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.) 1 1 2 43 3 3 9 112
A Nonparametric Test for I(0) - (Now published in Review of Economic Studies, 65 (1998), pp.475-495.) 0 0 0 0 2 4 8 108
Adapting to Unknown Disturbance Autocorrelation in Regression with Long Memory 0 0 0 23 2 2 20 217
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.) 1 1 1 18 3 3 6 87
Alternative Forms of Fractional Brownian Motion - (Now published in Journal of Statistical Planning and Inference, 80 (1999), pp.111-122.) 1 1 1 61 3 5 14 170
Cointegration in Fractional Systems with Deterministic Trends 1 1 3 138 6 13 41 380
Cointegration in Fractional Systems with Unknown Integration Orders 3 4 18 81 4 9 38 198
Cointegration in Fractional Systems with Unkown Integration Orders 0 0 0 63 4 5 27 232
Denis Sargan: Some Perspectives 0 0 0 42 2 2 11 165
Determination of Cointegrating Rank in Fractional Systems 1 1 1 55 3 5 19 188
Edgeworth Expansions for Semiparametric Averaged Derivatives - (Now published in Econometrica, 68 (2000), pp.931-979.) 1 1 1 22 3 3 5 92
Edgeworth Expansions for Semiparametric Whittle Estimation of Long Memory 0 0 0 60 1 2 12 233
Edgeworth Expansions for Spectral Density Estimates and Studentized Sample Mean - (Now published in Economic Theory, 17 (2001), pp.497-539 1 1 1 39 2 3 8 173
Efficiency Improvements in Inference on Stationary and Nonstationary Fractional Time Series 0 0 3 60 2 2 12 182
Efficient Estimation of a Dynamic Error-Shock Model 0 0 5 38 3 6 33 357
Finite Sample Improvement in Statistical Inference with I(1) Processes 1 1 1 26 2 3 10 101
Gaussian Estimation of Parametric Spectral Density with Unknown Pole 1 1 2 35 3 4 16 174
Higher-Order Kernel Semiparametric M-Estimation of Long Memory 1 1 1 74 11 19 59 319
Inference-without-Smoothing in the Presence of Nonparametric Autocorrelation - (Now published in Econometrica, 66 (1998), pp.1163-1182.) 0 0 0 0 2 4 9 89
LARCH, Leverage and Long Memory 1 2 2 151 5 10 38 382
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 4 9 136
Long and Short Memory Conditional Heteroscedasticity in Estimating the Memory Parameter of Levels - (Now published in Econometric Theory, 15 (1999), pp.299-336.) 1 1 1 43 3 6 24 143
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 2 2 7 157
Modified whittle estimation of multilateral spatial models 3 4 6 32 4 8 18 119
Narrow-Band Analysis of Nonstationary Processes 1 1 1 34 5 9 31 229
Nonlinear Time Series With Long Memory: A Model for Stochastic Volatility 1 5 16 323 2 8 26 834
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 2 3 10 111
PSEUDO-MAXIMUM LIKELIHOOD ESTIMATION OF ARCH($ \infty $) MODELS 0 0 0 2 0 2 21 236
Parametric Estimation under Long-Range Dependence 1 1 2 30 3 3 10 90
ROBUST COVARIANCE MATRIX ESTIMATION: "HAC" Estimates with Long Memory/Antipersistence Correction 1 1 4 83 4 5 33 272
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 2 2 3 53
Root-n-Consistent Estimation of Weak Fractional Cointegration 1 4 9 63 4 11 35 223
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.) 2 3 3 28 5 6 16 160
Semiparametric Fractional Cointegration Analysis 1 1 2 63 5 8 30 224
Semiparametric Frequency Domain Analysis of Fractional Cointegration - (Revised version forthcoming in P M Robinson: Time Series with Long Memory (Oxford University Press) 1 1 1 60 3 4 34 218
Semiparametric Inference in Seasonal and Cyclical Long Memory Processes - (Now published in Journal of Time Series Analysis, 21 (2000), pp.1-25.) 2 4 6 38 5 10 26 140
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.) 1 1 1 23 2 3 6 183
Testing of Seasonal Fractional Integration in U.K. and Japanese Consumption and Income 0 0 0 0 4 8 17 118
Testing of Seasonal Fractional Integration in UK and Japanese Consumption and Income 1 1 2 55 2 9 26 203
The Averaged Periodogram for Nonstationary Vector Time Series 1 1 2 50 4 6 31 214
The Distance between Rival Nonstationary Fractional Processes 1 1 1 34 5 5 15 103
The Estimation of Conditional Densities 1 1 1 74 5 6 22 221
The Memory of Stochastic Volatility Models 1 1 2 63 5 7 19 155
The bootstrap and the Edgeworth correction for semiparametric averaged derivatives 1 1 10 32 5 7 31 100
Time Series Regression with Long Range Dependence - (Now published in Annals of Statistics, 25, (1997)pp.2054-2083.) 0 0 0 0 3 4 19 152
Variance-Type Estimation of Long Memory - (Now published in Stochastic Processes and their Applications, 29 (1999), pp.1-24.) 1 1 2 30 2 3 7 119
Weak Convergence of Multivariate Fractional Processes - (Now published in Stochastic Processes and their Applications, 80 (1999), pp.103-120.) 1 1 2 58 3 3 6 133
Whittle Estimation of ARCH Models 1 1 2 41 2 5 12 125
Whittle Pseudo-Maximum Likelihood Estimation for Nonstationary Time Series - (Now published in Journal of the American Statistical Association, 95, (2000), pp.1229-1243.) 1 1 1 72 6 13 50 277
Total Working Papers 40 53 119 2,360 165 277 989 9,407

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 3 14 63 1 7 40 186
Adapting to Unknown Disturbance Autocorrelation in Regression with Long Memory 0 0 1 24 0 0 11 272
Asymptotically Efficient Estimation in the Presence of Heteroskedasticity of Unknown Form 2 3 26 84 3 5 53 212
Automatic Frequency Domain Inference on Semiparametric and Nonparametric Models 0 2 12 50 2 5 28 212
Averaged periodogram estimation of long memory 2 2 10 43 5 8 23 126
Best Nonlinear Three-Stage Least Squares Estimation of Certain Econometric Models 2 3 26 188 9 11 65 691
Cointegration in Fractional Systems with Unknown Integration Orders 0 0 5 57 1 2 10 223
Cointegration in fractional systems with deterministic trends 0 1 10 54 2 4 18 129
Consistent Nonparametric Entropy-Based Testing 1 2 32 135 1 3 54 280
Determination of cointegrating rank in fractional systems 0 1 8 37 0 2 12 100
Edgeworth Expansions for Semiparametric Averaged Derivatives 0 0 0 0 2 3 6 180
Efficient Estimation of a Dynamic Error-Shock Model 0 1 3 8 0 1 7 29
Finite sample improvements in statistical inference with I(1) processes 1 1 3 40 2 5 12 161
Higher-order kernel semiparametric M-estimation of long memory 0 0 3 19 3 6 13 73
Highly Insignificant F-Ratios 0 0 2 14 0 0 8 83
Hypothesis Testing in Semiparametric and Nonparametric Models for Econometric Time Series 1 5 14 68 1 7 31 236
Identification, Estimation and Large-Sample Theory for Regressions Containing Unobservable Variables 0 1 9 28 0 1 11 83
Inference-Without-Smoothing in the Presence of Nonparametric Autocorrelation 0 0 0 0 1 2 14 87
Instrumental Variables Estimation of Differential Equations 1 2 3 10 1 2 7 55
Nonparametric Methods in Specification 0 0 1 11 0 0 1 29
Nonparametric and Semiparametric Methods for Economic Research 0 0 0 0 3 16 55 244
On the Asymptotic Properties of Estimators of Models Containing Limited Dependent Variables 1 3 6 45 2 5 14 169
Real and Spurious Long-Memory Properties of Stock-Market Data: Comment 0 0 0 0 1 1 7 57
Root- N-Consistent Semiparametric Regression 12 31 145 426 18 55 262 765
Semiparametric Econometrics: A Survey 3 5 30 191 8 13 50 373
Semiparametric estimation from time series with long-range dependence 0 1 8 19 1 2 11 33
Semiparametric fractional cointegration analysis 0 1 6 30 0 2 12 90
Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression 2 6 55 224 4 19 107 608
Testing for structural change in a long-memory environment 1 5 36 99 5 11 69 204
Testing of seasonal fractional integration in UK and Japanese consumption and income 0 1 9 127 0 5 18 367
Testing of unit root and other nonstationary hypotheses in macroeconomic time series 2 4 15 99 3 6 27 237
Tests for Serial Dependence and Other Specification Analysis in Models of Markets in Disequilibrium 0 0 0 0 1 3 9 132
Tests for Serial Dependence in Limited Dependent Variable Models 0 2 3 20 0 3 5 95
The Bootstrap and the Edgeworth Correction for Semiparametric Averaged Derivatives 0 0 4 31 1 1 14 170
The Estimation of Linear Differential Equations with Constant Coefficients 0 0 3 26 0 2 18 112
The Normal Approximation for Semiparametric Averaged Derivatives 1 1 2 10 1 1 8 67
The Stochastic Difference between Econometric Statistics 2 6 16 73 6 22 120 571
The distance between rival nonstationary fractional processes 0 0 2 12 0 1 4 49
The memory of stochastic volatility models 0 0 3 38 0 1 9 82
Using Gaussian Estimators Robustly 0 0 0 0 0 0 2 28
Total Journal Articles 35 93 525 2,403 88 243 1,245 7,900

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 2009-11-04