Access Statistics for Peter M. Robinson

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Model for Long Memory Conditional Heteroscedasticity - (Now published in Annals of Applied Probability, 10 (2000), pp.1002-1024.) 0 1 1 42 0 1 16 109
A Nonparametric Test for I(0) - (Now published in Review of Economic Studies, 65 (1998), pp.475-495.) 0 0 0 0 1 1 12 104
Adapting to Unknown Disturbance Autocorrelation in Regression with Long Memory 0 0 0 23 1 2 31 213
Adaptive Semiparametric Estimation of the Memory Parameter - (Now published with revised title, Adaptive Rate-Optimal Estimation of the Memory Parameter, in Journal of Multivariate Analysis, 72 (2000), pp.183-207.) 0 0 1 17 0 0 6 83
Alternative Forms of Fractional Brownian Motion - (Now published in Journal of Statistical Planning and Inference, 80 (1999), pp.111-122.) 0 0 1 60 0 3 12 164
Cointegration in Fractional Systems with Deterministic Trends 1 2 2 137 6 11 40 363
Cointegration in Fractional Systems with Unknown Integration Orders 2 5 17 75 4 10 35 184
Cointegration in Fractional Systems with Unkown Integration Orders 0 0 1 63 2 6 30 223
Denis Sargan: Some Perspectives 0 0 0 42 0 1 15 162
Determination of Cointegrating Rank in Fractional Systems 0 0 0 54 2 4 24 181
Edgeworth Expansions for Semiparametric Averaged Derivatives - (Now published in Econometrica, 68 (2000), pp.931-979.) 0 0 0 21 0 0 4 89
Edgeworth Expansions for Semiparametric Whittle Estimation of Long Memory 0 0 0 60 2 5 13 231
Edgeworth Expansions for Spectral Density Estimates and Studentized Sample Mean - (Now published in Economic Theory, 17 (2001), pp.497-539 0 0 0 38 1 2 11 170
Efficiency Improvements in Inference on Stationary and Nonstationary Fractional Time Series 1 2 3 60 2 4 14 179
Efficient Estimation of a Dynamic Error-Shock Model 1 4 7 38 4 13 40 350
Finite Sample Improvement in Statistical Inference with I(1) Processes 0 0 0 25 0 2 6 97
Gaussian Estimation of Parametric Spectral Density with Unknown Pole 0 1 1 34 0 3 15 168
Higher-Order Kernel Semiparametric M-Estimation of Long Memory 0 0 0 73 5 20 51 294
Inference-without-Smoothing in the Presence of Nonparametric Autocorrelation - (Now published in Econometrica, 66 (1998), pp.1163-1182.) 0 0 0 0 0 2 6 85
LARCH, Leverage and Long Memory 0 0 0 149 2 8 39 371
Large-Sample Inference for Nonparametric Regression with Dependent Errors - (Now published in Annals of Statistics, 28 (1997), pp.2054-2083.) 0 0 0 0 0 3 11 132
Long and Short Memory Conditional Heteroscedasticity in Estimating the Memory Parameter of Levels - (Now published in Econometric Theory, 15 (1999), pp.299-336.) 0 0 0 42 0 4 19 134
Modelling Nonlinearity and Long Memory in Time Series - (Now published in Nonlinear Dynamics and Time Series, C D Cutler and D T Kaplan (eds), Fields Institute Communications, 11 (1997), pp.`61-170.) 0 0 0 0 1 3 9 155
Modified whittle estimation of multilateral spatial models 0 1 3 28 1 5 14 111
Narrow-Band Analysis of Nonstationary Processes 0 0 0 33 1 10 31 220
Nonlinear Time Series With Long Memory: A Model for Stochastic Volatility 1 4 7 314 3 8 16 820
Nonlinear Time Series with Long Memory: A Model for Stochastic Volatility - (Now published in Journal of Statistical Planning and Inference, 68 (1998), pp.359-371.) 0 0 0 0 1 2 11 108
PSEUDO-MAXIMUM LIKELIHOOD ESTIMATION OF ARCH($ \infty $) MODELS 0 0 0 2 3 6 23 231
Parametric Estimation under Long-Range Dependence 1 1 1 29 1 2 11 86
ROBUST COVARIANCE MATRIX ESTIMATION: "HAC" Estimates with Long Memory/Antipersistence Correction 0 1 4 82 3 10 44 266
Rate Optimal Semiparametric Estimation of the Memory Parameter of the Gaussian Time Serieswith Long-Range Dependence - (Now published in Journal of Time Series Analysis, 18 (1997), pp.49-60.) 0 0 0 0 0 1 2 51
Root-n-Consistent Estimation of Weak Fractional Cointegration 0 1 11 59 4 9 44 212
Seasonal and Cyclical Long Memory - (Now published in S Ghosh (ed): Asymptotics, Nonparametrics and Time Series: A Tribute to Madam Lal Puri (Marcel Decker, 1999), pp.115-145.) 0 0 0 25 1 2 14 153
Semiparametric Fractional Cointegration Analysis 0 1 1 62 3 8 33 215
Semiparametric Frequency Domain Analysis of Fractional Cointegration - (Revised version forthcoming in P M Robinson: Time Series with Long Memory (Oxford University Press) 0 0 0 59 0 8 38 212
Semiparametric Inference in Seasonal and Cyclical Long Memory Processes - (Now published in Journal of Time Series Analysis, 21 (2000), pp.1-25.) 0 0 3 34 0 1 21 129
Studentization in Edgworth Expansions for Estimates of Semiparametric Index Models - (Now published in C Hsiao, K Morimune and J Powell (eds): Nonlinear Statistical Modeling (Festschrift for Takeshi Amemiya), (Cambridge University Press, 2001), pp.197-240.) 0 0 0 22 1 1 4 179
Testing of Seasonal Fractional Integration in U.K. and Japanese Consumption and Income 0 0 0 0 3 6 14 109
Testing of Seasonal Fractional Integration in UK and Japanese Consumption and Income 0 1 2 54 2 6 22 191
The Averaged Periodogram for Nonstationary Vector Time Series 0 1 2 49 3 10 30 207
The Distance between Rival Nonstationary Fractional Processes 0 0 1 33 0 1 14 96
The Estimation of Conditional Densities 0 0 1 73 1 2 20 213
The Memory of Stochastic Volatility Models 1 1 1 62 2 4 17 147
The bootstrap and the Edgeworth correction for semiparametric averaged derivatives 3 6 8 30 5 13 24 89
Time Series Regression with Long Range Dependence - (Now published in Annals of Statistics, 25, (1997)pp.2054-2083.) 0 0 0 0 2 7 21 147
Variance-Type Estimation of Long Memory - (Now published in Stochastic Processes and their Applications, 29 (1999), pp.1-24.) 1 1 1 29 1 2 8 116
Weak Convergence of Multivariate Fractional Processes - (Now published in Stochastic Processes and their Applications, 80 (1999), pp.103-120.) 0 0 3 57 0 2 7 130
Whittle Estimation of ARCH Models 1 1 1 40 1 3 9 120
Whittle Pseudo-Maximum Likelihood Estimation for Nonstationary Time Series - (Now published in Journal of the American Statistical Association, 95, (2000), pp.1229-1243.) 0 0 0 71 3 14 57 262
Total Working Papers 13 35 84 2,300 78 251 1,008 9,061


Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Nonparametric Test for I(0) 1 4 15 59 1 8 45 172
Adapting to Unknown Disturbance Autocorrelation in Regression with Long Memory 0 0 3 24 1 2 18 271
Asymptotically Efficient Estimation in the Presence of Heteroskedasticity of Unknown Form 3 6 35 81 5 9 69 206
Automatic Frequency Domain Inference on Semiparametric and Nonparametric Models 0 0 14 48 0 1 32 207
Averaged periodogram estimation of long memory 3 6 10 41 5 11 23 118
Best Nonlinear Three-Stage Least Squares Estimation of Certain Econometric Models 0 4 26 181 2 12 71 674
Cointegration in Fractional Systems with Unknown Integration Orders 0 0 9 56 0 1 13 219
Cointegration in fractional systems with deterministic trends 3 3 11 53 4 6 17 125
Consistent Nonparametric Entropy-Based Testing 4 7 40 130 5 11 68 274
Determination of cointegrating rank in fractional systems 0 2 10 36 1 3 14 97
Edgeworth Expansions for Semiparametric Averaged Derivatives 0 0 0 0 0 0 7 176
Efficient Estimation of a Dynamic Error-Shock Model 0 1 2 7 0 3 8 28
Finite sample improvements in statistical inference with I(1) processes 0 0 1 38 0 2 5 154
Higher-order kernel semiparametric M-estimation of long memory 1 2 6 18 1 5 10 65
Highly Insignificant F-Ratios 0 1 4 14 2 3 9 82
Hypothesis Testing in Semiparametric and Nonparametric Models for Econometric Time Series 1 3 18 63 1 6 50 229
Identification, Estimation and Large-Sample Theory for Regressions Containing Unobservable Variables 0 0 7 26 1 1 12 81
Inference-Without-Smoothing in the Presence of Nonparametric Autocorrelation 0 0 0 0 1 3 15 84
Instrumental Variables Estimation of Differential Equations 0 1 2 8 0 3 7 52
Nonparametric Methods in Specification 0 0 2 11 0 0 2 29
Nonparametric and Semiparametric Methods for Economic Research 0 0 0 0 13 21 47 226
On the Asymptotic Properties of Estimators of Models Containing Limited Dependent Variables 0 0 5 41 0 1 12 161
Real and Spurious Long-Memory Properties of Stock-Market Data: Comment 0 0 0 0 2 2 6 56
Root- N-Consistent Semiparametric Regression 10 35 135 387 15 57 254 700
Semiparametric Econometrics: A Survey 2 7 30 186 5 10 48 360
Semiparametric estimation from time series with long-range dependence 2 2 7 18 2 3 8 30
Semiparametric fractional cointegration analysis 1 3 7 29 3 5 12 87
Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression 9 24 63 215 14 36 110 581
Testing for structural change in a long-memory environment 3 11 39 91 6 21 71 188
Testing of seasonal fractional integration in UK and Japanese consumption and income 0 1 8 124 1 4 17 359
Testing of unit root and other nonstationary hypotheses in macroeconomic time series 1 4 14 94 2 10 24 229
Tests for Serial Dependence and Other Specification Analysis in Models of Markets in Disequilibrium 0 0 0 0 0 2 7 129
Tests for Serial Dependence in Limited Dependent Variable Models 0 0 1 18 0 0 2 92
The Bootstrap and the Edgeworth Correction for Semiparametric Averaged Derivatives 0 0 8 31 0 1 27 168
The Estimation of Linear Differential Equations with Constant Coefficients 0 0 6 26 2 5 28 110
The Normal Approximation for Semiparametric Averaged Derivatives 0 0 1 9 0 0 8 65
The Stochastic Difference between Econometric Statistics 2 4 18 67 11 30 141 546
The distance between rival nonstationary fractional processes 0 0 2 12 0 0 3 47
The memory of stochastic volatility models 1 1 3 37 2 2 11 80
Using Gaussian Estimators Robustly 0 0 0 0 2 2 3 28
Total Journal Articles 47 132 562 2,279 110 302 1,334 7,585


Statistics updated 2009-07-03