| 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 |
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