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 0 2 41 5 8 27 101
A Nonparametric Test for I(0) - (Now published in Review of Economic Studies, 65 (1998), pp.475-495.) 0 0 0 0 0 6 17 98
Adapting to Unknown Disturbance Autocorrelation in Regression with Long Memory 0 0 2 23 4 14 44 196
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 1 3 17 0 4 12 81
Alternative Forms of Fractional Brownian Motion - (Now published in Journal of Statistical Planning and Inference, 80 (1999), pp.111-122.) 1 1 4 60 2 4 30 156
Cointegration in Fractional Systems with Deterministic Trends 0 0 12 135 3 13 95 336
Cointegration in Fractional Systems with Unknown Integration Orders 3 4 13 62 4 9 30 158
Cointegration in Fractional Systems with Unkown Integration Orders 0 0 4 62 4 8 36 201
Denis Sargan: Some Perspectives 0 0 1 42 2 5 15 152
Determination of Cointegrating Rank in Fractional Systems 0 0 4 54 2 10 30 167
Edgeworth Expansions for Semiparametric Averaged Derivatives - (Now published in Econometrica, 68 (2000), pp.931-979.) 0 0 0 21 1 1 7 86
Edgeworth Expansions for Semiparametric Whittle Estimation of Long Memory 0 0 0 60 2 3 13 221
Edgeworth Expansions for Spectral Density Estimates and Studentized Sample Mean - (Now published in Economic Theory, 17 (2001), pp.497-539 0 0 5 38 3 4 26 163
Efficiency Improvements in Inference on Stationary and Nonstationary Fractional Time Series 0 0 3 57 0 4 32 169
Efficient Estimation of a Dynamic Error-Shock Model 0 1 1 32 3 5 22 315
Finite Sample Improvement in Statistical Inference with I(1) Processes 0 0 2 25 0 0 12 91
Gaussian Estimation of Parametric Spectral Density with Unknown Pole 0 0 0 33 2 4 21 157
Higher-Order Kernel Semiparametric M-Estimation of Long Memory 0 0 7 73 2 13 44 256
Inference-without-Smoothing in the Presence of Nonparametric Autocorrelation - (Now published in Econometrica, 66 (1998), pp.1163-1182.) 0 0 0 0 1 1 11 80
LARCH, Leverage and Long Memory 0 0 5 149 2 10 53 342
Large-Sample Inference for Nonparametric Regression with Dependent Errors - (Now published in Annals of Statistics, 28 (1997), pp.2054-2083.) 0 0 0 0 2 5 26 126
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 1 42 1 3 24 118
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 0 1 16 147
Modified whittle estimation of multilateral spatial models 1 1 2 26 2 4 13 101
Narrow-Band Analysis of Nonstationary Processes 0 0 2 33 2 6 40 195
Nonlinear Time Series With Long Memory: A Model for Stochastic Volatility 0 0 9 307 0 2 16 806
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 3 14 100
PSEUDO-MAXIMUM LIKELIHOOD ESTIMATION OF ARCH($ \infty $) MODELS 0 0 0 2 2 6 52 214
Parametric Estimation under Long-Range Dependence 0 0 2 28 1 4 15 79
ROBUST COVARIANCE MATRIX ESTIMATION: "HAC" Estimates with Long Memory/Antipersistence Correction 1 1 5 79 5 10 57 232
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 9 50
Root-n-Consistent Estimation of Weak Fractional Cointegration 0 4 14 52 4 15 44 183
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 3 25 0 3 39 142
Semiparametric Fractional Cointegration Analysis 0 0 2 61 3 7 47 189
Semiparametric Frequency Domain Analysis of Fractional Cointegration - (Revised version forthcoming in P M Robinson: Time Series with Long Memory (Oxford University Press) 0 0 5 59 4 7 51 181
Semiparametric Inference in Seasonal and Cyclical Long Memory Processes - (Now published in Journal of Time Series Analysis, 21 (2000), pp.1-25.) 0 1 6 32 2 6 24 114
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 2 22 0 2 14 177
Testing of Seasonal Fractional Integration in U.K. and Japanese Consumption and Income 0 0 0 0 2 6 27 101
Testing of Seasonal Fractional Integration in UK and Japanese Consumption and Income 0 1 11 53 3 8 47 177
The Averaged Periodogram for Nonstationary Vector Time Series 0 0 3 47 0 5 53 182
The Distance between Rival Nonstationary Fractional Processes 0 1 3 33 2 5 21 87
The Estimation of Conditional Densities 0 0 6 72 2 4 27 197
The Memory of Stochastic Volatility Models 0 0 4 61 3 6 32 136
The bootstrap and the Edgeworth correction for semiparametric averaged derivatives 0 0 3 22 3 3 15 68
Time Series Regression with Long Range Dependence - (Now published in Annals of Statistics, 25, (1997)pp.2054-2083.) 0 0 0 0 2 4 17 130
Variance-Type Estimation of Long Memory - (Now published in Stochastic Processes and their Applications, 29 (1999), pp.1-24.) 0 0 1 28 1 3 18 111
Weak Convergence of Multivariate Fractional Processes - (Now published in Stochastic Processes and their Applications, 80 (1999), pp.103-120.) 0 1 3 55 1 2 15 125
Whittle Estimation of ARCH Models 0 0 1 39 1 2 25 113
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 10 71 10 16 75 221
Total Working Papers 6 17 166 2,233 101 275 1,450 8,328

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) 0 3 11 47 1 12 39 139
Adapting to Unknown Disturbance Autocorrelation in Regression with Long Memory 2 2 5 23 5 7 20 260
Asymptotically Efficient Estimation in the Presence of Heteroskedasticity of Unknown Form 3 9 23 55 7 17 57 154
Automatic Frequency Domain Inference on Semiparametric and Nonparametric Models 2 4 5 38 4 8 21 183
Averaged periodogram estimation of long memory 1 1 10 32 3 6 25 101
Best Nonlinear Three-Stage Least Squares Estimation of Certain Econometric Models 1 5 21 160 4 18 85 621
Cointegration in Fractional Systems with Unknown Integration Orders 2 4 7 51 2 5 19 211
Cointegration in fractional systems with deterministic trends 0 2 14 44 0 3 29 111
Consistent Nonparametric Entropy-Based Testing 4 10 23 100 6 16 38 222
Determination of cointegrating rank in fractional systems 1 2 3 28 2 3 14 86
Edgeworth Expansions for Semiparametric Averaged Derivatives 0 0 0 0 3 4 8 173
Efficient Estimation of a Dynamic Error-Shock Model 0 0 1 5 0 2 4 22
Finite sample improvements in statistical inference with I(1) processes 0 0 4 37 0 0 7 149
Higher-order kernel semiparametric M-estimation of long memory 2 2 3 14 2 3 10 58
Highly Insignificant F-Ratios 0 0 2 10 0 0 5 73
Hypothesis Testing in Semiparametric and Nonparametric Models for Econometric Time Series 2 6 18 51 5 14 59 193
Identification, Estimation and Large-Sample Theory for Regressions Containing Unobservable Variables 0 0 4 19 2 3 16 72
Inference-Without-Smoothing in the Presence of Nonparametric Autocorrelation 0 0 0 0 1 4 9 73
Instrumental Variables Estimation of Differential Equations 0 1 1 7 1 2 3 47
Nonparametric Methods in Specification 0 1 2 10 0 1 6 28
Nonparametric and Semiparametric Methods for Economic Research 0 0 0 0 3 8 44 187
On the Asymptotic Properties of Estimators of Models Containing Limited Dependent Variables 1 3 10 39 2 6 24 155
Real and Spurious Long-Memory Properties of Stock-Market Data: Comment 0 0 0 0 0 0 4 50
Root- N-Consistent Semiparametric Regression 7 18 78 270 23 36 138 482
Semiparametric Econometrics: A Survey 1 2 17 158 2 6 33 318
Semiparametric estimation from time series with long-range dependence 0 0 2 11 0 0 5 22
Semiparametric fractional cointegration analysis 0 2 6 24 0 3 19 78
Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression 2 14 47 166 6 24 103 495
Testing for structural change in a long-memory environment 1 7 28 59 2 12 53 129
Testing of seasonal fractional integration in UK and Japanese consumption and income 1 2 7 118 1 5 22 347
Testing of unit root and other nonstationary hypotheses in macroeconomic time series 1 4 13 84 1 5 32 210
Tests for Serial Dependence and Other Specification Analysis in Models of Markets in Disequilibrium 0 0 0 0 0 0 4 122
Tests for Serial Dependence in Limited Dependent Variable Models 0 0 3 17 0 0 5 90
The Bootstrap and the Edgeworth Correction for Semiparametric Averaged Derivatives 1 2 8 25 1 11 30 152
The Estimation of Linear Differential Equations with Constant Coefficients 0 2 7 22 1 11 22 93
The Normal Approximation for Semiparametric Averaged Derivatives 0 0 1 8 1 1 11 58
The Stochastic Difference between Econometric Statistics 0 6 21 55 9 32 132 437
The distance between rival nonstationary fractional processes 0 0 0 10 0 1 6 45
The memory of stochastic volatility models 0 1 9 35 2 3 17 72
Using Gaussian Estimators Robustly 0 0 0 0 1 1 5 26
Total Journal Articles 35 115 414 1,832 103 293 1,183 6,544

logo

LogEc Home

Top Working Papers
Top Journal Articles
Top Books
Top Chapters
Top Software Items

Top Authors

Top Working Paper series and Journals

About LogEc

Authors with papers registered in the RePEc Author Service.

Register yourself as an author or register more papers in the RePEc Author Service.

Authors with no registered papers

RePEc
LogEc provides access and usage for services based on the RePEc data set.

Örebro UniversityLogEc is hosted by the Swedish Business School at Örebro University.

Questions or comments? Please see our explanation of how the statistics are collected or e-mail .

Statistics updated 2008-10-02