dealer market in Il-liquid stocks. (Financial Markets Group Discussion Papers 242). Financial Markets Group, The London School of Economics and Political Science. picture_as_pdf
    • 1995
  • Megir, Costas, Quah, Danny (1995). Regional convergence clusters across Europe. (CEP discussion paper; CEPDP0274 274). London School of Economics and Political Science. Centre for Economic Performance.
  • Quah, Danny (1995). Empirics for economic growth and convergence. (CEP discussion paper; CEPDP0253 253). London School of Economics and Political Science. Centre for Economic Performance.
    • 1993
  • Quah, Danny (1993). Exploiting cross section variation for unit root inference in dynamic data. (Financial Markets Group Discussion Papers 171). Financial Markets Group, The London School of Economics and Political Science. picture_as_pdf