IDEAS home Printed from https://ideas.repec.org/f/c/pro222.html
   My authors  Follow this author

Peter M. Robinson

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Wikipedia or ReplicationWiki mentions

(Only mentions on Wikipedia that link back to a page on a RePEc service)
  1. Robinson, P M, 1988. "Semiparametric Econometrics: A Survey," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 3(1), pages 35-51, January.

    Mentioned in:

    1. Semiparametric econometrics: A survey (Journal of Applied Econometrics 1988) in ReplicationWiki ()
  2. D. Marinucci & P. M. Robinson, 2001. "Finite sample improvements in statistical inference with I(1) processes," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(3), pages 431-444.

    Mentioned in:

    1. Finite sample improvements in statistical inference with I(1) processes (Journal of Applied Econometrics 2001) in ReplicationWiki ()

Working papers

  1. Paolo Zaffaroni & Peter M. Robinson, 2004. "PSEUDO-MAXIMUM LIKELIHOOD ESTIMATION OF ARCH($ \infty $) MODELS," Econometric Society 2004 North American Summer Meetings 326, Econometric Society.

    Cited by:

    1. Christian Francq & Jean-Michel Zakoïan, 2013. "Optimal predictions of powers of conditionally heteroscedastic processes," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 75(2), pages 345-367, March.

  2. Yoshihiko Nishiyama & Peter Robinson, 2004. "The bootstrap and the Edgeworth correction for semiparametric averaged derivatives," CeMMAP working papers CWP12/04, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.

    Cited by:

    1. Matias D. Cattaneo & Max H. Farrell & Michael Jansson & Ricardo Masini, 2022. "Higher-order Refinements of Small Bandwidth Asymptotics for Density-Weighted Average Derivative Estimators," Papers 2301.00277, arXiv.org, revised Feb 2024.
    2. Marcia M Schafgans & Victoria Zinde-Walshyz, 2008. "Smoothness Adaptive AverageDerivative Estimation," STICERD - Econometrics Paper Series 529, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    3. Xiaohong Chen & Demian Pouzo, 2009. "Efficient estimation of semiparametric conditional moment models with possibly nonsmooth residuals," CeMMAP working papers CWP20/09, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    4. Chuan Goh, 2009. "Bootstrap-based Bandwidth Selection for Semiparametric Generalized Regression Estimators," Working Papers tecipa-375, University of Toronto, Department of Economics.
    5. Cattaneo, Matias D & Crump, Richard K & Jansson, Michael, 2014. "Small Bandwidth Asymptotics For Density-Weighted Average Derivatives," Department of Economics, Working Paper Series qt3jd237cg, Department of Economics, Institute for Business and Economic Research, UC Berkeley.
    6. Ai, Chunrong & Chen, Xiaohong, 2007. "Estimation of possibly misspecified semiparametric conditional moment restriction models with different conditioning variables," Journal of Econometrics, Elsevier, vol. 141(1), pages 5-43, November.
    7. Ichimura, Hidehiko & Todd, Petra E., 2007. "Implementing Nonparametric and Semiparametric Estimators," Handbook of Econometrics, in: J.J. Heckman & E.E. Leamer (ed.), Handbook of Econometrics, edition 1, volume 6, chapter 74, Elsevier.
    8. SCHAFGANS, Marcia M.A. & ZINDE-WALSH, Victoria, 2007. "Robust Average Derivative Estimation," Cahiers de recherche 12-2007, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
    9. Wolfgang Härdle & Oliver Linton & Yingcun Xia, 2009. "Optimal Smoothing for a Computationallyand StatisticallyEfficient Single Index Estimator," STICERD - Econometrics Paper Series 537, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    10. Gao, Jiti, 2007. "Nonlinear time series: semiparametric and nonparametric methods," MPRA Paper 39563, University Library of Munich, Germany, revised 01 Sep 2007.
    11. Subbotin, Viktor, 2007. "Asymptotic and bootstrap properties of rank regressions," MPRA Paper 9030, University Library of Munich, Germany, revised 20 Mar 2008.
    12. Gao, Jiti & Gijbels, Irene, 2005. "Bandwidth selection for nonparametric kernel testing," MPRA Paper 11982, University Library of Munich, Germany, revised Jun 2007.
    13. Nishiyama, Y., 2004. "Minimum normal approximation error bandwidth selection for averaged derivatives," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 64(1), pages 53-61.
    14. Chen, Xiaohong, 2007. "Large Sample Sieve Estimation of Semi-Nonparametric Models," Handbook of Econometrics, in: J.J. Heckman & E.E. Leamer (ed.), Handbook of Econometrics, edition 1, volume 6, chapter 76, Elsevier.
    15. Christopher Withers & Saralees Nadarajah, 2013. "Density estimates of low bias," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 76(3), pages 357-379, April.
    16. Subbotin, Viktor, 2008. "Essays on the econometric theory of rank regressions," MPRA Paper 14086, University Library of Munich, Germany.

  3. Peter Robinson & J. Vidal Sanz Vidal Sanz, 2003. "Modified whittle estimation of multilateral spatial models," CeMMAP working papers CWP18/03, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.

    Cited by:

    1. Timothy Conley & Francesca Molinari, 2005. "Spatial correlation robust inference with Errors in Location or Distance," CeMMAP working papers CWP10/05, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.

  4. Peter M. Robinson & Javier Hualde, 2002. "Cointegration in Fractional Systems with Unknown Integration Orders," Faculty Working Papers 07/02, School of Economics and Business Administration, University of Navarra.

    Cited by:

    1. Andreou, Elena & Kasparis, Ioannis & Phillips, Peter C. B., 2013. "Nonparametric Predictive Regression," CEPR Discussion Papers 9570, C.E.P.R. Discussion Papers.
    2. Nielsen, Morten Ørregaard, 2010. "Nonparametric cointegration analysis of fractional systems with unknown integration orders," Journal of Econometrics, Elsevier, vol. 155(2), pages 170-187, April.
    3. Marcel Aloy & Gilles de Truchis, 2012. "Estimation and Testing for Fractional Cointegration," AMSE Working Papers 1215, Aix-Marseille School of Economics, France.
    4. Peter M Robinson, 2004. "The Distance between Rival Nonstationary Fractional Processes," STICERD - Econometrics Paper Series 468, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    5. Hualde, Javier, 2014. "Estimation of long-run parameters in unbalanced cointegration," Journal of Econometrics, Elsevier, vol. 178(2), pages 761-778.
    6. Hualde, Javier & Nielsen, Morten Ørregaard, 2020. "Truncated Sum Of Squares Estimation Of Fractional Time Series Models With Deterministic Trends," Econometric Theory, Cambridge University Press, vol. 36(4), pages 751-772, August.
    7. Gil-Alana, Luis A. & Moreno, Antonio, 2012. "Uncovering the US term premium: An alternative route," Journal of Banking & Finance, Elsevier, vol. 36(4), pages 1181-1193.
    8. Mirko Abbritti & Luis A. Gil-Alana & Yuliya Lovcha & Antonio Moreno, 2016. "Term Structure Persistence," Journal of Financial Econometrics, Oxford University Press, vol. 14(2), pages 331-352.
    9. Christian Leschinski & Michelle Voges & Philipp Sibbertsen, 2021. "Integration and Disintegration of EMU Government Bond Markets," Econometrics, MDPI, vol. 9(1), pages 1-17, March.
    10. Fabrizio Iacone & Peter M Robinson, 2004. "Cointegration in Fractional Systems with Deterministic Trends," STICERD - Econometrics Paper Series 476, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    11. Nielsen, Morten Orregaard & Shimotsu, Katsumi, 2007. "Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach," Journal of Econometrics, Elsevier, vol. 141(2), pages 574-596, December.
    12. Gil-Alana, Luis A. & Yaya, OlaOluwa S, 2018. "How do Stocks in BRICS co-move with REITs?," MPRA Paper 88753, University Library of Munich, Germany.
    13. Gilles de Truchis & Elena Ivona Dumitrescu, 2019. "Narrow-band Weighted Nonlinear Least Squares Estimation of Unbalanced Cointegration Systems," EconomiX Working Papers 2019-14, University of Paris Nanterre, EconomiX.
    14. Javier Hualde & Peter M Robinson, 2006. "Semiparametric Estimation of Fractional Cointegration," STICERD - Econometrics Paper Series 502, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    15. Hualde, J. & Robinson, P.M., 2010. "Semiparametric inference in multivariate fractionally cointegrated systems," Journal of Econometrics, Elsevier, vol. 157(2), pages 492-511, August.
    16. Javier Hualde & Morten Ørregaard Nielsen, 2022. "Truncated sum-of-squares estimation of fractional time series models with generalized power law trend," Working Paper 1458, Economics Department, Queen's University.
    17. Dolado Juan J. & Gonzalo Jesus & Mayoral Laura, 2008. "Wald Tests of I(1) against I(d) Alternatives: Some New Properties and an Extension to Processes with Trending Components," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 12(4), pages 1-35, December.
    18. Bent Jesper Christensen & Morten Ø. Nielsen, "undated". "Semiparametric Analysis of Stationary Fractional Cointegration and the Implied-Realized Volatility Relation in High-Frequency Options Data," Economics Working Papers 2001-4, Department of Economics and Business Economics, Aarhus University.
    19. Emmanuel Joel Aikins Abakah & Guglielmo Maria Caporale & Luis A. Gil-Alana, 2020. "Economic Policy Uncertainty: Persistence and Cross-Country Linkages," CESifo Working Paper Series 8289, CESifo.
    20. Javier Hualde & Morten {O}rregaard Nielsen, 2022. "Fractional integration and cointegration," Papers 2211.10235, arXiv.org.
    21. Benjamin M. Tabak, 2007. "Estimating the Fractional Order of Integration of Yields in the Brazilian Fixed Income Market," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 36(3), pages 231-246, November.
    22. Ulrich K. Müller & Mark W. Watson, 2018. "Long†Run Covariability," Econometrica, Econometric Society, vol. 86(3), pages 775-804, May.
    23. Javier Hualde, 2005. "Unbalanced Cointegration," Faculty Working Papers 06/05, School of Economics and Business Administration, University of Navarra.
    24. Rebecca J. Sela & Clifford M. Hurvich, 2009. "Computationally efficient methods for two multivariate fractionally integrated models," Journal of Time Series Analysis, Wiley Blackwell, vol. 30(6), pages 631-651, November.
    25. Caporale, Guglielmo Maria & Gil-Alana, Luis A., 2004. "Fractional cointegration and tests of present value models," Review of Financial Economics, Elsevier, vol. 13(3), pages 245-258.
    26. Tobias Hartl & Roland Jucknewitz, 2022. "Approximate state space modelling of unobserved fractional components," Econometric Reviews, Taylor & Francis Journals, vol. 41(1), pages 75-98, January.
    27. Gokan, Toshitaka & Kichko, Sergey & Thisse, Jacques-François, 2020. "How do trade and communication costs shape the spatial organization of firms?," LIDAM Reprints CORE 3109, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    28. Søren Johansen & Morten Ørregaard Nielsen, 2007. "Likelihood inference for a nonstationary fractional autoregressive model," CREATES Research Papers 2007-33, Department of Economics and Business Economics, Aarhus University.
    29. Hualde, Javier, 2013. "A simple test for the equality of integration orders," Economics Letters, Elsevier, vol. 119(3), pages 233-237.
    30. Christian Fischer & Luis Gil-Alana, 2009. "The nature of the relationship between international tourism and international trade: the case of German imports of Spanish wine," Applied Economics, Taylor & Francis Journals, vol. 41(11), pages 1345-1359.
    31. Tobias Hartl & Roland Weigand, 2018. "Multivariate Fractional Components Analysis," Papers 1812.09149, arXiv.org, revised Jan 2019.
    32. Javier Hualde & A Robinson, 2006. "Root-N-Consistent Estimation Of Weakfractional Cointegration," STICERD - Econometrics Paper Series /06/499, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    33. Müller, Ulrich K. & Watson, Mark W., 2013. "Low-frequency robust cointegration testing," Journal of Econometrics, Elsevier, vol. 174(2), pages 66-81.
    34. Søren Johansen, 2010. "An Extension of Cointegration to Fractional Autoregressive Processes," Discussion Papers 10-28, University of Copenhagen. Department of Economics.
    35. Hurvich, Cliiford & Wang, Yi, 2006. "A Pure-Jump Transaction-Level Price Model Yielding Cointegration, Leverage, and Nonsynchronous Trading Effects," MPRA Paper 1413, University Library of Munich, Germany.
    36. Hualde Javier & Iacone Fabrizio, 2012. "First Stage Estimation of Fractional Cointegration," Journal of Time Series Econometrics, De Gruyter, vol. 4(1), pages 1-32, May.
    37. Gil-Alana, Luis A. & Yaya, OlaOluwa S. & Akinsomi, Omokolade & Coskun, Yener, 2020. "How do stocks in BRICS co-move with real estate stocks?," International Review of Economics & Finance, Elsevier, vol. 69(C), pages 93-101.
    38. Luis A. Gil-Alana, 2004. "Modelling the Japanese Exchange Rate in Terms of I(d) Statistical Models with Parametric and Semiparametric Techniques," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 3(2), pages 123-138, August.
    39. Arintoko, 2011. "Exchange rate pass-through, import prices and inflation under structural breaks," Economic Journal of Emerging Markets, Universitas Islam Indonesia, vol. 3(1), pages 55-75, April.
    40. Ergemen, Yunus Emre & Velasco, Carlos, 2017. "Estimation of fractionally integrated panels with fixed effects and cross-section dependence," Journal of Econometrics, Elsevier, vol. 196(2), pages 248-258.
    41. Lasak, Katarzyna, 2010. "Likelihood based testing for no fractional cointegration," Journal of Econometrics, Elsevier, vol. 158(1), pages 67-77, September.
    42. Christensen, Bent Jesper & Kruse, Robinson & Sibbertsen, Philipp, 2013. "A unified framework for testing in the linear regression model under unknown order of fractional integration," Hannover Economic Papers (HEP) dp-519, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    43. Robinson, P.M., 2005. "The distance between rival nonstationary fractional processes," Journal of Econometrics, Elsevier, vol. 128(2), pages 283-300, October.
    44. Abbritti, Mirko & Carcel, Hector & Gil-Alana, Luis & Moreno, Antonio, 2023. "Term premium in a fractionally cointegrated yield curve," Journal of Banking & Finance, Elsevier, vol. 149(C).
    45. J. Cunado & L.A. Gil-Alana & F. Perez De Gracia, 2007. "Real convergence in some emerging countries : a fractionally integrated approach," Discussion Papers (REL - Recherches Economiques de Louvain) 2007034, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
    46. Gil-Alana, Luis A. & Yaya, OlaOluwa S., 2014. "The relationship between oil prices and the Nigerian stock market. An analysis based on fractional integration and cointegration," Energy Economics, Elsevier, vol. 46(C), pages 328-333.
    47. Gil-Alana, L.A., 2005. "A re-examination of historical real daily wages in England: 1260-1994," Journal of Policy Modeling, Elsevier, vol. 27(7), pages 829-838, October.
    48. Yaya, OaOluwa S & Vo, Xuan Vinh & Ogbonna, Ahamuefula E & Adewuyi, Adeolu O, 2020. "Modelling Cryptocurrency High-Low Prices using Fractional Cointegrating VAR," MPRA Paper 102190, University Library of Munich, Germany, revised 02 Aug 2020.
    49. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2011. "Fractional Integration and Cointegration in US Financial Time Series Data," Discussion Papers of DIW Berlin 1116, DIW Berlin, German Institute for Economic Research.
    50. Torben G. Andersen & Rasmus T. Varneskov, 2021. "Consistent Inference for Predictive Regressions in Persistent Economic Systems," NBER Working Papers 28568, National Bureau of Economic Research, Inc.
    51. Federico Carlini & Katarzyna (K.A.) Lasak, 2018. "Likelihood based inference for an Identifiable Fractional Vector Error Correction Model," Tinbergen Institute Discussion Papers 18-085/III, Tinbergen Institute.
    52. Luis A. Gil-Alana & Emmanuel Joel Aikins Abakah & Nieves Carmona-González & Aviral Kumar Tiwari, 2024. "Consumer sentiments across G7 and BRICS economies: Are they related?," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 48(2), pages 323-344, June.
    53. Robinson, Peter M., 2004. "The distance between rival nonstationary fractional processes," LSE Research Online Documents on Economics 2282, London School of Economics and Political Science, LSE Library.
    54. Yunus Emre Ergemen, 2016. "System Estimation of Panel Data Models under Long-Range Dependence," CREATES Research Papers 2016-02, Department of Economics and Business Economics, Aarhus University.
    55. Robinson, Peter M. & Gerolimetto, M., 2006. "Instrumental variables estimation of stationary and nonstationary cointegrating regressions," LSE Research Online Documents on Economics 4539, London School of Economics and Political Science, LSE Library.
    56. Barros, Carlos Pestana & Gil-Alana, Luis A. & Payne, James E., 2011. "An analysis of oil production by OPEC countries: Persistence, breaks, and outliers," Energy Policy, Elsevier, vol. 39(1), pages 442-453, January.
    57. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2022. "Gold and Silver as Safe Havens: A Fractional Integration and Cointegration Analysis," CESifo Working Paper Series 10084, CESifo.
    58. Luis A. Gil-Alana, 2003. "Testing of Fractional Cointegration in Macroeconomic Time Series," Faculty Working Papers 09/03, School of Economics and Business Administration, University of Navarra.
    59. Zhang, Rongmao & Robinson, Peter & Yao, Qiwei, 2019. "Identifying cointegration by eigenanalysis," LSE Research Online Documents on Economics 87431, London School of Economics and Political Science, LSE Library.
    60. Maria Malmierca-Ordoqui & Luis A. Gil-Alana & Lorenzo Bermejo, 2024. "Private and public debt convergence: a fractional cointegration approach," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 51(1), pages 161-183, February.
    61. Gilles de Truchis & Elena Ivona Dumitrescu, 2019. "Narrow-band Weighted Nonlinear Least Squares Estimation of Unbalanced Cointegration Systems," Working Papers hal-04141871, HAL.
    62. Javier Hualde, 2012. "A simple test for the equality of integration orders," Documentos de Trabajo - Lan Gaiak Departamento de Economía - Universidad Pública de Navarra 1206, Departamento de Economía - Universidad Pública de Navarra.
    63. Marcel Aloy & Gilles de Truchis, 2013. "Optimal Estimation Strategies for Bivariate Fractional Cointegration Systems," AMSE Working Papers 1353, Aix-Marseille School of Economics, France, revised 29 Oct 2013.
    64. Zhishui Hu & Ioannis Kasparis & Qiying Wang, 2020. "Locally trimmed least squares: conventional inference in possibly nonstationary models," Papers 2006.12595, arXiv.org.
    65. Katarzyna Lasak & Carlos Velasco, 2014. "Fractional Cointegration Rank Estimation," Tinbergen Institute Discussion Papers 14-021/III, Tinbergen Institute.
    66. de Truchis, Gilles, 2013. "Approximate Whittle analysis of fractional cointegration and the stock market synchronization issue," Economic Modelling, Elsevier, vol. 34(C), pages 98-105.
    67. Goodness C. Aye & Hector Carcel & Luis A. Gil-Alana & Rangan Gupta, 2017. "Does Gold Act as a Hedge against Inflation in the UK? Evidence from a Fractional Cointegration Approach Over 1257 to 2016," Working Papers 201753, University of Pretoria, Department of Economics.
    68. Hualde, Javier & Robinson, Peter M., 2006. "Semiparametric Estimation of Fractional Cointegration," LSE Research Online Documents on Economics 4537, London School of Economics and Political Science, LSE Library.
    69. Stefan Norrbin & Aaron Smallwood, 2010. "Generalized long memory and mean reversion of the real exchange rate," Applied Economics, Taylor & Francis Journals, vol. 42(11), pages 1377-1386.
    70. Avarucci, M. & Velasco, C., 2008. "A wald test for the cointegration rank in nonstationary fractional systems," Research Memorandum 049, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
    71. Fabrizio Iacone, 2009. "A Semiparametric Analysis of the Term Structure of the US Interest Rates," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 71(4), pages 475-490, August.
    72. Daiki Maki, 2013. "Detecting cointegration relationships under nonlinear models: Monte Carlo analysis and some applications," Empirical Economics, Springer, vol. 45(1), pages 605-625, August.
    73. Cunado, J. & Gil-Alana, L.A. & de Gracia, F. Perez, 2005. "A test for rational bubbles in the NASDAQ stock index: A fractionally integrated approach," Journal of Banking & Finance, Elsevier, vol. 29(10), pages 2633-2654, October.
    74. Daniel Borup & Bent Jesper Christensen & Yunus Emre Ergemen, 2019. "Assessing predictive accuracy in panel data models with long-range dependence," CREATES Research Papers 2019-04, Department of Economics and Business Economics, Aarhus University.
    75. Yaya, OlaOluwa S & Gil-Alana, Luis A., 2018. "High and Low Intraday Commodity Prices: A Fractional Integration and Cointegration Approach," MPRA Paper 90518, University Library of Munich, Germany.
    76. Ignacio N Lobato & Carlos Velasco, 2007. "Efficient Wald Tests for Fractional Unit Roots," Econometrica, Econometric Society, vol. 75(2), pages 575-589, March.
    77. Katarzyna Lasak, 2008. "Maximum likelihood estimation of fractionally cointegrated systems," CREATES Research Papers 2008-53, Department of Economics and Business Economics, Aarhus University.
    78. Gilles de Truchis & Florent Dubois & Elena Ivona Dumitrescu, 2019. "Local Whittle Analysis of Stationary Unbalanced Fractional Cointegration Systems," Working Papers hal-04141882, HAL.
    79. Gilles de Truchis & Elena Ivona Dumitrescu & Florent Dubois, 2019. "Local Whittle Analysis of Stationary Unbalanced Fractional Cointegration Systems," EconomiX Working Papers 2019-15, University of Paris Nanterre, EconomiX.
    80. Iacone, Fabrizio & Leybourne, Stephen J. & Robert Taylor, A.M., 2013. "Testing for a break in trend when the order of integration is unknown," Journal of Econometrics, Elsevier, vol. 176(1), pages 30-45.
    81. Avarucci, Marco & Marinucci, Domenico, 2005. "Polynomial cointegration among stationary processes with long memory," UC3M Working papers. Economics we055123, Universidad Carlos III de Madrid. Departamento de Economía.
    82. Carlos P. Barros & Joao R. Faria & Luis A. Gil-Alana, 2009. "Persistence on airline accidents," Faculty Working Papers 08/09, School of Economics and Business Administration, University of Navarra.
    83. Banerjee, Anindya & Urga, Giovanni, 2005. "Modelling structural breaks, long memory and stock market volatility: an overview," Journal of Econometrics, Elsevier, vol. 129(1-2), pages 1-34.
    84. Cunado, J. & Gil-Alana, L. A. & Perez de Gracia, F., 2004. "Is the US fiscal deficit sustainable?: A fractionally integrated approach," Journal of Economics and Business, Elsevier, vol. 56(6), pages 501-526.
    85. Wang, Bin & Wang, Man & Chan, Ngai Hang, 2015. "Residual-based test for fractional cointegration," Economics Letters, Elsevier, vol. 126(C), pages 43-46.
    86. Gil-Alana, Luis A. & Carcel, Hector, 2020. "A fractional cointegration var analysis of exchange rate dynamics," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
    87. Luis A. Gil-Alana, 2004. "Fractional cointegration in the consumption and income relationship using semiparametric techniques," Economics Bulletin, AccessEcon, vol. 3(47), pages 1-8.

  5. Gil-Alana, L. & Robinson, P.M., 1998. "Testing of Seasonal Fractional Integration in U.K. and Japanese Consumption and Income," Economics Working Papers eco98/20, European University Institute.

    Cited by:

    1. Burcu Kiran, 2011. "Fractional Cointegration Relationship between Oil Prices and Stock Markets: An Empirical Analysis from G7 Countries," Prague Economic Papers, Prague University of Economics and Business, vol. 2011(2), pages 177-189.
    2. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2005. "Long Memory At The Long-Run And The Seasonal Monthly Frequencies In The Us Money Stock," Economics and Finance Discussion Papers 05-16, Economics and Finance Section, School of Social Sciences, Brunel University.
    3. Maria Caporale, Guglielmo & A. Gil-Alana, Luis, 2011. "Multi-Factor Gegenbauer Processes and European Inflation Rates," Journal of Economic Integration, Center for Economic Integration, Sejong University, vol. 26, pages 386-409.
    4. Luis Gil-Alana, 2004. "Forecasting the real output using fractionally integrated techniques," Applied Economics, Taylor & Francis Journals, vol. 36(14), pages 1583-1589.
    5. Guglielmo Maria Caporale & Luis A. Gil‐Alana, 2007. "Nonlinearities and Fractional Integration in the US Unemployment Rate," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 69(4), pages 521-544, August.
    6. Gil-Alana, Luis A., 2003. "A Univariate Analysis of Unemployment and Inflation in Italy: A Fractionally Integrated Approach," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 23(2), November.
    7. Gil-Alana, Luis A., 2001. "A fractionally integrated model with a mean shift for the US and the UK real oil prices," Economic Modelling, Elsevier, vol. 18(4), pages 643-658, December.
    8. Sadiye Baykara & Erdinç Telatar, 2012. "The Stationarity Of Consumption-Income Ratios With Nonlinear And Asymmetric Unit Root Tests: Evidence From Fourteen Transition Economies," Hacettepe University Department of Economics Working Papers 20129, Hacettepe University, Department of Economics.
    9. J. Cunado & L.A. Gil-Alana & F. Pérez de Gracia, 2004. "Modelling Monthly Spanish Tourism: A Seasonal Fractionally Integrated Approach," Tourism Economics, , vol. 10(1), pages 79-94, March.
    10. Luis Alberiko Gil-Alana, 2002. "Multivariate Tests of Fractionally Integrated Hypotheses," Faculty Working Papers 09/02, School of Economics and Business Administration, University of Navarra.
    11. Candelon, Bertrand & Gil-Alaña, Luis A., 2001. "Fractional integration and business cycle features," SFB 373 Discussion Papers 2001,46, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    12. Dominique Guegan & Zhiping Lu, 2010. "Testing unit roots and long range dependence of foreign exchange," Documents de travail du Centre d'Economie de la Sorbonne 10059, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
    13. Luis A. Gil-Alanaa, 2005. "Unit and fractional roots in the presence of abrupt changes with an application to the brazilian inflation rate," Empirical Economics, Springer, vol. 30(1), pages 193-207, January.
    14. Luis A. Gil-Alana & Bertrand Candelon, 2004. "Seasonal and Long Run Fractional Integration in the Industrial Production Index of Some Latin Americ," Faculty Working Papers 08/04, School of Economics and Business Administration, University of Navarra.
    15. Juan Carlos Cuestas & Luis A. Gil-Alana, 2012. "A Non-Linear Approach with Long Range Dependence Based on Chebyshev Polynomials," Working Papers 2012013, The University of Sheffield, Department of Economics.
    16. Soares, Lacir Jorge & Souza, Leonardo Rocha, 2006. "Forecasting electricity demand using generalized long memory," International Journal of Forecasting, Elsevier, vol. 22(1), pages 17-28.
    17. Gil-Alana, L.A., 2006. "Seasonal and non-seasonal long memory effects in the Japanese real effective exchange rate," Journal of the Japanese and International Economies, Elsevier, vol. 20(1), pages 87-98, March.
    18. Juncal Cunado & Luis A. Gil-Alana & Fernando Pérez de Gracia, 2002. "Is the US Fiscal Deficit Sustainable? A Fractionally Integrated and Cointegrated Approach," Faculty Working Papers 02/02, School of Economics and Business Administration, University of Navarra.
    19. L.A. Gil-Alanaa, 2007. "Testing The Existence of Multiple Cycles in Financial and Economic Time Series," Annals of Economics and Finance, Society for AEF, vol. 8(1), pages 1-20, May.
    20. Christian Fischer & Luis Gil-Alana, 2009. "The nature of the relationship between international tourism and international trade: the case of German imports of Spanish wine," Applied Economics, Taylor & Francis Journals, vol. 41(11), pages 1345-1359.
    21. Ke, Shuyao & Phillips, Peter C.B. & Su, Liangjun, 2024. "Robust inference of panel data models with interactive fixed effects under long memory: A frequency domain approach," Journal of Econometrics, Elsevier, vol. 241(2).
    22. Luis Gil-Alana, 2003. "Seasonal Misspecification in the Context of Fractionally Integrated Univariate Time Series," Computational Economics, Springer;Society for Computational Economics, vol. 22(1), pages 65-74, August.
    23. Guglielmo Caporale & Luis Gil-Alana, 2009. "Multiple shifts and fractional integration in the US and UK unemployment rates," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 33(4), pages 364-375, October.
    24. Gil-Alana, Luis A., 2004. "Long memory in the U.S. interest rate," International Review of Financial Analysis, Elsevier, vol. 13(3), pages 265-276.
    25. L. A. Gil-Alana, 2003. "A fractional integration analysis of the population in some OECD countries," Journal of Applied Statistics, Taylor & Francis Journals, vol. 30(10), pages 1147-1159.
    26. Yuliya Lovcha & Alejandro Perez-Laborda & Luis Gil-Alana, 2018. "On the invertibility of seasonally adjusted series," Computational Statistics, Springer, vol. 33(1), pages 443-465, March.
    27. L.A. Gil-Alana & G.M. caporale, 2004. "Long-run and Cyclical Dynamics in the US Stock Market," Econometric Society 2004 Latin American Meetings 344, Econometric Society.
    28. Diego Romero-Avila, 2008. "A confirmatory analysis of the unit root hypothesis for OECD consumption-income ratios," Applied Economics, Taylor & Francis Journals, vol. 40(17), pages 2271-2278.
    29. Guglielmo Maria Caporale & Luis Gil-Alana, 2002. "Unemployment and input prices: a fractional cointegration approach," Applied Economics Letters, Taylor & Francis Journals, vol. 9(6), pages 347-351.
    30. F. DePenya & L. Gil-Alana, 2006. "Testing of nonstationary cycles in financial time series data," Review of Quantitative Finance and Accounting, Springer, vol. 27(1), pages 47-65, August.
    31. Luis A. Gil-Alana & S.G. Brian Henry, 2003. "Fractional Integration and the Dynamics of UK Unemployment," Faculty Working Papers 10/03, School of Economics and Business Administration, University of Navarra.
    32. Cuestas Juan Carlos & Gil-Alana Luis Alberiko, 2016. "Testing for long memory in the presence of non-linear deterministic trends with Chebyshev polynomials," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 20(1), pages 57-74, February.
    33. Zeynel Abidin Ozdemir & Mehmet Balcilar & Aysit Tansel, 2011. "International Labour Force Participation Rates by Gender: Unit Root or Structural Breaks?," ERC Working Papers 1105, ERC - Economic Research Center, Middle East Technical University, revised Oct 2011.
    34. Luis A. Gil-Alana & Juncal Cunado & Fernando Perez de Gracia, 2008. "Tourism in the Canary Islands: forecasting using several seasonal time series models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(7), pages 621-636.
    35. Niels Haldrup & Oskar Knapik & Tommaso Proietti, 2016. "A generalized exponential time series regression model for electricity prices," CREATES Research Papers 2016-08, Department of Economics and Business Economics, Aarhus University.
    36. Dominique Guegan & Zhiping Lu, 2009. "Wavelet Method for Locally Stationary Seasonal Long Memory Processes," Post-Print halshs-00375531, HAL.
    37. Caporale, Guglielmo Maria & Gil-Alana, Luis A., 2002. "Fractional integration and mean reversion in stock prices," The Quarterly Review of Economics and Finance, Elsevier, vol. 42(3), pages 599-609.
    38. Gil-Alana, Luis A. & Fischer, Christian, 2007. "International traveling and trade: further evidence for the case of Spanish wine based on fractional VAR specifications," 105th Seminar, March 8-10, 2007, Bologna, Italy 7859, European Association of Agricultural Economists.
    39. Masaki Narukawa, 2016. "Semiparametric Whittle estimation of a cyclical long-memory time series based on generalised exponential models," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 28(2), pages 272-295, June.
    40. Gil-Alana, Luis A., 2002. "Seasonal long memory in the aggregate output," Economics Letters, Elsevier, vol. 74(3), pages 333-337, February.
    41. Luis A. Gil-Alana & OlaOluwa S. Yaya, 2021. "Testing fractional unit roots with non-linear smooth break approximations using Fourier functions," Journal of Applied Statistics, Taylor & Francis Journals, vol. 48(13-15), pages 2542-2559, November.
    42. L.A. Gil-Alana, 2003. "Testing the Power of a Generalization of the KPSS-Tests against Fractionally Integrated Hypotheses," Computational Economics, Springer;Society for Computational Economics, vol. 22(1), pages 23-38, August.
    43. Méndez Parra, Maximiliano, 2015. "Futures prices, trade and domestic supply of agricultural commodities," Economics PhD Theses 0115, Department of Economics, University of Sussex Business School.
    44. Guglielmo Maria Caporale & Luis A. Gil‐Alana, 2004. "Fractional cointegration and real exchange rates," Review of Financial Economics, John Wiley & Sons, vol. 13(4), pages 327-340.
    45. Christian Fischer & Luis Alberiko Gil-Alana, 2005. "The Nature of the Relationship between International Tourism and International Trade: The Case of Ge," Faculty Working Papers 15/05, School of Economics and Business Administration, University of Navarra.
    46. Juncal Cunado & Luis A. Gil-Alana & Fernando Pérez de Gracia, 2006. "Additional Empirical Evidence on Real Convergence: A Fractionally Integrated Approach," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 142(1), pages 67-91, April.
    47. Candelon, B. & Gil-Alana, L. A., 2004. "Seasonal and long-run fractional integration in the Industrial Production Indexes of some Latin American countries," Journal of Policy Modeling, Elsevier, vol. 26(3), pages 301-313, April.
    48. Guglielmo Maria Caporale & Juncal Cunado & Luis A. Gil-Alana, 2007. "Deterministic versus Stochastic Seasonal Fractional Integration and Structural Breaks," CESifo Working Paper Series 1989, CESifo.
    49. Burcu Kiran, 2010. "The Structure of Tourism Revenues in Turkey: Evidence from Fractional Integration under Multiple Structural Breaks," Economic Studies journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 4, pages 85-96.
    50. L.A. Gil-Alana, 2005. "Fractional Cyclical Structures & Business Cycles in the Specification of the US Real Output," European Research Studies Journal, European Research Studies Journal, vol. 0(1-2), pages 99-126.
    51. Gil-Alaña, Luis A., 2000. "Deterministic seasonality versus seasonal fractional integration," SFB 373 Discussion Papers 2000,106, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    52. Dominique Guegan & Zhiping Lu, 2010. "Testing unit roots and long range dependence of foreign exchange," Post-Print halshs-00505117, HAL.
    53. Gil-Alana, Luis A., 2002. "A mean shift break in the US interest rate," Economics Letters, Elsevier, vol. 77(3), pages 357-363, November.
    54. Guglielmo Caporale & Luis Gil-Alana, 2008. "Testing for unit and fractional orders of integration in the trend and seasonal components of US monetary aggregates," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 35(3), pages 241-253, July.
    55. Luis A. Gil-Alana, 2003. "Testing of Fractional Cointegration in Macroeconomic Time Series," Faculty Working Papers 09/03, School of Economics and Business Administration, University of Navarra.
    56. Luis A. Gil-Alana, 2010. "International Arrivals in the Canary Islands: Persistence, Long Memory, Seasonality and other Implicit Dynamics," Tourism Economics, , vol. 16(2), pages 287-302, June.
    57. Luis Gil-Alana, 2010. "A seasonal fractional multivariate model. A testing procedure and impulse responses for the analysis of GDP and unemployment dynamics," Empirical Economics, Springer, vol. 38(2), pages 471-501, April.
    58. Gil-Alana, Luis A., 2002. "Structural breaks and fractional integration in the US output and unemployment rate," Economics Letters, Elsevier, vol. 77(1), pages 79-84, September.
    59. Luis Gil-Alana, 2004. "The dynamics of the real exchange rates in Europe: a comparative study across countries using fractional integration," Applied Economics Letters, Taylor & Francis Journals, vol. 11(7), pages 429-432.
    60. Luis A. Gil-Alana, 2004. "Structural Change and the Order of Integration in Univariate Time Series," Computational Economics, Springer;Society for Computational Economics, vol. 23(3), pages 239-254, April.
    61. Bond, Derek & Harrison, Michael J & Hession, Niall & O’Brien, Edward J., 2006. "Some Empirical Observations on the Forward Exchange Rate Anomaly," Research Technical Papers 3/RT/06, Central Bank of Ireland.
    62. Luis Gil-Alana, 2003. "Unemployment and real oil prices in Australia: a fractionally cointegrated approach," Applied Economics Letters, Taylor & Francis Journals, vol. 10(4), pages 201-204.
    63. Luis Alberiko Gil-Alaña & Carlos Pestana Barros & Zhongfei Chen, 2016. "The persistence of air pollution in four mega-cities of China," NCID Working Papers 04/2016, Navarra Center for International Development, University of Navarra.
    64. Luis A. Gil-Alana, 2005. "Testing and forecasting the degree of integration in the US inflation rate," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 24(3), pages 173-187.
    65. Henghsiu Tsai & Heiko Rachinger & Edward M.H. Lin, 2015. "Inference of Seasonal Long-memory Time Series with Measurement Error," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 42(1), pages 137-154, March.
    66. Guglielmo M. Caporale & Luis A. Gil‐Alana, 2004. "Testing for Seasonal Fractional Roots in German Real Output," German Economic Review, Verein für Socialpolitik, vol. 5(3), pages 319-333, August.
    67. García Enríquez, Javier & Arteche González, Jesús María & Murillas Maza, Arantza, 2010. "Fractional Integration Analysis and its Implications on Profitability: the Case of the Mackerel Market in the Basque Country," BILTOKI 1134-8984, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística).
    68. J. Cunado & L.A. Gil-Alana & F. Péarez de Gracia, 2005. "The Nature of Seasonality in Spanish Tourism Time Series," Tourism Economics, , vol. 11(4), pages 483-499, December.
    69. Gil-Alana, Luis A., 2004. "Modelling the U.S. interest rate in terms of I(d) statistical models," The Quarterly Review of Economics and Finance, Elsevier, vol. 44(4), pages 475-486, September.
    70. Benjamin J. C. Kim & David Karemera, 2006. "Assessing the forecasting accuracy of alternative nominal exchange rate models: the case of long memory," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 25(5), pages 369-380.
    71. Guglielmo Caporale & Luis Gil-Alana, 2003. "Long memory and structural breaks in hyperinflation countries," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 27(2), pages 136-152, June.
    72. Cheung, Ying Lun, 2020. "Nonstationarity-extended Whittle estimation with discontinuity: A correction," Economics Letters, Elsevier, vol. 187(C).
    73. Luis Gil-Alana, 2003. "Strong dependence in the real interest rates," Applied Economics, Taylor & Francis Journals, vol. 35(2), pages 119-124.
    74. Luis Gil-Alana, 2004. "Seasonal fractional components in macroeconomic time series," Applied Economics, Taylor & Francis Journals, vol. 36(12), pages 1265-1279.
    75. Gil-Alana, Luis A., 2002. "Empirical evidence of the spot and the forward exchange rates in Canada," Economics Letters, Elsevier, vol. 77(3), pages 405-409, November.
    76. Gil-Alana, L.A., 2008. "Testing of seasonal integration and cointegration with fractionally integrated techniques: An application to the Danish labour demand," Economic Modelling, Elsevier, vol. 25(2), pages 326-339, March.
    77. Luis A. Gil-Alana, 2004. "Testing of I(d) processes in the real output," Economics Bulletin, AccessEcon, vol. 3(32), pages 1-6.
    78. Guglielmo Maria Caporale & Luis Gil-Alana, 2004. "Long range dependence in daily stock returns," Applied Financial Economics, Taylor & Francis Journals, vol. 14(6), pages 375-383.
    79. Adelina Gschwandtner & Michael Hauser, 2008. "Modelling profit series: nonstationarity and long memory," Applied Economics, Taylor & Francis Journals, vol. 40(11), pages 1475-1482.
    80. Djedaiet Aissa & Ayad Hicham, 2022. "Hard currency inflows and sterilization policy in Algeria," SN Business & Economics, Springer, vol. 2(9), pages 1-16, September.
    81. Thornton, Michael A., 2014. "The aggregation of dynamic relationships caused by incomplete information," Journal of Econometrics, Elsevier, vol. 178(P2), pages 342-351.
    82. Luis Alberiko Gil-Alana, 2005. "Unit and Fractional Roots in the Presence of Abrupt Changes with an Application to the Brazilian Inf," Faculty Working Papers 19/05, School of Economics and Business Administration, University of Navarra.
    83. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2020. "Modelling Loans to Non-Financial Corporations within the Eurozone: A Long-Memory Approach," CESifo Working Paper Series 8674, CESifo.
    84. Cunado, J. & Gil-Alana, L. A. & Perez de Gracia, F., 2004. "Is the US fiscal deficit sustainable?: A fractionally integrated approach," Journal of Economics and Business, Elsevier, vol. 56(6), pages 501-526.
    85. Gil-Alana, Luis A, 2002. "Testing the order of integration of the UK Unemployment," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 2(1).
    86. Luis Gil-alana, 2004. "Testing of Unit Root Cycles in the Swedish Economy," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 31(4), pages 333-344, December.
    87. Gil-Alana, Luis A., 2003. "Generalized Fractional Time Series Modelling of the Relationship between Consumption and Income in the UK," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 3(1).
    88. Cunado, J. & Gil-Alana, L. A. & Perez de Gracia, F., 2004. "Real convergence in Taiwan: a fractionally integrated approach," Journal of Asian Economics, Elsevier, vol. 15(3), pages 529-547, June.

  6. Paolo Zaffaroni & Peter M. Robinson, 1997. "Nonlinear Time Series With Long Memory: A Model for Stochastic Volatility," FMG Discussion Papers dp253, Financial Markets Group.

    Cited by:

    1. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 1999. "The Distribution of Exchange Rate Volatility," Center for Financial Institutions Working Papers 99-08, Wharton School Center for Financial Institutions, University of Pennsylvania.
    2. Nour Meddahi, 2001. "An Eigenfunction Approach for Volatility Modeling," CIRANO Working Papers 2001s-70, CIRANO.
    3. Arteche González, Jesús María, 2002. "Gaussian Semiparametric Estimation in Long Memory in Stochastic Volatility and Signal Plus Noise Models," BILTOKI 1134-8984, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística).
    4. F. DePenya & L. Gil-Alana, 2006. "Testing of nonstationary cycles in financial time series data," Review of Quantitative Finance and Accounting, Springer, vol. 27(1), pages 47-65, August.
    5. Pérez, Ana, 2001. "Modelos de memoria larga para series económicas y financieras," DES - Documentos de Trabajo. Estadística y Econometría. DS ds010101, Universidad Carlos III de Madrid. Departamento de Estadística.
    6. Arteche, Josu, 2004. "Gaussian semiparametric estimation in long memory in stochastic volatility and signal plus noise models," Journal of Econometrics, Elsevier, vol. 119(1), pages 131-154, March.

Articles

  1. Yoshihiko Nishiyama & Peter M. Robinson, 2005. "The Bootstrap and the Edgeworth Correction for Semiparametric Averaged Derivatives," Econometrica, Econometric Society, vol. 73(3), pages 903-948, May.
    See citations under working paper version above.
  2. Robinson, P.M., 2005. "The distance between rival nonstationary fractional processes," Journal of Econometrics, Elsevier, vol. 128(2), pages 283-300, October.

    Cited by:

    1. Hassler, Uwe & Meller, Barbara, 2011. "Detecting multiple breaks in long memory: The case of US inflation," Discussion Paper Series 1: Economic Studies 2011,26, Deutsche Bundesbank.
    2. Nielsen, Morten Orregaard & Shimotsu, Katsumi, 2007. "Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach," Journal of Econometrics, Elsevier, vol. 141(2), pages 574-596, December.
    3. Gilles de Truchis & Elena Ivona Dumitrescu, 2019. "Narrow-band Weighted Nonlinear Least Squares Estimation of Unbalanced Cointegration Systems," EconomiX Working Papers 2019-14, University of Paris Nanterre, EconomiX.
    4. Hualde, J. & Robinson, P.M., 2010. "Semiparametric inference in multivariate fractionally cointegrated systems," Journal of Econometrics, Elsevier, vol. 157(2), pages 492-511, August.
    5. Javier Hualde & Morten {O}rregaard Nielsen, 2022. "Fractional integration and cointegration," Papers 2211.10235, arXiv.org.
    6. Javier Hualde, 2005. "Unbalanced Cointegration," Faculty Working Papers 06/05, School of Economics and Business Administration, University of Navarra.
    7. Papailias, Fotis & Fruet Dias, Gustavo, 2015. "Forecasting long memory series subject to structural change: A two-stage approach," International Journal of Forecasting, Elsevier, vol. 31(4), pages 1056-1066.
    8. Tobias Hartl & Roland Jucknewitz, 2022. "Approximate state space modelling of unobserved fractional components," Econometric Reviews, Taylor & Francis Journals, vol. 41(1), pages 75-98, January.
    9. Hualde, Javier, 2013. "A simple test for the equality of integration orders," Economics Letters, Elsevier, vol. 119(3), pages 233-237.
    10. Seong Yeon Chang & Pierre Perron, 2017. "Fractional Unit Root Tests Allowing for a Structural Change in Trend under Both the Null and Alternative Hypotheses," Econometrics, MDPI, vol. 5(1), pages 1-26, January.
    11. Tobias Hartl & Roland Weigand, 2018. "Multivariate Fractional Components Analysis," Papers 1812.09149, arXiv.org, revised Jan 2019.
    12. Christensen, Bent Jesper & Varneskov, Rasmus Tangsgaard, 2017. "Medium band least squares estimation of fractional cointegration in the presence of low-frequency contamination," Journal of Econometrics, Elsevier, vol. 197(2), pages 218-244.
    13. Hualde Javier & Iacone Fabrizio, 2012. "First Stage Estimation of Fractional Cointegration," Journal of Time Series Econometrics, De Gruyter, vol. 4(1), pages 1-32, May.
    14. Saeed Heravi & Kerry Patterson, 2013. "Log-Periodogram Estimation of the Long-Memory Parameter: An Evaluation of Competing Estimators," Economics Discussion Papers em-dp2013-02, Department of Economics, University of Reading.
    15. Seong Yeon Chang & Pierre Perron, 2014. "Inference on a Structural Break in Trend with Fractionally Integrated Errors," Boston University - Department of Economics - Working Papers Series wp2015-011, Boston University - Department of Economics, revised 20 Sep 2015.
    16. Shimotsu, Katsumi & 下津, 克己, 2010. "Exact Local Whittle Estimation of Fractionally Cointegrated Systems," Discussion Papers 2010-11, Graduate School of Economics, Hitotsubashi University.
    17. Arteche, Josu, 2024. "Bootstrapping long memory time series: Application in low frequency estimators," Econometrics and Statistics, Elsevier, vol. 29(C), pages 1-15.
    18. Gilles de Truchis & Elena Ivona Dumitrescu, 2019. "Narrow-band Weighted Nonlinear Least Squares Estimation of Unbalanced Cointegration Systems," Working Papers hal-04141871, HAL.
    19. Javier Hualde, 2012. "A simple test for the equality of integration orders," Documentos de Trabajo - Lan Gaiak Departamento de Economía - Universidad Pública de Navarra 1206, Departamento de Economía - Universidad Pública de Navarra.
    20. de Truchis, Gilles, 2013. "Approximate Whittle analysis of fractional cointegration and the stock market synchronization issue," Economic Modelling, Elsevier, vol. 34(C), pages 98-105.
    21. Uwe Hassler, 2011. "Estimation of fractional integration under temporal aggregation," Post-Print hal-00815563, HAL.
    22. Martins, Luis F. & Rodrigues, Paulo M.M., 2014. "Testing for persistence change in fractionally integrated models: An application to world inflation rates," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 502-522.
    23. Abadir, Karim M. & Distaso, Walter & Giraitis, Liudas, 2007. "Nonstationarity-extended local Whittle estimation," Journal of Econometrics, Elsevier, vol. 141(2), pages 1353-1384, December.
    24. Frank S. Nielsen, 2008. "Local polynomial Whittle estimation covering non-stationary fractional processes," CREATES Research Papers 2008-28, Department of Economics and Business Economics, Aarhus University.
    25. Chang, Seong Yeon, 2021. "Estimation of a level shift in panel data with fractionally integrated errors," Economics Letters, Elsevier, vol. 206(C).
    26. Gilles de Truchis & Florent Dubois & Elena Ivona Dumitrescu, 2019. "Local Whittle Analysis of Stationary Unbalanced Fractional Cointegration Systems," Working Papers hal-04141882, HAL.
    27. García-Enríquez, Javier & Hualde, Javier, 2019. "Local Whittle estimation of long memory: Standard versus bias-reducing techniques," Econometrics and Statistics, Elsevier, vol. 12(C), pages 66-77.
    28. Gilles de Truchis & Elena Ivona Dumitrescu & Florent Dubois, 2019. "Local Whittle Analysis of Stationary Unbalanced Fractional Cointegration Systems," EconomiX Working Papers 2019-15, University of Paris Nanterre, EconomiX.
    29. Iacone, Fabrizio & Leybourne, Stephen J. & Robert Taylor, A.M., 2013. "Testing for a break in trend when the order of integration is unknown," Journal of Econometrics, Elsevier, vol. 176(1), pages 30-45.
    30. Katsumi Shimotsu, 2006. "Exact Local Whittle Estimation of Fractional Integration with Unknown Mean and Time Trend," Working Paper 1061, Economics Department, Queen's University.
    31. Man Wang & Ngai Hang Chan, 2016. "Testing for the Equality of Integration Orders of Multiple Series," Econometrics, MDPI, vol. 4(4), pages 1-10, December.

  3. Robinson, P.M. & Iacone, F., 2005. "Cointegration in fractional systems with deterministic trends," Journal of Econometrics, Elsevier, vol. 129(1-2), pages 263-298.

    Cited by:

    1. Hualde, Javier & Nielsen, Morten Ørregaard, 2020. "Truncated Sum Of Squares Estimation Of Fractional Time Series Models With Deterministic Trends," Econometric Theory, Cambridge University Press, vol. 36(4), pages 751-772, August.
    2. Luis A. Gil-Alana, 2009. "Warming break trends and fractional integration in the northern, southern and global temperature anomaly series," Faculty Working Papers 09/09, School of Economics and Business Administration, University of Navarra.
    3. Hualde, J. & Robinson, P.M., 2010. "Semiparametric inference in multivariate fractionally cointegrated systems," Journal of Econometrics, Elsevier, vol. 157(2), pages 492-511, August.
    4. Javier Hualde & Morten Ørregaard Nielsen, 2022. "Truncated sum-of-squares estimation of fractional time series models with generalized power law trend," Working Paper 1458, Economics Department, Queen's University.
    5. Javier Hualde & Morten {O}rregaard Nielsen, 2022. "Fractional integration and cointegration," Papers 2211.10235, arXiv.org.
    6. Christensen, Bent Jesper & Varneskov, Rasmus Tangsgaard, 2017. "Medium band least squares estimation of fractional cointegration in the presence of low-frequency contamination," Journal of Econometrics, Elsevier, vol. 197(2), pages 218-244.
    7. Hualde Javier & Iacone Fabrizio, 2012. "First Stage Estimation of Fractional Cointegration," Journal of Time Series Econometrics, De Gruyter, vol. 4(1), pages 1-32, May.
    8. L.A. Gil-Alana & G.M. caporale, 2004. "Long-run and Cyclical Dynamics in the US Stock Market," Econometric Society 2004 Latin American Meetings 344, Econometric Society.
    9. J. Cunado & L.A. Gil-Alana & F. Perez De Gracia, 2007. "Real convergence in some emerging countries : a fractionally integrated approach," Discussion Papers (REL - Recherches Economiques de Louvain) 2007034, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
    10. Derek Bond & Michael J. Harrison & Edward J. O'Brien, 2006. "Purchasing Power Parity: The Irish Experience Re-visited," Trinity Economics Papers tep200615, Trinity College Dublin, Department of Economics.
    11. Luis Gil-Alana & Rolando Peláez, 2008. "The persistence of earnings per share," Review of Quantitative Finance and Accounting, Springer, vol. 31(4), pages 425-439, November.
    12. Jiawen Xu & Pierre Perron, 2013. "Robust testing of time trend and mean with unknown integration order errors Frequency (and Other) Contaminations," Boston University - Department of Economics - Working Papers Series 2013-006, Boston University - Department of Economics.
    13. Ignacio N Lobato & Carlos Velasco, 2007. "Efficient Wald Tests for Fractional Unit Roots," Econometrica, Econometric Society, vol. 75(2), pages 575-589, March.
    14. Katarzyna Lasak, 2008. "Maximum likelihood estimation of fractionally cointegrated systems," CREATES Research Papers 2008-53, Department of Economics and Business Economics, Aarhus University.
    15. Galeotti, Marzio & Manera, Matteo & Lanza, Alessandro, 2006. "On the Robustness of Robustness Checks of the Environmental Kuznets Curve," Climate Change Modelling and Policy Working Papers 12045, Fondazione Eni Enrico Mattei (FEEM).
    16. Iacone, Fabrizio & Leybourne, Stephen J. & Robert Taylor, A.M., 2013. "Testing for a break in trend when the order of integration is unknown," Journal of Econometrics, Elsevier, vol. 176(1), pages 30-45.
    17. Uwe Hassler & Francesc Marmol & Carlos Velasco, 2008. "Fractional cointegration in the presence of linear trends," Journal of Time Series Analysis, Wiley Blackwell, vol. 29(6), pages 1088-1103, November.
    18. Banerjee, Anindya & Urga, Giovanni, 2005. "Modelling structural breaks, long memory and stock market volatility: an overview," Journal of Econometrics, Elsevier, vol. 129(1-2), pages 1-34.

  4. Robinson, Peter M. & Henry, Marc, 2003. "Higher-order kernel semiparametric M-estimation of long memory," Journal of Econometrics, Elsevier, vol. 114(1), pages 1-27, May.

    Cited by:

    1. Kanchana Nadarajah & Gael M Martin & Donald S Poskitt, 2019. "Optimal Bias Correction of the Log-periodogram Estimator of the Fractional Parameter: A Jackknife Approach," Monash Econometrics and Business Statistics Working Papers 7/19, Monash University, Department of Econometrics and Business Statistics.
    2. Javier Hualde & Peter M Robinson, 2006. "Semiparametric Estimation of Fractional Cointegration," STICERD - Econometrics Paper Series 502, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    3. Malec, Peter & Schienle, Melanie, 2012. "Nonparametric Kernel density estimation near the boundary," SFB 649 Discussion Papers 2012-047, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    4. Hualde, J. & Robinson, P.M., 2010. "Semiparametric inference in multivariate fractionally cointegrated systems," Journal of Econometrics, Elsevier, vol. 157(2), pages 492-511, August.
    5. Javier Hualde & Morten {O}rregaard Nielsen, 2022. "Fractional integration and cointegration," Papers 2211.10235, arXiv.org.
    6. Ye, Xunyu & Gao, Ping & Li, Handong, 2015. "Improving estimation of the fractionally differencing parameter in the SARFIMA model using tapered periodogram," Economic Modelling, Elsevier, vol. 46(C), pages 167-179.
    7. Arteche, J., 2006. "Semiparametric estimation in perturbed long memory series," Computational Statistics & Data Analysis, Elsevier, vol. 51(4), pages 2118-2141, December.
    8. Arteche González, Jesús María, 2005. "Semiparametric estimation in perturbed long memory series," BILTOKI 1134-8984, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística).
    9. Faÿ, Gilles & Moulines, Eric & Roueff, François & Taqqu, Murad S., 2009. "Estimators of long-memory: Fourier versus wavelets," Journal of Econometrics, Elsevier, vol. 151(2), pages 159-177, August.
    10. Hualde, Javier & Robinson, Peter M., 2006. "Semiparametric Estimation of Fractional Cointegration," LSE Research Online Documents on Economics 4537, London School of Economics and Political Science, LSE Library.
    11. Yixiao Sun & Peter C.B. Phillips, 2002. "Nonlinear Log-Periodogram Regression for Perturbed Fractional Processes," Cowles Foundation Discussion Papers 1366, Cowles Foundation for Research in Economics, Yale University.
    12. Abadir, Karim M. & Distaso, Walter & Giraitis, Liudas, 2007. "Nonstationarity-extended local Whittle estimation," Journal of Econometrics, Elsevier, vol. 141(2), pages 1353-1384, December.
    13. García-Enríquez, Javier & Hualde, Javier, 2019. "Local Whittle estimation of long memory: Standard versus bias-reducing techniques," Econometrics and Statistics, Elsevier, vol. 12(C), pages 66-77.

  5. P. M. Robinson & J. Hualde, 2003. "Cointegration in Fractional Systems with Unknown Integration Orders," Econometrica, Econometric Society, vol. 71(6), pages 1727-1766, November.
    See citations under working paper version above.
  6. Robinson, Peter M. & Yajima, Yoshihiro, 2002. "Determination of cointegrating rank in fractional systems," Journal of Econometrics, Elsevier, vol. 106(2), pages 217-241, February.

    Cited by:

    1. Nielsen, Morten Ørregaard, 2010. "Nonparametric cointegration analysis of fractional systems with unknown integration orders," Journal of Econometrics, Elsevier, vol. 155(2), pages 170-187, April.
    2. Cassola, Nuno & Morana, Claudio, 2008. "Modelling short-term interest rate spreads in the euro money market," Working Paper Series 982, European Central Bank.
    3. M. Angeles Carnero & Siem Jan Koopman & Marius Ooms, 2003. "Periodic Heteroskedastic RegARFIMA Models for Daily Electricity Spot Prices," Tinbergen Institute Discussion Papers 03-071/4, Tinbergen Institute.
    4. Claudio Morana, 2007. "A structural common factor approach to core inflation estimation and forecasting," Applied Economics Letters, Taylor & Francis Journals, vol. 14(3), pages 163-169.
    5. Ivan Paya & Agustín Duarte & Ioannis A. Venetis, 2005. "The Long Memory Story Of Real Interest Rates. Can It Be Supported?," Working Papers. Serie AD 2005-01, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
    6. Afonso Gonçalves da Silva & Peter M Robinson, 2007. "Fractional Cointegration In StochasticVolatility Models," STICERD - Econometrics Paper Series 519, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    7. Hualde, Javier, 2014. "Estimation of long-run parameters in unbalanced cointegration," Journal of Econometrics, Elsevier, vol. 178(2), pages 761-778.
    8. Haldrup, Niels & Nielsen, Frank S. & Nielsen, Morten Ørregaard, 2010. "A vector autoregressive model for electricity prices subject to long memory and regime switching," Energy Economics, Elsevier, vol. 32(5), pages 1044-1058, September.
    9. Luis A Gil-Alana & Christophe André & Rangan Gupta & Tsangyao Chang & Omid Ranjbar, 2015. "The Feldstein-Horioka Puzzle in South Africa: A Fractional Cointegration Approach," Working Papers 201501, University of Pretoria, Department of Economics.
    10. Dayong Zhang & Marco R. Barassi & Jijun Tan, 2015. "Residual-Based Tests for Fractional Cointegration: Testing the Term Structure of Interest Rates," Econometric Reviews, Taylor & Francis Journals, vol. 34(6-10), pages 1118-1140, December.
    11. Galán-Gutiérrez, Juan Antonio & Martín-García, Rodrigo, 2021. "Cointegration between the structure of copper futures prices and Brexit," Resources Policy, Elsevier, vol. 71(C).
    12. Becker, Janis & Leschinski, Christian & Sibbertsen, Philipp, 2019. "Robust Multivariate Local Whittle Estimation and Spurious Fractional Cointegration," Hannover Economic Papers (HEP) dp-660, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    13. Nielsen, Morten Oe., "undated". "Spectral Analysis of Fractionally Cointegrated Systems," Economics Working Papers 2002-12, Department of Economics and Business Economics, Aarhus University.
    14. Abry, Patrice & Didier, Gustavo, 2018. "Wavelet eigenvalue regression for n-variate operator fractional Brownian motion," Journal of Multivariate Analysis, Elsevier, vol. 168(C), pages 75-104.
    15. Claudio Morana & Fabio Cesare Bagliano, 2007. "Inflation and monetary dynamics in the USA: a quantity-theory approach," Applied Economics, Taylor & Francis Journals, vol. 39(2), pages 229-244.
    16. Marcel Aloy & Gilles Truchis, 2016. "Optimal Estimation Strategies for Bivariate Fractional Cointegration Systems and the Co-persistence Analysis of Stock Market Realized Volatilities," Computational Economics, Springer;Society for Computational Economics, vol. 48(1), pages 83-104, June.
    17. Leschinski, Christian & Voges, Michelle & Sibbertsen, Philipp, 2019. "A Comparison of Semiparametric Tests for Fractional Cointegration," Hannover Economic Papers (HEP) dp-651, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    18. Hassler, Uwe & Marmol, Francesc & Velasco, Carlos, 2009. "Residual Log-Periodogram Inference for Long-Run-Relationships," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 77562, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
    19. Christian Leschinski & Michelle Voges & Philipp Sibbertsen, 2021. "Integration and Disintegration of EMU Government Bond Markets," Econometrics, MDPI, vol. 9(1), pages 1-17, March.
    20. Fabrizio Iacone & Peter M Robinson, 2004. "Cointegration in Fractional Systems with Deterministic Trends," STICERD - Econometrics Paper Series 476, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    21. Nielsen, Morten Orregaard & Shimotsu, Katsumi, 2007. "Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach," Journal of Econometrics, Elsevier, vol. 141(2), pages 574-596, December.
    22. Gil-Alana, Luis A. & Yaya, OlaOluwa S, 2018. "How do Stocks in BRICS co-move with REITs?," MPRA Paper 88753, University Library of Munich, Germany.
    23. Gilles de Truchis & Elena Ivona Dumitrescu, 2019. "Narrow-band Weighted Nonlinear Least Squares Estimation of Unbalanced Cointegration Systems," EconomiX Working Papers 2019-14, University of Paris Nanterre, EconomiX.
    24. Alexander Boca Saravia & Gabriel Rodríguez, 2022. "Presidential approval in Peru: an empirical analysis using a fractionally cointegrated VAR," Economic Change and Restructuring, Springer, vol. 55(3), pages 1973-2010, August.
    25. Peter M Robinson, 2004. "ROBUST COVARIANCE MATRIX ESTIMATION: "HAC" Estimates with Long Memory/Antipersistence Correction," STICERD - Econometrics Paper Series 471, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    26. Federico Carlini & Paolo Santucci de Magistris, 2013. "On the identification of fractionally cointegrated VAR models with the F(d) condition," CREATES Research Papers 2013-44, Department of Economics and Business Economics, Aarhus University.
    27. Kenneth G. Stewart & Michael C. Webb, 2003. "Capital Taxation, Globalization, and International Tax Competition," Econometrics Working Papers 0301, Department of Economics, University of Victoria.
    28. Rossi, Eduardo & Santucci de Magistris, Paolo, 2013. "Long memory and tail dependence in trading volume and volatility," Journal of Empirical Finance, Elsevier, vol. 22(C), pages 94-112.
    29. Nielsen, Morten Orregaard, 2005. "Noncontemporaneous cointegration and the importance of timing," Economics Letters, Elsevier, vol. 86(1), pages 113-119, January.
    30. Andrea Beltratti & Claudio Morana, 2005. "Structural Breaks and Common Factors in the Volatility of the Fama-French Factor Portfolios," ICER Working Papers 23-2005, ICER - International Centre for Economic Research.
    31. Hualde, J. & Robinson, P.M., 2010. "Semiparametric inference in multivariate fractionally cointegrated systems," Journal of Econometrics, Elsevier, vol. 157(2), pages 492-511, August.
    32. Yaya, OlaOluwa S. & Vo, Xuan Vinh & Olayinka, Hammed A., 2021. "Gold and silver prices, their stocks and market fear gauges: Testing fractional cointegration using a robust approach," Resources Policy, Elsevier, vol. 72(C).
    33. Guglielmo Maria Caporale & Hector Carcel & Luis A. Gil-Alana, 2017. "Central Bank Policy Rates: Are they Cointegrated?," CESifo Working Paper Series 6389, CESifo.
    34. Ioannis A. Venetis & Agustin Duarte & Ivan Paya, 2004. "The long memory story of ex post real interest rates. Can it be supported?," Econometrics 0404004, University Library of Munich, Germany.
    35. Peter Robinson, 2007. "Diagnostic Testing For Cointegration," STICERD - Econometrics Paper Series 522, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    36. Eduardo Rossi & Paolo Santucci de Magistris, 2013. "A No‐Arbitrage Fractional Cointegration Model for Futures and Spot Daily Ranges," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 33(1), pages 77-102, January.
    37. Guglielmo Maria Caporale & Juncal Cunado & Luis A. Gil-Alana & Rangan Gupta, 2015. "The Relationship between Healthcare Expenditure and Disposable Personal Income in the US States: A Fractional Integration and Cointegration Analysis," Discussion Papers of DIW Berlin 1486, DIW Berlin, German Institute for Economic Research.
    38. Luis Alberiko Gil-Alana, 2002. "Multivariate Tests of Fractionally Integrated Hypotheses," Faculty Working Papers 09/02, School of Economics and Business Administration, University of Navarra.
    39. Luis Gil-Alana, 2004. "The permanent income hypothesis: A new framework based on fractional integration and cointegration," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 10(3), pages 165-179, October.
    40. Cassola, Nuno & Morana, Claudio, 2010. "Comovements in volatility in the euro money market," Journal of International Money and Finance, Elsevier, vol. 29(3), pages 525-539, April.
    41. Henryk Gurgul & Lukaz Lach & Tomasz Wojtowicz, 2016. "Impact of US Macroeconomic News Announcements on Intraday Causalities on Selected European Stock Markets," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 66(5), pages 405-425, October.
    42. Robinson, Peter M., 2004. "Robust covariance matrix estimation : HAC estimates with long memory/antipersistence correction," LSE Research Online Documents on Economics 2157, London School of Economics and Political Science, LSE Library.
    43. Robinson, Peter, 2007. "Diagnostic testing for cointegration," LSE Research Online Documents on Economics 4465, London School of Economics and Political Science, LSE Library.
    44. Emmanuel Joel Aikins Abakah & Guglielmo Maria Caporale & Luis A. Gil-Alana, 2020. "Economic Policy Uncertainty: Persistence and Cross-Country Linkages," CESifo Working Paper Series 8289, CESifo.
    45. Guglielmo Maria Caporale & Hector Carcel & Luis A. Gil-Alana, 2018. "Prospects for a Monetary Union in the East Africa Community: Some Empirical Evidence," CESifo Working Paper Series 7073, CESifo.
    46. Javier Hualde & Morten {O}rregaard Nielsen, 2022. "Fractional integration and cointegration," Papers 2211.10235, arXiv.org.
    47. Hector Carcel & Luis A. Gil-Alana, 2018. "Inflation analysis in the Central American Monetary Council," Empirical Economics, Springer, vol. 54(2), pages 547-565, March.
    48. Sibbertsen, Philipp & Leschinski, Christian & Busch, Marie, 2018. "A multivariate test against spurious long memory," Journal of Econometrics, Elsevier, vol. 203(1), pages 33-49.
    49. Morana, Claudio, 2006. "A small scale macroeconometric model for the Euro-12 area," Economic Modelling, Elsevier, vol. 23(3), pages 391-426, May.
    50. Javier Hualde, 2005. "Unbalanced Cointegration," Faculty Working Papers 06/05, School of Economics and Business Administration, University of Navarra.
    51. Rebecca J. Sela & Clifford M. Hurvich, 2009. "Computationally efficient methods for two multivariate fractionally integrated models," Journal of Time Series Analysis, Wiley Blackwell, vol. 30(6), pages 631-651, November.
    52. Beltratti, A. & Morana, C., 2006. "Breaks and persistency: macroeconomic causes of stock market volatility," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 151-177.
    53. Gil-Alana, Luis A. & Yaya, OlaOluwa S. & Awe, Olushina O., 2017. "Time series analysis of co-movements in the prices of gold and oil: Fractional cointegration approach," Resources Policy, Elsevier, vol. 53(C), pages 117-124.
    54. Gilles de Truchis & Benjamin Keddad, 2012. "South East Asian Monetary Integration: New Evidences from Fractional Cointegration of Real Exchange Rates," Working Papers halshs-00793503, HAL.
    55. Afonso Gonçalves da Silva & Peter M Robinson, 2006. "Finite Sample Performance in CointegrationAnalysis of Nonlinear Time Series with LongMemory," STICERD - Econometrics Paper Series 501, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    56. Robinson, P.M., 2008. "Diagnostic testing for cointegration," Journal of Econometrics, Elsevier, vol. 143(1), pages 206-225, March.
    57. Hualde, Javier, 2013. "A simple test for the equality of integration orders," Economics Letters, Elsevier, vol. 119(3), pages 233-237.
    58. Hassler, Uwe & Breitung, Jörg, 2009. "A Residual-Based LM Test for Fractional Cointegration," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 77555, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
    59. Marcel Aloy & Mohamed Boutahar & Karine Gente & Anne Peguin-Feissolle, 2011. "Long-run relationships between international stock prices: further evidence from fractional cointegration tests," Working Papers halshs-00567472, HAL.
    60. Massimiliano Caporin & Fulvio Fontini & Paolo Santucci De Magistris, 2017. "Price convergence within and between the Italian electricity day-ahead and dispatching services markets," "Marco Fanno" Working Papers 0215, Dipartimento di Scienze Economiche "Marco Fanno".
    61. Morten Ø. Nielsen & Per Houmann Frederiksen, 2008. "Fully Modified Narrow-band Least Squares Estimation Of Stationary Fractional Cointegration," Working Paper 1171, Economics Department, Queen's University.
    62. Marina Balboa & Paulo M. M. Rodrigues & Antonio Rubia & A. M. Robert Taylor, 2021. "Multivariate fractional integration tests allowing for conditional heteroskedasticity with an application to return volatility and trading volume," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 36(5), pages 544-565, August.
    63. Carlos Pestana Barros & Luis Gil-Alana, 2006. "Eta: A Persistent Phenomenon," Defence and Peace Economics, Taylor & Francis Journals, vol. 17(2), pages 95-116.
    64. Tobias Hartl & Roland Weigand, 2018. "Multivariate Fractional Components Analysis," Papers 1812.09149, arXiv.org, revised Jan 2019.
    65. Nuno Cassola & Claudio Morana, 2006. "Volatility of interest rates in the euro area: Evidence from high frequency data," The European Journal of Finance, Taylor & Francis Journals, vol. 12(6-7), pages 513-528.
    66. Patrice Abry & Gustavo Didier & Hui Li, 2019. "Two-step wavelet-based estimation for Gaussian mixed fractional processes," Statistical Inference for Stochastic Processes, Springer, vol. 22(2), pages 157-185, July.
    67. Javier Hualde & A Robinson, 2006. "Root-N-Consistent Estimation Of Weakfractional Cointegration," STICERD - Econometrics Paper Series /06/499, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    68. Leandro Maciel, 2020. "Technical analysis based on high and low stock prices forecasts: evidence for Brazil using a fractionally cointegrated VAR model," Empirical Economics, Springer, vol. 58(4), pages 1513-1540, April.
    69. Hurvich, Cliiford & Wang, Yi, 2006. "A Pure-Jump Transaction-Level Price Model Yielding Cointegration, Leverage, and Nonsynchronous Trading Effects," MPRA Paper 1413, University Library of Munich, Germany.
    70. Christensen, Bent Jesper & Varneskov, Rasmus Tangsgaard, 2017. "Medium band least squares estimation of fractional cointegration in the presence of low-frequency contamination," Journal of Econometrics, Elsevier, vol. 197(2), pages 218-244.
    71. Gil-Alana, Luis A. & Yaya, OlaOluwa S. & Akinsomi, Omokolade & Coskun, Yener, 2020. "How do stocks in BRICS co-move with real estate stocks?," International Review of Economics & Finance, Elsevier, vol. 69(C), pages 93-101.
    72. Baruník, Jozef & Dvořáková, Sylvie, 2015. "An empirical model of fractionally cointegrated daily high and low stock market prices," Economic Modelling, Elsevier, vol. 45(C), pages 193-206.
    73. Rangan Gupta & Christophe André & Luis Gil-Alana, 2015. "Comovement in Euro area housing prices: A fractional cointegration approach," Urban Studies, Urban Studies Journal Limited, vol. 52(16), pages 3123-3143, December.
    74. Lasak, Katarzyna, 2010. "Likelihood based testing for no fractional cointegration," Journal of Econometrics, Elsevier, vol. 158(1), pages 67-77, September.
    75. Willa Chen & Clifford Hurvich, 2004. "Semiparametric Estimation of Fractional Cointegrating Subspaces," Econometrics 0412007, University Library of Munich, Germany.
    76. Voges, Michelle & Sibbertsen, Philipp, 2021. "Cyclical fractional cointegration," Econometrics and Statistics, Elsevier, vol. 19(C), pages 114-129.
    77. Guglielmo Maria Caporale & Luis A. Gil-Alana & C. James Orlando, 2015. "Linkages between the US and European Stock Markets: A Fractional Cointegration Approach," CESifo Working Paper Series 5523, CESifo.
    78. Mauro Costantini & Roy Cerqueti, 2007. "Non parametric Fractional Cointegration Analysis," ISAE Working Papers 78, ISTAT - Italian National Institute of Statistics - (Rome, ITALY).
    79. Zhenxiong Li & Marwan Izzeldin & Xingzhi Yao, 2020. "Return predictability of variance differences: A fractionally cointegrated approach," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(7), pages 1072-1089, July.
    80. Morten Ørregaard Nielsen & Sergei S. Shibaev, 2015. "Forecasting daily political opinion polls using the fractionally cointegrated VAR model," Working Paper 1340, Economics Department, Queen's University.
    81. Guglielmo Maria Caporale & Luis A. Gil-Alana & Robert Mudida, 2012. "Testing the Marshall-Lerner Condition in Kenya," Discussion Papers of DIW Berlin 1247, DIW Berlin, German Institute for Economic Research.
    82. Lena Dräger & Theoplasti Kolaiti & Philipp Sibbertsen, 2023. "Measuring macroeconomic convergence and divergence within EMU using long memory," Empirical Economics, Springer, vol. 65(5), pages 2333-2356, November.
    83. Boubaker, Heni & Zorgati, Mouna Ben Saad & Bannour, Nawres, 2021. "Interdependence between exchange rates: Evidence from multivariate analysis since the financial crisis to the COVID-19 crisis," Economic Analysis and Policy, Elsevier, vol. 71(C), pages 592-608.
    84. Claudio Morana, 2007. "On the macroeconomic causes of exchange rates volatility," ICER Working Papers 8-2007, ICER - International Centre for Economic Research.
    85. Gil-Alana, Luis A. & Yaya, OlaOluwa S., 2014. "The relationship between oil prices and the Nigerian stock market. An analysis based on fractional integration and cointegration," Energy Economics, Elsevier, vol. 46(C), pages 328-333.
    86. Massimiliano Caporin & Angelo Ranaldo & Paolo Santucci de Magistris, 2011. "On the Predictability of Stock Prices: A Case for High and Low Prices," "Marco Fanno" Working Papers 0136, Dipartimento di Scienze Economiche "Marco Fanno".
    87. Claudio Morana, 2004. "Frequency domain principal components estimation of fractionally cointegrated processes," Applied Economics Letters, Taylor & Francis Journals, vol. 11(13), pages 837-842.
    88. Yaya, OaOluwa S & Vo, Xuan Vinh & Ogbonna, Ahamuefula E & Adewuyi, Adeolu O, 2020. "Modelling Cryptocurrency High-Low Prices using Fractional Cointegrating VAR," MPRA Paper 102190, University Library of Munich, Germany, revised 02 Aug 2020.
    89. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2011. "Fractional Integration and Cointegration in US Financial Time Series Data," Discussion Papers of DIW Berlin 1116, DIW Berlin, German Institute for Economic Research.
    90. Marinucci, D. & Robinson, P. M., 2001. "Semiparametric fractional cointegration analysis," Journal of Econometrics, Elsevier, vol. 105(1), pages 225-247, November.
    91. Jose Maria Fernandez-Crehuet & Luis Alberiko Gil-Alana & Cristina Martí Barco, 2020. "Unemployment and Fertility: A Long Run Relationship," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 152(3), pages 1177-1196, December.
    92. Stoupos, Nikolaos & Kiohos, Apostolos, 2021. "Energy commodities and advanced stock markets: A post-crisis approach," Resources Policy, Elsevier, vol. 70(C).
    93. Gao, Zhaoxing & Tsay, Ruey S., 2021. "Modeling high-dimensional unit-root time series," International Journal of Forecasting, Elsevier, vol. 37(4), pages 1535-1555.
    94. Yaya, OlaOluwa S. & Gil-Alana, Luis A. & Adekoya, Oluwasegun B. & Vo, Xuan Vinh, 2021. "How fearful are commodities and US stocks in response to global fear? Persistence and cointegration analyses," Resources Policy, Elsevier, vol. 74(C).
    95. Shimotsu, Katsumi & 下津, 克己, 2010. "Exact Local Whittle Estimation of Fractionally Cointegrated Systems," Discussion Papers 2010-11, Graduate School of Economics, Hitotsubashi University.
    96. Zhaoxing Gao & Ruey S. Tsay, 2020. "Modeling High-Dimensional Unit-Root Time Series," Papers 2005.03496, arXiv.org, revised Aug 2020.
    97. Luis A. Gil-Alana & Emmanuel Joel Aikins Abakah & Nieves Carmona-González & Aviral Kumar Tiwari, 2024. "Consumer sentiments across G7 and BRICS economies: Are they related?," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 48(2), pages 323-344, June.
    98. Javier García-Enríquez & Josu Arteche & Arantza Murillas-Maza, 2017. "Testing for substitutability in the mackerel market: a new method using fractional cointegration," Applied Economics, Taylor & Francis Journals, vol. 49(39), pages 3912-3926, August.
    99. Saidat Fehintola Olaniran & Oyebayo Ridwan Olaniran & Jeza Allohibi & Abdulmajeed Atiah Alharbi & Mohd Tahir Ismail, 2024. "A Generalized Residual-Based Test for Fractional Cointegration in Panel Data with Fixed Effects," Mathematics, MDPI, vol. 12(8), pages 1-11, April.
    100. Carlos P. Barros & Luis Alberiko Gil-Alana & João Faria, 2015. "Mozambique Metical Exchange Rate Dynamics: Evidence of Fractional Co-Integration in the USA and South African Rates," South African Journal of Economics, Economic Society of South Africa, vol. 83(4), pages 569-575, December.
    101. Adebola, Solarin Sakiru & Gil-Alana, Luis A. & Madigu, Godfrey, 2019. "Gold prices and the cryptocurrencies: Evidence of convergence and cointegration," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 523(C), pages 1227-1236.
    102. Robinson, Peter M. & Gerolimetto, M., 2006. "Instrumental variables estimation of stationary and nonstationary cointegrating regressions," LSE Research Online Documents on Economics 4539, London School of Economics and Political Science, LSE Library.
    103. Dechert, Andreas, 2014. "Fraktionale Kointegrationsbeziehungen zwischen Euribor-Zinssätzen," W.E.P. - Würzburg Economic Papers 93, University of Würzburg, Department of Economics.
    104. Barros, Carlos Pestana & Gil-Alana, Luis A. & Payne, James E., 2012. "Comovements among U.S. state housing prices: Evidence from fractional cointegration," Economic Modelling, Elsevier, vol. 29(3), pages 936-942.
    105. Zhang, Rongmao & Robinson, Peter & Yao, Qiwei, 2019. "Identifying cointegration by eigenanalysis," LSE Research Online Documents on Economics 87431, London School of Economics and Political Science, LSE Library.
    106. Gilles de Truchis & Elena Ivona Dumitrescu, 2019. "Narrow-band Weighted Nonlinear Least Squares Estimation of Unbalanced Cointegration Systems," Working Papers hal-04141871, HAL.
    107. Javier Hualde, 2012. "A simple test for the equality of integration orders," Documentos de Trabajo - Lan Gaiak Departamento de Economía - Universidad Pública de Navarra 1206, Departamento de Economía - Universidad Pública de Navarra.
    108. Eduardo Rossi & Paolo Santucci de Magistris, 2009. "A No Arbitrage Fractional Cointegration Analysis Of The Range Based Volatility," CREATES Research Papers 2009-31, Department of Economics and Business Economics, Aarhus University.
    109. Theoplasti Kolaiti & Mwasi Mboya & Philipp Sibbertsen, 2020. "Volatility Transmission across Financial Markets: A Semiparametric Analysis," JRFM, MDPI, vol. 13(8), pages 1-13, July.
    110. Katarzyna Lasak & Carlos Velasco, 2014. "Fractional Cointegration Rank Estimation," Tinbergen Institute Discussion Papers 14-021/III, Tinbergen Institute.
    111. Luis Alberiko Gil-Alaña & Borja Balprad & Guglielmo Maria Caporale & Hector Carcel, 2015. "Exchange Rate Dynamics and Monetary Unions in Africa: A Fractional Integration and Cointegration Analysis," NCID Working Papers 11/2015, Navarra Center for International Development, University of Navarra.
    112. Goodness C. Aye & Hector Carcel & Luis A. Gil-Alana & Rangan Gupta, 2017. "Does Gold Act as a Hedge against Inflation in the UK? Evidence from a Fractional Cointegration Approach Over 1257 to 2016," Working Papers 201753, University of Pretoria, Department of Economics.
    113. Stefanos Kechagias & Vladas Pipiras, 2015. "Definitions And Representations Of Multivariate Long-Range Dependent Time Series," Journal of Time Series Analysis, Wiley Blackwell, vol. 36(1), pages 1-25, January.
    114. Avarucci, M. & Velasco, C., 2008. "A wald test for the cointegration rank in nonstationary fractional systems," Research Memorandum 049, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
    115. Morten Oerregaard Nielsen, "undated". "Local Whittle Analysis of Stationary Fractional Cointegration," Economics Working Papers 2002-8, Department of Economics and Business Economics, Aarhus University.
    116. Cunado, J. & Gil-Alana, L.A. & de Gracia, F. Perez, 2005. "A test for rational bubbles in the NASDAQ stock index: A fractionally integrated approach," Journal of Banking & Finance, Elsevier, vol. 29(10), pages 2633-2654, October.
    117. Demetrescu, Matei & Kusin, Vladimir & Salish, Nazarii, 2022. "Testing for no cointegration in vector autoregressions with estimated degree of fractional integration," Economic Modelling, Elsevier, vol. 108(C).
    118. Claudio Morana, 2006. "Multivariate modelling of long memory processes with common components," ICER Working Papers 40-2006, ICER - International Centre for Economic Research.
    119. Marco R Barassi & Dayong Zhang, 2009. "Fractional Integration and Cointegration: Testing the Term Structure of Interest Rates," Discussion Papers 09-17, Department of Economics, University of Birmingham.
    120. Yaya, OlaOluwa S & Gil-Alana, Luis A., 2018. "High and Low Intraday Commodity Prices: A Fractional Integration and Cointegration Approach," MPRA Paper 90518, University Library of Munich, Germany.
    121. Fan, Ying & Liang, Qiang & Wei, Yi-Ming, 2008. "A generalized pattern matching approach for multi-step prediction of crude oil price," Energy Economics, Elsevier, vol. 30(3), pages 889-904, May.
    122. Henryk Gurgul & Tomasz Wójtowicz, 2006. "Long-run properties of trading volume and volatility of equities listed in DJIA index," Operations Research and Decisions, Wroclaw University of Science and Technology, Faculty of Management, vol. 16(3-4), pages 29-56.
    123. Katarzyna Lasak, 2008. "Maximum likelihood estimation of fractionally cointegrated systems," CREATES Research Papers 2008-53, Department of Economics and Business Economics, Aarhus University.
    124. Carlos Barros & Guglielmo Maria Caporale & Luis Gil-Alana, 2014. "Long Memory in Angolan Macroeconomic Series: Mean Reversion versus Explosive Behaviour," African Development Review, African Development Bank, vol. 26(1), pages 59-73.
    125. Gilles de Truchis & Florent Dubois & Elena Ivona Dumitrescu, 2019. "Local Whittle Analysis of Stationary Unbalanced Fractional Cointegration Systems," Working Papers hal-04141882, HAL.
    126. Gilles de Truchis & Elena Ivona Dumitrescu & Florent Dubois, 2019. "Local Whittle Analysis of Stationary Unbalanced Fractional Cointegration Systems," EconomiX Working Papers 2019-15, University of Paris Nanterre, EconomiX.
    127. Dettoni, Robinson & Gil-Alana, Luis A. & Yaya, OlaOluwa S., 2024. "Stock market prices and Dividends in the US: Bubbles or Long-run equilibria relationships?," International Review of Financial Analysis, Elsevier, vol. 94(C).
    128. Carlos P. Barros & Joao R. Faria & Luis A. Gil-Alana, 2009. "Persistence on airline accidents," Faculty Working Papers 08/09, School of Economics and Business Administration, University of Navarra.
    129. Banerjee, Anindya & Urga, Giovanni, 2005. "Modelling structural breaks, long memory and stock market volatility: an overview," Journal of Econometrics, Elsevier, vol. 129(1-2), pages 1-34.
    130. Cunado, J. & Gil-Alana, L. A. & Perez de Gracia, F., 2004. "Is the US fiscal deficit sustainable?: A fractionally integrated approach," Journal of Economics and Business, Elsevier, vol. 56(6), pages 501-526.
    131. Dechert, Andreas, 2012. "Variance Ratio Testing for Fractional Cointegration in Presence of Trends and Trend Breaks," MPRA Paper 41044, University Library of Munich, Germany.
    132. Gil-Alana, Luis A. & Carcel, Hector, 2020. "A fractional cointegration var analysis of exchange rate dynamics," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
    133. Claudio Morana, 2009. "An omnibus noise filter," Computational Statistics, Springer, vol. 24(3), pages 459-479, August.
    134. Luis A. Gil-Alana, 2004. "Fractional cointegration in the consumption and income relationship using semiparametric techniques," Economics Bulletin, AccessEcon, vol. 3(47), pages 1-8.
    135. Man Wang & Ngai Hang Chan, 2016. "Testing for the Equality of Integration Orders of Multiple Series," Econometrics, MDPI, vol. 4(4), pages 1-10, December.
    136. Margherita Gerolimetto & Isabella Procidano, 2008. "A test for fractional cointegration using the sieve bootstrap," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 17(3), pages 373-391, July.
    137. Claudio Morana, 2007. "Estimating, Filtering and Forecasting Realized Betas," ICER Working Papers - Applied Mathematics Series 6-2007, ICER - International Centre for Economic Research.

  7. Javier Hidalgo & Peter M. Robinson, 2002. "Adapting to Unknown Disturbance Autocorrelation in Regression with Long Memory," Econometrica, Econometric Society, vol. 70(4), pages 1545-1581, July.

    Cited by:

    1. Marcel Aloy & Gilles de Truchis, 2012. "Estimation and Testing for Fractional Cointegration," AMSE Working Papers 1215, Aix-Marseille School of Economics, France.
    2. Gilles de Truchis & Elena Ivona Dumitrescu, 2019. "Narrow-band Weighted Nonlinear Least Squares Estimation of Unbalanced Cointegration Systems," EconomiX Working Papers 2019-14, University of Paris Nanterre, EconomiX.
    3. Javier Hidalgo, 2007. "Specification Testing Forregression Models Withdependent Data," STICERD - Econometrics Paper Series 518, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    4. Hidalgo, Javier, 2007. "Specification testing for regression models with dependent data," LSE Research Online Documents on Economics 6799, London School of Economics and Political Science, LSE Library.
    5. Afonso Gonçalves da Silva & Peter M Robinson, 2006. "Finite Sample Performance in CointegrationAnalysis of Nonlinear Time Series with LongMemory," STICERD - Econometrics Paper Series 501, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    6. Nielsen, Morten Oe., "undated". "Semiparametric Estimation in Time Series Regression with Long Range Dependence," Economics Working Papers 2002-17, Department of Economics and Business Economics, Aarhus University.
    7. Hidalgo, Javier, 2005. "Semiparametric estimation for stationary processes whose spectra have an unknown pole," LSE Research Online Documents on Economics 6842, London School of Economics and Political Science, LSE Library.
    8. Javier Hidalgo, 2005. "Semiparametric Estimation for Stationary Processes whose Spectra have an Unknown Pole," STICERD - Econometrics Paper Series 481, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    9. Peter M Robinson, 2009. "Developments in the Analysis of Spatial Data," STICERD - Econometrics Paper Series 531, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    10. Hira L. Koul & Fang Li, 2020. "Comparing two nonparametric regression curves in the presence of long memory in covariates and errors," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 83(4), pages 499-517, May.
    11. Hidalgo, Javier, 2002. "Consistent order selection with strongly dependent data and its application to efficient estimation," Journal of Econometrics, Elsevier, vol. 110(2), pages 213-239, October.
    12. Gilles de Truchis & Elena Ivona Dumitrescu, 2019. "Narrow-band Weighted Nonlinear Least Squares Estimation of Unbalanced Cointegration Systems," Working Papers hal-04141871, HAL.
    13. George Kapetanios & Zacharias Psaradakis, 2007. "Semiparametric Sieve-Type GLS Inference in Regressions with Long-Range Dependence," Working Papers 587, Queen Mary University of London, School of Economics and Finance.
    14. George Kapetanios & Zacharias Psaradakis, 2016. "Semiparametric Sieve-Type Generalized Least Squares Inference," Econometric Reviews, Taylor & Francis Journals, vol. 35(6), pages 951-985, June.
    15. Robinson, Peter, 2008. "Developments in the analysis of spatial data," LSE Research Online Documents on Economics 25473, London School of Economics and Political Science, LSE Library.

  8. Marinucci, D. & Robinson, P. M., 2001. "Semiparametric fractional cointegration analysis," Journal of Econometrics, Elsevier, vol. 105(1), pages 225-247, November.

    Cited by:

    1. Marcel Aloy & Gilles de Truchis, 2012. "Estimation and Testing for Fractional Cointegration," AMSE Working Papers 1215, Aix-Marseille School of Economics, France.
    2. Afonso Gonçalves da Silva & Peter M Robinson, 2007. "Fractional Cointegration In StochasticVolatility Models," STICERD - Econometrics Paper Series 519, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    3. Dayong Zhang & Marco R. Barassi & Jijun Tan, 2015. "Residual-Based Tests for Fractional Cointegration: Testing the Term Structure of Interest Rates," Econometric Reviews, Taylor & Francis Journals, vol. 34(6-10), pages 1118-1140, December.
    4. Becker, Janis & Leschinski, Christian & Sibbertsen, Philipp, 2019. "Robust Multivariate Local Whittle Estimation and Spurious Fractional Cointegration," Hannover Economic Papers (HEP) dp-660, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    5. Abry, Patrice & Didier, Gustavo, 2018. "Wavelet eigenvalue regression for n-variate operator fractional Brownian motion," Journal of Multivariate Analysis, Elsevier, vol. 168(C), pages 75-104.
    6. Claudio Morana & Fabio Cesare Bagliano, 2007. "Inflation and monetary dynamics in the USA: a quantity-theory approach," Applied Economics, Taylor & Francis Journals, vol. 39(2), pages 229-244.
    7. Quineche Ricardo, 2021. "Consumption, Aggregate Wealth and Expected Stock Returns: An FCVAR Approach," Journal of Time Series Econometrics, De Gruyter, vol. 13(1), pages 21-42, January.
    8. Leschinski, Christian & Voges, Michelle & Sibbertsen, Philipp, 2019. "A Comparison of Semiparametric Tests for Fractional Cointegration," Hannover Economic Papers (HEP) dp-651, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    9. Nicholas Apergis & Christina Christou & Rangan Gupta & Stephen M. Miller, 2016. "Convergence in Income Inequality: Further Evidence from the Club Clustering Methodology across the U.S. States," Working papers 2016-19, University of Connecticut, Department of Economics.
    10. Fabrizio Iacone & Peter M Robinson, 2004. "Cointegration in Fractional Systems with Deterministic Trends," STICERD - Econometrics Paper Series 476, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    11. Nielsen, Morten Orregaard & Shimotsu, Katsumi, 2007. "Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach," Journal of Econometrics, Elsevier, vol. 141(2), pages 574-596, December.
    12. Li, Shaoran & Linton, Oliver, 2021. "When will the Covid-19 pandemic peak?," Journal of Econometrics, Elsevier, vol. 220(1), pages 130-157.
    13. Aaron D. Smallwood & Stefan C. Norrbin, 2006. "Generalized long memory processes, failure of cointegration tests and exchange rate dynamics," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(4), pages 409-417, May.
    14. Andrea Beltratti & Claudio Morana, 2005. "Structural Breaks and Common Factors in the Volatility of the Fama-French Factor Portfolios," ICER Working Papers 23-2005, ICER - International Centre for Economic Research.
    15. Hualde, J. & Robinson, P.M., 2010. "Semiparametric inference in multivariate fractionally cointegrated systems," Journal of Econometrics, Elsevier, vol. 157(2), pages 492-511, August.
    16. Guglielmo Maria Caporale & Hector Carcel & Luis A. Gil-Alana, 2017. "Central Bank Policy Rates: Are they Cointegrated?," CESifo Working Paper Series 6389, CESifo.
    17. Peter Robinson, 2007. "Diagnostic Testing For Cointegration," STICERD - Econometrics Paper Series 522, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    18. Bent Jesper Christensen & Morten Ø. Nielsen, "undated". "Semiparametric Analysis of Stationary Fractional Cointegration and the Implied-Realized Volatility Relation in High-Frequency Options Data," Economics Working Papers 2001-4, Department of Economics and Business Economics, Aarhus University.
    19. Guglielmo Maria Caporale & Juncal Cunado & Luis A. Gil-Alana & Rangan Gupta, 2015. "The Relationship between Healthcare Expenditure and Disposable Personal Income in the US States: A Fractional Integration and Cointegration Analysis," Discussion Papers of DIW Berlin 1486, DIW Berlin, German Institute for Economic Research.
    20. Lanfranco, Bruno A. & Ferraro, Bruno & Rostan, Francisco, 2015. "Beef Cattle in the MERCOSUR bloc: Integrated or Separate Markets?," 2015 Conference, August 9-14, 2015, Milan, Italy 212030, International Association of Agricultural Economists.
    21. Robinson, Peter, 2007. "Diagnostic testing for cointegration," LSE Research Online Documents on Economics 4465, London School of Economics and Political Science, LSE Library.
    22. Emmanuel Joel Aikins Abakah & Guglielmo Maria Caporale & Luis A. Gil-Alana, 2020. "Economic Policy Uncertainty: Persistence and Cross-Country Linkages," CESifo Working Paper Series 8289, CESifo.
    23. Guglielmo Maria Caporale & Hector Carcel & Luis A. Gil-Alana, 2018. "Prospects for a Monetary Union in the East Africa Community: Some Empirical Evidence," CESifo Working Paper Series 7073, CESifo.
    24. Javier Hualde & Morten {O}rregaard Nielsen, 2022. "Fractional integration and cointegration," Papers 2211.10235, arXiv.org.
    25. Hector Carcel & Luis A. Gil-Alana, 2018. "Inflation analysis in the Central American Monetary Council," Empirical Economics, Springer, vol. 54(2), pages 547-565, March.
    26. Morana, Claudio, 2006. "A small scale macroeconometric model for the Euro-12 area," Economic Modelling, Elsevier, vol. 23(3), pages 391-426, May.
    27. Javier Hualde, 2005. "Unbalanced Cointegration," Faculty Working Papers 06/05, School of Economics and Business Administration, University of Navarra.
    28. Joerg Breitung and Uwe Hassler, 2001. "Inference on the Cointegration Rank in Fractionally Integrated Processes," Computing in Economics and Finance 2001 233, Society for Computational Economics.
    29. Gil-Alana, Luis A. & Yaya, OlaOluwa S. & Awe, Olushina O., 2017. "Time series analysis of co-movements in the prices of gold and oil: Fractional cointegration approach," Resources Policy, Elsevier, vol. 53(C), pages 117-124.
    30. Afonso Gonçalves da Silva & Peter M Robinson, 2006. "Finite Sample Performance in CointegrationAnalysis of Nonlinear Time Series with LongMemory," STICERD - Econometrics Paper Series 501, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    31. Robinson, P.M., 2008. "Diagnostic testing for cointegration," Journal of Econometrics, Elsevier, vol. 143(1), pages 206-225, March.
    32. Chevillon, Guillaume & Mavroeidis, Sophocles, 2011. "Learning generates Long Memory," ESSEC Working Papers WP1113, ESSEC Research Center, ESSEC Business School.
    33. Hualde, Javier, 2013. "A simple test for the equality of integration orders," Economics Letters, Elsevier, vol. 119(3), pages 233-237.
    34. Ke, Shuyao & Phillips, Peter C.B. & Su, Liangjun, 2024. "Robust inference of panel data models with interactive fixed effects under long memory: A frequency domain approach," Journal of Econometrics, Elsevier, vol. 241(2).
    35. Morten Ø. Nielsen & Per Houmann Frederiksen, 2008. "Fully Modified Narrow-band Least Squares Estimation Of Stationary Fractional Cointegration," Working Paper 1171, Economics Department, Queen's University.
    36. Marina Balboa & Paulo M. M. Rodrigues & Antonio Rubia & A. M. Robert Taylor, 2021. "Multivariate fractional integration tests allowing for conditional heteroskedasticity with an application to return volatility and trading volume," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 36(5), pages 544-565, August.
    37. Patrice Abry & Gustavo Didier & Hui Li, 2019. "Two-step wavelet-based estimation for Gaussian mixed fractional processes," Statistical Inference for Stochastic Processes, Springer, vol. 22(2), pages 157-185, July.
    38. Javier Hualde & A Robinson, 2006. "Root-N-Consistent Estimation Of Weakfractional Cointegration," STICERD - Econometrics Paper Series /06/499, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    39. Kellard, Neil & Dunis, Christian & Sarantis, Nicholas, 2010. "Foreign exchange, fractional cointegration and the implied-realized volatility relation," Journal of Banking & Finance, Elsevier, vol. 34(4), pages 882-891, April.
    40. Pérez-Rodríguez, Jorge V. & Andrada-Félix, Julián & Rachinger, Heiko, 2021. "Testing the forward volatility unbiasedness hypothesis in exchange rates under long-range dependence," The North American Journal of Economics and Finance, Elsevier, vol. 57(C).
    41. Hurvich, Cliiford & Wang, Yi, 2006. "A Pure-Jump Transaction-Level Price Model Yielding Cointegration, Leverage, and Nonsynchronous Trading Effects," MPRA Paper 1413, University Library of Munich, Germany.
    42. Hualde Javier & Iacone Fabrizio, 2012. "First Stage Estimation of Fractional Cointegration," Journal of Time Series Econometrics, De Gruyter, vol. 4(1), pages 1-32, May.
    43. Luis A. Gil-Alana, 2004. "Modelling the Japanese Exchange Rate in Terms of I(d) Statistical Models with Parametric and Semiparametric Techniques," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 3(2), pages 123-138, August.
    44. Rangan Gupta & Christophe André & Luis Gil-Alana, 2015. "Comovement in Euro area housing prices: A fractional cointegration approach," Urban Studies, Urban Studies Journal Limited, vol. 52(16), pages 3123-3143, December.
    45. Lasak, Katarzyna, 2010. "Likelihood based testing for no fractional cointegration," Journal of Econometrics, Elsevier, vol. 158(1), pages 67-77, September.
    46. Willa Chen & Clifford Hurvich, 2004. "Semiparametric Estimation of Fractional Cointegrating Subspaces," Econometrics 0412007, University Library of Munich, Germany.
    47. Guglielmo Maria Caporale & Luis A. Gil-Alana & C. James Orlando, 2015. "Linkages between the US and European Stock Markets: A Fractional Cointegration Approach," CESifo Working Paper Series 5523, CESifo.
    48. Morten Oerregaard Nielsen, "undated". "Optimal Residual Based Tests for Fractional Cointegration and Exchange Rate Dynamics," Economics Working Papers 2002-7, Department of Economics and Business Economics, Aarhus University.
    49. Abbritti, Mirko & Carcel, Hector & Gil-Alana, Luis & Moreno, Antonio, 2023. "Term premium in a fractionally cointegrated yield curve," Journal of Banking & Finance, Elsevier, vol. 149(C).
    50. Aaron Smallwood & Stefan Norrbin, 2004. "Estimating cointegrating vectors using near unit root variables," Applied Economics Letters, Taylor & Francis Journals, vol. 11(12), pages 781-784.
    51. Guglielmo Maria Caporale & Luis A. Gil-Alana & Robert Mudida, 2012. "Testing the Marshall-Lerner Condition in Kenya," Discussion Papers of DIW Berlin 1247, DIW Berlin, German Institute for Economic Research.
    52. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2014. "Youth Unemployment in Europe: Persistence and Macroeconomic Determinants," CESifo Working Paper Series 4696, CESifo.
    53. Claudio Morana, 2007. "On the macroeconomic causes of exchange rates volatility," ICER Working Papers 8-2007, ICER - International Centre for Economic Research.
    54. Kellard, Neil M. & Jiang, Ying & Wohar, Mark, 2015. "Spurious long memory, uncommon breaks and the implied–realized volatility puzzle," Journal of International Money and Finance, Elsevier, vol. 56(C), pages 36-54.
    55. Gil-Alana, Luis A. & Yaya, OlaOluwa S., 2014. "The relationship between oil prices and the Nigerian stock market. An analysis based on fractional integration and cointegration," Energy Economics, Elsevier, vol. 46(C), pages 328-333.
    56. Javier Hualde, 2012. "Estimation of the cointegrating rank in fractional cointegration," Documentos de Trabajo - Lan Gaiak Departamento de Economía - Universidad Pública de Navarra 1205, Departamento de Economía - Universidad Pública de Navarra.
    57. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2011. "Fractional Integration and Cointegration in US Financial Time Series Data," Discussion Papers of DIW Berlin 1116, DIW Berlin, German Institute for Economic Research.
    58. Tilfani, Oussama & Kristoufek, Ladislav & Ferreira, Paulo & El Boukfaoui, My Youssef, 2022. "Heterogeneity in economic relationships: Scale dependence through the multivariate fractal regression," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 588(C).
    59. Yaya, OlaOluwa S. & Gil-Alana, Luis A. & Adekoya, Oluwasegun B. & Vo, Xuan Vinh, 2021. "How fearful are commodities and US stocks in response to global fear? Persistence and cointegration analyses," Resources Policy, Elsevier, vol. 74(C).
    60. Adebola, Solarin Sakiru & Gil-Alana, Luis A. & Madigu, Godfrey, 2019. "Gold prices and the cryptocurrencies: Evidence of convergence and cointegration," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 523(C), pages 1227-1236.
    61. Dechert, Andreas, 2014. "Fraktionale Kointegrationsbeziehungen zwischen Euribor-Zinssätzen," W.E.P. - Würzburg Economic Papers 93, University of Würzburg, Department of Economics.
    62. Barros, Carlos Pestana & Gil-Alana, Luis A. & Payne, James E., 2012. "Comovements among U.S. state housing prices: Evidence from fractional cointegration," Economic Modelling, Elsevier, vol. 29(3), pages 936-942.
    63. Luis A. Gil-Alana, 2003. "Testing of Fractional Cointegration in Macroeconomic Time Series," Faculty Working Papers 09/03, School of Economics and Business Administration, University of Navarra.
    64. Marcel Aloy & Mohamed Boutahar & Karine Gente & Anne Péguin-feissolle, 2010. "Fractional integration and cointegration in stock prices and exchange rates," Economics Bulletin, AccessEcon, vol. 30(1), pages 115-129.
    65. Javier Hualde, 2012. "A simple test for the equality of integration orders," Documentos de Trabajo - Lan Gaiak Departamento de Economía - Universidad Pública de Navarra 1206, Departamento de Economía - Universidad Pública de Navarra.
    66. Katarzyna Lasak & Carlos Velasco, 2014. "Fractional Cointegration Rank Estimation," Tinbergen Institute Discussion Papers 14-021/III, Tinbergen Institute.
    67. Luis Alberiko Gil-Alaña & Borja Balprad & Guglielmo Maria Caporale & Hector Carcel, 2015. "Exchange Rate Dynamics and Monetary Unions in Africa: A Fractional Integration and Cointegration Analysis," NCID Working Papers 11/2015, Navarra Center for International Development, University of Navarra.
    68. de Truchis, Gilles, 2013. "Approximate Whittle analysis of fractional cointegration and the stock market synchronization issue," Economic Modelling, Elsevier, vol. 34(C), pages 98-105.
    69. Stefan C. Norrbin & Aaron D. Smallwood, 2006. "Generalized long memory processes, failure of cointegration tests and exchange rate dynamics," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(4), pages 409-417.
    70. Stefanos Kechagias & Vladas Pipiras, 2015. "Definitions And Representations Of Multivariate Long-Range Dependent Time Series," Journal of Time Series Analysis, Wiley Blackwell, vol. 36(1), pages 1-25, January.
    71. Avarucci, M. & Velasco, C., 2008. "A wald test for the cointegration rank in nonstationary fractional systems," Research Memorandum 049, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
    72. Fabrizio Iacone, 2009. "A Semiparametric Analysis of the Term Structure of the US Interest Rates," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 71(4), pages 475-490, August.
    73. Morten Oerregaard Nielsen, "undated". "Local Whittle Analysis of Stationary Fractional Cointegration," Economics Working Papers 2002-8, Department of Economics and Business Economics, Aarhus University.
    74. Claudio Morana, 2006. "Multivariate modelling of long memory processes with common components," ICER Working Papers 40-2006, ICER - International Centre for Economic Research.
    75. Gerolimetto, Margherita, 2006. "Frequency domain bootstrap for the fractional cointegration regression," Economics Letters, Elsevier, vol. 91(3), pages 389-394, June.
    76. Marco R Barassi & Dayong Zhang, 2009. "Fractional Integration and Cointegration: Testing the Term Structure of Interest Rates," Discussion Papers 09-17, Department of Economics, University of Birmingham.
    77. Giorgio Canarella & Stephen M. Miller, 2016. "Inflation Targeting: New Evidence from Fractional Integration and Cointegration," Working papers 2016-08, University of Connecticut, Department of Economics.
    78. Katarzyna Lasak, 2008. "Maximum likelihood estimation of fractionally cointegrated systems," CREATES Research Papers 2008-53, Department of Economics and Business Economics, Aarhus University.
    79. Carlos Barros & Guglielmo Maria Caporale & Luis Gil-Alana, 2014. "Long Memory in Angolan Macroeconomic Series: Mean Reversion versus Explosive Behaviour," African Development Review, African Development Bank, vol. 26(1), pages 59-73.
    80. Nicholas Apergis & Arusha Cooray, 2016. "Old Wine In A New Bottle: Trade Openness And Fdi Flows—Are The Emerging Economies Converging?," Contemporary Economic Policy, Western Economic Association International, vol. 34(2), pages 336-351, April.
    81. Avarucci, Marco & Marinucci, Domenico, 2005. "Polynomial cointegration among stationary processes with long memory," UC3M Working papers. Economics we055123, Universidad Carlos III de Madrid. Departamento de Economía.
    82. Uwe Hassler & Francesc Marmol & Carlos Velasco, 2008. "Fractional cointegration in the presence of linear trends," Journal of Time Series Analysis, Wiley Blackwell, vol. 29(6), pages 1088-1103, November.
    83. Dong, Chaohua & Linton, Oliver & Peng, Bin, 2021. "A weighted sieve estimator for nonparametric time series models with nonstationary variables," Journal of Econometrics, Elsevier, vol. 222(2), pages 909-932.
    84. Morana Claudio, 2002. "Common Persistent Factors in Inflation and Excess Nominal Money Growth and a New Measure of Core Inflation," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 6(3), pages 1-40, November.
    85. John Goddard & David Mcmillan & John Wilson, 2008. "Dividends, prices and the present value model: firm-level evidence," The European Journal of Finance, Taylor & Francis Journals, vol. 14(3), pages 195-210.
    86. Wang, Bin & Wang, Man & Chan, Ngai Hang, 2015. "Residual-based test for fractional cointegration," Economics Letters, Elsevier, vol. 126(C), pages 43-46.
    87. Canarella, Giorgio & Miller, Stephen M., 2017. "Inflation targeting and inflation persistence: New evidence from fractional integration and cointegration," Journal of Economics and Business, Elsevier, vol. 92(C), pages 45-62.
    88. Claudio Morana, 2009. "An omnibus noise filter," Computational Statistics, Springer, vol. 24(3), pages 459-479, August.
    89. Margherita Gerolimetto & Isabella Procidano, 2008. "A test for fractional cointegration using the sieve bootstrap," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 17(3), pages 373-391, July.
    90. Claudio Morana, 2007. "Estimating, Filtering and Forecasting Realized Betas," ICER Working Papers - Applied Mathematics Series 6-2007, ICER - International Centre for Economic Research.

  9. L. A. Gil-Alana & P. M. Robinson, 2001. "Testing of seasonal fractional integration in UK and Japanese consumption and income," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(2), pages 95-114.
    See citations under working paper version above.
  10. D. Marinucci & P. M. Robinson, 2001. "Finite sample improvements in statistical inference with I(1) processes," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(3), pages 431-444.

    Cited by:

    1. Barunik, Jozef & Barunikova, Michaela, 2015. "Revisiting the long memory dynamics of implied-realized volatility relation: A new evidence from wavelet band spectrum regression," FinMaP-Working Papers 43, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
    2. Morten Ø. Nielsen & Per Houmann Frederiksen, 2008. "Fully Modified Narrow-band Least Squares Estimation Of Stationary Fractional Cointegration," Working Paper 1171, Economics Department, Queen's University.
    3. Jozef Barunik & Michaela Barunikova, 2012. "Revisiting the fractional cointegrating dynamics of implied-realized volatility relation with wavelet band spectrum regression," Papers 1208.4831, arXiv.org, revised Feb 2013.
    4. Baruník, Jozef & Hlínková, Michaela, 2016. "Revisiting the long memory dynamics of the implied–realized volatility relationship: New evidence from the wavelet regression," Economic Modelling, Elsevier, vol. 54(C), pages 503-514.

  11. Robinson, P. M., 2001. "The memory of stochastic volatility models," Journal of Econometrics, Elsevier, vol. 101(2), pages 195-218, April.

    Cited by:

    1. Afonso Gonçalves da Silva & Peter M Robinson, 2007. "Fractional Cointegration In StochasticVolatility Models," STICERD - Econometrics Paper Series 519, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    2. Artiach, Miguel & Arteche, Josu, 2012. "Doubly fractional models for dynamic heteroscedastic cycles," Computational Statistics & Data Analysis, Elsevier, vol. 56(6), pages 2139-2158.
    3. Ho, Hwai-Chung, 2015. "Sample quantile analysis for long-memory stochastic volatility models," Journal of Econometrics, Elsevier, vol. 189(2), pages 360-370.
    4. Broto, Carmen, 2002. "Estimation methods for stochastic volatility models: a survey," DES - Working Papers. Statistics and Econometrics. WS ws025414, Universidad Carlos III de Madrid. Departamento de Estadística.
    5. Guglielmo Maria Caporale & Luis Gil-Alana, 2010. "Multiple cyclical fractional structures in financial time series," Applied Economics Letters, Taylor & Francis Journals, vol. 17(11), pages 1079-1081.
    6. Nour Meddahi, 2001. "An Eigenfunction Approach for Volatility Modeling," CIRANO Working Papers 2001s-70, CIRANO.
    7. Dominique Guegan, 2007. "La persistance dans les marchés financiers," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00179269, HAL.
    8. David Mcmillan & Alan Speight, 2008. "Long-memory in high-frequency exchange rate volatility under temporal aggregation," Quantitative Finance, Taylor & Francis Journals, vol. 8(3), pages 251-261.
    9. Dominique Guegan, 2005. "How can we Define the Concept of Long Memory? An Econometric Survey," Econometric Reviews, Taylor & Francis Journals, vol. 24(2), pages 113-149.
    10. Javier Hualde & Morten {O}rregaard Nielsen, 2022. "Fractional integration and cointegration," Papers 2211.10235, arXiv.org.
    11. Bent Jesper Christensen & Morten Ørregaard Nielsen & Jie Zhu, 2012. "The impact of financial crises on the risk-return tradeoff and the leverage effect," CREATES Research Papers 2012-19, Department of Economics and Business Economics, Aarhus University.
    12. Rosenbaum, Mathieu, 2008. "Estimation of the volatility persistence in a discretely observed diffusion model," Stochastic Processes and their Applications, Elsevier, vol. 118(8), pages 1434-1462, August.
    13. Gao, Jiti, 2002. "Modeling long-range dependent Gaussian processes with application in continuous-time financial models," MPRA Paper 11973, University Library of Munich, Germany, revised 18 Sep 2003.
    14. Zaffaroni, Paolo, 2007. "Aggregation and memory of models of changing volatility," Journal of Econometrics, Elsevier, vol. 136(1), pages 237-249, January.
    15. Taewook Lee & Moosup Kim & Changryong Baek, 2015. "Tests for Volatility Shifts in Garch Against Long-Range Dependence," Journal of Time Series Analysis, Wiley Blackwell, vol. 36(2), pages 127-153, March.
    16. Kirman, Alan & Teyssiere, Gilles, 2005. "Testing for bubbles and change-points," Journal of Economic Dynamics and Control, Elsevier, vol. 29(4), pages 765-799, April.
    17. Paolo Zaffaroni, 2003. "Gaussian inference on certain long-range dependent volatility models," Temi di discussione (Economic working papers) 472, Bank of Italy, Economic Research and International Relations Area.
    18. Beran, Jan, 2006. "On location estimation for LARCH processes," Journal of Multivariate Analysis, Elsevier, vol. 97(8), pages 1766-1782, September.
    19. Bent Jesper Christensen & Jie Zhu & Morten Ø. Nielsen, 2009. "Long Memory In Stock Market Volatility And The Volatility-in-mean Effect: The Fiegarch-m Model," Working Paper 1207, Economics Department, Queen's University.
    20. L.A. Gil-Alana & G.M. caporale, 2004. "Long-run and Cyclical Dynamics in the US Stock Market," Econometric Society 2004 Latin American Meetings 344, Econometric Society.
    21. Jonathan Wright, 2002. "Log-Periodogram Estimation Of Long Memory Volatility Dependencies With Conditionally Heavy Tailed Returns," Econometric Reviews, Taylor & Francis Journals, vol. 21(4), pages 397-417.
    22. F. DePenya & L. Gil-Alana, 2006. "Testing of nonstationary cycles in financial time series data," Review of Quantitative Finance and Accounting, Springer, vol. 27(1), pages 47-65, August.
    23. Gao, Jiti, 2007. "Nonlinear time series: semiparametric and nonparametric methods," MPRA Paper 39563, University Library of Munich, Germany, revised 01 Sep 2007.
    24. Wymer Clifford R., 2012. "Continuous-Tme Econometrics of Structural Models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 16(2), pages 1-28, April.
    25. Chih-Chen Hsu & An-Sing Chen & Shih-Kuei Lin & Ting-Fu Chen, 2017. "The affine styled-facts price dynamics for the natural gas: evidence from daily returns and option prices," Review of Quantitative Finance and Accounting, Springer, vol. 48(3), pages 819-848, April.
    26. Dalla, Violetta & Giraitis, Liudas & Hidalgo, Javier, 2006. "Consistent estimation of the memory parameter for nonlinear time series," LSE Research Online Documents on Economics 6813, London School of Economics and Political Science, LSE Library.
    27. Rohit Deo & Meng-Chen Hsieh & Clifford M. Hurvich & Philippe Soulier, 2007. "Long Memory in Nonlinear Processes," Papers 0706.1836, arXiv.org.
    28. Eric Ghysels & Pedro Santa-Clara & Rossen Valkanov, 2004. "Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies," CIRANO Working Papers 2004s-19, CIRANO.
    29. D. Marinucci, 2005. "The Empirical Process for Bivariate Sequences with Long Memory," Statistical Inference for Stochastic Processes, Springer, vol. 8(2), pages 205-223, September.
    30. Peter M Robinson, 2005. "Modelling Memory of Economic and Financial Time Series," STICERD - Econometrics Paper Series 487, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    31. Violetta Dalla & Liudas Giraitis & Javier Hidalgo, 2006. "Consistent estimation of the memory parameterfor nonlinear time series," STICERD - Econometrics Paper Series 497, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    32. Dahl Christian M & Iglesias Emma, 2011. "Modeling the Volatility-Return Trade-Off When Volatility May Be Nonstationary," Journal of Time Series Econometrics, De Gruyter, vol. 3(1), pages 1-32, February.
    33. Robinson, Peter, 2005. "Modelling memory of economic and financial time series," LSE Research Online Documents on Economics 2069, London School of Economics and Political Science, LSE Library.
    34. Wilfredo Palma & Mauricio Zevallos, 2004. "Analysis of the correlation structure of square time series," Journal of Time Series Analysis, Wiley Blackwell, vol. 25(4), pages 529-550, July.
    35. Bent Jesper Christensen & Morten Ørregaard Nielsen, 2007. "The Effect of Long Memory in Volatility on Stock Market Fluctuations," The Review of Economics and Statistics, MIT Press, vol. 89(4), pages 684-700, November.
    36. Mathieu Rosenbaum, 2006. "Estimation of the Volatility Persistence in a Discretly Observed Diffusion Model," Working Papers 2006-02, Center for Research in Economics and Statistics.

  12. Y. Nishiyama & P. M. Robinson, 2000. "Edgeworth Expansions for Semiparametric Averaged Derivatives," Econometrica, Econometric Society, vol. 68(4), pages 931-980, July.

    Cited by:

    1. Hiroaki Kaido, 2014. "Asymptotically efficient estimation of weighted average derivatives with an interval censored variable," CeMMAP working papers 03/14, Institute for Fiscal Studies.
    2. Matias D. Cattaneo & Max H. Farrell & Michael Jansson & Ricardo Masini, 2022. "Higher-order Refinements of Small Bandwidth Asymptotics for Density-Weighted Average Derivative Estimators," Papers 2301.00277, arXiv.org, revised Feb 2024.
    3. Matsushita, Yukitoshi & Otsu, Taisuke, 2020. "Likelihood inference on semiparametric models with generated regressors," LSE Research Online Documents on Economics 102696, London School of Economics and Political Science, LSE Library.
    4. Linton, Oliver, 2000. "Edgeworth approximations for semiparametric instrumental variable estimators and test statistics," LSE Research Online Documents on Economics 2156, London School of Economics and Political Science, LSE Library.
    5. Marcia M Schafgans & Victoria Zinde-Walshyz, 2008. "Smoothness Adaptive AverageDerivative Estimation," STICERD - Econometrics Paper Series 529, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    6. Xiaohong Chen & Demian Pouzo, 2009. "Efficient estimation of semiparametric conditional moment models with possibly nonsmooth residuals," CeMMAP working papers CWP20/09, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    7. Chuan Goh, 2009. "Bootstrap-based Bandwidth Selection for Semiparametric Generalized Regression Estimators," Working Papers tecipa-375, University of Toronto, Department of Economics.
    8. Cattaneo, Matias D & Crump, Richard K & Jansson, Michael, 2014. "Small Bandwidth Asymptotics For Density-Weighted Average Derivatives," Department of Economics, Working Paper Series qt3jd237cg, Department of Economics, Institute for Business and Economic Research, UC Berkeley.
    9. Ichimura, Hidehiko & Linton, Oliver, 2003. "Asymptotic expansions for some semiparametric program evaluation estimators," LSE Research Online Documents on Economics 2098, London School of Economics and Political Science, LSE Library.
    10. Ichimura, Hidehiko & Todd, Petra E., 2007. "Implementing Nonparametric and Semiparametric Estimators," Handbook of Econometrics, in: J.J. Heckman & E.E. Leamer (ed.), Handbook of Econometrics, edition 1, volume 6, chapter 74, Elsevier.
    11. Robinson, Peter M. & Thawornkaiwong, Supachoke, 2012. "Statistical inference on regression with spatial dependence," Journal of Econometrics, Elsevier, vol. 167(2), pages 521-542.
    12. Andrés Mora-Valencia & Trino-Manuel Ñíguez & Javier Perote, 2017. "Multivariate approximations to portfolio return distribution," Computational and Mathematical Organization Theory, Springer, vol. 23(3), pages 347-361, September.
    13. Giraitis, Liudas & Robinson, Peter, 2002. "Edgeworth expansions for semiparametric Whittle estimation of long memory," LSE Research Online Documents on Economics 2130, London School of Economics and Political Science, LSE Library.
    14. Cattaneo, Matias D. & Crump, Richard K. & Jansson, Michael, 2010. "Robust Data-Driven Inference for Density-Weighted Average Derivatives," Journal of the American Statistical Association, American Statistical Association, vol. 105(491), pages 1070-1083.
    15. Del Brio, Esther B. & Ñíguez, Trino-Manuel & Perote, Javier, 2008. "Multivariate Gram-Charlier Densities," MPRA Paper 29073, University Library of Munich, Germany.
    16. Wolfgang Härdle & Oliver Linton & Yingcun Xia, 2009. "Optimal Smoothing for a Computationallyand StatisticallyEfficient Single Index Estimator," STICERD - Econometrics Paper Series 537, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    17. Shunsuke Imai & Yoshihiko Nishiyama, 2022. "Higher-Order Asymptotic Properties of Kernel Density Estimator with Plug-In Bandwidth," KIER Working Papers 1076, Kyoto University, Institute of Economic Research.
    18. Yoshihiko Nishiyama & Peter M Robinson, 2005. "The Bootstrap and the Edgeworth Correction for Semiparametric Averaged Derivatives," STICERD - Econometrics Paper Series 483, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    19. Gao, Jiti, 2007. "Nonlinear time series: semiparametric and nonparametric methods," MPRA Paper 39563, University Library of Munich, Germany, revised 01 Sep 2007.
    20. Matias D. Cattaneo & Michael Jansson, 2014. "Bootstrapping Kernel-Based Semiparametric Estimators," CREATES Research Papers 2014-25, Department of Economics and Business Economics, Aarhus University.
    21. Gao, Jiti & Gijbels, Irene, 2005. "Bandwidth selection for nonparametric kernel testing," MPRA Paper 11982, University Library of Munich, Germany, revised Jun 2007.
    22. Liudas Giraitis & Peter M Robinson, 2002. "Edgeworth Expansions for Semiparametric Whittle Estimation of Long Memory," STICERD - Econometrics Paper Series 438, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    23. Del Brio, Esther B. & Perote, Javier, 2012. "Gram–Charlier densities: Maximum likelihood versus the method of moments," Insurance: Mathematics and Economics, Elsevier, vol. 51(3), pages 531-537.
    24. Nishiyama, Y., 2004. "Minimum normal approximation error bandwidth selection for averaged derivatives," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 64(1), pages 53-61.
    25. Giraitis, L. & Robinson, P.M., 2003. "Edgeworth expansions for semiparametric Whittle estimation of long memory," LSE Research Online Documents on Economics 291, London School of Economics and Political Science, LSE Library.
    26. Yoshihiko Nishiyama & Susumu Osada & Yasuhiro Sato, 2008. "OLS ESTIMATION AND THE t TEST REVISITED IN RANK‐SIZE RULE REGRESSION," Journal of Regional Science, Wiley Blackwell, vol. 48(4), pages 691-716, October.
    27. Chen, Xiaohong, 2007. "Large Sample Sieve Estimation of Semi-Nonparametric Models," Handbook of Econometrics, in: J.J. Heckman & E.E. Leamer (ed.), Handbook of Econometrics, edition 1, volume 6, chapter 76, Elsevier.

  13. Robinson, P M, 1998. "Real and Spurious Long-Memory Properties of Stock-Market Data: Comment," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(3), pages 276-279, July.

    Cited by:

    1. Li, Y. & Donkers, A.C.D. & Melenberg, B., 2006. "The Non- and Semiparametric Analysis of MS Models : Some Applications," Other publications TiSEM c14adc9f-f490-40d6-81b7-8, Tilburg University, School of Economics and Management.
    2. Elena Andreou & Eric Ghysels, 2001. "Detecting Mutiple Breaks in Financial Market Volatility Dynamics," CIRANO Working Papers 2001s-65, CIRANO.
    3. Giampiero M. Gallo & Yongmiao Hong & Tae-Why Lee, 2001. "Modelling the Impact of Overnight Surprises on Intra-daily Stock Returns," Econometrics Working Papers Archive wp2001_03, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
    4. Zeynel Abidin Ozdemir & Mehmet Balcilar & Aysit Tansel, 2011. "International Labour Force Participation Rates by Gender: Unit Root or Structural Breaks?," ERC Working Papers 1105, ERC - Economic Research Center, Middle East Technical University, revised Oct 2011.
    5. Marinucci, D. & Robinson, P. M., 2001. "Semiparametric fractional cointegration analysis," Journal of Econometrics, Elsevier, vol. 105(1), pages 225-247, November.
    6. Elena Andreou & Eric Ghysels, 2004. "Monitoring for Disruptions in Financial Markets," CIRANO Working Papers 2004s-26, CIRANO.

  14. P. M. Robinson, 1998. "Inference-Without-Smoothing in the Presence of Nonparametric Autocorrelation," Econometrica, Econometric Society, vol. 66(5), pages 1163-1182, September.

    Cited by:

    1. Javier Hidalgo & Myung Hwan Seo, 2012. "Testing for Structural Stability in the Whole Sample," STICERD - Econometrics Paper Series 561, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    2. Horváth, Lajos & Husková, Marie & Kokoszka, Piotr, 2010. "Testing the stability of the functional autoregressive process," Journal of Multivariate Analysis, Elsevier, vol. 101(2), pages 352-367, February.
    3. Casini, Alessandro, 2023. "Theory of evolutionary spectra for heteroskedasticity and autocorrelation robust inference in possibly misspecified and nonstationary models," Journal of Econometrics, Elsevier, vol. 235(2), pages 372-392.
    4. Tierney, Heather L.R., 2009. "Examining the Ability of Core Inflation to Capture the Overall Trend of Total Inflation," MPRA Paper 22409, University Library of Munich, Germany, revised Feb 2010.
    5. Tierney, Heather L.R., 2011. "Real-time data revisions and the PCE measure of inflation," Economic Modelling, Elsevier, vol. 28(4), pages 1763-1773, July.
    6. Nawaz, Nasreen, 2017. "Robust Inference by Sub-sampling," MPRA Paper 116721, University Library of Munich, Germany, revised 08 Jun 2019.
    7. Wouter J. Den Haan & Andrew T. Levin, 1995. "Inferences from parametric and non-parametric covariance matrix estimation procedures," International Finance Discussion Papers 504, Board of Governors of the Federal Reserve System (U.S.).
    8. Lazarova, Stepana, 2005. "Testing for structural change in regression with long memory processes," Journal of Econometrics, Elsevier, vol. 129(1-2), pages 329-372.
    9. Hidalgo, Javier & Schafgans, Marcia, 2021. "Inference without smoothing for large panels with cross-sectional and temporal dependence," LSE Research Online Documents on Economics 107426, London School of Economics and Political Science, LSE Library.
    10. Linton, O. & Tang, H., 2020. "Estimation of the Kronecker Covariance Model by Quadratic Form," Cambridge Working Papers in Economics 2050, Faculty of Economics, University of Cambridge.
    11. Federico Belotti & Alessandro Casini & Leopoldo Catania & Stefano Grassi & Pierre Perron, 2021. "Simultaneous Bandwidths Determination for DK-HAC Estimators and Long-Run Variance Estimation in Nonparametric Settings," Papers 2103.00060, arXiv.org.
    12. Hirukawa, Masayuki, 2023. "Robust Covariance Matrix Estimation in Time Series: A Review," Econometrics and Statistics, Elsevier, vol. 27(C), pages 36-61.
    13. Boudoukh, Jacob & Israel, Ronen & Richardson, Matthew, 2022. "Biases in long-horizon predictive regressions," Journal of Financial Economics, Elsevier, vol. 145(3), pages 937-969.
    14. WANG, Kent & WANG, Shin-Huei & PAN, Zheyao, 2013. "Can federal reserve policy deviation explain response patterns of financial markets over time?," LIDAM Discussion Papers CORE 2013029, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    15. Hidalgo, Javier, 2003. "An alternative bootstrap to moving blocks for time series regression models," Journal of Econometrics, Elsevier, vol. 117(2), pages 369-399, December.
    16. Peter C. B. Phillips & Xiaohu Wang & Yonghui Zhang, 2019. "HAR Testing for Spurious Regression in Trend," Econometrics, MDPI, vol. 7(4), pages 1-28, December.
    17. Kiefer, Nicholas M. & Vogelsang, Timothy J., 2005. "A New Asymptotic Theory for Heteroskedasticity-Autocorrelation Robust Tests," Working Papers 05-08, Cornell University, Center for Analytic Economics.
    18. Alessandro Casini, 2021. "Theory of Evolutionary Spectra for Heteroskedasticity and Autocorrelation Robust Inference in Possibly Misspecified and Nonstationary Models," Papers 2103.02981, arXiv.org, revised Aug 2024.
    19. Tierney, Heather L.R., 2009. "Evaluating Exclusion-from-Core Measures of Inflation using Real-Time Data," MPRA Paper 17856, University Library of Munich, Germany.
    20. Violetta Dalla & Liudas Giraitis & Hira L. Koul, 2014. "Studentizing Weighted Sums Of Linear Processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 35(2), pages 151-172, March.
    21. Alessandro Casini & Taosong Deng & Pierre Perron, 2021. "Theory of Low Frequency Contamination from Nonstationarity and Misspecification: Consequences for HAR Inference," Papers 2103.01604, arXiv.org, revised Sep 2024.
    22. Hidalgo, Javier & Schafgans, Marcia M. A., 2017. "Inference without smoothing for large panels with cross-sectional and temporal dependence," LSE Research Online Documents on Economics 87748, London School of Economics and Political Science, LSE Library.
    23. Javier Hidalgo & Marcia M Schafgans, 2017. "Inference Without Smoothing for Large Panels with Cross- Sectional and Temporal Dependence," STICERD - Econometrics Paper Series 597, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    24. Hidalgo, Javier & Schafgans, Marcia, 2021. "Inference without smoothing for large panels with cross-sectional and temporal dependence," Journal of Econometrics, Elsevier, vol. 223(1), pages 125-160.
    25. Marmol, Francesc & Velasco, Carlos, 2002. "Trend stationarity versus long-range dependence in time series analysis," Journal of Econometrics, Elsevier, vol. 108(1), pages 25-42, May.
    26. Tsay, Wen-Jen, 2004. "Testing for contemporaneous correlation of disturbances in seemingly unrelated regressions with serial dependence," Economics Letters, Elsevier, vol. 83(1), pages 69-76, April.

  15. Gil-Alana, L. A. & Robinson, P. M., 1997. "Testing of unit root and other nonstationary hypotheses in macroeconomic time series," Journal of Econometrics, Elsevier, vol. 80(2), pages 241-268, October.

    Cited by:

    1. Yang Fuyu & Leon-Gonzalez Roberto, 2010. "Bayesian Estimation and Model Selection in the Generalized Stochastic Unit Root Model," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 14(4), pages 1-38, September.
    2. Gil-Alana, Luis A. & Aye, Goodness C. & Gupta, Rangan, 2015. "Trends and cycles in historical gold and silver prices," Journal of International Money and Finance, Elsevier, vol. 58(C), pages 98-109.
    3. Zeynel Abidin Ozdemir & Mehmet Balcilar & Aysit Tansel, 2014. "Are Labor Force Participation Rates Really Non-Stationary? Evidence from Three OECD Countries," Working Papers 15-25, Eastern Mediterranean University, Department of Economics.
    4. Nielsen, Morten Ørregaard, 2010. "Nonparametric cointegration analysis of fractional systems with unknown integration orders," Journal of Econometrics, Elsevier, vol. 155(2), pages 170-187, April.
    5. J. Cuñado & L. Gil-Alana & F. Gracia, 2009. "US stock market volatility persistence: evidence before and after the burst of the IT bubble," Review of Quantitative Finance and Accounting, Springer, vol. 33(3), pages 233-252, October.
    6. Morten Ø. Nielsen & Per Houmann Frederiksen, 2005. "Finite Sample Comparison Of Parametric, Semiparametric, And Wavelet Estimators Of Fractional Integration," Working Paper 1189, Economics Department, Queen's University.
    7. Olushina O Awe & Robert Mudida & Luis A. Gil‐Alana, 2021. "Comparative analysis of economic growth in Nigeria and Kenya: A fractional integration approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 1197-1205, January.
    8. Michelacci, Claudio, 2004. "Cross-Sectional Heterogeneity and the Persistence of Aggregate Fluctuations," CEPR Discussion Papers 4302, C.E.P.R. Discussion Papers.
    9. Guglielmo Maria Caporale & Juncal Cunado & Luis A. Gil-Alana, 2008. "Modelling Long-Run Trends and Cycles in Financial Time Series Data," CESifo Working Paper Series 2330, CESifo.
    10. Carlos Barros & Luis Gil-Alana, 2012. "Inflation forecasting in Angola: a fractional approach," CEsA Working Papers 103, CEsA - Centre for African and Development Studies.
    11. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2005. "Long Memory At The Long-Run And The Seasonal Monthly Frequencies In The Us Money Stock," Economics and Finance Discussion Papers 05-16, Economics and Finance Section, School of Social Sciences, Brunel University.
    12. Emmanuel Anoruo & Luis Alberiko Gil-Alaña, 2010. "Mean reversion and long memory in African stock market prices," NCID Working Papers 01/2011, Navarra Center for International Development, University of Navarra.
    13. Luis A. Gil-Alana & Rangan Gupta, 2013. "Persistence and Cycles in Historical Oil Prices Data," Working Papers 201375, University of Pretoria, Department of Economics.
    14. Galán-Gutiérrez, Juan Antonio & Martín-García, Rodrigo, 2021. "Cointegration between the structure of copper futures prices and Brexit," Resources Policy, Elsevier, vol. 71(C).
    15. Giuseppe Cavaliere & Morten Ørregaard Nielsen & A.M. Robert Taylor, 2014. "Bootstrap Score Tests for Fractional Integration in Heteroskedastic ARFIMA Models, with an Application to Price Dynamics in Commodity Spot and Futures Markets," CREATES Research Papers 2014-22, Department of Economics and Business Economics, Aarhus University.
    16. Guglielmo Maria Caporale & Luis A. Gil‐Alana, 2007. "Nonlinearities and Fractional Integration in the US Unemployment Rate," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 69(4), pages 521-544, August.
    17. Gil-Alana, Luis A. & Moreno, Antonio, 2012. "Uncovering the US term premium: An alternative route," Journal of Banking & Finance, Elsevier, vol. 36(4), pages 1181-1193.
    18. Luis Alberiko Gil-Alana & Antonio Moreno, 2006. "Technology Shocks and Hours Worked: A Fractional Integration Perspective," Faculty Working Papers 03/06, School of Economics and Business Administration, University of Navarra.
    19. Belbute, José, 2013. "Does final demand for energy in Portugal exhibit long memory?," MPRA Paper 45717, University Library of Munich, Germany.
    20. Gil-Alana, Luis A, 2001. "A Fractionally Integrated Exponential Model for UK Unemployment," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 20(5), pages 329-340, August.
    21. Hassler, Uwe & Marmol, Francesc & Velasco, Carlos, 2009. "Residual Log-Periodogram Inference for Long-Run-Relationships," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 77562, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
    22. Karim M. Abadir & Gabriel Talmain, 2008. "Macro and Financial Markets: The Memory of an Elephant?," Working Paper series 17_08, Rimini Centre for Economic Analysis.
    23. Christophe Andre & Luis A. Gil-Alana & Rangan Gupta, 2013. "Testing for Persistence in Housing Price-to-Income and Price-to-Rent Ratios in 16 OECD Countries," Working Papers 201321, University of Pretoria, Department of Economics.
    24. Kanchana Nadarajah & Gael M Martin & Donald S Poskitt, 2019. "Optimal Bias Correction of the Log-periodogram Estimator of the Fractional Parameter: A Jackknife Approach," Monash Econometrics and Business Statistics Working Papers 7/19, Monash University, Department of Econometrics and Business Statistics.
    25. Luis Gil-Alana, 2001. "Seasonal long memory in the US monthly monetary aggregate," Applied Economics Letters, Taylor & Francis Journals, vol. 8(9), pages 573-575.
    26. Guglielmo Maria Caporale & Luis A. Gil-Alana & Alex Plastun & Inna Makarenko, 2021. "Persistence in ESG and Conventional Stock Market Indices," CESifo Working Paper Series 9098, CESifo.
    27. Cuestas, Juan C. & Gil-Alana, Luís A., 2009. "Further evidence on the PPP analysis of the Australian dollar: Non-linearities, fractional integration and structural changes," Economic Modelling, Elsevier, vol. 26(6), pages 1184-1192, November.
    28. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2015. "Infant mortality rates: time trends and fractional integration," Journal of Applied Statistics, Taylor & Francis Journals, vol. 42(3), pages 589-602, March.
    29. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2012. "Persistence and Cycles in US Hours Worked," CESifo Working Paper Series 3767, CESifo.
    30. Michelacci, C. & Zaffaroni, P., 2000. "(Fractional) Beta Convergence," Papers 383, Banca Italia - Servizio di Studi.
    31. Claudio Michelacci, 1999. "Cross-Sectional Heterogeneity and the Persistence of Aggregate Fluctuations," Working Papers wp1999_9906, CEMFI.
    32. Luis Alberiko Gil-Alana, 2002. "Multivariate Tests of Fractionally Integrated Hypotheses," Faculty Working Papers 09/02, School of Economics and Business Administration, University of Navarra.
    33. Peter C. B. Phillips & Zhijie Xiao, 1998. "A Primer on Unit Root Testing," Journal of Economic Surveys, Wiley Blackwell, vol. 12(5), pages 423-470, December.
    34. Guglielmo Maria Caporale & Silvia García Tapia & Luis Alberiko Gil-Alana, 2024. "Persistence in Tax Revenues: Evidence from Some OECD Countries," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 22(2), pages 475-491, June.
    35. Candelon, Bertrand & Gil-Alaña, Luis A., 2001. "Fractional integration and business cycle features," SFB 373 Discussion Papers 2001,46, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    36. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2010. "The Weekly Structure of US Stock Prices," Discussion Papers of DIW Berlin 1077, DIW Berlin, German Institute for Economic Research.
    37. Dominique Guegan & Zhiping Lu, 2010. "Testing unit roots and long range dependence of foreign exchange," Documents de travail du Centre d'Economie de la Sorbonne 10059, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
    38. Giovanni Caggiano & Leone Leonida, 2009. "International output convergence: evidence from an autocorrelation function approach," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 24(1), pages 139-162.
    39. Aikins Abakah, Emmanuel Joel & Gil-Alana, Luis A. & Tripathy, Trilochan, 2022. "Stochastic structure of metal prices: Evidence from fractional integration non-linearities and breaks," Resources Policy, Elsevier, vol. 78(C).
    40. Peter C. B. Phillips, 2005. "Econometric Analysis of Fisher's Equation," American Journal of Economics and Sociology, Wiley Blackwell, vol. 64(1), pages 125-168, January.
    41. Javier Hualde & Morten {O}rregaard Nielsen, 2022. "Fractional integration and cointegration," Papers 2211.10235, arXiv.org.
    42. Gil-Alana, L. & Robinson, P.M., 1998. "Testing of Seasonal Fractional Integration in U.K. and Japanese Consumption and Income," Economics Working Papers eco98/20, European University Institute.
    43. Haldrup, Niels & Nielsen, Morten Orregaard, 2007. "Estimation of fractional integration in the presence of data noise," Computational Statistics & Data Analysis, Elsevier, vol. 51(6), pages 3100-3114, March.
    44. Gil-Alana, L.A., 2006. "Seasonal and non-seasonal long memory effects in the Japanese real effective exchange rate," Journal of the Japanese and International Economies, Elsevier, vol. 20(1), pages 87-98, March.
    45. Monika Zimmermann & Florian Ziel, 2024. "Efficient mid-term forecasting of hourly electricity load using generalized additive models," Papers 2405.17070, arXiv.org.
    46. Guglielmo Maria Caporale & Luis Alberiko Gil‐Alana & Tommaso Trani, 2022. "On the persistence of UK inflation: A long‐range dependence approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(1), pages 439-454, January.
    47. Monge, Manuel & Gil-Alana, Luis A., 2021. "Lithium industry and the U.S. crude oil prices. A fractional cointegration VAR and a Continuous Wavelet Transform analysis," Resources Policy, Elsevier, vol. 72(C).
    48. Caporale, Guglielmo Maria & Gil-Alana, Luis A., 2004. "Fractional cointegration and tests of present value models," Review of Financial Economics, Elsevier, vol. 13(3), pages 245-258.
    49. Gil-Alana, L. A., 2003. "A fractional multivariate long memory model for the US and the Canadian real output," Economics Letters, Elsevier, vol. 81(3), pages 355-359, December.
    50. Svend Hylleberg, 2006. "Seasonal Adjustment," Economics Working Papers 2006-04, Department of Economics and Business Economics, Aarhus University.
    51. Juncal Cunado & Luis A. Gil-Alana & Fernando Pérez de Gracia, 2002. "Is the US Fiscal Deficit Sustainable? A Fractionally Integrated and Cointegrated Approach," Faculty Working Papers 02/02, School of Economics and Business Administration, University of Navarra.
    52. Carlos Pestana Barros & Luis A. Gil-Alana, 2011. "Oil Prices: Persistence and Breaks," Faculty Working Papers 09/11, School of Economics and Business Administration, University of Navarra.
    53. L.A. Gil-Alanaa, 2007. "Testing The Existence of Multiple Cycles in Financial and Economic Time Series," Annals of Economics and Finance, Society for AEF, vol. 8(1), pages 1-20, May.
    54. Gil-Alana, Luis A. & Cunado, Juncal & de Gracia, Fernando Perez, 2013. "Salient features of dependence in daily US stock market indices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(15), pages 3198-3212.
    55. Gil-Alana, Luis A. & Monge, Manuel, 2019. "Lithium: Production and estimated consumption. Evidence of persistence," Resources Policy, Elsevier, vol. 60(C), pages 198-202.
    56. Christian Fischer & Luis Gil-Alana, 2009. "The nature of the relationship between international tourism and international trade: the case of German imports of Spanish wine," Applied Economics, Taylor & Francis Journals, vol. 41(11), pages 1345-1359.
    57. Sakiru Adebola Solarin & Luis A. Gil-Alana & Carmen Lafuente, 2020. "Persistence of the Misery Index in African Countries," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 147(3), pages 825-841, February.
    58. Arteche, Josu & Orbe, Jesus, 2016. "A bootstrap approximation for the distribution of the Local Whittle estimator," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 645-660.
    59. Luis Gil-Alana, 2003. "Seasonal Misspecification in the Context of Fractionally Integrated Univariate Time Series," Computational Economics, Springer;Society for Computational Economics, vol. 22(1), pages 65-74, August.
    60. Marina Balboa & Paulo M. M. Rodrigues & Antonio Rubia & A. M. Robert Taylor, 2021. "Multivariate fractional integration tests allowing for conditional heteroskedasticity with an application to return volatility and trading volume," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 36(5), pages 544-565, August.
    61. Carlos Pestana Barros & Luis Gil-Alana, 2006. "Eta: A Persistent Phenomenon," Defence and Peace Economics, Taylor & Francis Journals, vol. 17(2), pages 95-116.
    62. Guglielmo Maria Caporale & Luis A. Gil-Alana & Alex Plastun & Ahniia Havrylina, 2022. "Persistence in the Passion Investment Market," CESifo Working Paper Series 9586, CESifo.
    63. Iuliana Matei, 2008. "Prices and output co-movements : an empirical investigation for the CEECs," Post-Print halshs-00335025, HAL.
    64. Guglielmo Caporale & Luis Gil-Alana, 2009. "Multiple shifts and fractional integration in the US and UK unemployment rates," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 33(4), pages 364-375, October.
    65. Luis Gil-Alana, 2009. "Government Expenditures and Revenues: Evidence of Fractional Cointegration in an Asymmetric Modeling," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 15(2), pages 143-155, May.
    66. Luis Gil-Alana & Antonio Moreno, 2012. "Fractional integration and structural breaks in U.S. macro dynamics," Empirical Economics, Springer, vol. 43(1), pages 427-446, August.
    67. L.A. Gil‐Alana, 2006. "Fractional integration in daily stock market indexes," Review of Financial Economics, John Wiley & Sons, vol. 15(1), pages 28-48.
    68. Ergemen, Yunus Emre & Velasco, Carlos, 2017. "Estimation of fractionally integrated panels with fixed effects and cross-section dependence," Journal of Econometrics, Elsevier, vol. 196(2), pages 248-258.
    69. Luis A. Gil-Alana & Laura Sauci, 2019. "Temperatures across Europe: evidence of time trends," Climatic Change, Springer, vol. 157(3), pages 355-364, December.
    70. L. A. Gil-Alana, 2003. "A fractional integration analysis of the population in some OECD countries," Journal of Applied Statistics, Taylor & Francis Journals, vol. 30(10), pages 1147-1159.
    71. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2011. "Long Memory and Fractional Integration in High-Frequency British Pound / Dollar Spot Exchange Rates," Faculty Working Papers 02/11, School of Economics and Business Administration, University of Navarra.
    72. Ergemen, Yunus Emre & Rodríguez-Caballero, C. Vladimir, 2023. "Estimation of a dynamic multi-level factor model with possible long-range dependence," International Journal of Forecasting, Elsevier, vol. 39(1), pages 405-430.
    73. L.A. Gil-Alana & G.M. caporale, 2004. "Long-run and Cyclical Dynamics in the US Stock Market," Econometric Society 2004 Latin American Meetings 344, Econometric Society.
    74. Guglielmo Maria Caporale & Luis Alberiko Gil-Alana & Emmanuel Joel Aikins Abakah, 2023. "US policy responses to the COVID-19 pandemic and sectoral stock indices: A fractional integration approach," Applied Economics, Taylor & Francis Journals, vol. 55(3), pages 283-292, January.
    75. Guglielmo Maria Caporale & Luis Gil-Alana, 2002. "Unemployment and input prices: a fractional cointegration approach," Applied Economics Letters, Taylor & Francis Journals, vol. 9(6), pages 347-351.
    76. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2020. "Persistence and Long Memory in Monetary Policy Spreads," CESifo Working Paper Series 8664, CESifo.
    77. F. DePenya & L. Gil-Alana, 2006. "Testing of nonstationary cycles in financial time series data," Review of Quantitative Finance and Accounting, Springer, vol. 27(1), pages 47-65, August.
    78. Somvang PHIMMAVONG & Ian FERGUSON & Barbara OZARSKA, 2010. "Economy-Wide Impact of Forest Plantation Development in Laos Using a Dynamic General Equilibrium Approach," EcoMod2010 259600131, EcoMod.
    79. Aikins Abakah, Emmanuel Joel & Gil-Alana, Luis A. & Arthur, Emmanuel Kwesi & Tiwari, Aviral Kumar, 2022. "Measuring volatility persistence in leveraged loan markets in the presence of structural breaks," International Review of Economics & Finance, Elsevier, vol. 78(C), pages 141-152.
    80. Chiara Peroni, 2012. "Testing linearity in term structures," Applied Financial Economics, Taylor & Francis Journals, vol. 22(8), pages 651-666, April.
    81. Gil-Alana, Luis A. & Ozdemir, Zeynel Abidin & Tansel, Aysit, 2017. "Long memory in Turkish Unemployment Rates," MPRA Paper 81571, University Library of Munich, Germany.
    82. Luis A. Gil-Alana & S.G. Brian Henry, 2003. "Fractional Integration and the Dynamics of UK Unemployment," Faculty Working Papers 10/03, School of Economics and Business Administration, University of Navarra.
    83. Donald W.K. Andrews & Offer Lieberman, 2002. "Higher-order Improvements of the Parametric Bootstrap for Long-memory Gaussian Processes," Cowles Foundation Discussion Papers 1378, Cowles Foundation for Research in Economics, Yale University.
    84. Cuestas Juan Carlos & Gil-Alana Luis Alberiko, 2016. "Testing for long memory in the presence of non-linear deterministic trends with Chebyshev polynomials," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 20(1), pages 57-74, February.
    85. Caporale, Guglielmo Maria & Gil-Alana, Luis A., 2017. "Persistence and cycles in the us federal funds rate," International Review of Financial Analysis, Elsevier, vol. 52(C), pages 1-8.
    86. Zeynel Abidin Ozdemir & Mehmet Balcilar & Aysit Tansel, 2011. "International Labour Force Participation Rates by Gender: Unit Root or Structural Breaks?," ERC Working Papers 1105, ERC - Economic Research Center, Middle East Technical University, revised Oct 2011.
    87. Ignacio Rodríguez Carreño & L. Gila Useros, A. Malanda Trigueros, J. Navallas Irujo, J. Rodríguez Falces, S. Gómez Elvira, 2008. "Influence of Baseline Fluctuation Cancellation on Automatic Measurement of Motor Unit Action Potential Duration," Faculty Working Papers 13/08, School of Economics and Business Administration, University of Navarra.
    88. Luis A. Gil-Alana & Antonio Moreno & Seonghoon Cho, 2009. "The Deaton paradox in a long memory context with structural breaks," Faculty Working Papers 03/09, School of Economics and Business Administration, University of Navarra.
    89. Caporale, Guglielmo Maria & Gil-Alana, Luis A., 2002. "Fractional integration and mean reversion in stock prices," The Quarterly Review of Economics and Finance, Elsevier, vol. 42(3), pages 599-609.
    90. Gil-Alana, Luis A. & Mudida, Robert & Zerbo, Eleazar, 2021. "GDP per capita IN SUB-SAHARAN Africa: A time series approach using long memory," International Review of Economics & Finance, Elsevier, vol. 72(C), pages 175-190.
    91. Luis Gil-Alana, 2010. "Testing persistence in the context of conditional heteroscedasticity errors," Applied Financial Economics, Taylor & Francis Journals, vol. 20(22), pages 1709-1723.
    92. Guglielmo Maria Caporale & Luis Alberiko Gil-Alana & Nicola Rubino & Inmaculada Vilchez, 2024. "Modelling Loans to Non-Financial Corporations in the Eurozone: A Long-Memory Approach," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 30(3), pages 231-254, August.
    93. Gil-Alana, Luis A., 2000. "Mean reversion in the real exchange rates," Economics Letters, Elsevier, vol. 69(3), pages 285-288, December.
    94. Gil-Alana, Luis A. & Fischer, Christian, 2007. "International traveling and trade: further evidence for the case of Spanish wine based on fractional VAR specifications," 105th Seminar, March 8-10, 2007, Bologna, Italy 7859, European Association of Agricultural Economists.
    95. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2011. "US Disposable Personal Income and Housing Price Index: A Fractional Integration Analysis," Faculty Working Papers 03/11, School of Economics and Business Administration, University of Navarra.
    96. Juan Carlos Cuestas, 2012. "A Note on the Current Account Sustainability of European Transition Economies," Working Papers 2012011, The University of Sheffield, Department of Economics.
    97. Karim Abadir & Giovanni Caggiano & Gabriel Talmain, 2005. "Nelson-Plosser Revisited: the ACF Approach," Working Papers 2005_7, Business School - Economics, University of Glasgow.
    98. Arteche, Josu & Orbe, Jesus, 2017. "A strategy for optimal bandwidth selection in Local Whittle estimation," Econometrics and Statistics, Elsevier, vol. 4(C), pages 3-17.
    99. Gil-Alana, Luis A. & Gupta, Rangan & Shittu, Olanrewaju I. & Yaya, OlaOluwa S., 2018. "Market efficiency of Baltic stock markets: A fractional integration approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 511(C), pages 251-262.
    100. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2013. "Long Memory and Fractional Integration in High Frequency Data on the US Dollar / British Pound Spot Exchange Rate," Discussion Papers of DIW Berlin 1294, DIW Berlin, German Institute for Economic Research.
    101. L.A. Gil-Alana, 2003. "Testing the Power of a Generalization of the KPSS-Tests against Fractionally Integrated Hypotheses," Computational Economics, Springer;Society for Computational Economics, vol. 22(1), pages 23-38, August.
    102. Luis Gil-Alana, 2002. "Modelling the Persistence of Unemployment in Canada," International Review of Applied Economics, Taylor & Francis Journals, vol. 16(4), pages 465-477.
    103. Rodríguez Caballero, Carlos Vladimir, 2020. "Growth, war, and pandemics: Europe in the very long-run," IFCS - Working Papers in Economic History.WH 30574, Universidad Carlos III de Madrid. Instituto Figuerola.
    104. Guglielmo Maria Caporale & Marinko Skare, 2014. "Long Memory in UK Real GDP, 1851-2013: An ARFIMA-FIGARCH Analysis," Discussion Papers of DIW Berlin 1395, DIW Berlin, German Institute for Economic Research.
    105. Guglielmo Maria Caporale & Luis A. Gil‐Alana, 2004. "Fractional cointegration and real exchange rates," Review of Financial Economics, John Wiley & Sons, vol. 13(4), pages 327-340.
    106. Christian Fischer & Luis Alberiko Gil-Alana, 2005. "The Nature of the Relationship between International Tourism and International Trade: The Case of Ge," Faculty Working Papers 15/05, School of Economics and Business Administration, University of Navarra.
    107. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2011. "Fractional Integration and Cointegration in US Financial Time Series Data," Discussion Papers of DIW Berlin 1116, DIW Berlin, German Institute for Economic Research.
    108. Juncal Cunado & Luis A. Gil-Alana & Fernando Pérez de Gracia, 2006. "Additional Empirical Evidence on Real Convergence: A Fractionally Integrated Approach," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 142(1), pages 67-91, April.
    109. Christian Macaro, 2007. "The Impact of Vintage on the Persistence of Gross Domestic Product Shocks," CEIS Research Paper 101, Tor Vergata University, CEIS.
    110. Jose Maria Fernandez-Crehuet & Luis Alberiko Gil-Alana & Cristina Martí Barco, 2020. "Unemployment and Fertility: A Long Run Relationship," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 152(3), pages 1177-1196, December.
    111. Luis Alberiko Gil-Alaña, 2010. "Tourism in South Africa. Time series persistence and the nature of shocks. Are they transitory or permament?," NCID Working Papers 06/2011, Navarra Center for International Development, University of Navarra.
    112. Luis A. Gil‐Alana & Robert Mudida & OlaOluwa S. Yaya & Kazeem A. Osuolale & Ahamuefula E. Ogbonna, 2021. "Mapping US presidential terms with S&P500 index: Time series analysis approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 1938-1954, April.
    113. Karim M. Abadir & Gabriel Talmain, 2012. "Beyond Co-Integration: Modelling Co-Movements in Macro finance," Working Paper series 25_12, Rimini Centre for Economic Analysis.
    114. Gil-Alana, Luis Alberiko & Dettoni, Robinson & Costamagna, Rodrigo & Valenzuela, Mario, 2019. "Rational bubbles in the real housing stock market: Empirical evidence from Santiago de Chile," Research in International Business and Finance, Elsevier, vol. 49(C), pages 269-281.
    115. Gil-Alaña, Luis A., 2000. "Deterministic seasonality versus seasonal fractional integration," SFB 373 Discussion Papers 2000,106, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    116. Dominique Guegan & Zhiping Lu, 2010. "Testing unit roots and long range dependence of foreign exchange," Post-Print halshs-00505117, HAL.
    117. Guglielmo Maria Caporale & Luis A. Gil-Alana & Maria Malmierca, 2021. "Persistence in the Private Debt-to-GDP Ratio: Evidence from 43 OECD Countries," CESifo Working Paper Series 8889, CESifo.
    118. Arteche, Josu & Orbe, Jesus, 2009. "Using the bootstrap for finite sample confidence intervals of the log periodogram regression," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 1940-1953, April.
    119. Yunus Emre Ergemen, 2016. "System Estimation of Panel Data Models under Long-Range Dependence," CREATES Research Papers 2016-02, Department of Economics and Business Economics, Aarhus University.
    120. Alejandro Diaz-Bautista, 2004. "Tijuana's Dynamic Unemployment and Output Growth," Labor and Demography 0401001, University Library of Munich, Germany.
    121. Guglielmo Maria Caporale & Luis A. Gil-Alana & Manuel Monge, 2019. "Energy Consumption in the GCC Countries: Evidence on Persistence," CESifo Working Paper Series 7470, CESifo.
    122. Guglielmo Caporale & Luis Gil-Alana, 2008. "Testing for unit and fractional orders of integration in the trend and seasonal components of US monetary aggregates," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 35(3), pages 241-253, July.
    123. J. Cunado & L. A. Gil-Alana & F. Perez de Gracia, 2007. "Testing for stock market bubbles using nonlinear models and fractional integration," Applied Financial Economics, Taylor & Francis Journals, vol. 17(16), pages 1313-1321.
    124. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2022. "Gold and Silver as Safe Havens: A Fractional Integration and Cointegration Analysis," CESifo Working Paper Series 10084, CESifo.
    125. Luis A. Gil-Alana, 2003. "Testing of Fractional Cointegration in Macroeconomic Time Series," Faculty Working Papers 09/03, School of Economics and Business Administration, University of Navarra.
    126. Surajit Deb, 2003. "Terms of Trade and Supply Response of Indian Agriculture: Analysis in Cointegration Framework," Working papers 115, Centre for Development Economics, Delhi School of Economics.
    127. Luis Gil-Alana, 2004. "The dynamics of the real exchange rates in Europe: a comparative study across countries using fractional integration," Applied Economics Letters, Taylor & Francis Journals, vol. 11(7), pages 429-432.
    128. Luis Gil-Alana, 2004. "Modelling the US real GNP with fractionally integrated techniques," Applied Economics, Taylor & Francis Journals, vol. 36(8), pages 873-879.
    129. Luis A. Gil-Alana, 2004. "Structural Change and the Order of Integration in Univariate Time Series," Computational Economics, Springer;Society for Computational Economics, vol. 23(3), pages 239-254, April.
    130. Wen-Den Chen, 2006. "Testing for spurious regression in a panel data model with the individual number and time length growing," Journal of Applied Statistics, Taylor & Francis Journals, vol. 33(8), pages 759-772.
    131. Bond, Derek & Harrison, Michael J & Hession, Niall & O’Brien, Edward J., 2006. "Some Empirical Observations on the Forward Exchange Rate Anomaly," Research Technical Papers 3/RT/06, Central Bank of Ireland.
    132. Godfrey Madigu & Luis A. Gil‐Alana, 2021. "What do productivity indices tell us? A case study of U.S. industries," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(4), pages 4946-4978, October.
    133. Surgailis, Donatas & Teyssière, Gilles & Vaiciulis, Marijus, 2008. "The increment ratio statistic," Journal of Multivariate Analysis, Elsevier, vol. 99(3), pages 510-541, March.
    134. Emmanuel Joel Aikins Abakah & Guglielmo Maria Caporale & Luis A. Gil-Alana, 2022. "Cryptocurrencies, Technology Stocks, Covid-19 and US Policy Responses: A Fractional Integration Analysis," CESifo Working Paper Series 9624, CESifo.
    135. Luis Gil-Alana, 2003. "Unemployment and real oil prices in Australia: a fractionally cointegrated approach," Applied Economics Letters, Taylor & Francis Journals, vol. 10(4), pages 201-204.
    136. Galán-Gutiérrez, Juan Antonio & Labeaga, José M. & Martín-García, Rodrigo, 2023. "Cointegration between high base metals prices and backwardation: Getting ready for the metals super-cycle," Resources Policy, Elsevier, vol. 81(C).
    137. Luis Alberiko Gil-Alaña & Carlos Pestana Barros & Zhongfei Chen, 2016. "The persistence of air pollution in four mega-cities of China," NCID Working Papers 04/2016, Navarra Center for International Development, University of Navarra.
    138. Peter C.B. Phillips, 1999. "Unit Root Log Periodogram Regression," Cowles Foundation Discussion Papers 1244, Cowles Foundation for Research in Economics, Yale University.
    139. Luis A. Gil-Alana, 2005. "Testing and forecasting the degree of integration in the US inflation rate," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 24(3), pages 173-187.
    140. Goodness C. Aye & Hector Carcel & Luis A. Gil-Alana & Rangan Gupta, 2017. "Does Gold Act as a Hedge against Inflation in the UK? Evidence from a Fractional Cointegration Approach Over 1257 to 2016," Working Papers 201753, University of Pretoria, Department of Economics.
    141. Guglielmo M. Caporale & Luis A. Gil‐Alana, 2004. "Testing for Seasonal Fractional Roots in German Real Output," German Economic Review, Verein für Socialpolitik, vol. 5(3), pages 319-333, August.
    142. Luis A. Gil-Alana & Yun Cao, 2011. "Stock market prices in China. Efficiency, mean reversion, long memory volatility and other implicit dynamics," Faculty Working Papers 12/11, School of Economics and Business Administration, University of Navarra.
    143. Guglielmo Maria Caporale & Juan Infante & Marta del Rio & Luis A. Gil-Alana, 2023. "Measuring Persistence of the World Population: A Fractional Integration Approach," CESifo Working Paper Series 10286, CESifo.
    144. La Vecchia, Davide & Ronchetti, Elvezio, 2019. "Saddlepoint approximations for short and long memory time series: A frequency domain approach," Journal of Econometrics, Elsevier, vol. 213(2), pages 578-592.
    145. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2007. "A Multivariate Long-Memory Model with Structural Breaks," CESifo Working Paper Series 1950, CESifo.
    146. Arteche, J. & Orbe, J., 2005. "Bootstrapping the log-periodogram regression," Economics Letters, Elsevier, vol. 86(1), pages 79-85, January.
    147. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2009. "Long Memory in US Real Output per Capita," Discussion Papers of DIW Berlin 891, DIW Berlin, German Institute for Economic Research.
    148. Sakiru Adebola Solarin & Gema Lopez & Luis A. Gil‐Alana, 2022. "Persistence analysis of research intensity in OECD countries since 1870," Australian Economic Papers, Wiley Blackwell, vol. 61(4), pages 738-750, December.
    149. Javier Gómez Biscarri & Fernando Pérez de Gracia, 2002. "Stock Market Cycles and Stock Market Development in Spain," Faculty Working Papers 03/02, School of Economics and Business Administration, University of Navarra.
    150. Cunado, J. & Gil-Alana, L.A. & de Gracia, F. Perez, 2005. "A test for rational bubbles in the NASDAQ stock index: A fractionally integrated approach," Journal of Banking & Finance, Elsevier, vol. 29(10), pages 2633-2654, October.
    151. Gil-Alana, Luis A., 2008. "A simple non-linear model with fractional integration for financial time series data," International Review of Financial Analysis, Elsevier, vol. 17(5), pages 838-848, December.
    152. Mayoral, Laura, 2008. "Simple Wald tests of the fractional integration parameter : an overview of new results," UC3M Working papers. Economics we20080129, Universidad Carlos III de Madrid. Departamento de Economía.
    153. Coleman, Simeon, 2010. "Inflation persistence in the Franc zone: Evidence from disaggregated prices," Journal of Macroeconomics, Elsevier, vol. 32(1), pages 426-442, March.
    154. Abadir, Karim & Larsson, R., 1994. "Cointegration Theory, Equilibrium and Disequilibrium Economics," Discussion Papers 9407, University of Exeter, Department of Economics.
    155. Daniel Borup & Bent Jesper Christensen & Yunus Emre Ergemen, 2019. "Assessing predictive accuracy in panel data models with long-range dependence," CREATES Research Papers 2019-04, Department of Economics and Business Economics, Aarhus University.
    156. Ergemen, Yunus Emre, 2023. "Parametric estimation of long memory in factor models," Journal of Econometrics, Elsevier, vol. 235(2), pages 1483-1499.
    157. Guglielmo Maria Caporale & Gloria Claudio-Quiroga & Luis A. Gil-Alana, 2021. "Analysing the relationship between CO2 emissions and GDP in China: a fractional integration and cointegration approach," Journal of Innovation and Entrepreneurship, Springer, vol. 10(1), pages 1-16, December.
    158. Carlos Barros & Guglielmo Maria Caporale & Luis Gil-Alana, 2014. "Long Memory in Angolan Macroeconomic Series: Mean Reversion versus Explosive Behaviour," African Development Review, African Development Bank, vol. 26(1), pages 59-73.
    159. Abadir, Karim M. & Distaso, Walter & Giraitis, Liudas, 2009. "Two estimators of the long-run variance: Beyond short memory," Journal of Econometrics, Elsevier, vol. 150(1), pages 56-70, May.
    160. Abadir, Karim & Talmain, Gabriel, 2005. "Distilling co-movements from persistent macro and financial series," Working Paper Series 525, European Central Bank.
    161. Katsumi Shimotsu, 2006. "Exact Local Whittle Estimation of Fractional Integration with Unknown Mean and Time Trend," Working Paper 1061, Economics Department, Queen's University.
    162. Peijie Wang, 2003. "Cycles and Common Cycles in Property and Related Sectors," International Real Estate Review, Global Social Science Institute, vol. 6(1), pages 22-42.
    163. Luis Gil-Alana, 2003. "Strong dependence in the real interest rates," Applied Economics, Taylor & Francis Journals, vol. 35(2), pages 119-124.
    164. Pascalau, Razvan, 2008. "Unit Roots Tests with Smooth Breaks: An Application to the Nelson-Plosser Data Set," MPRA Paper 7220, University Library of Munich, Germany.
    165. Luis Gil-Alana, 2004. "Seasonal fractional components in macroeconomic time series," Applied Economics, Taylor & Francis Journals, vol. 36(12), pages 1265-1279.
    166. Deb, Surajit, 2004. "Terms of Trade and Investment Behaviour in Indian Agriculture: A Cointegration Analysis," Indian Journal of Agricultural Economics, Indian Society of Agricultural Economics, vol. 59(2), pages 1-22.
    167. Macaro, Christian, 2008. "The impact of vintage on the persistence of gross domestic product shocks," Economics Letters, Elsevier, vol. 98(3), pages 301-308, March.
    168. Tule, Moses K. & Salisu, Afees A. & Ebuh, Godday U., 2020. "A test for inflation persistence in Nigeria using fractional integration & fractional cointegration techniques," Economic Modelling, Elsevier, vol. 87(C), pages 225-237.
    169. Carlos P. Barros & Joao R. Faria & Luis A. Gil-Alana, 2009. "Persistence on airline accidents," Faculty Working Papers 08/09, School of Economics and Business Administration, University of Navarra.
    170. Luis A. Gil-Alana, 2004. "Testing of I(d) processes in the real output," Economics Bulletin, AccessEcon, vol. 3(32), pages 1-6.
    171. Gil-Alana, Luis A. & Huijbens, Edward H., 2018. "Tourism in Iceland: Persistence and seasonality," Annals of Tourism Research, Elsevier, vol. 68(C), pages 20-29.
    172. Guglielmo Maria Caporale & Luis Gil-Alana, 2004. "Long range dependence in daily stock returns," Applied Financial Economics, Taylor & Francis Journals, vol. 14(6), pages 375-383.
    173. Giorgio Canarella & Luis A. Gil-Alana & Rangan Gupta & Stephen M. Miller, 2020. "The Behavior of Real Interest Rates: New Evidence from a ``Suprasecular" Perspective," Working Papers 202093, University of Pretoria, Department of Economics.
    174. Tobias Hartl, 2020. "Macroeconomic Forecasting with Fractional Factor Models," Papers 2005.04897, arXiv.org.
    175. Adelina Gschwandtner & Michael Hauser, 2008. "Modelling profit series: nonstationarity and long memory," Applied Economics, Taylor & Francis Journals, vol. 40(11), pages 1475-1482.
    176. Luis Alberiko Gil-Alana, 2005. "Unit and Fractional Roots in the Presence of Abrupt Changes with an Application to the Brazilian Inf," Faculty Working Papers 19/05, School of Economics and Business Administration, University of Navarra.
    177. Luis Gil-Alana & Pedro Mendi, 2005. "Fractional integration in total factor productivity: evidence from US data," Applied Economics, Taylor & Francis Journals, vol. 37(12), pages 1369-1383.
    178. Gil-Alana, Luis A, 2002. "Testing the order of integration of the UK Unemployment," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 2(1).
    179. Monika Zimmermann & Florian Ziel, 2024. "Spatial Weather, Socio-Economic and Political Risks in Probabilistic Load Forecasting," Papers 2408.00507, arXiv.org, revised Dec 2024.
    180. Apergis, Nicholas & Tsoumas, Chris, 2012. "Long memory and disaggregated energy consumption: Evidence from fossils, coal and electricity retail in the U.S," Energy Economics, Elsevier, vol. 34(4), pages 1082-1087.
    181. Giorgio Canarella & Luis A. Gil‐Alana & Rangan Gupta & Stephen M. Miller, 2022. "The behaviour of real interest rates: New evidence from a 'suprasecular' perspective," International Finance, Wiley Blackwell, vol. 25(1), pages 46-64, April.
    182. Steven P. Clark & T. Daniel Coggin, 2018. "A study of fractionally integrated time series using descriptive methods," Applied Economics, Taylor & Francis Journals, vol. 50(2), pages 172-186, January.
    183. Apergis, Nicholas & Tsoumas, Chris, 2011. "Integration properties of disaggregated solar, geothermal and biomass energy consumption in the U.S," Energy Policy, Elsevier, vol. 39(9), pages 5474-5479, September.
    184. Assaf, Ata, 2015. "Long memory and level shifts in REITs returns and volatility," International Review of Financial Analysis, Elsevier, vol. 42(C), pages 172-182.
    185. Steven Clark & T. Coggin, 2011. "Are U.S. stock prices mean reverting? Some new tests using fractional integration models with overlapping data and structural breaks," Empirical Economics, Springer, vol. 40(2), pages 373-391, April.

  16. Hidalgo, Javier & Robinson, Peter M., 1996. "Testing for structural change in a long-memory environment," Journal of Econometrics, Elsevier, vol. 70(1), pages 159-174, January.

    Cited by:

    1. Zeynel Abidin Ozdemir & Mehmet Balcilar & Aysit Tansel, 2014. "Are Labor Force Participation Rates Really Non-Stationary? Evidence from Three OECD Countries," Working Papers 15-25, Eastern Mediterranean University, Department of Economics.
    2. Chen, Xiaohong & Hansen, Lars Peter & Carrasco, Marine, 2008. "Nonlinearity and Temporal Dependence," Working Papers 48, Yale University, Department of Economics.
    3. Franses, Ph.H.B.F. & Ooms, M. & Bos, C.S., 1998. "Long memory and level shifts: re-analysing inflation rates," Econometric Institute Research Papers EI 9811, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    4. Wang, Shin-Huei & Vasilakis, Chrysovalantis, 2013. "Recursive predictive tests for structural change of long-memory ARFIMA processes with unknown break points," Economics Letters, Elsevier, vol. 118(2), pages 389-392.
    5. Luis A Gil-Alana & Christophe André & Rangan Gupta & Tsangyao Chang & Omid Ranjbar, 2015. "The Feldstein-Horioka Puzzle in South Africa: A Fractional Cointegration Approach," Working Papers 201501, University of Pretoria, Department of Economics.
    6. Torben G. Andersen & Rasmus T. Varneskov, 2021. "Testing for Parameter Instability and Structural Change in Persistent Predictive Regressions," NBER Working Papers 28570, National Bureau of Economic Research, Inc.
    7. Hassler, Uwe & Meller, Barbara, 2011. "Detecting multiple breaks in long memory: The case of US inflation," Discussion Paper Series 1: Economic Studies 2011,26, Deutsche Bundesbank.
    8. Smith, Aaron, 2005. "Level Shifts and the Illusion of Long Memory in Economic Time Series," Journal of Business & Economic Statistics, American Statistical Association, vol. 23, pages 321-335, July.
    9. Andrea Beltratti & Claudio Morana, 2005. "Structural Breaks and Common Factors in the Volatility of the Fama-French Factor Portfolios," ICER Working Papers 23-2005, ICER - International Centre for Economic Research.
    10. Meller, Barbara & Nautz, Dieter, 2009. "The impact of the European Monetary Union on inflation persistence in the euro area," Discussion Papers 2009/8, Free University Berlin, School of Business & Economics.
    11. I.N. Lobato & N.E. Savin, 1996. "Real and Spurious Long Memory Properties of Stock Market Data," Econometrics 9605004, University Library of Munich, Germany, revised 26 Sep 1996.
    12. Laurent Calvet & Adlai Fisher, 2003. "Regime-Switching and the Estimation of Multifractal Processes," Harvard Institute of Economic Research Working Papers 1999, Harvard - Institute of Economic Research.
    13. Kyongwook Choi & Eric Zivot, 2003. "Long Memory and Structural Changes in the Forward Discount: An Empirical Investigation," EERI Research Paper Series EERI_RP_2003_02, Economics and Econometrics Research Institute (EERI), Brussels.
    14. Wang, Cindy Shin-Huei & Bauwens, Luc & Hsiao, Cheng, 2013. "Forecasting a long memory process subject to structural breaks," Journal of Econometrics, Elsevier, vol. 177(2), pages 171-184.
    15. Javier Hualde & Morten {O}rregaard Nielsen, 2022. "Fractional integration and cointegration," Papers 2211.10235, arXiv.org.
    16. Choi, Kyongwook & Zivot, Eric, 2007. "Long memory and structural changes in the forward discount: An empirical investigation," Journal of International Money and Finance, Elsevier, vol. 26(3), pages 342-363, April.
    17. Kunal Saha & Vinodh Madhavan & Chandrashekhar G. R. & David McMillan, 2020. "Pitfalls in long memory research," Cogent Economics & Finance, Taylor & Francis Journals, vol. 8(1), pages 1733280-173, January.
    18. Busch, Ulrike & Nautz, Dieter, 2009. "Controllability and persistence of money Market rates along the yield curve: Evidence from the Euro area," SFB 649 Discussion Papers 2009-029, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    19. Meller, Barbara & Nautz, Dieter, 2012. "Inflation persistence in the Euro area before and after the European Monetary Union," Economic Modelling, Elsevier, vol. 29(4), pages 1170-1176.
    20. Sibbertsen, Philipp, 2000. "Robust CUSUM-M test in the presence of long-memory disturbances," Technical Reports 2000,19, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
    21. Dufrenot, Gilles & Guegan, Dominique & Peguin-Feissolle, Anne, 2005. "Long-memory dynamics in a SETAR model - applications to stock markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 15(5), pages 391-406, December.
    22. Zeynel Abidin Ozdemir & Mehmet Balcilar & Aysit Tansel, 2011. "International Labour Force Participation Rates by Gender: Unit Root or Structural Breaks?," ERC Working Papers 1105, ERC - Economic Research Center, Middle East Technical University, revised Oct 2011.
    23. Luis A. Gil-Alana & Antonio Moreno & Seonghoon Cho, 2009. "The Deaton paradox in a long memory context with structural breaks," Faculty Working Papers 03/09, School of Economics and Business Administration, University of Navarra.
    24. Walter Kramer & Philipp Sibbertsen, 2002. "Testing for Structural Changes in the Presence of Long Memory," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 1(3), pages 235-242, December.
    25. Lahiani, A. & Scaillet, O., 2009. "Testing for threshold effect in ARFIMA models: Application to US unemployment rate data," International Journal of Forecasting, Elsevier, vol. 25(2), pages 418-428.
    26. Gadea, Maria Dolores & Sabate, Marcela & Serrano, Jose Maria, 2004. "Structural breaks and their trace in the memory: Inflation rate series in the long-run," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 14(2), pages 117-134, April.
    27. Beran, Jan & Shumeyko, Yevgen, 2012. "Bootstrap testing for discontinuities under long-range dependence," Journal of Multivariate Analysis, Elsevier, vol. 105(1), pages 322-347.
    28. Laura Mayoral, 2005. "Is the observed persistence spurious? A test for fractional integration versus short memory and structural breaks," Economics Working Papers 956, Department of Economics and Business, Universitat Pompeu Fabra.
    29. Juan J. Dolado & Jesús Gonzalo & Laura Mayoral, 2005. "What is What? A Simple Time-Domain Test of Long-memory vs. Structural Breaks," Working Papers 258, Barcelona School of Economics.
    30. Altissimo, F. & Corradi, V., 2000. "Strong Rules for Detecting the Number of Breaks in a Time Series," Discussion Papers 0011, University of Exeter, Department of Economics.
    31. Laura Mayoral, 2005. "Further evidence on the statistical properties of real GNP," Economics Working Papers 955, Department of Economics and Business, Universitat Pompeu Fabra, revised Feb 2006.
    32. Sibbertsen, Philipp, 2001. "Long-memory versus structural breaks: An overview," Technical Reports 2001,28, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
    33. Luis A. Gil-Alana, 2004. "Structural Change and the Order of Integration in Univariate Time Series," Computational Economics, Springer;Society for Computational Economics, vol. 23(3), pages 239-254, April.
    34. Juan J. Dolado & Heiko Rachinger & Carlos Velasco, 2022. "LM Tests for Joint Breaks in the Dynamics and Level of a Long-Memory Time Series," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 40(2), pages 629-650, April.
    35. Laurent-Emmanuel Calvet & Adlai J. Fisher & Samuel B. Thompson, 2006. "Volatility Comovement: a multifrequency approach," Post-Print hal-00459667, HAL.
    36. Hwang, Eunju & Shin, Dong Wan, 2013. "A CUSUM test for a long memory heterogeneous autoregressive model," Economics Letters, Elsevier, vol. 121(3), pages 379-383.
    37. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2009. "Long Memory in US Real Output per Capita," Discussion Papers of DIW Berlin 891, DIW Berlin, German Institute for Economic Research.
    38. Cătălin Stărică & Clive Granger, 2005. "Nonstationarities in Stock Returns," The Review of Economics and Statistics, MIT Press, vol. 87(3), pages 503-522, August.
    39. Francis X. Diebold & Atsushi Inoue, 2000. "Long Memory and Regime Switching," NBER Technical Working Papers 0264, National Bureau of Economic Research, Inc.
    40. Horowitz, Joel L. & Savin, N. E., 2000. "Empirically relevant critical values for hypothesis tests: A bootstrap approach," Journal of Econometrics, Elsevier, vol. 95(2), pages 375-389, April.
    41. Chih-Chiang Hsu, 2000. "Long Memory or Structural Change: Testing Method and Empirical Examination," Econometric Society World Congress 2000 Contributed Papers 0867, Econometric Society.
    42. Kai Wenger & Christian Leschinski & Philipp Sibbertsen, 2019. "Change-in-mean tests in long-memory time series: a review of recent developments," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 103(2), pages 237-256, June.
    43. Vasco J. Gabriel & Luis F. Martins, 2000. "The Forecast Performance of Long Memory and Markov Switching Models," NIPE Working Papers 2/2000, NIPE - Universidade do Minho.
    44. Banerjee, Anindya & Urga, Giovanni, 2005. "Modelling structural breaks, long memory and stock market volatility: an overview," Journal of Econometrics, Elsevier, vol. 129(1-2), pages 1-34.
    45. Axioglou, Christos & Skouras, Spyros, 2011. "Markets change every day: Evidence from the memory of trade direction," Journal of Empirical Finance, Elsevier, vol. 18(3), pages 423-446, June.

  17. Lobato, I. & Robinson, P. M., 1996. "Averaged periodogram estimation of long memory," Journal of Econometrics, Elsevier, vol. 73(1), pages 303-324, July.

    Cited by:

    1. Marco Corazza & A. G. Malliaris, 2005. "Multi-Fractality in Foreign Currency Markets," World Scientific Book Chapters, in: Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays, chapter 11, pages 151-184, World Scientific Publishing Co. Pte. Ltd..
    2. Andersen, Torben G & Bollerslev, Tim, 1997. "Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns," Journal of Finance, American Finance Association, vol. 52(3), pages 975-1005, July.
    3. Baillie, Richard T., 1996. "Long memory processes and fractional integration in econometrics," Journal of Econometrics, Elsevier, vol. 73(1), pages 5-59, July.
    4. Li, Ming, 2017. "Record length requirement of long-range dependent teletraffic," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 472(C), pages 164-187.
    5. Bianchi, Sergio, 2004. "A new distribution-based test of self-similarity," MPRA Paper 16640, University Library of Munich, Germany.
    6. Andrea Beltratti & Claudio Morana, 2005. "Structural Breaks and Common Factors in the Volatility of the Fama-French Factor Portfolios," ICER Working Papers 23-2005, ICER - International Centre for Economic Research.
    7. Bent Jesper Christensen & Morten Ø. Nielsen, "undated". "Semiparametric Analysis of Stationary Fractional Cointegration and the Implied-Realized Volatility Relation in High-Frequency Options Data," Economics Working Papers 2001-4, Department of Economics and Business Economics, Aarhus University.
    8. Imene Mootamri & Mohamed Boutahar & Anne Peguin-Feissolle, 2008. "A fractionally integrated exponential STAR model applied to the US real effective exchange rate," Post-Print halshs-00390134, HAL.
    9. Song, Wanqing & Li, Ming & Li, Yuanyuan & Cattani, Carlo & Chi, Chi-Hung, 2019. "Fractional Brownian motion: Difference iterative forecasting models," Chaos, Solitons & Fractals, Elsevier, vol. 123(C), pages 347-355.
    10. Javier Hualde, 2005. "Unbalanced Cointegration," Faculty Working Papers 06/05, School of Economics and Business Administration, University of Navarra.
    11. Ané, Thierry & Ureche-Rangau, Loredana, 2008. "Does trading volume really explain stock returns volatility?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 18(3), pages 216-235, July.
    12. Susanne M. Schennach, 2013. "Long memory via networking," CeMMAP working papers 13/13, Institute for Fiscal Studies.
    13. Li, Ming & Zhang, Peidong & Leng, Jianxing, 2016. "Improving autocorrelation regression for the Hurst parameter estimation of long-range dependent time series based on golden section search," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 445(C), pages 189-199.
    14. Nuno Cassola & Claudio Morana, 2006. "Volatility of interest rates in the euro area: Evidence from high frequency data," The European Journal of Finance, Taylor & Francis Journals, vol. 12(6-7), pages 513-528.
    15. Giraitis, Liudas & Robinson, Peter M., 1998. "Variance-type estimation of long memory," LSE Research Online Documents on Economics 2327, London School of Economics and Political Science, LSE Library.
    16. Nielsen, Morten Oe., "undated". "Semiparametric Estimation in Time Series Regression with Long Range Dependence," Economics Working Papers 2002-17, Department of Economics and Business Economics, Aarhus University.
    17. Luis A. Gil-Alana, 2004. "Modelling the Japanese Exchange Rate in Terms of I(d) Statistical Models with Parametric and Semiparametric Techniques," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 3(2), pages 123-138, August.
    18. Jennifer Brown & Les Oxley & William Rea & Marco Reale, 2008. "The Empirical Properties of Some Popular Estimators of Long Memory Processes," Working Papers in Economics 08/13, University of Canterbury, Department of Economics and Finance.
    19. Lihong Wang, 2010. "Kernel type smoothed quantile estimation under long memory," Statistical Papers, Springer, vol. 51(1), pages 57-67, January.
    20. Karuppiah, Jeyanthi & Los, Cornelis A., 2005. "Wavelet multiresolution analysis of high-frequency Asian FX rates, Summer 1997," International Review of Financial Analysis, Elsevier, vol. 14(2), pages 211-246.
    21. Pérez, Ana, 2001. "Modelos de memoria larga para series económicas y financieras," DES - Documentos de Trabajo. Estadística y Econometría. DS ds010101, Universidad Carlos III de Madrid. Departamento de Estadística.
    22. Morana, Claudio & Beltratti, Andrea, 2004. "Structural change and long-range dependence in volatility of exchange rates: either, neither or both?," Journal of Empirical Finance, Elsevier, vol. 11(5), pages 629-658, December.
    23. Nielsen, Morten Oe., "undated". "Local Empirical Spectral Measure of Multivariate Processes with Long Range Dependence," Economics Working Papers 2002-16, Department of Economics and Business Economics, Aarhus University.
    24. Arteche González, Jesús María, 2020. "Frequency Domain Local Bootstrap in long memory time series," BILTOKI info:eu-repo/grantAgreeme, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística).
    25. J. Hidalgo & Y. Yajima, 2003. "Semiparametric estimation of the long-range parameter," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 55(4), pages 705-736, December.
    26. Rea, William & Oxley, Les & Reale, Marco & Brown, Jennifer, 2013. "Not all estimators are born equal: The empirical properties of some estimators of long memory," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 93(C), pages 29-42.
    27. D. Ventosa-Santaulària, 2009. "Spurious Regression," Journal of Probability and Statistics, Hindawi, vol. 2009, pages 1-27, August.
    28. Li, Ming & Li, Jia-Yue, 2017. "Generalized Cauchy model of sea level fluctuations with long-range dependence," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 484(C), pages 309-335.
    29. Takeshi Kato & Elias Masry, 2003. "A Time‐Domain Semi‐parametric Estimate for Strongly Dependent Continuous‐Time Stationary Processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 24(6), pages 679-703, November.
    30. Arteche, Josu, 2024. "Bootstrapping long memory time series: Application in low frequency estimators," Econometrics and Statistics, Elsevier, vol. 29(C), pages 1-15.
    31. Leïla Nouira & Mohamed Boutahar & Vêlayoudom Marimoutou, 2009. "The effect of tapering on the semiparametric estimators for nonstationary long memory processes," Statistical Papers, Springer, vol. 50(2), pages 225-248, March.
    32. Luis Gil-Alana, 2004. "Semiparametric estimation of the fractional differencing parameter in the UK industrial production index," Applied Economics, Taylor & Francis Journals, vol. 36(11), pages 1205-1217.
    33. Morten Oerregaard Nielsen, "undated". "Local Whittle Analysis of Stationary Fractional Cointegration," Economics Working Papers 2002-8, Department of Economics and Business Economics, Aarhus University.
    34. Uwe Hassler, 2011. "Estimation of fractional integration under temporal aggregation," Post-Print hal-00815563, HAL.
    35. Giraitis, Liudas & Robinson, Peter M. & Surgailis, Donatas, 1999. "Variance-type estimation of long memory," Stochastic Processes and their Applications, Elsevier, vol. 80(1), pages 1-24, March.
    36. Avci-Surucu, Ezgi & Aydogan, A. Kursat & Akgul, Doganbey, 2016. "Bidding structure, market efficiency and persistence in a multi-time tariff setting," Energy Economics, Elsevier, vol. 54(C), pages 77-87.
    37. Luis Gil-Alana, 2003. "Estimation of the degree of dependence in the temperatures in the northern hemisphere using semi-parametric techniques," Journal of Applied Statistics, Taylor & Francis Journals, vol. 30(9), pages 1021-1031.
    38. Lobato, Ignacio N., 1999. "A semiparametric two-step estimator in a multivariate long memory model," Journal of Econometrics, Elsevier, vol. 90(1), pages 129-153, May.
    39. Coeurjolly, Jean-Francois, 2000. "Simulation and identification of the fractional Brownian motion: a bibliographical and comparative study," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 5(i07).
    40. Reisen, Valdério Anselmo & Monte, Edson Zambon & da Conceição Franco, Glaura & Sgrancio, Adriano Marcio & Molinares, Fábio Alexander Fajardo & Bondon, Pascal & Ziegelmann, Flávio Augusto & Abraham, Bo, 2018. "Robust estimation of fractional seasonal processes: Modeling and forecasting daily average SO2 concentrations," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 146(C), pages 27-43.
    41. Silva, E.M. & Franco, G.C. & Reisen, V.A. & Cruz, F.R.B., 2006. "Local bootstrap approaches for fractional differential parameter estimation in ARFIMA models," Computational Statistics & Data Analysis, Elsevier, vol. 51(2), pages 1002-1011, November.
    42. Reisen Valderio A & Cribari-Neto Francisco & Jensen Mark J, 2003. "Long Memory Inflationary Dynamics: The Case of Brazil," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 7(3), pages 1-18, October.
    43. Banerjee, Anindya & Urga, Giovanni, 2005. "Modelling structural breaks, long memory and stock market volatility: an overview," Journal of Econometrics, Elsevier, vol. 129(1-2), pages 1-34.
    44. Morana Claudio, 2002. "Common Persistent Factors in Inflation and Excess Nominal Money Growth and a New Measure of Core Inflation," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 6(3), pages 1-40, November.
    45. Mohamed Boutahar & Imene Mootamri & Anne Peguin-Feissolle, 2007. "An exponential FISTAR model applied to the US real effective exchange rate," Working Papers halshs-00353836, HAL.
    46. Liudas Giraitis & Peter M Robinson, 1998. "Variance-Type Estimation of Long Memory - (Now published in Stochastic Processes and their Applications, 29 (1999), pp.1-24.)," STICERD - Econometrics Paper Series 363, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    47. Bianchi, Sergio & Pianese, Augusto, 2018. "Time-varying Hurst–Hölder exponents and the dynamics of (in)efficiency in stock markets," Chaos, Solitons & Fractals, Elsevier, vol. 109(C), pages 64-75.

  18. Robinson, P M, 1995. "The Normal Approximation for Semiparametric Averaged Derivatives," Econometrica, Econometric Society, vol. 63(3), pages 667-680, May.

    Cited by:

    1. Matias D. Cattaneo & Max H. Farrell & Michael Jansson & Ricardo Masini, 2022. "Higher-order Refinements of Small Bandwidth Asymptotics for Density-Weighted Average Derivative Estimators," Papers 2301.00277, arXiv.org, revised Feb 2024.
    2. Linton, Oliver, 2000. "Edgeworth approximations for semiparametric instrumental variable estimators and test statistics," LSE Research Online Documents on Economics 2156, London School of Economics and Political Science, LSE Library.
    3. Marcia M Schafgans & Victoria Zinde-Walshyz, 2008. "Smoothness Adaptive AverageDerivative Estimation," STICERD - Econometrics Paper Series 529, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    4. Xiaohong Chen & Demian Pouzo, 2009. "Efficient estimation of semiparametric conditional moment models with possibly nonsmooth residuals," CeMMAP working papers CWP20/09, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    5. Cattaneo, Matias D & Crump, Richard K & Jansson, Michael, 2014. "Small Bandwidth Asymptotics For Density-Weighted Average Derivatives," Department of Economics, Working Paper Series qt3jd237cg, Department of Economics, Institute for Business and Economic Research, UC Berkeley.
    6. Ichimura, Hidehiko & Linton, Oliver, 2003. "Asymptotic expansions for some semiparametric program evaluation estimators," LSE Research Online Documents on Economics 2098, London School of Economics and Political Science, LSE Library.
    7. Ichimura, Hidehiko & Todd, Petra E., 2007. "Implementing Nonparametric and Semiparametric Estimators," Handbook of Econometrics, in: J.J. Heckman & E.E. Leamer (ed.), Handbook of Econometrics, edition 1, volume 6, chapter 74, Elsevier.
    8. SCHAFGANS, Marcia M.A. & ZINDE-WALSH, Victoria, 2007. "Robust Average Derivative Estimation," Cahiers de recherche 12-2007, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
    9. Cattaneo, Matias D. & Crump, Richard K. & Jansson, Michael, 2010. "Robust Data-Driven Inference for Density-Weighted Average Derivatives," Journal of the American Statistical Association, American Statistical Association, vol. 105(491), pages 1070-1083.
    10. Hong, Sheng-Yan, 2002. "Normal Approximation Rate and Bias Reduction for Data-Driven Kernel Smoothing Estimator in a Semiparametric Regression Model," Journal of Multivariate Analysis, Elsevier, vol. 80(1), pages 1-20, January.
    11. Yoshihiko Nishiyama & Peter M Robinson, 2005. "The Bootstrap and the Edgeworth Correction for Semiparametric Averaged Derivatives," STICERD - Econometrics Paper Series 483, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    12. Nishiyama, Y., 2004. "Minimum normal approximation error bandwidth selection for averaged derivatives," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 64(1), pages 53-61.
    13. Marian Hristache, 2002. "Are Efficient Estimators in Single-Index Models Really Efficient? A Computational Discussion," Computational Statistics, Springer, vol. 17(4), pages 453-464, December.
    14. Chen, Xiaohong, 2007. "Large Sample Sieve Estimation of Semi-Nonparametric Models," Handbook of Econometrics, in: J.J. Heckman & E.E. Leamer (ed.), Handbook of Econometrics, edition 1, volume 6, chapter 76, Elsevier.

  19. Cheng, Bing & Robinson, P. M., 1994. "Semiparametric estimation from time series with long-range dependence," Journal of Econometrics, Elsevier, vol. 64(1-2), pages 335-353.

    Cited by:

    1. Masry, Elias & Mielniczuk, Jan, 1999. "Local linear regression estimation for time series with long-range dependence," Stochastic Processes and their Applications, Elsevier, vol. 82(2), pages 173-193, August.
    2. Atchadé, Yves F. & Cattaneo, Matias D., 2014. "A martingale decomposition for quadratic forms of Markov chains (with applications)," Stochastic Processes and their Applications, Elsevier, vol. 124(1), pages 646-677.
    3. Gao, Jiti, 2007. "Nonlinear time series: semiparametric and nonparametric methods," MPRA Paper 39563, University Library of Munich, Germany, revised 01 Sep 2007.
    4. Lihong Wang & Haiyan Cai, 2010. "Wavelet change‐point estimation for long memory non‐parametric random design models," Journal of Time Series Analysis, Wiley Blackwell, vol. 31(2), pages 86-97, March.
    5. Nishiyama, Y., 2004. "Minimum normal approximation error bandwidth selection for averaged derivatives," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 64(1), pages 53-61.

  20. Robinson, P M, 1993. "Highly Insignificant F-Ratios," Econometrica, Econometric Society, vol. 61(3), pages 687-696, May.

    Cited by:

    1. Javier Hualde & Morten {O}rregaard Nielsen, 2022. "Fractional integration and cointegration," Papers 2211.10235, arXiv.org.
    2. Caporale, Guglielmo Maria & Gil-Alana, Luis A., 2002. "Fractional integration and mean reversion in stock prices," The Quarterly Review of Economics and Finance, Elsevier, vol. 42(3), pages 599-609.
    3. Gil-Alana, Luis A. & Fischer, Christian, 2007. "International traveling and trade: further evidence for the case of Spanish wine based on fractional VAR specifications," 105th Seminar, March 8-10, 2007, Bologna, Italy 7859, European Association of Agricultural Economists.
    4. Robinson, Peter M., 1997. "Large-sample inference for nonparametric regression with dependent errors," LSE Research Online Documents on Economics 302, London School of Economics and Political Science, LSE Library.
    5. Gil-Alana, L. A. & Robinson, P. M., 1997. "Testing of unit root and other nonstationary hypotheses in macroeconomic time series," Journal of Econometrics, Elsevier, vol. 80(2), pages 241-268, October.

  21. Delgado, Miguel A & Robinson, Peter M, 1992. "Nonparametric and Semiparametric Methods for Economic Research," Journal of Economic Surveys, Wiley Blackwell, vol. 6(3), pages 201-249.

    Cited by:

    1. Ichimura, Hidehiko & Todd, Petra E., 2007. "Implementing Nonparametric and Semiparametric Estimators," Handbook of Econometrics, in: J.J. Heckman & E.E. Leamer (ed.), Handbook of Econometrics, edition 1, volume 6, chapter 74, Elsevier.
    2. M. M. Salinas-Jimenez, 2003. "Technological change, efficiency gains and capital accumulation in labour productivity growth and convergence: an application to the Spanish regions," Applied Economics, Taylor & Francis Journals, vol. 35(17), pages 1839-1851.
    3. Jumrani, Jaya, 2023. "How responsive are nutrients in India? Some recent evidence," Food Policy, Elsevier, vol. 114(C).
    4. Tomas Ruzgas & Mantas Lukauskas & Gedmantas Čepkauskas, 2021. "Nonparametric Multivariate Density Estimation: Case Study of Cauchy Mixture Model," Mathematics, MDPI, vol. 9(21), pages 1-22, October.
    5. Mary C. Daly & Robert G. Valletta, 2000. "Changing Family Behavior and the U.S. Income Distribution," Econometric Society World Congress 2000 Contributed Papers 1640, Econometric Society.
    6. Suzanna-Maria Paleologou, 2016. "The long-run tendency of government expenditure: a semi-parametric modelling approach," Empirical Economics, Springer, vol. 50(3), pages 753-776, May.
    7. Miguel A. Delgado & Thomas J. Kniesner, 1997. "Count Data Models With Variance Of Unknown Form: An Application To A Hedonic Model Of Worker Absenteeism," The Review of Economics and Statistics, MIT Press, vol. 79(1), pages 41-49, February.
    8. Angela J. Black & David G. McMillan, 2004. "Non‐linear Predictability of Value and Growth Stocks and Economic Activity," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 31(3‐4), pages 439-474, April.
    9. José Fariñas & Lourdes Moreno, 2000. "Firms' Growth, Size and Age: A Nonparametric Approach," Review of Industrial Organization, Springer;The Industrial Organization Society, vol. 17(3), pages 249-265, November.
    10. J. Gibson & S. Rozelle, 2002. "How Elastic is Calorie Demand? Parametric, Nonparametric, and Semiparametric Results for Urban Papua New Guinea," Journal of Development Studies, Taylor & Francis Journals, vol. 38(6), pages 23-46.
    11. Zerihun, Mulatu F. & Breitenbach, Marthinus C., 2016. "Nonlinear approaches in testing PPP: Evidence from Southern African development community," Economic Modelling, Elsevier, vol. 56(C), pages 162-167.
    12. Sarker, Rakhal & Surry, Yves R., 2003. "The Fast Decay Process In Recreational Demand Activities And The Use Of Alternative Count Data Models," Working Papers 34147, University of Guelph, Department of Food, Agricultural and Resource Economics.
    13. Mary C. Daly & Robert G. Valletta, 2000. "Inequality and poverty in the United States: the effects of changing family behavior and rising wage dispersion," Working Paper Series 2000-06, Federal Reserve Bank of San Francisco.
    14. Christian Salas & James P. Raftery, 2001. "Econometric issues in testing the age neutrality of health care expenditure," Health Economics, John Wiley & Sons, Ltd., vol. 10(7), pages 669-671, October.
    15. Álvarez, Begoña, 1998. "La demanda atendida de consultas médicas y atención urgente," DE - Documentos de Trabajo. Economía. DE 3890, Universidad Carlos III de Madrid. Departamento de Economía.
    16. Adonis Yatchew & Len Bos, 1997. "Nonparametric Least Squares Regression and Testing in Economic Models," Working Papers yatchew-99-01, University of Toronto, Department of Economics.

  22. Robinson, P M, 1991. "Automatic Frequency Domain Inference on Semiparametric and Nonparametric Models," Econometrica, Econometric Society, vol. 59(5), pages 1329-1363, September.

    Cited by:

    1. Robinson, P. M., 1995. "An invariance property of optimal spectral bandwidths," Statistics & Probability Letters, Elsevier, vol. 24(4), pages 345-346, September.
    2. Ionel Birgean & Lutz Kilian, 2002. "Data-Driven Nonparametric Spectral Density Estimators For Economic Time Series: A Monte Carlo Study," Econometric Reviews, Taylor & Francis Journals, vol. 21(4), pages 449-476.
    3. Kourogenis, Nikolaos & Pittis, Nikitas, 2010. "Unbounded heteroscedasticity in first-order autoregressive models and the Eicker-White asymptotic variance estimator," Economics Letters, Elsevier, vol. 106(2), pages 84-86, February.
    4. Hidalgo, J., 2008. "Specification testing for regression models with dependent data," Journal of Econometrics, Elsevier, vol. 143(1), pages 143-165, March.
    5. Ichimura, Hidehiko & Todd, Petra E., 2007. "Implementing Nonparametric and Semiparametric Estimators," Handbook of Econometrics, in: J.J. Heckman & E.E. Leamer (ed.), Handbook of Econometrics, edition 1, volume 6, chapter 74, Elsevier.
    6. Chambers, Marcus J. & Ercolani, Joanne S. & Taylor, A.M. Robert, 2014. "Testing for seasonal unit roots by frequency domain regression," Journal of Econometrics, Elsevier, vol. 178(P2), pages 243-258.
    7. Javier Hualde & Peter M Robinson, 2006. "Semiparametric Estimation of Fractional Cointegration," STICERD - Econometrics Paper Series 502, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    8. Smallwood, Aaron D., 2019. "Analyzing exchange rate uncertainty and bilateral export growth in China: A multivariate GARCH-based approach," Economic Modelling, Elsevier, vol. 82(C), pages 332-344.
    9. Javier Hidalgo, 2007. "Specification Testing Forregression Models Withdependent Data," STICERD - Econometrics Paper Series 518, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    10. Ekaterini Panopoulou & Nikitas Pittis & Sarantis Kalyvitis, 2006. "Looking far in the past: Revisiting the growth-returns nexus with non-parametric tests," The Institute for International Integration Studies Discussion Paper Series iiisdp134, IIIS.
    11. Hidalgo, Javier, 2007. "Specification testing for regression models with dependent data," LSE Research Online Documents on Economics 6799, London School of Economics and Political Science, LSE Library.
    12. Leucht, Anne & Paparoditis, Efstathios & Rademacher, Daniel & Sapatinas, Theofanis, 2022. "Testing equality of spectral density operators for functional processes," Journal of Multivariate Analysis, Elsevier, vol. 189(C).
    13. Eichler, Michael, 2008. "Testing nonparametric and semiparametric hypotheses in vector stationary processes," Journal of Multivariate Analysis, Elsevier, vol. 99(5), pages 968-1009, May.
    14. Lu, Ye & Park, Joon Y., 2019. "Estimation of longrun variance of continuous time stochastic process using discrete sample," Journal of Econometrics, Elsevier, vol. 210(2), pages 236-267.
    15. Jentsch, Carsten & Subba Rao, Suhasini, 2015. "A test for second order stationarity of a multivariate time series," Journal of Econometrics, Elsevier, vol. 185(1), pages 124-161.
    16. Daniel Wilhelm, 2014. "Optimal bandwidth selection for robust generalized method of moments estimation," CeMMAP working papers 15/14, Institute for Fiscal Studies.
    17. Xiao, Zhijie & Phillips, Peter C. B., 1998. "Higher-order approximations for frequency domain time series regression," Journal of Econometrics, Elsevier, vol. 86(2), pages 297-336, June.
    18. Daniel Wilhelm, 2014. "Optimal bandwidth selection for robust generalized method of moments estimation," CeMMAP working papers CWP15/14, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    19. Bunzel, Helle, 2006. "FIXED-b ASYMPTOTICS IN SINGLE-EQUATION COINTEGRATION MODELS WITH ENDOGENOUS REGRESSORS," Econometric Theory, Cambridge University Press, vol. 22(4), pages 743-755, August.
    20. Wouter J. Den Haan & Andrew T. Levin, 1995. "Inferences from parametric and non-parametric covariance matrix estimation procedures," International Finance Discussion Papers 504, Board of Governors of the Federal Reserve System (U.S.).
    21. Kakizawa, Yoshihide, 1997. "Parameter estimation and hypothesis testing in stationary vector time series," Statistics & Probability Letters, Elsevier, vol. 33(3), pages 225-234, May.
    22. Xiao, Zhijie, 2009. "Quantile cointegrating regression," Journal of Econometrics, Elsevier, vol. 150(2), pages 248-260, June.
    23. Xiao, Zhijie & Phillips, Peter C. B., 2002. "A CUSUM test for cointegration using regression residuals," Journal of Econometrics, Elsevier, vol. 108(1), pages 43-61, May.
    24. Peter C.B. Phillips, 2003. "Vision and Influence in Econometrics: John Denis Sargan," Cowles Foundation Discussion Papers 1393, Cowles Foundation for Research in Economics, Yale University.
    25. Oliver Linton, 1993. "Second Order Approximation in the Partially Linear Regression Model," Cowles Foundation Discussion Papers 1065, Cowles Foundation for Research in Economics, Yale University.
    26. Yasumasa Matsuda & Yoshihiro Yajima, 2004. "On testing for separable correlations of multivariate time series," Journal of Time Series Analysis, Wiley Blackwell, vol. 25(4), pages 501-528, July.
    27. Zhijie Xiao & Peter C.B. Phillips, 1998. "Higher Order Approximations for Wald Statistics in Cointegrating Regressions," Cowles Foundation Discussion Papers 1192, Cowles Foundation for Research in Economics, Yale University.
    28. Velasco, Carlos & Robinson, Peter M., 2001. "Edgeworth expansions for spectral density estimates and studentized sample mean," LSE Research Online Documents on Economics 315, London School of Economics and Political Science, LSE Library.
    29. Gregoir, Stephane, 2006. "Efficient tests for the presence of a pair of complex conjugate unit roots in real time series," Journal of Econometrics, Elsevier, vol. 130(1), pages 45-100, January.
    30. Zhihao Xu & Clifford M. Hurvich, 2021. "A Unified Frequency Domain Cross-Validatory Approach to HAC Standard Error Estimation," Papers 2108.06093, arXiv.org, revised Jun 2023.
    31. Peter M Robinson & Carlos Velasco, 2000. "Edgeworth Expansions for Spectral Density Estimates and Studentized Sample Mean - (Now published in Economic Theory, 17 (2001), pp.497-539," STICERD - Econometrics Paper Series 390, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    32. Kourogenis, Nikolaos & Pittis, Nikitas & Samartzis, Panagiotis, 2024. "Unbounded heteroscedasticity in autoregressive models," The Journal of Economic Asymmetries, Elsevier, vol. 29(C).
    33. Lacroix, R., 2008. "Analyse conjoncturelle de données brutes et estimation de cycles Partie 1 : estimation et tests," Working papers 209, Banque de France.
    34. Yuichi Goto & Masanobu Taniguchi, 2020. "Discriminant analysis based on binary time series," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 83(5), pages 569-595, July.
    35. Robinson, Peter M. & Hualde, Javier, 2003. "Cointegration in fractional systems with unknown integration orders," LSE Research Online Documents on Economics 2223, London School of Economics and Political Science, LSE Library.
    36. Vidal-Sanz, Jose M., 2007. "Automatic spectral density estimation for Random fields on a lattice via bootstrap," DEE - Working Papers. Business Economics. WB wb072606, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
    37. Lacroix, R., 2008. "Analyse conjoncturelle de données brutes et estimation de cycles Partie 2 : mise en oeuvre empirique," Working papers 210, Banque de France.
    38. Hidalgo, Javier, 2003. "An alternative bootstrap to moving blocks for time series regression models," Journal of Econometrics, Elsevier, vol. 117(2), pages 369-399, December.
    39. Mario Forni & Marc Hallin & Marco Lippi & Paolo Zaffaroni, 2011. "One-Sided Representations of Generalized Dynamic Factor Models," Working Papers ECARES ECARES 2011-019, ULB -- Universite Libre de Bruxelles.
    40. Cleiton Guollo Taufemback, 2023. "Non‐parametric short‐ and long‐run Granger causality testing in the frequency domain," Journal of Time Series Analysis, Wiley Blackwell, vol. 44(1), pages 69-92, January.
    41. Oliver Linton, 1997. "Second Order Approximation in a Linear Regression with Heteroskedasticity for Unknown Form," Cowles Foundation Discussion Papers 1151, Cowles Foundation for Research in Economics, Yale University.
    42. Yuichi Goto & Koichi Arakaki & Yan Liu & Masanobu Taniguchi, 2023. "Homogeneity tests for one-way models with dependent errors under correlated groups," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 32(1), pages 163-183, March.
    43. Peter M. Robinson & Javier Hualde, 2002. "Cointegration in Fractional Systems with Unknown Integration Orders," Faculty Working Papers 07/02, School of Economics and Business Administration, University of Navarra.
    44. Politis, D N, 2009. "Higher-Order Accurate, Positive Semi-definite Estimation of Large-Sample Covariance and Spectral Density Matrices," University of California at San Diego, Economics Working Paper Series qt66w826hz, Department of Economics, UC San Diego.
    45. Hualde, Javier & Robinson, Peter M., 2006. "Semiparametric Estimation of Fractional Cointegration," LSE Research Online Documents on Economics 4537, London School of Economics and Political Science, LSE Library.
    46. J -P Kreiss & E Paparoditis, 2023. "Bootstrapping Whittle estimators," Biometrika, Biometrika Trust, vol. 110(2), pages 499-518.
    47. Hidalgo, Javier, 2003. "A bootstrap causality test for covariance stationary processes," LSE Research Online Documents on Economics 6848, London School of Economics and Political Science, LSE Library.
    48. Peter C.B. Phillips & Binbin Guo & Zhijie Xiao, 2002. "Efficient Regression in Time Series Partial Linear Models," Cowles Foundation Discussion Papers 1363, Cowles Foundation for Research in Economics, Yale University.
    49. Kramer, Walter & Michels, Sonja, 1997. "Autocorrelation- and heteroskedasticity-consistent t-values with trending data," Journal of Econometrics, Elsevier, vol. 76(1-2), pages 141-147.
    50. Tamaki, Kenichiro, 2007. "Second order optimality for estimators in time series regression models," Journal of Multivariate Analysis, Elsevier, vol. 98(3), pages 638-659, March.
    51. Hidalgo, J., 2005. "A bootstrap causality test for covariance stationary processes," Journal of Econometrics, Elsevier, vol. 126(1), pages 115-143, May.
    52. Javier Hidalgo, 2003. "A Bootstrap Causality Test for Covariance Stationary Processes," STICERD - Econometrics Paper Series 462, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    53. Politis, Dimitris, 2005. "Higher-order accurate, positive semi-definite estimation of large-sample covariance and spectral density matrices," University of California at San Diego, Economics Working Paper Series qt7qg2m9rz, Department of Economics, UC San Diego.
    54. George Kapetanios & Zacharias Psaradakis, 2016. "Semiparametric Sieve-Type Generalized Least Squares Inference," Econometric Reviews, Taylor & Francis Journals, vol. 35(6), pages 951-985, June.
    55. Grier, Kevin B. & Smallwood, Aaron D., 2013. "Exchange rate shocks and trade: A multivariate GARCH-M approach," Journal of International Money and Finance, Elsevier, vol. 37(C), pages 282-305.
    56. Efstathios Paparoditis, 2005. "Testing the Fit of a Vector Autoregressive Moving Average Model," Journal of Time Series Analysis, Wiley Blackwell, vol. 26(4), pages 543-568, July.
    57. Helle Bunzel, 2004. "Fixed Bandwidth Asymptotics in Single Equation Models of Cointegration with an Application to Money Demand," Econometric Society 2004 North American Summer Meetings 219, Econometric Society.
    58. Xiao, Zhijie & Phillips, Peter C. B., 2002. "Higher order approximations for Wald statistics in time series regressions with integrated processes," Journal of Econometrics, Elsevier, vol. 108(1), pages 157-198, May.
    59. Yuichi Goto & Kotone Suzuki & Xiaofei Xu & Masanobu Taniguchi, 2023. "Tests for the existence of group effects and interactions for two-way models with dependent errors," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 75(3), pages 511-532, June.

  23. Robinson, P M, 1991. "Best Nonlinear Three-Stage Least Squares Estimation of Certain Econometric Models," Econometrica, Econometric Society, vol. 59(3), pages 755-786, May.

    Cited by:

    1. Calzolari, Giorgio, 1992. "Stima delle equazioni simultanee non-lineari: una rassegna [Estimation of nonlinear simultaneous equations: a survey]," MPRA Paper 24123, University Library of Munich, Germany, revised 1992.
    2. Tianxi Cai & Lu Tian & L. J. Wei, 2004. "Semi-parametric Box-Cox Power Transformation Models for Censored Survival Observations," Harvard University Biostatistics Working Paper Series 1006, Berkeley Electronic Press.
    3. Nour Meddahi & Eric Renault, 1998. "Quadratic M-Estimators for ARCH-Type Processes," CIRANO Working Papers 98s-29, CIRANO.
    4. Pascual, Lorenzo & Romo, Juan & Ruiz, Esther, 2005. "Bootstrap prediction intervals for power-transformed time series," International Journal of Forecasting, Elsevier, vol. 21(2), pages 219-235.
    5. Chamberlain, Gary, 2022. "Feedback in panel data models," Journal of Econometrics, Elsevier, vol. 226(1), pages 4-20.
    6. Chen, Xiaohong & Linton, Oliver & Jacho-Chávez, David T., 2009. "An alternative way of computing efficient instrumental variable estimators," LSE Research Online Documents on Economics 58016, London School of Economics and Political Science, LSE Library.
    7. Oliver Linton, 1993. "Second Order Approximation in the Partially Linear Regression Model," Cowles Foundation Discussion Papers 1065, Cowles Foundation for Research in Economics, Yale University.
    8. Hahn, Jinyong, 1997. "Efficient estimation of panel data models with sequential moment restrictions," Journal of Econometrics, Elsevier, vol. 79(1), pages 1-21, July.
    9. Calzolari, Giorgio & Fiorentini, Gabriele, 1994. "Conditional heteroskedasticity in nonlinear simultaneous equations," MPRA Paper 24428, University Library of Munich, Germany.
    10. Oliver Linton, 1997. "Second Order Approximation in a Linear Regression with Heteroskedasticity for Unknown Form," Cowles Foundation Discussion Papers 1151, Cowles Foundation for Research in Economics, Yale University.
    11. Bent Jesper Christensen & Olaf Posch & Michel van der Wel, 2014. "Estimating Dynamic Equilibrium Models Using Mixed Frequency Macro and Financial Data," CESifo Working Paper Series 5030, CESifo.
    12. Hosoya, Yuzo & Terasaka, Takahiro, 2009. "Inference on transformed stationary time series," Journal of Econometrics, Elsevier, vol. 151(2), pages 129-139, August.
    13. Delgado, Miguel A. & Fiteni, Inmaculada, 2002. "External bootstrap tests for parameter stability," Journal of Econometrics, Elsevier, vol. 109(2), pages 275-303, August.
    14. Domínguez, Manuel A. & Lavergne, Pascal, 1998. "Asymptotic and bootstrap specification tests of nonlinear in variable econometric models," DES - Working Papers. Statistics and Econometrics. WS 4674, Universidad Carlos III de Madrid. Departamento de Estadística.

  24. Robinson, P. M., 1991. "Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression," Journal of Econometrics, Elsevier, vol. 47(1), pages 67-84, January.

    Cited by:

    1. Nikolai Leonenko & Ludmila Sakhno, 2001. "On the Kaplan–Meier Estimator of Long-Range Dependent Sequences," Statistical Inference for Stochastic Processes, Springer, vol. 4(1), pages 17-40, January.
    2. Marcel Aloy & Gilles de Truchis, 2012. "Estimation and Testing for Fractional Cointegration," AMSE Working Papers 1215, Aix-Marseille School of Economics, France.
    3. Luis A. Gil-Alana, 2007. "A Multivariate Long Memory Model for the Specification of Real Output in the US, the UK, and Canada," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 6(2), pages 135-146, August.
    4. Robin L. Lumsdaine & Serena Ng, 1998. "Testing for ARCH in the Presence of a Possibly Misspecified Conditional Mean," Boston College Working Papers in Economics 370, Boston College Department of Economics.
    5. Ignacio N. Lobato & Carlos Velasco, 2004. "Optimal Fractional Dickey-Fuller Tests for Unit Roots," Working Papers 0401, Centro de Investigacion Economica, ITAM.
    6. Afonso Gonçalves da Silva & Peter M Robinson, 2007. "Fractional Cointegration In StochasticVolatility Models," STICERD - Econometrics Paper Series 519, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    7. Morten Orregaard Nielsen, 2004. "Efficient inference in multivariate fractionally integrated time series models," Econometrics Journal, Royal Economic Society, vol. 7(1), pages 63-97, June.
    8. Josu Arteche, 2012. "Standard and seasonal long memory in volatility: an application to Spanish inflation," Empirical Economics, Springer, vol. 42(3), pages 693-712, June.
    9. Pawel Janus & Siem Jan Koopman & André Lucas, 2011. "Long Memory Dynamics for Multivariate Dependence under Heavy Tails," Tinbergen Institute Discussion Papers 11-175/2/DSF28, Tinbergen Institute.
    10. Giraitis, Liudas & Leipus, Remigijus & Robinson, Peter M. & Surgailis, Donatas, 2004. "LARCH, leverage, and long memory," LSE Research Online Documents on Economics 294, London School of Economics and Political Science, LSE Library.
    11. Morten Ørregaard Nielsen & Antoine L. Noël, 2020. "To infinity and beyond: Efficient computation of ARCH(1) models," CREATES Research Papers 2020-13, Department of Economics and Business Economics, Aarhus University.
    12. Uwe Hassler & Matei Demetrescu & Adina Tarcolea, 2011. "Asymptotic normal tests for integration in panels with cross-dependent units," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 95(2), pages 187-204, June.
    13. Søren Johansen & Morten Ørregaard Nielsen, 2017. "Testing the CVAR in the fractional CVAR model," CREATES Research Papers 2017-37, Department of Economics and Business Economics, Aarhus University.
    14. Tim Bollerslev, 2008. "Glossary to ARCH (GARCH)," CREATES Research Papers 2008-49, Department of Economics and Business Economics, Aarhus University.
    15. Liudas Giraitis, 2004. "LARCH, Leverage, and Long Memory," Journal of Financial Econometrics, Oxford University Press, vol. 2(2), pages 177-210.
    16. Dalla, Violetta & Giraitis, Liudas & Phillips, Peter C. B., 2022. "Robust Tests For White Noise And Cross-Correlation," Econometric Theory, Cambridge University Press, vol. 38(5), pages 913-941, October.
    17. Giuseppe Cavaliere & Morten Ørregaard Nielsen & A.M. Robert Taylor, 2014. "Bootstrap Score Tests for Fractional Integration in Heteroskedastic ARFIMA Models, with an Application to Price Dynamics in Commodity Spot and Futures Markets," CREATES Research Papers 2014-22, Department of Economics and Business Economics, Aarhus University.
    18. Hassler, Uwe & Meller, Barbara, 2011. "Detecting multiple breaks in long memory: The case of US inflation," Discussion Paper Series 1: Economic Studies 2011,26, Deutsche Bundesbank.
    19. Uwe Hassler & Paulo M.M. Rodrigues & Antonio Rubia, 2016. "Quantile Regression for Long Memory Testing: A Case of Realized Volatility," Journal of Financial Econometrics, Oxford University Press, vol. 14(4), pages 693-724.
    20. Giuseppe Cavaliere & Morten Ørregaard Nielsen & Robert Taylor, 2017. "Quasi-Maximum Likelihood Estimation and Bootstrap Inference in Fractional Time Series Models with Heteroskedasticity of Unknown Form," CREATES Research Papers 2017-02, Department of Economics and Business Economics, Aarhus University.
    21. Li, Muyi & Li, Wai Keung & Li, Guodong, 2015. "A new hyperbolic GARCH model," Journal of Econometrics, Elsevier, vol. 189(2), pages 428-436.
    22. Gil-Alana, Luis A, 2001. "A Fractionally Integrated Exponential Model for UK Unemployment," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 20(5), pages 329-340, August.
    23. Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X., 2006. "Volatility and Correlation Forecasting," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 1, chapter 15, pages 777-878, Elsevier.
    24. V. A. Reisen & C. Lévy-Leduc & M. Bourguignon & H. Boistard, 2017. "Robust Dickey–Fuller tests based on ranks for time series with additive outliers," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 80(1), pages 115-131, January.
    25. Christian Francq & Jean-Michel Zakoïan, 2013. "Optimal predictions of powers of conditionally heteroscedastic processes," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 75(2), pages 345-367, March.
    26. Hiremath, Gourishankar S & Bandi, Kamaiah, 2011. "Testing Long Memory in Stock Returns of Emerging Markets: Some Further Evidence," MPRA Paper 48517, University Library of Munich, Germany.
    27. Yin-Wong Cheung & Francis X. Diebold, 1993. "On maximum-likelihood estimation of the differencing parameter of fractionally integrated noise with unknown mean," Working Papers 93-5, Federal Reserve Bank of Philadelphia.
    28. Baillie, Richard T., 1996. "Long memory processes and fractional integration in econometrics," Journal of Econometrics, Elsevier, vol. 73(1), pages 5-59, July.
    29. Francq, Christian & Wintenberger, Olivier & Zakoïan, Jean-Michel, 2013. "GARCH models without positivity constraints: Exponential or log GARCH?," Journal of Econometrics, Elsevier, vol. 177(1), pages 34-46.
    30. Abhimanyu Gupta & Myung Hwan Seo, 2019. "Robust Inference on Infinite and Growing Dimensional Time Series Regression," Papers 1911.08637, arXiv.org, revised Apr 2023.
    31. Duchesne, Pierre & Li, Linyuan & Vandermeerschen, Jill, 2010. "On testing for serial correlation of unknown form using wavelet thresholding," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2512-2531, November.
    32. David Mcmillan & Alan Speight, 2008. "Long-memory in high-frequency exchange rate volatility under temporal aggregation," Quantitative Finance, Taylor & Francis Journals, vol. 8(3), pages 251-261.
    33. Christian Conrad, 2007. "Non-negativity Conditions for the Hyperbolic GARCH Model," KOF Working papers 07-162, KOF Swiss Economic Institute, ETH Zurich.
    34. Peter M Robinson & Carlos Velasco, 2013. "Efficient Inference on Fractionally Integrated Panel Data Models with Fixed Effects," STICERD - Econometrics Paper Series 567, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    35. Manabu Asai & Michael McAleer, 2013. "A Fractionally Integrated Wishart Stochastic Volatility Model," Tinbergen Institute Discussion Papers 13-025/III, Tinbergen Institute.
    36. Salim Morched & Ben Mohamed Ezzeddine & Anis Jarboui, 2023. "The impact of innovation type on the performance and social responsibility of French manufacturing companies," Environment Systems and Decisions, Springer, vol. 43(3), pages 433-452, September.
    37. Gil-Alaña, Luis A., 2000. "Testing stochastic cycles in macroeconomic time series," SFB 373 Discussion Papers 2000,70, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    38. Marc Henry & Peter M Robinson, 1998. "Long and Short Memory Conditional Heteroscedasticity in Estimating the Memory Parameter of Levels - (Now published in Econometric Theory, 15 (1999), pp.299-336.)," STICERD - Econometrics Paper Series 357, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    39. Dennis Kristensen, 2009. "On stationarity and ergodicity of the bilinear model with applications to GARCH models," Journal of Time Series Analysis, Wiley Blackwell, vol. 30(1), pages 125-144, January.
    40. Linton, Oliver & Mammen, Enno, 2004. "Estimating semiparametric ARCH (∞) models by kernel smoothing methods," LSE Research Online Documents on Economics 24762, London School of Economics and Political Science, LSE Library.
    41. Javier Hualde & Morten {O}rregaard Nielsen, 2022. "Fractional integration and cointegration," Papers 2211.10235, arXiv.org.
    42. Liudas Giraitis & Yufei Li & Peter C.B. Phillips, 2023. "Robust Inference on Correlation under General Heterogeneity," Cowles Foundation Discussion Papers 2354, Cowles Foundation for Research in Economics, Yale University.
    43. Liudas Giraitis & Donatas Surgailis & Andrius Škarnulis, 2015. "Integrated ARCH, FIGARCH and AR Models: Origins of Long Memory," Working Papers 766, Queen Mary University of London, School of Economics and Finance.
    44. Kunal Saha & Vinodh Madhavan & Chandrashekhar G. R. & David McMillan, 2020. "Pitfalls in long memory research," Cogent Economics & Finance, Taylor & Francis Journals, vol. 8(1), pages 1733280-173, January.
    45. John W. Galbraith & Victoria Zinde-Walsh, 2001. "Autoregression-Based Estimators for ARFIMA Models," CIRANO Working Papers 2001s-11, CIRANO.
    46. Joerg Breitung and Uwe Hassler, 2001. "Inference on the Cointegration Rank in Fractionally Integrated Processes," Computing in Economics and Finance 2001 233, Society for Computational Economics.
    47. Roxana Chiriac & Valeri Voev, 2011. "Modelling and forecasting multivariate realized volatility," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 26(6), pages 922-947, September.
    48. Peter M Robinson, 2009. "Correlation Testing in Time Series, SpatialandCross-Sectional Data," STICERD - Econometrics Paper Series 530, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    49. Francis X. Diebold & Jose A. Lopez, 1995. "Measuring Volatility Dynamics," NBER Technical Working Papers 0173, National Bureau of Economic Research, Inc.
    50. Li, Gang & Li, Yong, 2015. "Forecasting copper futures volatility under model uncertainty," Resources Policy, Elsevier, vol. 46(P2), pages 167-176.
    51. Søren Johansen & Morten Ørregaard Nielsen, 2007. "Likelihood inference for a nonstationary fractional autoregressive model," CREATES Research Papers 2007-33, Department of Economics and Business Economics, Aarhus University.
    52. Harvey, Andrew & Streibel, Mariane, 1998. "Testing for a slowly changing level with special reference to stochastic volatility," Journal of Econometrics, Elsevier, vol. 87(1), pages 167-189, August.
    53. Seong Yeon Chang & Pierre Perron, 2017. "Fractional Unit Root Tests Allowing for a Structural Change in Trend under Both the Null and Alternative Hypotheses," Econometrics, MDPI, vol. 5(1), pages 1-26, January.
    54. Adnen Ben Nasr & Ahdi N. Ajmi & Rangan Gupta, 2013. "Modeling the Volatility of the Dow Jones Islamic Market World Index Using a Fractionally Integrated Time Varying GARCH (FITVGARCH) Model," Working Papers 201357, University of Pretoria, Department of Economics.
    55. Hassler, Uwe & Breitung, Jörg, 2009. "A Residual-Based LM Test for Fractional Cointegration," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 77555, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
    56. Cho, Cheol-Keun & Amsler, Christine & Schmidt, Peter, 2015. "A test of the null of integer integration against the alternative of fractional integration," Journal of Econometrics, Elsevier, vol. 187(1), pages 217-237.
    57. Christian Fischer & Luis Gil-Alana, 2009. "The nature of the relationship between international tourism and international trade: the case of German imports of Spanish wine," Applied Economics, Taylor & Francis Journals, vol. 41(11), pages 1345-1359.
    58. Robinson, P.M., 2008. "Correlation testing in time series, spatial and cross-sectional data," Journal of Econometrics, Elsevier, vol. 147(1), pages 5-16, November.
    59. Christian Francq & Jean-Michel Zakoïan, 2010. "Inconsistency of the MLE and inference based on weighted LS for LARCH models," Post-Print hal-00732536, HAL.
    60. W. K. Li & Shiqing Ling & Michael McAleer, 2001. "A Survey of Recent Theoretical Results for Time Series Models with GARCH Errors," ISER Discussion Paper 0545, Institute of Social and Economic Research, Osaka University.
    61. Li, Linyuan & Duchesne, Pierre & Liou, Chu Pheuil, 2021. "On diagnostic checking in ARMA models with conditionally heteroscedastic martingale difference using wavelet methods," Econometrics and Statistics, Elsevier, vol. 19(C), pages 169-187.
    62. Jakob Roland Munch & Michael Svarer, "undated". "Mortality and Socio-economic Differences in a Competing Risks Model," Economics Working Papers 2001-1, Department of Economics and Business Economics, Aarhus University.
    63. Arteche González, Jesús María, 2002. "Gaussian Semiparametric Estimation in Long Memory in Stochastic Volatility and Signal Plus Noise Models," BILTOKI 1134-8984, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística).
    64. Hidalgo, Javier & Zaffaroni, Paolo, 2007. "A goodness-of-fit test for ARCH([infinity]) models," Journal of Econometrics, Elsevier, vol. 141(2), pages 835-875, December.
    65. Tomasz Wójtowicz & Henryk Gurgul, 2009. "Long memory of volatility measures in time series," Operations Research and Decisions, Wroclaw University of Science and Technology, Faculty of Management, vol. 19(1), pages 37-54.
    66. George-Jason Siouris & Alex Karagrigoriou, 2017. "A Low Price Correction for Improved Volatility Estimation and Forecasting," Risks, MDPI, vol. 5(3), pages 1-14, August.
    67. Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X., 2005. "Volatility forecasting," CFS Working Paper Series 2005/08, Center for Financial Studies (CFS).
    68. Peter M Robinson & Paolo Zaffaroni, 2005. "Pseudo-Maximum Likelihood Estimation of ARCH(8) Models," STICERD - Econometrics Paper Series 495, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    69. Maria Pia Beccar Varela & Francis Biney & Ionut Florescu, 2015. "Long correlations and fractional difference analysis applied to the study of memory effects in high-frequency (tick) data," Quantitative Finance, Taylor & Francis Journals, vol. 15(8), pages 1365-1374, August.
    70. Elena Andreou & Eric Ghysels, 2001. "Detecting Mutiple Breaks in Financial Market Volatility Dynamics," CIRANO Working Papers 2001s-65, CIRANO.
    71. Yu, Jun, 2012. "A semiparametric stochastic volatility model," Journal of Econometrics, Elsevier, vol. 167(2), pages 473-482.
    72. Kirman, Alan & Teyssiere, Gilles, 2005. "Testing for bubbles and change-points," Journal of Economic Dynamics and Control, Elsevier, vol. 29(4), pages 765-799, April.
    73. Paolo Zaffaroni, 2003. "Gaussian inference on certain long-range dependent volatility models," Temi di discussione (Economic working papers) 472, Bank of Italy, Economic Research and International Relations Area.
    74. Beran, Jan, 2006. "On location estimation for LARCH processes," Journal of Multivariate Analysis, Elsevier, vol. 97(8), pages 1766-1782, September.
    75. Bent Jesper Christensen & Jie Zhu & Morten Ø. Nielsen, 2009. "Long Memory In Stock Market Volatility And The Volatility-in-mean Effect: The Fiegarch-m Model," Working Paper 1207, Economics Department, Queen's University.
    76. Jonathan Wright, 2002. "Log-Periodogram Estimation Of Long Memory Volatility Dependencies With Conditionally Heavy Tailed Returns," Econometric Reviews, Taylor & Francis Journals, vol. 21(4), pages 397-417.
    77. Robinson, Peter M. & Henry, Marc, 1998. "Long and short memory conditional heteroscedasticity in estimating the memory parameter of levels," LSE Research Online Documents on Economics 2022, London School of Economics and Political Science, LSE Library.
    78. Grajales Correa, Carlos Alexander & Pérez Ramírez, Fredy Ocaris & Venegas-Martínez, Francisco, 2014. "Análisis comparativo de modelos para estimar la distribución de la volatilidad de series financieras de rendimientos [A Comparative Analysis of Models for Estimating the Volatility Distribution of ," MPRA Paper 54845, University Library of Munich, Germany.
    79. F. DePenya & L. Gil-Alana, 2006. "Testing of nonstationary cycles in financial time series data," Review of Quantitative Finance and Accounting, Springer, vol. 27(1), pages 47-65, August.
    80. Liudas Giraitis & Peter M Robinson, 2001. "Parametric Estimation under Long-Range Dependence," STICERD - Econometrics Paper Series 416, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    81. Andersen, Torben G. & Bollerslev, Tim & Lange, Steve, 1999. "Forecasting financial market volatility: Sample frequency vis-a-vis forecast horizon," Journal of Empirical Finance, Elsevier, vol. 6(5), pages 457-477, December.
    82. Godfrey, L.G. & Tremayne, A.R., 2005. "The wild bootstrap and heteroskedasticity-robust tests for serial correlation in dynamic regression models," Computational Statistics & Data Analysis, Elsevier, vol. 49(2), pages 377-395, April.
    83. Bardet, Jean-Marc & Kengne, William, 2014. "Monitoring procedure for parameter change in causal time series," Journal of Multivariate Analysis, Elsevier, vol. 125(C), pages 204-221.
    84. Morten Oerregaard Nielsen, "undated". "Optimal Residual Based Tests for Fractional Cointegration and Exchange Rate Dynamics," Economics Working Papers 2002-7, Department of Economics and Business Economics, Aarhus University.
    85. Adrian Wai‐Kong Cheung & Jen‐Je Su & Astrophel Kim Choo, 2012. "Are exchange rates serially correlated? New evidence from the Euro FX markets," Review of Financial Economics, John Wiley & Sons, vol. 21(1), pages 14-20, January.
    86. Ignacio N. Lobato, 2000. "A Consistent Test for the Martingale Difference Assumption," Econometric Society World Congress 2000 Contributed Papers 0278, Econometric Society.
    87. Robinson, Peter, 2008. "Correlation testing in time series, spatial and cross-sectional data," LSE Research Online Documents on Economics 25470, London School of Economics and Political Science, LSE Library.
    88. Andersen, Torben G. & Bollerslev, Tim & Francis X. Diebold,, 2003. "Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility," CFS Working Paper Series 2003/35, Center for Financial Studies (CFS).
    89. René Garcia & Eric Ghysels & Eric Renault, 2004. "The Econometrics of Option Pricing," CIRANO Working Papers 2004s-04, CIRANO.
    90. Bollerslev, Tim & Chou, Ray Y. & Kroner, Kenneth F., 1992. "ARCH modeling in finance : A review of the theory and empirical evidence," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 5-59.
    91. Christian FRANCQ & Jean-Michel ZAKOIAN, 2009. "Properties of the QMLE and the Weighted LSE for LARCH(q) Models," Working Papers 2009-19, Center for Research in Economics and Statistics.
    92. Morten Ørregaard Nielsen, 2005. "Multivariate Lagrange Multiplier Tests for Fractional Integration," Journal of Financial Econometrics, Oxford University Press, vol. 3(3), pages 372-398.
    93. Muyi Li & Wai Keung Li & Guodong Li, 2013. "On Mixture Memory Garch Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 34(6), pages 606-624, November.
    94. Pérez, Ana, 2001. "Modelos de memoria larga para series económicas y financieras," DES - Documentos de Trabajo. Estadística y Econometría. DS ds010101, Universidad Carlos III de Madrid. Departamento de Estadística.
    95. Kumar, Dilip & Maheswaran, S., 2014. "Modeling and forecasting the additive bias corrected extreme value volatility estimator," International Review of Financial Analysis, Elsevier, vol. 34(C), pages 166-176.
    96. Aït-Sahalia, Yacine & Mancini, Loriano, 2008. "Out of sample forecasts of quadratic variation," Journal of Econometrics, Elsevier, vol. 147(1), pages 17-33, November.
    97. Andreou, Elena & Ghysels, Eric, 2006. "Monitoring disruptions in financial markets," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 77-124.
    98. Par Sjolander, 2010. "A stationary unbiased finite sample ARCH-LM test procedure," Applied Economics, Taylor & Francis Journals, vol. 43(8), pages 1019-1033.
    99. KIRMAN, Alan & TEYSSIÈRE, Gilles, 2002. "Microeconomic models for long memory in the volatility of financial time series," LIDAM Reprints CORE 1593, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    100. Pan, Qunxing & Li, Peng & Du, Xiuli, 2023. "An improved FIGARCH model with the fractional differencing operator (1-νL)d," Finance Research Letters, Elsevier, vol. 55(PB).
    101. Feng, Yuanhua & Beran, Jan & Yu, Keming, 2007. "Modelling financial time series with SEMIFAR-GARCH model," CoFE Discussion Papers 07/14, University of Konstanz, Center of Finance and Econometrics (CoFE).
    102. Giraitis, Liudas & Surgailis, Donatas, 0. "ARCH-type bilinear models with double long memory," Stochastic Processes and their Applications, Elsevier, vol. 100(1-2), pages 275-300, July.
    103. Axel Bücher & Holger Dette & Florian Heinrichs, 2023. "A portmanteau-type test for detecting serial correlation in locally stationary functional time series," Statistical Inference for Stochastic Processes, Springer, vol. 26(2), pages 255-278, July.
    104. Carl Lönnbark, 2016. "Asymmetry with respect to the memory in stock market volatilities," Empirical Economics, Springer, vol. 50(4), pages 1409-1419, June.
    105. Giraitis, Liudas & Kokoszka, Piotr & Leipus, Remigijus & Teyssiere, Gilles, 2003. "Rescaled variance and related tests for long memory in volatility and levels," Journal of Econometrics, Elsevier, vol. 112(2), pages 265-294, February.
    106. Rohit Deo & Meng-Chen Hsieh & Clifford M. Hurvich & Philippe Soulier, 2007. "Long Memory in Nonlinear Processes," Papers 0706.1836, arXiv.org.
    107. Antypas, Antonios & Koundouri, Phoebe & Kourogenis, Nikolaos, 2013. "Aggregational Gaussianity and barely infinite variance in financial returns," Journal of Empirical Finance, Elsevier, vol. 20(C), pages 102-108.
    108. Christian Fischer & Luis Alberiko Gil-Alana, 2005. "The Nature of the Relationship between International Tourism and International Trade: The Case of Ge," Faculty Working Papers 15/05, School of Economics and Business Administration, University of Navarra.
    109. Jean‐Marc Bardet & Paul Doukhan & José Rafael León, 2008. "Uniform limit theorems for the integrated periodogram of weakly dependent time series and their applications to Whittle's estimate," Journal of Time Series Analysis, Wiley Blackwell, vol. 29(5), pages 906-945, September.
    110. Hafner, Christian & Preminger, Arie, 2017. "On Asymptotic Theory for ARCH (infinity) Models," LIDAM Reprints ISBA 2017041, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    111. Kyriazidou, Ekaterini, 1998. "Testing for serial correlation in multivariate regression models," Journal of Econometrics, Elsevier, vol. 86(2), pages 193-220, June.
    112. Paul Newbold & Toni Rayner & Neil Kellard & Christine Ennew, 1998. "Is the dollar/ECU exchange rate a random walk?," Applied Financial Economics, Taylor & Francis Journals, vol. 8(6), pages 553-558.
    113. Detlef Seese & Christof Weinhardt & Frank Schlottmann (ed.), 2008. "Handbook on Information Technology in Finance," International Handbooks on Information Systems, Springer, number 978-3-540-49487-4, November.
    114. Peter M Robinson, 2005. "Modelling Memory of Economic and Financial Time Series," STICERD - Econometrics Paper Series 487, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    115. Liudas Giraitis & Remigijus Leipus & Peter M Robinson & Donatas Surgailis, 2003. "LARCH, Leverage and Long Memory," STICERD - Econometrics Paper Series 460, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    116. Lobato, Ignacio N. & Velasco, Carlos, 2008. "Power comparison among tests for fractional unit roots," Economics Letters, Elsevier, vol. 99(1), pages 152-154, April.
    117. Gil-Alaña, Luis A., 2000. "Deterministic seasonality versus seasonal fractional integration," SFB 373 Discussion Papers 2000,106, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    118. Royer, Julien, 2023. "Conditional asymmetry in Power ARCH(∞) models," Journal of Econometrics, Elsevier, vol. 234(1), pages 178-204.
    119. Ke Zhu, 2018. "Statistical inference for autoregressive models under heteroscedasticity of unknown form," Papers 1804.02348, arXiv.org, revised Aug 2018.
    120. João Valle e Azevedo & Paulo M.M. Rodrigues & Antonio Rubia, 2009. "Finite Sample Performance of Frequency and Time Domain Tests for Seasonal Fractional Integration," Working Papers w200902, Banco de Portugal, Economics and Research Department.
    121. Ieva Grublytė & Donatas Surgailis & Andrius Škarnulis, 2017. "QMLE for Quadratic ARCH Model with Long Memory," Journal of Time Series Analysis, Wiley Blackwell, vol. 38(4), pages 535-551, July.
    122. Dahl Christian M & Iglesias Emma, 2011. "Modeling the Volatility-Return Trade-Off When Volatility May Be Nonstationary," Journal of Time Series Econometrics, De Gruyter, vol. 3(1), pages 1-32, February.
    123. Chen, Shengming & Bouteska, Ahmed & Sharif, Taimur & Abedin, Mohammad Zoynul, 2023. "The Russia–Ukraine war and energy market volatility: A novel application of the volatility ratio in the context of natural gas," Resources Policy, Elsevier, vol. 85(PA).
    124. Vafiadis Nikolaos, 2015. "Forecasting Volatility and the Risk–Return Tradeoff: An Application on the Fama–French Benchmark Market Return," Journal of Time Series Econometrics, De Gruyter, vol. 7(2), pages 181-216, July.
    125. Arteche, Josu, 2004. "Gaussian semiparametric estimation in long memory in stochastic volatility and signal plus noise models," Journal of Econometrics, Elsevier, vol. 119(1), pages 131-154, March.
    126. Hamidreza Mostafaei & Leila Sakhabakhsh, 2012. "Using SARFIMA Model to Study and Predict the Iran s Oil Supply," International Journal of Energy Economics and Policy, Econjournals, vol. 2(1), pages 41-49.
    127. Bardet, Jean-Marc & Doukhan, Paul & Wintenberger, Olivier, 2022. "Contrast estimation of time-varying infinite memory processes," Stochastic Processes and their Applications, Elsevier, vol. 152(C), pages 32-85.
    128. Cheung, Yin-Wong & Ng, Lilian K., 1996. "A causality-in-variance test and its application to financial market prices," Journal of Econometrics, Elsevier, vol. 72(1-2), pages 33-48.
    129. Guglielmo Maria Caporale & Luis A. Gil-Alana & Miguel Martin-Valmayor, 2020. "Persistence in the Realized Betas: Some Evidence for the Spanish Stock Market," CESifo Working Paper Series 8171, CESifo.
    130. Adrian Wai-Kong Cheung & Jen-Je Su & Astrophel Kim Choo, 2011. "Are Euro exchange rates markets efficient? New evidence from a large panel," Discussion Papers in Finance finance:201109, Griffith University, Department of Accounting, Finance and Economics.
    131. Silvano Bordignon & Massimiliano Caporin & Francesco Lisi, 2009. "Periodic Long-Memory GARCH Models," Econometric Reviews, Taylor & Francis Journals, vol. 28(1-3), pages 60-82.
    132. Giraitis, Liudas & Robinson, Peter M. & Surgailis, Donatas, 2000. "A model for long memory conditional heteroscedasticity," LSE Research Online Documents on Economics 299, London School of Economics and Political Science, LSE Library.
    133. Andre Lucas & Anne Opschoor, 2016. "Fractional Integration and Fat Tails for Realized Covariance Kernels and Returns," Tinbergen Institute Discussion Papers 16-069/IV, Tinbergen Institute, revised 07 Jul 2017.
    134. Gabriele Fiorentini & Enrique Sentana, 2013. "Dynamic Specification Tests for Dynamic Factor Models," Working Papers wp2013_1306, CEMFI.
    135. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold, 2007. "Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility," The Review of Economics and Statistics, MIT Press, vol. 89(4), pages 701-720, November.
    136. Peter Robinson, 2007. "Correlation testing in time series, spatial and cross-sectional data," CeMMAP working papers CWP01/07, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    137. Robinson, Peter, 2005. "Modelling memory of economic and financial time series," LSE Research Online Documents on Economics 2069, London School of Economics and Political Science, LSE Library.
    138. David Harris & Hsein Kew, 2014. "Portmanteau Autocorrelation Tests Under Q-Dependence And Heteroskedasticity," Journal of Time Series Analysis, Wiley Blackwell, vol. 35(3), pages 203-217, May.
    139. Conrad, Christian & Karanasos, Menelaos, 2006. "The impulse response function of the long memory GARCH process," Economics Letters, Elsevier, vol. 90(1), pages 34-41, January.
    140. Kazakevicius, Vytautas & Leipus, Remigijus & Viano, Marie-Claude, 2004. "Stability of random coefficient ARCH models and aggregation schemes," Journal of Econometrics, Elsevier, vol. 120(1), pages 139-158, May.
    141. Robinson, Peter M. & Zafaroni, Paolo, 2005. "Pseudo-maximum likelihood estimation of ARCH models," LSE Research Online Documents on Economics 4544, London School of Economics and Political Science, LSE Library.
    142. Morten Ørregaard Nielsen & Antoine L. Noël, 2020. "To infinity and beyond: Efficient computation of ARCH(\infty) models," Working Paper 1425, Economics Department, Queen's University.
    143. Wilfredo Palma & Mauricio Zevallos, 2004. "Analysis of the correlation structure of square time series," Journal of Time Series Analysis, Wiley Blackwell, vol. 25(4), pages 529-550, July.
    144. Robinson Kruse & Christoph Wegener, 2019. "Explosive behaviour and long memory with an application to European bond yield spreads," Scottish Journal of Political Economy, Scottish Economic Society, vol. 66(1), pages 139-153, February.
    145. Guglielmo Maria Caporale & Luis Alberiko Gil-Alana, 2023. "Exponential Time Trends in a Fractional Integration Model," CESifo Working Paper Series 10774, CESifo.
    146. Breidt, F. Jay & Crato, Nuno & de Lima, Pedro, 1998. "The detection and estimation of long memory in stochastic volatility," Journal of Econometrics, Elsevier, vol. 83(1-2), pages 325-348.
    147. Robinson, Peter M. & Zaffaroni, Paolo, 2005. "Pseudo-maximum likelihood estimation of ARCH(∞) models," LSE Research Online Documents on Economics 58182, London School of Economics and Political Science, LSE Library.
    148. Martin Sola & M Karansos & Zacharias Psaradakis, 2002. "On the autocorrelation properties of Long Memory Garch Processes," Department of Economics Working Papers 025, Universidad Torcuato Di Tella.
    149. Christian M. Hafner & Arie Preminger, 2017. "On Asymptotic Theory for ARCH (∞) Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 38(6), pages 865-879, November.
    150. Murphy, A. & Izzeldin, M., 2009. "Bootstrapping long memory tests: Some Monte Carlo results," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2325-2334, April.
    151. Morten Ørregaard Nielsen & Antoine L. Noël, 2021. "To infinity and beyond: Efficient computation of ARCH(∞) models," Journal of Time Series Analysis, Wiley Blackwell, vol. 42(3), pages 338-354, May.
    152. Ignacio N Lobato & Carlos Velasco, 2007. "Efficient Wald Tests for Fractional Unit Roots," Econometrica, Econometric Society, vol. 75(2), pages 575-589, March.
    153. Gil-Alana, L. A. & Robinson, P. M., 1997. "Testing of unit root and other nonstationary hypotheses in macroeconomic time series," Journal of Econometrics, Elsevier, vol. 80(2), pages 241-268, October.
    154. Escanciano, J. Carlos & Lobato, Ignacio N., 2009. "An automatic Portmanteau test for serial correlation," Journal of Econometrics, Elsevier, vol. 151(2), pages 140-149, August.
    155. Rohde, Johannes & Sibbertsen, Philipp, 2014. "Credit Risk Modeling under Conditional Volatility," Hannover Economic Papers (HEP) dp-528, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    156. Baillie, Richard T. & Bollerslev, Tim & Mikkelsen, Hans Ole, 1996. "Fractionally integrated generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 74(1), pages 3-30, September.
    157. Jie Zhu, 2009. "Pricing volatility of stock returns with volatile and persistent components," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 23(3), pages 243-269, September.
    158. Paul Doukhan & Hélène Madre & Mathieu Rosenbaum, 2005. "Weak Dependence Beyond Mixing for Infinite ARCH-type Bilinear Models," Working Papers 2005-50, Center for Research in Economics and Statistics.
    159. Bent Jesper Christensen & Morten Ørregaard Nielsen, 2007. "The Effect of Long Memory in Volatility on Stock Market Fluctuations," The Review of Economics and Statistics, MIT Press, vol. 89(4), pages 684-700, November.
    160. Balkiz, Ozer, 2003. "Testing Informational Market Efficiency on Kuala Lumpur Stock Exchange," Jurnal Ekonomi Malaysia, Faculty of Economics and Business, Universiti Kebangsaan Malaysia, vol. 37, pages 3-20.
    161. Xiao, Han & Wu, Wei Biao, 2019. "Portmanteau Test and Simultaneous Inference for Serial Covariances," IRTG 1792 Discussion Papers 2019-017, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
    162. TEYSSIERE, Gilles, 2003. "Interaction models for common long-range dependence in asset price volatilities," LIDAM Discussion Papers CORE 2003026, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    163. Sang Hoon Kang & SEONG-MIN YOON, 2008. "Asymmetry and Long Memory Features in Volatility: Evidence From Korean Stock Market," Korean Economic Review, Korean Economic Association, vol. 24, pages 383-412.
    164. Robinson, P. M., 2001. "The memory of stochastic volatility models," Journal of Econometrics, Elsevier, vol. 101(2), pages 195-218, April.
    165. Rohit Deo & Clifford Hurvich & Philippe Soulier & Yi Wang, 2005. "Propagation of Memory Parameter from Durations to Counts," Econometrics 0511010, University Library of Munich, Germany.
    166. Jean-Marc Bardet & Paul Doukhan & José Rafael Leon_, 2005. "Uniform Limit Theorems for the Integrated Periodogram of Weakly Dependent Time Series and their Applications to Whittle's Estimate," Working Papers 2005-46, Center for Research in Economics and Statistics.
    167. Francq, Christian & Makarova, Svetlana & Zakoi[diaeresis]an, Jean-Michel, 2008. "A class of stochastic unit-root bilinear processes: Mixing properties and unit-root test," Journal of Econometrics, Elsevier, vol. 142(1), pages 312-326, January.
    168. Dima, Bogdan & Dima, Ştefana Maria, 2017. "Mutual information and persistence in the stochastic volatility of market returns: An emergent market example," International Review of Economics & Finance, Elsevier, vol. 51(C), pages 36-59.
    169. Royer, Julien, 2021. "Conditional asymmetry in Power ARCH($\infty$) models," MPRA Paper 109118, University Library of Munich, Germany.
    170. Banerjee, Anindya & Urga, Giovanni, 2005. "Modelling structural breaks, long memory and stock market volatility: an overview," Journal of Econometrics, Elsevier, vol. 129(1-2), pages 1-34.
    171. Paul Doukhan & Gabriel Lang & Donatas Surgailis & Marie-Claude Viano, 2005. "Functional Limit Theorem for the Empirical Process of a Class of Bernoulli Shifts with Long Memory," Journal of Theoretical Probability, Springer, vol. 18(1), pages 161-186, January.
    172. Giraitis, Liudas & Leipus, Remigijus & Robinson, Peter M. & Surgailis, Donatas, 2003. "LARCH, leverage and long memory," LSE Research Online Documents on Economics 2020, London School of Economics and Political Science, LSE Library.
    173. Bollerslev, Tim & Wright, Jonathan H., 2000. "Semiparametric estimation of long-memory volatility dependencies: The role of high-frequency data," Journal of Econometrics, Elsevier, vol. 98(1), pages 81-106, September.
    174. Ansgar Steland, 2016. "Asymptotics for random functions moderated by dependent noise," Statistical Inference for Stochastic Processes, Springer, vol. 19(3), pages 363-387, October.
    175. Delgado, Miguel A. & Velasco, Carlos, 2005. "Sign tests for long-memory time series," Journal of Econometrics, Elsevier, vol. 128(2), pages 215-251, October.
    176. Hiemstra, Craig & Jones, Jonathan D., 1997. "Another look at long memory in common stock returns," Journal of Empirical Finance, Elsevier, vol. 4(4), pages 373-401, December.
    177. Teyssière, Gilles, 1999. "Modelling exchange rates volatility with multivariate long-memory ARCH processes," SFB 373 Discussion Papers 1999,5, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    178. Elena Andreou & Eric Ghysels, 2004. "Monitoring for Disruptions in Financial Markets," CIRANO Working Papers 2004s-26, CIRANO.
    179. CHIKHI, Mohamed, 2011. "Analyse du choc informationnel et de l’hétéroscédasticité conditionnelle dans les flux de trésorerie [Analysis of informational shock and conditional heteroscedasticity in cash flows]," MPRA Paper 77269, University Library of Munich, Germany, revised Jun 2011.
    180. Aknouche, Abdelhakim & Al-Eid, Eid & Demouche, Nacer, 2016. "Generalized quasi-maximum likelihood inference for periodic conditionally heteroskedastic models," MPRA Paper 75770, University Library of Munich, Germany, revised 19 Dec 2016.
    181. Kunze, Frederik & Basse, Tobias & Wegener, Christoph & Spiwoks, Markus, 2018. "The emergence of the RMB: A "New Normal" for China's exchange rate system?," University of Göttingen Working Papers in Economics 348, University of Goettingen, Department of Economics.
    182. Wesselhöfft, Niels & Härdle, Wolfgang Karl, 2019. "Estimating low sampling frequency risk measure by high-frequency data," IRTG 1792 Discussion Papers 2019-003, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
    183. Jin Lee, 2000. "One-Sided Testing for ARCH Effect Using Wavelets," Econometric Society World Congress 2000 Contributed Papers 1214, Econometric Society.
    184. Abdelhakim Aknouche & Eid Al-Eid & Nacer Demouche, 2018. "Generalized quasi-maximum likelihood inference for periodic conditionally heteroskedastic models," Statistical Inference for Stochastic Processes, Springer, vol. 21(3), pages 485-511, October.
    185. Hafiza Muntaha Khalid & Sadia Farooq & Faiza Liaqat & Muhammad Naeem, 2021. "Assessment of return and volatility spillover across sectors' indices: evidence from Pakistan stock exchange," International Journal of Monetary Economics and Finance, Inderscience Enterprises Ltd, vol. 14(5), pages 477-496.

  25. Bera, Anil K & Robinson, Peter M, 1989. "Tests for Serial Dependence and Other Specification Analysis in Models of Markets in Disequilibrium," Journal of Business & Economic Statistics, American Statistical Association, vol. 7(3), pages 343-352, July.

    Cited by:

    1. Bera, A.K. & Ullah, A., 1991. "RAO's Score Test in Econometrics," Discussion Paper 1991-43, Tilburg University, Center for Economic Research.
    2. Bera, A.K. & Ullah, A., 1991. "RAO's Score Test in Econometrics," Other publications TiSEM 667d7827-c9d6-4f00-8183-6, Tilburg University, School of Economics and Management.

  26. Robinson, Peter M, 1988. "Root- N-Consistent Semiparametric Regression," Econometrica, Econometric Society, vol. 56(4), pages 931-954, July.

    Cited by:

    1. Giulia BETTIN & Riccardo LUCCHETTI & Alberto ZAZZARO, 2011. "Endogeneity and sample selection in a model for remittances," Working Papers 361, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
    2. You, Jinhong & Zhou, Xian, 2005. "The law of iterated logarithm of estimators for partially linear panel data models," Statistics & Probability Letters, Elsevier, vol. 75(4), pages 267-279, December.
    3. Gao, Jiti & Tong, Howell & Wolff, Rodney, 2002. "Model Specification Tests in Nonparametric Stochastic Regression Models," Journal of Multivariate Analysis, Elsevier, vol. 83(2), pages 324-359, November.
    4. Richard Blundell & Howard Reed & Thomas M. Stoker, 2003. "Interpreting Aggregate Wage Growth: The Role of Labor Market Participation," American Economic Review, American Economic Association, vol. 93(4), pages 1114-1131, September.
    5. Hélène Couprie & Eugenio Peluso & Alain Trannoy, 2010. "Is power more evenly balanced in poor households?," Post-Print hal-03394429, HAL.
    6. Alberto Alesina & Elie Murard & Hillel Rapoport, 2021. "Immigration and preferences for redistribution in Europe," Post-Print halshs-03672695, HAL.
    7. Satya Paul & Sriram Shankar, 2020. "Estimating efficiency effects in a panel data stochastic frontier model," Journal of Productivity Analysis, Springer, vol. 53(2), pages 163-180, April.
    8. Pateiro-López, Beatriz & González-Manteiga, Wenceslao, 2006. "Multivariate partially linear models," Statistics & Probability Letters, Elsevier, vol. 76(14), pages 1543-1549, August.
    9. Victor Aguirregabiria & Margaret Slade, 2017. "Empirical models of firms and industries," Canadian Journal of Economics, Canadian Economics Association, vol. 50(5), pages 1445-1488, December.
    10. Linton, Oliver & Srisuma, Sorawoot, 2010. "Semiparametric estimation of Markov decision processeswith continuous state space," LSE Research Online Documents on Economics 58187, London School of Economics and Political Science, LSE Library.
    11. Mammen, Enno & Rothe, Christoph & Schienle, Melanie, 2011. "Semiparametric estimation with generated covariates," SFB 649 Discussion Papers 2011-064, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    12. Pedro Carneiro & Michael Lokshin & Nithin Umapathi, 2017. "Average and Marginal Returns to Upper Secondary Schooling in Indonesia," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 32(1), pages 16-36, January.
    13. Horowitz, Joel L., 2004. "Semiparametric models," Papers 2004,17, Humboldt University of Berlin, Center for Applied Statistics and Economics (CASE).
    14. Benoit Perron & Oliver Linton, 2004. "The Shape of the Risk Premium: Evidence from a Semiparametric GARCH Model," FMG Discussion Papers dp514, Financial Markets Group.
    15. Su, Liangjun & White, Halbert, 2003. "A Consistent Characteristic-Function-Based Test for Conditional Independence," University of California at San Diego, Economics Working Paper Series qt4dv0837f, Department of Economics, UC San Diego.
    16. Diego Restrepo-Tobón & Subal Kumbhakar & Kai Sun, 2015. "Obelix vs. Asterix: Size of US commercial banks and its regulatory challenge," Journal of Regulatory Economics, Springer, vol. 48(2), pages 125-168, October.
    17. Robin L. Lumsdaine & Serena Ng, 1998. "Testing for ARCH in the Presence of a Possibly Misspecified Conditional Mean," Boston College Working Papers in Economics 370, Boston College Department of Economics.
    18. Daniel L. Millimet & John A. List & Thanasis Stengos, 2003. "The Environmental Kuznets Curve: Real Progress or Misspecified Models?," The Review of Economics and Statistics, MIT Press, vol. 85(4), pages 1038-1047, November.
    19. Roberto Martino & Phu Nguyen-Van, 2016. "Environmental Kuznets curve and environmental convergence: A unified empirical framework for CO2 emissions," Working Papers of BETA 2016-18, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg.
    20. Matias D. Cattaneo & Michael Jansson & Whitney K. Newey, 2015. "Alternative Asymptotics and the Partially Linear Model with Many Regressors," Papers 1505.08120, arXiv.org.
    21. Steve Gibbons & Stephen Machin, 2001. "Valuing Primary Schools," CEE Discussion Papers 0015, Centre for the Economics of Education, LSE.
    22. Caitlin O’Loughlin & Léopold Simar & Paul W. Wilson, 2023. "Methodologies for assessing government efficiency," Chapters, in: António Afonso & João Tovar Jalles & Ana Venâncio (ed.), Handbook on Public Sector Efficiency, chapter 4, pages 72-101, Edward Elgar Publishing.
    23. Rokhaya Dieye & Habiba Djebbari & Felipe Barrera-Osorio, 2014. "Accounting for Peer Effects in Treatment Response," Working Papers halshs-01025680, HAL.
    24. Rahul Singh, 2021. "Kernel Ridge Riesz Representers: Generalization, Mis-specification, and the Counterfactual Effective Dimension," Papers 2102.11076, arXiv.org, revised Jul 2024.
    25. Bianco, Ana M. & Boente, Graciela & González-Manteiga, Wenceslao & Pérez-González, Ana, 2015. "Robust inference in partially linear models with missing responses," Statistics & Probability Letters, Elsevier, vol. 97(C), pages 88-98.
    26. Maican, Florin & Orth, Matilda, 2008. "Productivity Dynamics and the Role of “Big-Box” Entrants in Retailing," Working Papers in Economics 328, University of Gothenburg, Department of Economics.
    27. Zhao, Haibing & You, Jinhong, 2011. "Difference based estimation for partially linear regression models with measurement errors," Journal of Multivariate Analysis, Elsevier, vol. 102(10), pages 1321-1338, November.
    28. Song Chen & Ingrid Van Keilegom, 2013. "Estimation in semiparametric models with missing data," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 65(4), pages 785-805, August.
    29. Manuela Angelucci & Silvia Prina & Heather Royer & Anya Samek, 2015. "When Incentives Backfire: Spillover Effects in Food Choice," NBER Working Papers 21481, National Bureau of Economic Research, Inc.
    30. Oliver Linton & E. Mammen & J. Nielsen & C. Tanggaard, 1998. "Estimating Yield Curves by Kernel Smoothing Methods," Cowles Foundation Discussion Papers 1205, Cowles Foundation for Research in Economics, Yale University.
    31. Xiaohong Chen & Andres Santos, 2015. "Overidentification in Regular Models," Cowles Foundation Discussion Papers 1999, Cowles Foundation for Research in Economics, Yale University.
    32. Hidehiko Ichimura & Sokbae Lee, 2006. "Characterization of the Asymptotic Distribution of Semiparametric M-Estimators," CIRJE F-Series CIRJE-F-426, CIRJE, Faculty of Economics, University of Tokyo.
    33. Murat, Marina, 2021. "Emigration and development. What are the links?," GLO Discussion Paper Series 747, Global Labor Organization (GLO).
    34. Liang, Hua & Härdle, Wolfgang, 1997. "Large sample theory of the estimation of the error distribution for a semiparametric model," SFB 373 Discussion Papers 1997,101, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    35. Lee, Lung-fei, 1995. "Semiparametric maximum likelihood estimation of polychotomous and sequential choice models," Journal of Econometrics, Elsevier, vol. 65(2), pages 381-428, February.
    36. Kyle Colangelo & Ying-Ying Lee, 2020. "Double Debiased Machine Learning Nonparametric Inference with Continuous Treatments," Papers 2004.03036, arXiv.org, revised Sep 2023.
    37. Su, Liangjun, 2012. "Semiparametric GMM estimation of spatial autoregressive models," Journal of Econometrics, Elsevier, vol. 167(2), pages 543-560.
    38. Pedro Carneiro & James J. Heckman & Edward J. Vytlacil, 2011. "Estimating Marginal Returns to Education," American Economic Review, American Economic Association, vol. 101(6), pages 2754-2781, October.
    39. Joonwoo Nahm & Robert F. Schoeni, 2010. "A Cohort Analysis of Wealth-Age Profiles: Lessons from Psid," Korean Economic Review, Korean Economic Association, vol. 26, pages 59-78.
    40. Aklesso Egbendewe-Mondzozo & Mark Musumba & Bruce A. McCarl & Ximing Wu, 2011. "Climate Change and Vector-borne Diseases: An Economic Impact Analysis of Malaria in Africa," IJERPH, MDPI, vol. 8(3), pages 1-18, March.
    41. Delgado, Miguel A. & Vidal-Sanz, Jose M., 2002. "Averaged Singular Integral Estimation as a Bias Reduction Technique," Journal of Multivariate Analysis, Elsevier, vol. 80(1), pages 127-137, January.
    42. Yingcun Xia & Howell Tong & W. K. Li & Li‐Xing Zhu, 2002. "An adaptive estimation of dimension reduction space," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 64(3), pages 363-410, August.
    43. Bellemare, C. & Melenberg, B. & van Soest, A.H.O., 2002. "Semi-parametric Models for Satisfaction with Income," Discussion Paper 2002-87, Tilburg University, Center for Economic Research.
    44. Steve Bond & Arshia Hashemi & Greg Kaplan & Piotr Zoch, 2020. "Some Unpleasant Markup Arithmetic: Production Function Elasticities and their Estimation from Production Data," Economics Series Working Papers 906, University of Oxford, Department of Economics.
    45. Nir Billfeld & Moshe Kim, 2019. "Semiparametric Wavelet-based JPEG IV Estimator for endogenously truncated data," Papers 1908.02166, arXiv.org.
    46. Hoopes, Jeffrey L. & Reck, Daniel & Slemrod, Joel, 2015. "Taxpayer search for information: implications for rational attention," LSE Research Online Documents on Economics 88191, London School of Economics and Political Science, LSE Library.
    47. Christopher Adam & David Bevan, 2002. "Fiscal Deficits and Growth in Developing Countries," Economics Series Working Papers 120, University of Oxford, Department of Economics.
    48. Caner, Mehmet & Kock, Anders Bredahl, 2018. "Asymptotically honest confidence regions for high dimensional parameters by the desparsified conservative Lasso," Journal of Econometrics, Elsevier, vol. 203(1), pages 143-168.
    49. Ordás Criado, Carlos, 2007. "Temporal and spatial homogeneity in air pollutants panel EKC estimations: Two nonparametric tests applied to Spanish provinces," MPRA Paper 5043, University Library of Munich, Germany.
    50. Leandro De Magalhães & Lucas Ferrero, 2015. "Separation of powers and the tax level in the U.S. states," Southern Economic Journal, John Wiley & Sons, vol. 82(2), pages 598-619, October.
    51. Sasaki, Yuya & Ura, Takuya, 2023. "Estimation and inference for policy relevant treatment effects," Journal of Econometrics, Elsevier, vol. 234(2), pages 394-450.
    52. Matthias Westphal & Daniel A. Kamhöfer & Hendrik Schmitz, 2020. "Marginal College Wage Premiums under Selection into Employment," Working Papers CIE 133, Paderborn University, CIE Center for International Economics.
    53. Tran, Kien C. & Tsionas, Efthymios G., 2009. "Estimation of nonparametric inefficiency effects stochastic frontier models with an application to British manufacturing," Economic Modelling, Elsevier, vol. 26(5), pages 904-909, September.
    54. Courty, Pascal, 2021. "Some Economics of Movie Exhibition: Increasing Returns and Imax Revenue Premium," CEPR Discussion Papers 16113, C.E.P.R. Discussion Papers.
    55. Xiaohong Chen & Demian Pouzo, 2009. "Efficient estimation of semiparametric conditional moment models with possibly nonsmooth residuals," CeMMAP working papers CWP20/09, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    56. Judith A. Chevalier & Glenn D. Ellison, 1995. "Risk Taking by Mutual Funds as a Response to Incentives," NBER Working Papers 5234, National Bureau of Economic Research, Inc.
    57. Helge Liebert & Beatrice Mäder, 2018. "Physician Density and Infant Mortality: A Semiparametric Analysis of the Returns to Health Care Provision," CESifo Working Paper Series 7209, CESifo.
    58. Daniel A Kamhöfer & Hendrik Schmitz & Matthias Westphal, 2019. "Heterogeneity in Marginal Non-Monetary Returns to Higher Education," Journal of the European Economic Association, European Economic Association, vol. 17(1), pages 205-244.
    59. Chen, Feifei & Qiu, Huanguang & Zhang, Jun, 2022. "Energy consumption and income of the poor in rural China: Inference for poverty measures," Energy Policy, Elsevier, vol. 163(C).
    60. Chen, Xiaohong & Linton, Oliver & Van Keilegom, Ingrid, 2003. "Estimation of semiparametric models when the criterion function is not smooth," LSE Research Online Documents on Economics 2167, London School of Economics and Political Science, LSE Library.
    61. Kyle Colangelo & Ying-Ying Lee, 2019. "Double debiased machine learning nonparametric inference with continuous treatments," CeMMAP working papers CWP72/19, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    62. Julian di Giovanni & Andrei A. Levchenko, 2012. "The Risk Content of Exports: A Portfolio View of International Trade," NBER International Seminar on Macroeconomics, University of Chicago Press, vol. 8(1), pages 97-151.
    63. Chuan Goh, 2009. "Bootstrap-based Bandwidth Selection for Semiparametric Generalized Regression Estimators," Working Papers tecipa-375, University of Toronto, Department of Economics.
    64. Molestina Vivar, Luis & Wedow, Michael & Weistroffer, Christian, 2023. "Burned by leverage? Flows and fragility in bond mutual funds," Journal of Empirical Finance, Elsevier, vol. 72(C), pages 354-380.
    65. Daniel Ackerberg & Xiaohong Chen & Jinyong Hahn, 2011. "A practical asymptotic variance estimator for two-step semiparametric estimators," CeMMAP working papers CWP22/11, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    66. Bryan S. Graham & Geert Ridder & Petra Thiemann & Gema Zamarro, 2020. "Teacher-to-classroom assignment and student achievement," CeMMAP working papers CWP36/20, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    67. John W. Galbraith & Victoria Zinde-Walsh, 2011. "Partially Dimension-Reduced Regressions with Potentially Infinite-Dimensional Processes," CIRANO Working Papers 2011s-57, CIRANO.
    68. Hiroyuki Kasahara & Yawen Liang & Joel Rodrigue, 2013. "Does Importing Intermediates Increase the Demand for Skilled Workers? Plant-level Evidence from Indonesia," CESifo Working Paper Series 4463, CESifo.
    69. Cattaneo, Matias D & Crump, Richard K & Jansson, Michael, 2014. "Small Bandwidth Asymptotics For Density-Weighted Average Derivatives," Department of Economics, Working Paper Series qt3jd237cg, Department of Economics, Institute for Business and Economic Research, UC Berkeley.
    70. Vollebergh, Herman R.J. & Melenberg, Bertrand & Dijkgraaf, Elbert, 2009. "Identifying reduced-form relations with panel data: The case of pollution and income," Journal of Environmental Economics and Management, Elsevier, vol. 58(1), pages 27-42, July.
    71. Anastasia Semykina & Jeffrey M. Woodridge, 2010. "Estimating Panel Data Models in the Presence of Endogeneity and Selection," Working Papers wp2010_10_01, Department of Economics, Florida State University.
    72. Michael Pollmann, 2020. "Causal Inference for Spatial Treatments," Papers 2011.00373, arXiv.org, revised Jan 2023.
    73. Ai, Chunrong & Chen, Xiaohong, 2007. "Estimation of possibly misspecified semiparametric conditional moment restriction models with different conditioning variables," Journal of Econometrics, Elsevier, vol. 141(1), pages 5-43, November.
    74. Joshua D. Angrist & Peter Hull & Parag Pathak & Christopher Walters, 2020. "Simple and Credible Value-Added Estimation Using Centralized School Assignment," Working Papers 2020-186, Becker Friedman Institute for Research In Economics.
    75. Imbs, Jean & Ranciere, Romain, 2006. "The Overhang Hangover," CEPREMAP Working Papers (Docweb) 0604, CEPREMAP.
    76. Zouaoui, Haykel & Mazioud, Manel & Ellouz, Nidhal Ziedi, 2018. "A semi-parametric panel data analysis on financial development-economic volatility nexus in developing countries," Economics Letters, Elsevier, vol. 172(C), pages 50-55.
    77. Victor Chernozhukov & Denis Chetverikov & Mert Demirer & Esther Duflo & Christian Hansen & Whitney Newey & James Robins, 2017. "Double/Debiased Machine Learning for Treatment and Structural Parameters," NBER Working Papers 23564, National Bureau of Economic Research, Inc.
    78. Dwenger, Nadja & Braun, Sebastian, 2019. "Settlement Location Shapes Refugee Integration: Evidence from Post-war Germany," CEPR Discussion Papers 14194, C.E.P.R. Discussion Papers.
    79. Zhang, Xiaobei & Li, Haizheng & Wang, Xiaojun & Fleisher, Belton M., 2019. "Human Capital and the Economic Convergence Mechanism: Evidence from China," IZA Discussion Papers 12224, Institute of Labor Economics (IZA).
    80. Joel L. Horowitz & Sokbae (Simon) Lee, 2004. "Nonparametric estimation of an additive quantile regression model," CeMMAP working papers 07/04, Institute for Fiscal Studies.
    81. Melenberg, B. & van Soest, A.H.O., 1995. "Semiparametric estimation of equivalence scales using subjective information," Other publications TiSEM 250cc708-150d-4f3b-bc34-b, Tilburg University, School of Economics and Management.
    82. Francisco Buera, 2009. "A dynamic model of entrepreneurship with borrowing constraints: theory and evidence," Annals of Finance, Springer, vol. 5(3), pages 443-464, June.
    83. Cai, Zongwu & Li, Qi & Park, Joon Y., 2009. "Functional-coefficient models for nonstationary time series data," Journal of Econometrics, Elsevier, vol. 148(2), pages 101-113, February.
    84. George S Olley & Ariel Pakes, 1992. "The Dynamics Of Productivity In The Telecommunications Equipment Industry," Working Papers 92-2, Center for Economic Studies, U.S. Census Bureau.
    85. Jean‐Pierre Florens & Jan Johannes & Sébastien Van Bellegem, 2012. "Instrumental regression in partially linear models," Econometrics Journal, Royal Economic Society, vol. 15(2), pages 304-324, June.
    86. Koen Jochmans, 2013. "Pairwise-comparison estimation with non-parametric controls," SciencePo Working papers Main hal-03399882, HAL.
    87. Lee, Jungyoon & Robinson, Peter, 2015. "Panel nonparametric regression with fixed effects," LSE Research Online Documents on Economics 61431, London School of Economics and Political Science, LSE Library.
    88. Kose, M. Ayhan & Prasad, Eswar S. & Taylor, Ashley D., 2009. "Thresholds in the process of international financial integration," Policy Research Working Paper Series 5149, The World Bank.
    89. Giesecke, Matthias & Schuss, Eric, 2019. "Heterogeneity in marginal returns to language training of immigrants," Ruhr Economic Papers 812, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
    90. Costas Milas & Ruthira Naraidoo, 2009. "Financial Market Conditions, Real Time, Nonlinearity and European Central Bank Monetary Policy: In-Sample and Out-of-Sample Assessment," Working Paper series 42_09, Rimini Centre for Economic Analysis.
    91. Jacopo Mazza & Hans van Ophem, 2020. "Educational Choice, Initial Wage and Wage Growth," Tinbergen Institute Discussion Papers 20-030/III, Tinbergen Institute.
    92. Musau, Andrew & Kumbhakar, Subal C. & Mydland, Ørjan & Lien, Gudbrand, 2021. "Determinants of allocative and technical inefficiency in stochastic frontier models: An analysis of Norwegian electricity distribution firms," European Journal of Operational Research, Elsevier, vol. 288(3), pages 983-991.
    93. Alena Bičáková & Štěpán Jurajda, 2017. "Gender composition of college graduates by field of study and early fertility," Review of Economics of the Household, Springer, vol. 15(4), pages 1323-1343, December.
    94. Elena Ketteni & Theofanis P. Mamuneas & Thanasis Stengos, 2007. "Nonlinearities in Economic Growth: A Semiparametric Approach applied to Information Technology data," Working Papers 0701, University of Guelph, Department of Economics and Finance.
    95. KONISHI Yoko & NISHIYAMA Yoshihiko, 2013. "Decomposition of Supply and Demand Shocks in the Production Function using the Current Survey of Production," Discussion papers 13003, Research Institute of Economy, Trade and Industry (RIETI).
    96. Kaspar Wuthrich & Ying Zhu, 2019. "Omitted variable bias of Lasso-based inference methods: A finite sample analysis," Papers 1903.08704, arXiv.org, revised Sep 2021.
    97. Roberto Martino & Phu Nguyen-Van, 2014. "Labour market regulation and fiscal parameters: A structural model for European regions," Working Papers of BETA 2014-19, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg.
    98. Haeok Liz Kim & Sunghyup Sean Hyun, 2021. "Developing a Stigma Scale for the Workplace: Focus on an Airline Cabin Crew," IJERPH, MDPI, vol. 18(8), pages 1-20, April.
    99. Daniel J. Henderson & Christopher F. Parmeter & Subal C. Kumbhakar, 2007. "Nonparametric estimation of a hedonic price function," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(3), pages 695-699.
    100. Song, Suyong, 2015. "Semiparametric estimation of models with conditional moment restrictions in the presence of nonclassical measurement errors," Journal of Econometrics, Elsevier, vol. 185(1), pages 95-109.
    101. Qian, Junhui & Wang, Le, 2009. "Estimating Semiparametric Panel Data Models by Marginal Integration," MPRA Paper 18850, University Library of Munich, Germany.
    102. Girma, Sourafel & Wakelin, Katharine, 2007. "Local productivity spillovers from foreign direct investment in the U.K. electronics industry," Regional Science and Urban Economics, Elsevier, vol. 37(3), pages 399-412, May.
    103. Prottoy A. Akbar & Sijie Li & Allison Shertzer & Randall P. Walsh, 2019. "Racial Segregation in Housing Markets and the Erosion of Black Wealth," NBER Working Papers 25805, National Bureau of Economic Research, Inc.
    104. Schwiebert, Jörg, 2012. "Semiparametric Estimation of a Sample Selection Model in the Presence of Endogeneity," Hannover Economic Papers (HEP) dp-504, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    105. Yi Zhang & Kosuke Imai, 2023. "Individualized Policy Evaluation and Learning under Clustered Network Interference," Papers 2311.02467, arXiv.org, revised Feb 2024.
    106. Bao, Yajie & Ren, Haojie, 2023. "Semi-profiled distributed estimation for high-dimensional partially linear model," Computational Statistics & Data Analysis, Elsevier, vol. 188(C).
    107. Robinson, Peter M. & Thawornkaiwong, Supachoke, 2012. "Statistical inference on regression with spatial dependence," Journal of Econometrics, Elsevier, vol. 167(2), pages 521-542.
    108. Thi Kim Cuong Pham & Phu Nguyen Van & Jalal El Ouardighi & Théophile Azomahou, 2006. "Estimation semi-paramétrique de la convergence des régions européennes," Économie et Prévision, Programme National Persée, vol. 173(2), pages 97-110.
    109. Kristensen, Dennis, 2004. "A semiparametric single-factor model of the term structure," LSE Research Online Documents on Economics 24741, London School of Economics and Political Science, LSE Library.
    110. Giuseppe De Luca & Franco Peracchi, 2010. "Estimating Engel curves under unit and item nonresponse," EIEF Working Papers Series 1004, Einaudi Institute for Economics and Finance (EIEF), revised Nov 2010.
    111. Carvalho, José-Raimundo & Magnac, Thierry & Xiong, Qizhou, 2016. "College Choice and the Selection of Mechanisms: A Structural Empirical Analysis," IWH Discussion Papers 3/2016, Halle Institute for Economic Research (IWH).
    112. Jungyoon Lee & Peter M Robinson, 2013. "Series Estimation under Cross-sectional Dependence," STICERD - Econometrics Paper Series 570, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    113. Ana M. Bianco & Graciela Boente & Wenceslao González-Manteiga & Ana Pérez-González, 2019. "Plug-in marginal estimation under a general regression model with missing responses and covariates," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 28(1), pages 106-146, March.
    114. Samuel Bazzi & Arya Gaduh & Alexander D. Rothenberg & Maisy Wong, 2019. "Unity in Diversity? How Intergroup Contact Can Foster Nation Building," NBER Working Papers 25683, National Bureau of Economic Research, Inc.
    115. Ai, Chunrong & McFadden, Daniel, 1997. "Estimation of some partially specified nonlinear models," Journal of Econometrics, Elsevier, vol. 76(1-2), pages 1-37.
    116. Thanasis Stengos & Eleftherios Zaharias, 2002. "Intertemporal Pricing and Price Discrimination: A Semiparametric Hedonic Analysis of the Personal Computer Market," University of Cyprus Working Papers in Economics 0211, University of Cyprus Department of Economics.
    117. Laté Ayao Lawson & Roberto Martino & Phu Nguyen-Van, 2020. "Environmental convergence and environmental Kuznets curve : A unified empirical framework," Post-Print hal-03098130, HAL.
    118. Galbraith, John W. & Zinde-Walsh, Victoria, 2020. "Simple and reliable estimators of coefficients of interest in a model with high-dimensional confounding effects," Journal of Econometrics, Elsevier, vol. 218(2), pages 609-632.
    119. Zhang, Lyuou & Zhou, Wen & Wang, Haonan, 2021. "A semiparametric latent factor model for large scale temporal data with heteroscedasticity," Journal of Multivariate Analysis, Elsevier, vol. 186(C).
    120. Li, Qi, 1996. "On the root-N-consistent semiparametric estimation of partially linear models," Economics Letters, Elsevier, vol. 51(3), pages 277-285, June.
    121. Xia, Yingcun & Härdle, Wolfgang, 2006. "Semi-parametric estimation of partially linear single-index models," Journal of Multivariate Analysis, Elsevier, vol. 97(5), pages 1162-1184, May.
    122. Michael Malcolm & Ilker Kaya, 2016. "Selection works both ways: BMI and marital formation among young women," Review of Economics of the Household, Springer, vol. 14(2), pages 293-311, June.
    123. Rojas, Eugenio & Sánchez, Rafael & Villena, Mauricio G., 2016. "Credit constraints in higher education in a context of unobserved heterogeneity," Economics of Education Review, Elsevier, vol. 52(C), pages 225-250.
    124. Lavergne, Pascal, 2001. "An equality test across nonparametric regressions," Journal of Econometrics, Elsevier, vol. 103(1-2), pages 307-344, July.
    125. Daniel Becker & Alois Kneip & Valentin Patilea, 2021. "Semiparametric inference for partially linear regressions with Box-Cox transformation," Papers 2106.10723, arXiv.org.
    126. Hans Ophem & Jacopo Mazza, 2024. "Educational choice, initial wage and wage growth," Empirical Economics, Springer, vol. 67(3), pages 1235-1274, September.
    127. Phillips, Peter C.B. & Li, Degui & Gao, Jiti, 2017. "Estimating smooth structural change in cointegration models," Journal of Econometrics, Elsevier, vol. 196(1), pages 180-195.
    128. Alexandre Belloni & Victor Chernozhukov & Ivan Fernandez-Val & Christian Hansen, 2016. "Program evaluation and causal inference with high-dimensional data," CeMMAP working papers 13/16, Institute for Fiscal Studies.
    129. Yixiao Jiang, 2020. "A Hausman Test for Partially Linear Models with an Application to Implied Volatility Surface," JRFM, MDPI, vol. 13(11), pages 1-12, November.
    130. Delgado, Michael S. & McCloud, Nadine & Kumbhakar, Subal C., 2014. "A generalized empirical model of corruption, foreign direct investment, and growth," Journal of Macroeconomics, Elsevier, vol. 42(C), pages 298-316.
    131. Anil Kumar, 2014. "Do restrictions on home equity extraction contribute to lower mortgage defaults? evidence from a policy discontinuity at the Texas border," Working Papers 1410, Federal Reserve Bank of Dallas.
    132. Emmanuel Flachaire & Gilles Hacheme & Sullivan Hu'e & S'ebastien Laurent, 2022. "GAM(L)A: An econometric model for interpretable Machine Learning," Papers 2203.11691, arXiv.org.
    133. Kottaridi, Constantina & Stengos, Thanasis, 2010. "Foreign direct investment, human capital and non-linearities in economic growth," Journal of Macroeconomics, Elsevier, vol. 32(3), pages 858-871, September.
    134. Vincenzo Verardi & Nicolas Debarsy, 2012. "Robinson's square root of N consistent semiparametric regression estimator in Stata," Stata Journal, StataCorp LP, vol. 12(4), pages 726-735, December.
    135. TAKEDA Yosuke & UCHIDA Ichihiro, 2009. "Technological Externalities and Economic Distance: A case of the Japanese automobile suppliers," Discussion papers 09051, Research Institute of Economy, Trade and Industry (RIETI).
    136. Jumrani, Jaya, 2023. "How responsive are nutrients in India? Some recent evidence," Food Policy, Elsevier, vol. 114(C).
    137. Jan De Loecker & Joep Konings, 2004. "Creative destruction and productivity growth in an emerging economy: evidence from Slovenian manufacturing," Working Papers of Department of Economics, Leuven 507410, KU Leuven, Faculty of Economics and Business (FEB), Department of Economics, Leuven.
    138. Pedro Carneiro & James J. Heckman & Edward Vytlacil, 2010. "Evaluating Marginal Policy Changes and the Average Effect of Treatment for Individuals at the Margin," Econometrica, Econometric Society, vol. 78(1), pages 377-394, January.
    139. Jan Rouwendal & Ramona van Marwijk & Or Levkovich, 2014. "The Value of Proximity to Water in Residential Areas," Tinbergen Institute Discussion Papers 14-047/VIII, Tinbergen Institute.
    140. Antoine Djogbenou & Christian Gouriéroux & Joann Jasiak & Paul Rilstone, 2022. "An Econometric Panel Data Model of the COVID-19 Pandemic," Journal of Statistical and Econometric Methods, SCIENPRESS Ltd, vol. 11(1), pages 1-3.
    141. Fitzenberger, Bernd & Franz, Wolfgang & Bode, Oliver, 2007. "The Phillips Curve and NAIRU Revisited: New Estimates for Germany," Kiel Working Papers 1344, Kiel Institute for the World Economy (IfW Kiel).
    142. Das, M., 2005. "Instrumental variables estimators of nonparametric models with discrete endogenous regressors," Journal of Econometrics, Elsevier, vol. 124(2), pages 335-361, February.
    143. Centorrino Samuele & Feve Frederique & Florens Jean-Pierre, 2017. "Additive Nonparametric Instrumental Regressions: A Guide to Implementation," Journal of Econometric Methods, De Gruyter, vol. 6(1), pages 1-25, January.
    144. E Fe-Rodriguez & C D Orme, 2005. "The Asymptotic Equivalence of Kernel-based Nonparametric Conditional Moment Test Statistics," Economics Discussion Paper Series 0504, Economics, The University of Manchester.
    145. Atak, Alev & Linton, Oliver B. & Xiao, Zhijie, 2010. "A Semiparametric Panel Model for Unbalanced Data with Application to Climate Change in the United Kingdom," MPRA Paper 22079, University Library of Munich, Germany.
    146. Bollard, Albert & McKenzie, David & Morten, Melanie & Rapoport, Hillel, 2009. "Remittances and the brain drain revisited : the microdata show that more educated migrants remit more," Policy Research Working Paper Series 5113, The World Bank.
    147. Song, Kyungchul, 2010. "Testing semiparametric conditional moment restrictions using conditional martingale transforms," Journal of Econometrics, Elsevier, vol. 154(1), pages 74-84, January.
    148. Steve Gibbons, 2003. "Paying for Good Neighbours: Estimating the Value of an Implied Educated Community," Urban Studies, Urban Studies Journal Limited, vol. 40(4), pages 809-833, April.
    149. Borusyak, Kirill & Hull, Peter & Jaravel, Xavier, 2024. "Design-based identification with formula instruments: a review," LSE Research Online Documents on Economics 123848, London School of Economics and Political Science, LSE Library.
    150. Clément, Matthieu, 2017. "The income-body-size gradient among Chinese urban adults: A semiparametric analysis," China Economic Review, Elsevier, vol. 44(C), pages 253-270.
    151. Vafa, Keyon & Athey, Susan & Blei, David M., 2024. "Estimating Wage Disparities Using Foundation Models," Research Papers 4206, Stanford University, Graduate School of Business.
    152. Arthur Lewbel, 2000. "Asymptotic Trimming for Bounded Density Plug-in Estimators," Boston College Working Papers in Economics 479, Boston College Department of Economics, revised 30 Oct 2000.
    153. Ouyang, Yusi & Pinstrup-Andersen, Per, 2012. "Health Inequality between Ethnic Minority and Han Populations in China," World Development, Elsevier, vol. 40(7), pages 1452-1468.
    154. Abhimanyu Gupta & Myung Hwan Seo, 2019. "Robust Inference on Infinite and Growing Dimensional Time Series Regression," Papers 1911.08637, arXiv.org, revised Apr 2023.
    155. Knaus, Michael C. & Lechner, Michael & Strittmatter, Anthony, 2018. "Machine Learning Estimation of Heterogeneous Causal Effects: Empirical Monte Carlo Evidence," IZA Discussion Papers 12039, Institute of Labor Economics (IZA).
    156. Samuel Bazzi & Martin Fiszbein & Mesay Gebresilasse, 2018. "Frontier Culture: The Roots and Persistence of “Rugged Individualism†in the United States," Boston University - Department of Economics - The Institute for Economic Development Working Papers Series dp-302, Boston University - Department of Economics.
    157. Eugene Choo & Shannon Seitz & Aloysuis Siow, 2008. "The Collective Marriage Matching Model: Identification, Estimation and Testing," Boston College Working Papers in Economics 704, Boston College Department of Economics.
    158. Yoon-Jae Whang & Donald W.K. Andrews, 1991. "Tests of Specification for Parametric and Semiparametric Models," Cowles Foundation Discussion Papers 968, Cowles Foundation for Research in Economics, Yale University.
    159. Chad Brown, 2024. "Inference in Partially Linear Models under Dependent Data with Deep Neural Networks," Papers 2410.22574, arXiv.org.
    160. Ted Juhl & Zhijie Xiao, 2000. "N-Consistent Semiparametric Regression: Partially Linear Models with Unit Roots," Econometric Society World Congress 2000 Contributed Papers 1532, Econometric Society.
    161. Ralph B. Siebert & Michael J. Seiler, 2022. "Why Do Buyers Pay Different Prices for Comparable Products? A Structural Approach on the Housing Market," The Journal of Real Estate Finance and Economics, Springer, vol. 65(2), pages 261-292, August.
    162. Miguel A. Delgado & Jordi Jaumandreu & Ana Martín Marcos, 1999. "Input cost, capacity utilization and substitution in the short run," Spanish Economic Review, Springer;Spanish Economic Association, vol. 1(3), pages 239-262.
    163. McClean Alec & Branson Zach & Kennedy Edward H., 2024. "Nonparametric estimation of conditional incremental effects," Journal of Causal Inference, De Gruyter, vol. 12(1), pages 1-42, January.
    164. Finan, Frederico & Sadoulet, Elisabeth & de Janvry, Alain, 2005. "Measuring the poverty reduction potential of land in rural Mexico," Journal of Development Economics, Elsevier, vol. 77(1), pages 27-51, June.
    165. Koichiro Ito & Takanori Ida & Makoto Tanaka, 2023. "Selection on Welfare Gains: Experimental Evidence from Electricity Plan Choice," American Economic Review, American Economic Association, vol. 113(11), pages 2937-2973, November.
    166. Joel L. Horowitz & Sokbae Lee, 2002. "Semiparametric Estimation of a Panel Data Proportional Hazards Model with Fixed Effects," 10th International Conference on Panel Data, Berlin, July 5-6, 2002 A5-3, International Conferences on Panel Data.
    167. Gillingham, Kenneth & Munk-Nielsen, Anders, 2019. "A tale of two tails: Commuting and the fuel price response in driving," Journal of Urban Economics, Elsevier, vol. 109(C), pages 27-40.
    168. Lewbel, Arthur & Linton, Oliver, 2003. "Nonparametric estimation of homothetic and homothetically separable functions," LSE Research Online Documents on Economics 2066, London School of Economics and Political Science, LSE Library.
    169. Alexandre Belloni & Victor Chernozhukov & Ivan Fernandez-Val & Christian Hansen, 2013. "Program evaluation with high-dimensional data," CeMMAP working papers 77/13, Institute for Fiscal Studies.
    170. Huang, Meng & Sun, Yixiao & White, Hal, 2013. "A Flexible Nonparametric Test for Conditional Independence," University of California at San Diego, Economics Working Paper Series qt3pt89204, Department of Economics, UC San Diego.
    171. Bogomolov, Marina & Davidov, Ori, 2019. "Order restricted univariate and multivariate inference with adjustment for covariates in partially linear models," Computational Statistics & Data Analysis, Elsevier, vol. 133(C), pages 20-27.
    172. Vinish Shrestha, 2024. "Heterogeneous Impacts of ACA-Medicaid Expansion on Insurance and Labor Market Outcomes in the American South," Working Papers 2024-08, Towson University, Department of Economics, revised Jun 2024.
    173. Naoya Sueishi & Arihiro Yoshimura, 2017. "Focused Information Criterion for Series Estimation in Partially Linear Models," The Japanese Economic Review, Springer, vol. 68(3), pages 352-363, September.
    174. Oriana Bandiera & Michael Carlos Best & Adnan Qadir Khan & Andrea Prat, 2021. "The Allocation of Authority in Organizations: A Field Experiment with Bureaucrats," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 136(4), pages 2195-2242.
    175. Feng Yao & Junsen Zhang, 2015. "Efficient kernel-based semiparametric IV estimation with an application to resolving a puzzle on the estimates of the return to schooling," Empirical Economics, Springer, vol. 48(1), pages 253-281, February.
    176. Goldstein, Itay & Jiang, Hao & Ng, David T., 2017. "Investor flows and fragility in corporate bond funds," Journal of Financial Economics, Elsevier, vol. 126(3), pages 592-613.
    177. Miruna Oprescu & Vasilis Syrgkanis & Zhiwei Steven Wu, 2018. "Orthogonal Random Forest for Causal Inference," Papers 1806.03467, arXiv.org, revised Sep 2019.
    178. Hans R. A. Koster & Piet Rietveld & Jos Van Ommeren, 2013. "Historic Amenities, Income and Sorting of Households," SERC Discussion Papers 0124, Centre for Economic Performance, LSE.
    179. Alice Mesnard & Martin Ravallion, 2006. "The Wealth Effect on New Business Startups in a Developing Economy," Economica, London School of Economics and Political Science, vol. 73(291), pages 367-392, August.
    180. BARRIOS, Salvador & GOERG, Holger & STROBL, Eric, 2004. "Foreign direct investment, competition and industrial development in the host country," LIDAM Discussion Papers CORE 2004011, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    181. Aifen Feng & Jingya Fan & Zhengfen Jin & Mengmeng Zhao & Xiaogai Chang, 2023. "Research Based on High-Dimensional Fused Lasso Partially Linear Model," Mathematics, MDPI, vol. 11(12), pages 1-15, June.
    182. Liu, Weiwei & Egan, Kevin J, 2019. "A Semiparametric Smooth Coefficient Estimator for Recreation Demand," MPRA Paper 95294, University Library of Munich, Germany.
    183. Alexandre Belloni & Victor Chernozhukov & Christian Hansen, 2013. "High dimensional methods and inference on structural and treatment effects," CeMMAP working papers CWP59/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    184. Byunghoon Kang, 2017. "Inference in Nonparametric Series Estimation with Data-Dependent Undersmoothing," Working Papers 170712442, Lancaster University Management School, Economics Department.
    185. BERTINELLI, Luisito & STROBL, Eric, 2003. "Urbanization, urban concentration and economic growth in developing countries," LIDAM Discussion Papers CORE 2003076, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    186. Patrick Richard, 2010. "Financial market instability and CO2 emissions," Cahiers de recherche 10-20, Departement d'économique de l'École de gestion à l'Université de Sherbrooke.
    187. Lien, Gudbrand & Kumbhakar, Subal C. & Alem, Habtamu, 2018. "Endogeneity, heterogeneity, and determinants of inefficiency in Norwegian crop-producing farms," International Journal of Production Economics, Elsevier, vol. 201(C), pages 53-61.
    188. You, Jinhong & Sun, Xiaoqian & Pang, Wan-kai & Leung, Ping-kei, 2002. "Jackknifing type weighted least squares estimators in partially linear regression models," Statistics & Probability Letters, Elsevier, vol. 60(1), pages 17-31, November.
    189. Wang, Wenju & Wang, Qiao, 2019. "Consistent specification test for partially linear models with the k-nearest-neighbor method," Economics Letters, Elsevier, vol. 177(C), pages 89-93.
    190. Bach, P. & Farbmacher, H. & Spindler, M., 2016. "Semiparametric Count Data Modeling with an Application to Health Service Demand," Health, Econometrics and Data Group (HEDG) Working Papers 16/20, HEDG, c/o Department of Economics, University of York.
    191. Jungyoon Lee & Peter M Robinson, 2013. "Panel Nonparametric Regression with Fixed Effects," STICERD - Econometrics Paper Series 569, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    192. Abhinandan Dalal & Patrick Blobaum & Shiva Kasiviswanathan & Aaditya Ramdas, 2024. "Anytime-Valid Inference for Double/Debiased Machine Learning of Causal Parameters," Papers 2408.09598, arXiv.org, revised Sep 2024.
    193. Laura Blow & Ian Crawford, 1999. "Valuing quality," IFS Working Papers W99/21, Institute for Fiscal Studies.
    194. Peter H. Egger & Katharina Erhardt, 2024. "Heterogeneous effects of tariff and nontariff trade‐policy barriers in quantitative general equilibrium," Quantitative Economics, Econometric Society, vol. 15(2), pages 453-487, May.
    195. Blow, Laura & Crawford, Ian, 2002. "A nonparametric method for valuing new goods," Working Paper Series 143, European Central Bank.
    196. Linton, Oliver & Mammen, Enno, 2004. "Estimating semiparametric ARCH (∞) models by kernel smoothing methods," LSE Research Online Documents on Economics 24762, London School of Economics and Political Science, LSE Library.
    197. Tuukka Saarimaa & Mika Kortelainen, 2012. "Do Homeowners Benefit the Neighborhood? Evidence from Semiparametric Hedonic Regressions," ERSA conference papers ersa12p472, European Regional Science Association.
    198. Francis Ostermeijer & Hans Koster & Jos van Ommeren, "undated". "Residential parking costs and car ownership: Implications for parking policy and automated vehicles," Tinbergen Institute Discussion Papers 19-020/VIII, Tinbergen Institute.
    199. Antonio Fidalgo, 2018. "Testing for normality in truncated anthropometric samples," Working Papers 0142, European Historical Economics Society (EHES).
    200. Kato, Kengo & Sasaki, Yuya, 2019. "Uniform confidence bands for nonparametric errors-in-variables regression," Journal of Econometrics, Elsevier, vol. 213(2), pages 516-555.
    201. Timothy B. Armstrong & Michal Kolesár & Soonwoo Kwon, 2020. "Bias-Aware Inference in Regularized Regression Models," Working Papers 2020-2, Princeton University. Economics Department..
    202. Sweetman, Arthur & Warman, Casey, 2009. "Temporary Foreign Workers and Former International Students as a Source of Permanent Immigration," CLSSRN working papers clsrn_admin-2009-34, Vancouver School of Economics, revised 22 Jun 2009.
    203. David Roodman, 2015. "A Replication of “Counting Chickens When They Hatch†(Economic Journal 2012)," Public Finance Review, , vol. 43(2), pages 256-281, March.
    204. Kristensen, Dennis, 2010. "Pseudo-maximum likelihood estimation in two classes of semiparametric diffusion models," Journal of Econometrics, Elsevier, vol. 156(2), pages 239-259, June.
    205. Arindrajit Dube & Jeff Jacobs & Suresh Naidu & Siddharth Suri, 2018. "Monopsony in Online Labor Markets," NBER Working Papers 24416, National Bureau of Economic Research, Inc.
    206. Thomas F. Crossley & Paul Grootendorst & Sule Korkmaz & Michael R. Veall, 2000. "The Effects of Drug Subsidies on Out-of Pocket Prescription Drug Expenditures by Seniors: Regional Evidence from Canada," Quantitative Studies in Economics and Population Research Reports 350, McMaster University.
    207. Cui, Xia & Lu, Ying & Peng, Heng, 2017. "Estimation of partially linear regression models under the partial consistency property," Computational Statistics & Data Analysis, Elsevier, vol. 115(C), pages 103-121.
    208. Andreas Koch & Jochen Späth & Harald Strotmann, 2012. "The Role of Employees for Post-Entry Firm Growth," IAW Discussion Papers 78, Institut für Angewandte Wirtschaftsforschung (IAW).
    209. Chen, Qihui, 2021. "Robust and optimal estimation for partially linear instrumental variables models with partial identification," Journal of Econometrics, Elsevier, vol. 221(2), pages 368-380.
    210. Kristensen, Dennis, 2011. "Semi-nonparametric estimation and misspecification testing of diffusion models," Journal of Econometrics, Elsevier, vol. 164(2), pages 382-403, October.
    211. Maximilian Maurice Gail & Phil-Adrian Klotz, 2021. "The Impact of the Agency Model on E-book Prices: Evidence from the UK," MAGKS Papers on Economics 202111, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
    212. Rafat Mahmood & Michael Jetter, 2020. "Communications Technology and Terrorism," Journal of Conflict Resolution, Peace Science Society (International), vol. 64(1), pages 127-166, January.
    213. Caitlin T. O’Loughlin & Paul W. Wilson, 2021. "Benchmarking the performance of US Municipalities," Empirical Economics, Springer, vol. 60(6), pages 2665-2700, June.
    214. Hua Chen & Jianing Xing & Xiaoxu Yang & Kai Zhan, 2021. "Heterogeneous Effects of Health Insurance on Rural Children’s Health in China: A Causal Machine Learning Approach," IJERPH, MDPI, vol. 18(18), pages 1-14, September.
    215. Dimitri Dimitropoulos and Adonis Yatchew, 2017. "Is Productivity Growth in Electricity Distribution Negative? An Empirical Analysis Using Ontario Data," The Energy Journal, International Association for Energy Economics, vol. 0(Number 2).
    216. Shoya Ishimaru, 2021. "Empirical Decomposition of the IV-OLS Gap with Heterogeneous and Nonlinear Effects," Papers 2101.04346, arXiv.org, revised Jun 2022.
    217. Alexandre Belloni & Victor Chernozhukov & Christian Hansen, 2012. "Inference on treatment effects after selection amongst high-dimensional controls," CeMMAP working papers CWP10/12, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    218. Marcelo M. Taddeo & Pedro A. Morettin, 2023. "Bayesian P-Splines Applied to Semiparametric Models with Errors Following a Scale Mixture of Normals," Sankhya A: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 85(2), pages 1331-1355, August.
    219. Gary Gorton & Richard Rosen, "undated". "Corporate Control, Portfolio Choice, and the Decline of Banking," Rodney L. White Center for Financial Research Working Papers 2-93, Wharton School Rodney L. White Center for Financial Research.
    220. Leona Shao-Zhi Li & Yize Liu & Jia Yuan, 2024. "The effect of the U.S.–China trade war on Chinese corporate innovation: A curse or a blessing?," Working Papers 202418, University of Macau, Faculty of Business Administration.
    221. PARK, Beyong U. & SICKLES, Robin C. & SIMAR, Léopold, 1998. "Stochastic panel frontiers: A semiparametric approach," LIDAM Reprints CORE 1330, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    222. Chen, Qi & Goldstein, Itay & Jiang, Wei, 2010. "Payoff complementarities and financial fragility: Evidence from mutual fund outflows," Journal of Financial Economics, Elsevier, vol. 97(2), pages 239-262, August.
    223. Perali, Federico, 2008. "The second Engel law: Is it a paradox?," European Economic Review, Elsevier, vol. 52(8), pages 1353-1377, November.
    224. Liang, Hua, 2006. "Estimation in partially linear models and numerical comparisons," Computational Statistics & Data Analysis, Elsevier, vol. 50(3), pages 675-687, February.
    225. Ruoyao Shi, 2021. "An Averaging Estimator for Two Step M Estimation in Semiparametric Models," Working Papers 202105, University of California at Riverside, Department of Economics.
    226. Guido Imbens & Jeffrey M. Wooldridge, 2008. "Recent developments in the econometrics of program evaluation," CeMMAP working papers CWP24/08, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    227. Nilsson, William, 2019. "Estimating nonlinear intergenerational income mobility with correlation curves," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 13, pages 1-20.
    228. Empora, Neophyta & Mamuneas, Theofanis P. & Stengos, Thanasis, 2020. "Output and pollution abatement in a U.S. state emission function," Environment and Development Economics, Cambridge University Press, vol. 25(1), pages 44-65, February.
    229. D'Haultfoeuille, Xavier & Gaillac, Christophe & Maurel, Arnaud, 2022. "Partially Linear Models under Data Combination," IZA Discussion Papers 15230, Institute of Labor Economics (IZA).
    230. Daniel Jacob, 2021. "CATE meets ML," Digital Finance, Springer, vol. 3(2), pages 99-148, June.
    231. Giuseppe De Luca & Franco Peracchi, 2007. "A sample selection model for unit and item nonresponse in cross-sectional surveys," CEIS Research Paper 95, Tor Vergata University, CEIS.
    232. Kangil Lee & Brian Whitacre, 2021. "A Study on the Impact of Unconventional (and Conventional) Drilling on Housing Prices in Central Oklahoma," Sustainability, MDPI, vol. 13(24), pages 1-17, December.
    233. Wang, Liqun & Hsiao, Cheng, 2011. "Method of moments estimation and identifiability of semiparametric nonlinear errors-in-variables models," Journal of Econometrics, Elsevier, vol. 165(1), pages 30-44.
    234. Dustin Chambers, 2010. "Does a rising tide raise all ships? The impact of growth on inequality," Applied Economics Letters, Taylor & Francis Journals, vol. 17(6), pages 581-586.
    235. Denis Fougère & Bruno Crépon & Thomas Brodaty, 2007. "Les méthodes micro-économétriques d'évaluation et leurs applications aux politiques actives de l'emploi," Économie et Prévision, Programme National Persée, vol. 177(1), pages 93-118.
    236. Vidal-Sanz, Jose M., 1999. "On universal unbiasedness of delta estimators," DES - Working Papers. Statistics and Econometrics. WS 6322, Universidad Carlos III de Madrid. Departamento de Estadística.
    237. Don Harding & Adrian Pagan, 2006. "The Econometric Analysis of Constructed Binary Time Series," Department of Economics - Working Papers Series 963, The University of Melbourne.
    238. Puhani, Patrick A., 1997. "Foul or Fair? The Heckman Correction for Sample Selection and Its Critique. A Short Survey," ZEW Discussion Papers 97-07, ZEW - Leibniz Centre for European Economic Research.
    239. Hong, Sheng-Yan, 2002. "Normal Approximation Rate and Bias Reduction for Data-Driven Kernel Smoothing Estimator in a Semiparametric Regression Model," Journal of Multivariate Analysis, Elsevier, vol. 80(1), pages 1-20, January.
    240. Victor Chernozhukov & Denis Chetverikov & Mert Demirer & Esther Duflo & Christian Hansen & Whitney K. Newey, 2016. "Double machine learning for treatment and causal parameters," CeMMAP working papers CWP49/16, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    241. Das, Monica & Basu, Sudip R., 2023. "Inclusive bank based financial development in countries with special needs: A semiparametric analysis," Economic Analysis and Policy, Elsevier, vol. 80(C), pages 740-753.
    242. Gurara, Daniel & Kpodar, Kangni & Presbitero, Andrea F. & Tessema, Dawit, 2021. "On the capacity to absorb public investment: How much is too much?☆," World Development, Elsevier, vol. 145(C).
    243. Lewbel, Arthur & Yang, Thomas Tao, 2016. "Identifying the average treatment effect in ordered treatment models without unconfoundedness," Journal of Econometrics, Elsevier, vol. 195(1), pages 1-22.
    244. Emla Fitzsimons & Marcos Vera-Hernandez, 2013. "Food for Thought? Breastfeeding and Child Development," IFS Working Papers W13/31, Institute for Fiscal Studies.
    245. Daniel Jacob, 2019. "Group Average Treatment Effects for Observational Studies," Papers 1911.02688, arXiv.org, revised Mar 2020.
    246. Polemis, Michael & Tselekounis, Markos, 2019. "Does deregulation drive innovation intensity? Lessons learned from the OECD telecommunications sector," MPRA Paper 92770, University Library of Munich, Germany.
    247. Phu Nguyen-Van & Thi Kim Cuong Pham & Duc-Anh Le, 2019. "Productivity and public expenditure: a structural estimation for Vietnam’s provinces," Asia-Pacific Journal of Regional Science, Springer, vol. 3(1), pages 95-120, February.
    248. Gomez-Gonzalez, Jose E. & Uribe, Jorge M. & Valencia, Oscar, 2024. "Sovereign Risk and Economic Complexity," IDB Publications (Working Papers) 13393, Inter-American Development Bank.
    249. Gong, X. & van Soest, A.H.O. & Zhang, P., 2000. "Sexual Bias and Household Consumption : A Semiparametic Analysis of Engel curves in Rural China," Other publications TiSEM 896cf4d1-37e5-490b-9e05-4, Tilburg University, School of Economics and Management.
    250. Maciej Lis & Iga Magda, 2014. "Dynamika płac w cyklu życia a indywidualny stan zdrowia," Gospodarka Narodowa. The Polish Journal of Economics, Warsaw School of Economics, issue 4, pages 121-142.
    251. Andrea Vaona & Stefano Schiavo, 2005. "Nonparametric and semiparametric evidence on the long-run effects of inflation on growth," Department of Economics Working Papers 0520, Department of Economics, University of Trento, Italia.
    252. Bo E. Honoré & Luojia Hu, 2020. "Selection Without Exclusion," Econometrica, Econometric Society, vol. 88(3), pages 1007-1029, May.
    253. Alfonso Díez-Minguela & Rafael González-Val & Julio Martinez-Galarraga & M. Teresa Sanchis & Daniel A. Tirado, 2017. "The long-term relationship between economic development and regional inequality: South-West Europe, 1860-2010," Working Papers 0119, European Historical Economics Society (EHES).
    254. Victor Chernozhukov & Juan Carlos Escanciano & Hidehiko Ichimura & Whitney K. Newey & James M. Robins, 2022. "Locally Robust Semiparametric Estimation," Econometrica, Econometric Society, vol. 90(4), pages 1501-1535, July.
    255. Haupt, Harry & Schnurbus, Joachim & Tschernig, Rolf, 2008. "On Nonparametric Estimation of a Hedonic Price Function," University of Regensburg Working Papers in Business, Economics and Management Information Systems 429, University of Regensburg, Department of Economics.
    256. Nicolas Debarsy & Vincenzo Verardi, 2010. "Estimating Nonlinearities in Spatial Autoregressive Models," Working Papers 1016, University of Namur, Department of Economics.
    257. Michael Lechner & Jana Mareckova, 2024. "Comprehensive Causal Machine Learning," Papers 2405.10198, arXiv.org.
    258. Naraidoo, Ruthira & Paya, Ivan, 2012. "Forecasting monetary policy rules in South Africa," International Journal of Forecasting, Elsevier, vol. 28(2), pages 446-455.
    259. Patrick Saart & Jiti Gao & Nam Hyun Kim, 2014. "Semiparametric methods in nonlinear time series analysis: a selective review," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 26(1), pages 141-169, March.
    260. Rina Friedberg & Julie Tibshirani & Susan Athey & Stefan Wager, 2018. "Local Linear Forests," Papers 1807.11408, arXiv.org, revised Sep 2020.
    261. Jürgen Gaul & Erik Theissen, 2015. "A Partially Linear Approach to Modeling the Dynamics of Spot and Futures Prices," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 35(4), pages 371-384, April.
    262. Måns Söderbom & Francis Teal & Anthony Wambugu & Godius Kahyarara, 2003. "The Dynamics of Returns to Education in Kenyan and Tanzanian Manufacturing," CSAE Working Paper Series 2003-17, Centre for the Study of African Economies, University of Oxford.
    263. Koster, Hans R.A. & Rouwendal, Jan, 2013. "Agglomeration, commuting costs, and the internal structure of cities," Regional Science and Urban Economics, Elsevier, vol. 43(2), pages 352-366.
    264. Shuyang Sheng & Xiaoting Sun, 2023. "Social Interactions with Endogenous Group Formation," Papers 2306.01544, arXiv.org.
    265. Harrison H. Li & Art B. Owen, 2023. "Double machine learning and design in batch adaptive experiments," Papers 2309.15297, arXiv.org.
    266. Choo, Eugene & Eid, Jean, 2008. "Interregional Price Difference in the New Orleans Auctions Market for Slaves," Journal of Business & Economic Statistics, American Statistical Association, vol. 26, pages 486-509.
    267. Bindele, Huybrechts F. & Abebe, Ash, 2015. "Semi-parametric rank regression with missing responses," Journal of Multivariate Analysis, Elsevier, vol. 142(C), pages 117-132.
    268. Zhou, Xian & You, Jinhong, 2004. "Wavelet estimation in varying-coefficient partially linear regression models," Statistics & Probability Letters, Elsevier, vol. 68(1), pages 91-104, June.
    269. Gozalo, Pedro L., 1997. "Nonparametric bootstrap analysis with applications to demographic effects in demand functions," Journal of Econometrics, Elsevier, vol. 81(2), pages 357-393, December.
    270. Hou, Zhezhi & Jin, Man & Kumbhakar, Subal C., 2020. "Productivity spillovers and human capital: A semiparametric varying coefficient approach," European Journal of Operational Research, Elsevier, vol. 287(1), pages 317-330.
    271. Zhengyu Zhang, 2013. "A Pairwise Difference Estimator for Partially Linear Spatial Autoregressive Models," Spatial Economic Analysis, Taylor & Francis Journals, vol. 8(2), pages 176-194, June.
    272. Milas, Costas & Naraidoo, Ruthira, 2012. "Financial conditions and nonlinearities in the European Central Bank (ECB) reaction function: In-sample and out-of-sample assessment," Computational Statistics & Data Analysis, Elsevier, vol. 56(1), pages 173-189, January.
    273. Martins-Filho, Carlos & Yao, Feng, 2012. "Kernel-based estimation of semiparametric regression in triangular systems," Economics Letters, Elsevier, vol. 115(1), pages 24-27.
    274. Grover,Arti & Lall,Somik V., 2016. "Jobs in the city : explaining urban spatial structure in Kampala," Policy Research Working Paper Series 7655, The World Bank.
    275. Jacoby, Hanan C, 2000. "Access to Markets and the Benefits of Rural Roads," Economic Journal, Royal Economic Society, vol. 110(465), pages 713-737, July.
    276. Victor Chernozhukov & Denis Chetverikov & Mert Demirer & Esther Duflo & Christian Hansen & Whitney Newey & James Robins, 2016. "Double/Debiased Machine Learning for Treatment and Causal Parameters," Papers 1608.00060, arXiv.org, revised Nov 2024.
    277. Ludwig, Markus & Flückiger, Matthias, 2014. "Economic Shocks in the Fisheries Sector and Maritime Piracy," MPRA Paper 56959, University Library of Munich, Germany.
    278. Manuel S. Santos & Juan Pablo Rincon-Zapatero, 2007. "Moving the Goalposts: Differentiability of the Value Function without Interiority Assumptions," Working Papers 0614, University of Miami, Department of Economics.
    279. Nancy Luke & Kaivan Munshi & Anu Oommen & Swapnil Singh, 2021. "Economic Development, the Nutrition Trap and Metabolic Disease," NBER Working Papers 29132, National Bureau of Economic Research, Inc.
    280. Park, Byeong U. & Sickles, Robin C. & Simar, Leopold, 2003. "Semiparametric-efficient estimation of AR(1) panel data models," Journal of Econometrics, Elsevier, vol. 117(2), pages 279-309, December.
    281. Chaohua Dong & Jiti Gao & Oliver Linton, 2018. "High dimensional semiparametric moment restriction models," CeMMAP working papers CWP04/18, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    282. Marica Valente & Timm Gries & Lorenzo Trapani, 2023. "Informal employment from migration shocks," Working Papers 2023-09, Faculty of Economics and Statistics, Universität Innsbruck.
    283. Paul Clarke & Annalivia Polselli, 2023. "Double Machine Learning for Static Panel Models with Fixed Effects," Papers 2312.08174, arXiv.org, revised Sep 2024.
    284. Dustin Chambers, 2005. "Inequality and Growth: A Semiparametric Investigation," Computing in Economics and Finance 2005 132, Society for Computational Economics.
    285. Wongsa-art, Pipat & Kim, Namhyun & Xia, Yingcun & Moscone, Francesco, 2024. "Varying coefficient panel data models and methods under correlated error components: Application to disparities in mental health services in England," Regional Science and Urban Economics, Elsevier, vol. 106(C).
    286. Young Jun Lee & Daniel Wilhelm, 2020. "Testing for the presence of measurement error in Stata," Stata Journal, StataCorp LP, vol. 20(2), pages 382-404, June.
    287. Wooldridge, Jeffrey M., 2009. "On estimating firm-level production functions using proxy variables to control for unobservables," Economics Letters, Elsevier, vol. 104(3), pages 112-114, September.
    288. M. Mehrab Bakhtiar & Raymond Guiteras & James A. Levinsohn & Ahmed Mushfiq Mobarak, 2021. "Social and Financial Incentives for Overcoming a Collective Action Problem," NBER Working Papers 29294, National Bureau of Economic Research, Inc.
    289. John G. Fernald & Robert E. Hall & James H. Stock & Mark W. Watson, 2017. "The Disappointing Recovery of Output after 2009," NBER Working Papers 23543, National Bureau of Economic Research, Inc.
    290. Gao, Jiti & Tong, Howell, 2002. "Nonparametric and semiparametric regression model selection," MPRA Paper 11987, University Library of Munich, Germany, revised Feb 2004.
    291. Masato Nishiwaki & Hyoeg Ug Kwon, 2013. "Are Losers Picked? An Empirical Analysis of Capacity Divestment and Production Reallocation in the Japanese Cement Industry," Journal of Industrial Economics, Wiley Blackwell, vol. 61(2), pages 430-467, June.
    292. Denis Nekipelov & Vira Semenova & Vasilis Syrgkanis, 2018. "Regularized Orthogonal Machine Learning for Nonlinear Semiparametric Models," Papers 1806.04823, arXiv.org, revised Sep 2021.
    293. Daniel J. Henderson & Léopold Simar & Le Wang, 2017. "The three s of public schools: irrelevant inputs, insufficient resources and inefficiency," Applied Economics, Taylor & Francis Journals, vol. 49(12), pages 1164-1184, March.
    294. Paul, Bino & Patnaik, Unmesh & Sahu, Santosh Kumar & Awasthi, Mansi, 2020. "What Does Increasing Labour Homogeneity Mean for Indian Manufacturing?," MPRA Paper 102904, University Library of Munich, Germany.
    295. Bhaumik, Sumon K. & Dimova, Ralitza & Kumbhakar, Subal C. & Sun, Kai, 2014. "More Is Better! What Can Firm-Specific Estimates of the Impact of Institutional Quality on Performance Tell Us?," IZA Discussion Papers 7886, Institute of Labor Economics (IZA).
    296. Carvalho, José-Raimundo & Magnac, Thierry & Xiong, Qizhou, 2014. "College Choice Allocation Mechanisms: Structural Estimates and Counterfactuals," TSE Working Papers 14-506, Toulouse School of Economics (TSE).
    297. Muhammad Nazmul Khan, 2022. "Estimating empirical marginal adjustment cost function: a power series approach," Empirical Economics, Springer, vol. 63(6), pages 3185-3210, December.
    298. Hardle, Wolfgang & Linton, Oliver & Wang, Qihua, 2003. "Semiparametric regression analysis under imputation for missing response data," LSE Research Online Documents on Economics 2206, London School of Economics and Political Science, LSE Library.
    299. Kazianga, Harounan, 2004. "Schooling Returns for Wage Earners in Burkina Faso: Evidence from the 1994 and 1998 National Surveys," Center Discussion Papers 28388, Yale University, Economic Growth Center.
    300. Richard Blundell & Howard Reed & Thomas M. Stoker, 1999. "Interpreting aggregate wage growth," IFS Working Papers W99/13, Institute for Fiscal Studies.
    301. Aradillas-López, Andrés, 2019. "Computing semiparametric efficiency bounds in linear models with nonparametric regressors," Economics Letters, Elsevier, vol. 185(C).
    302. Sager, Lutz, 2020. "Income inequality and carbon consumption: evidence from Environmental Engel curves," LSE Research Online Documents on Economics 102561, London School of Economics and Political Science, LSE Library.
    303. Aguirregabiria, Victor, 2009. "Econometric Issues and Methods in the Estimation of Production Functions," MPRA Paper 15973, University Library of Munich, Germany.
    304. Khan, Shakeeb & Maurel, Arnaud & Zhang, Yichong, 2020. "Informational Content of Factor Structures in Simultaneous Binary Response Models," IZA Discussion Papers 14008, Institute of Labor Economics (IZA).
    305. Grabiszewski, Konrad & Horenstein, Alex, 2020. "Effort is not a monotonic function of skills: Results from a global mobile experiment," Journal of Economic Behavior & Organization, Elsevier, vol. 176(C), pages 634-652.
    306. Richard K. Crump & V. Joseph Hotz & Guido W. Imbens & Oscar A. Mitnik, 2006. "Moving the Goalposts: Addressing Limited Overlap in the Estimation of Average Treatment Effects by Changing the Estimand," NBER Technical Working Papers 0330, National Bureau of Economic Research, Inc.
    307. Thomas Triebs & Subal C. Kumbhakar, 2012. "Management Practice in Production," ifo Working Paper Series 129, ifo Institute - Leibniz Institute for Economic Research at the University of Munich.
    308. Delgado, Michael S. & Harriger, Jessica L. & Khanna, Neha, 2015. "The value of environmental status signaling," Ecological Economics, Elsevier, vol. 111(C), pages 1-11.
    309. Marco Helbich & Wolfgang Brunauer & Eric Vaz & Peter Nijkamp, 2014. "Spatial Heterogeneity in Hedonic House Price Models: The Case of Austria," Urban Studies, Urban Studies Journal Limited, vol. 51(2), pages 390-411, February.
    310. Christos Kollias & Suzanna-Maria Paleologou, 2015. "Defence And Non-Defence Spending In The Usa: Stimuli To Economic Growth? Comparative Findings From A Semiparametric Approach," Bulletin of Economic Research, Wiley Blackwell, vol. 67(4), pages 359-370, October.
    311. Alena Bičáková & Štěpán Jurajda, 2014. "The Quiet Revolution and the Family: Gender Composition of Tertiary Education and Early Fertility Patterns," Discussion Papers 22, Central European Labour Studies Institute (CELSI).
    312. Daniel P. McMillen, 2010. "Issues In Spatial Data Analysis," Journal of Regional Science, Wiley Blackwell, vol. 50(1), pages 119-141, February.
    313. Enrico Santarelli & Hien Thu Tran, 2016. "Diversification strategies and firm performance in Vietnam," The Economics of Transition, The European Bank for Reconstruction and Development, vol. 24(1), pages 31-68, January.
    314. Christian A. Gregory & Christopher J. Ruhm, 2011. "Where Does the Wage Penalty Bite?," NBER Chapters, in: Economic Aspects of Obesity, pages 315-347, National Bureau of Economic Research, Inc.
    315. Zapata, Hector O. & Sulgham, Anil K., 2006. "A Semiparametric Approach to Estimate Engel curves using the US Micro Data," 2006 Annual meeting, July 23-26, Long Beach, CA 21092, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    316. Dranove, David, 1998. "Economies of scale in non-revenue producing cost centers: Implications for hospital mergers," Journal of Health Economics, Elsevier, vol. 17(1), pages 69-83, January.
    317. Ravi Kumar & Shahin Boluki & Karl Isler & Jonas Rauch & Darius Walczak, 2022. "Machine Learning based Framework for Robust Price-Sensitivity Estimation with Application to Airline Pricing," Papers 2205.01875, arXiv.org, revised Dec 2022.
    318. Sun, Zhihua & Ye, Xue & Sun, Liuquan, 2015. "Consistent test of error-in-variables partially linear model with auxiliary variables," Journal of Multivariate Analysis, Elsevier, vol. 141(C), pages 118-131.
    319. Jaumandreu, Jordi & Doraszelski, Ulrich, 2008. "R&D and Productivity: Estimating Production Functions when Productivity is Endogenous," CEPR Discussion Papers 6636, C.E.P.R. Discussion Papers.
    320. Julia Bird & Stéphane Straub, 2020. "The Brasilia Experiment: The Heterogeneous Impact of Road Access on Spatial Development in Brazil [L’expérience de Brasília : l’impact hétérogène de l’accès routier sur le développement spatial au ," Post-Print hal-02929470, HAL.
    321. Linton, Oliver B. & Mammen, Enno, 2008. "Nonparametric transformation to white noise," Journal of Econometrics, Elsevier, vol. 142(1), pages 241-264, January.
    322. Richard Blundell & Xiaohong Chen & Dennis Kristensen, 2003. "Nonparametric IV estimation of shape-invariant Engel curves," CeMMAP working papers CWP15/03, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    323. Ariel Pakes & Steven Olley, 1994. "A Limit Theorem for a Smooth Class of Semiparametric Estimators," Cowles Foundation Discussion Papers 1066, Cowles Foundation for Research in Economics, Yale University.
    324. Manh Hoang Nguyen & Thi Quy Vo, 2022. "Residual State Ownership and Firm Performance: A Case of Vietnam," JRFM, MDPI, vol. 15(6), pages 1-28, June.
    325. David Neumark & Daniel Polsky & Daniel Hansen, 1997. "Has Job Stability Declined Yet? New Evidence for the 1990's," NBER Working Papers 6330, National Bureau of Economic Research, Inc.
    326. Marion Dovis, 2009. "Formulation et estimation des modèles de mesure de la productivité totale des facteurs : une étude sur un panel d'entreprises turques," Revue d'économie politique, Dalloz, vol. 119(6), pages 945-982.
    327. Shin Kanaya, 2015. "Uniform Convergence Rates of Kernel-Based Nonparametric Estimators for Continuous Time Diffusion Processes: A Damping Function Approach," CREATES Research Papers 2015-50, Department of Economics and Business Economics, Aarhus University.
    328. Xiaohong Chen & Yanqin Fan & Victor Tsyrennifov, 2004. "Efficient Estimation of Semiparametric Multivariate Copula Models," Vanderbilt University Department of Economics Working Papers 0420, Vanderbilt University Department of Economics.
    329. Wang, Qihua & Sun, Zhihua, 2007. "Estimation in partially linear models with missing responses at random," Journal of Multivariate Analysis, Elsevier, vol. 98(7), pages 1470-1493, August.
    330. Lee, Lung-fei & Rosenzweig, Mark R. & Pitt, Mark M., 1997. "The effects of improved nutrition, sanitation, and water quality on child health in high-mortality populations," Journal of Econometrics, Elsevier, vol. 77(1), pages 209-235, March.
    331. Olivier Gergaud & Vincenzo Verardi, 2021. "Untalented but successful? Rosen and Adler superstar Pokemons," Empirical Economics, Springer, vol. 60(5), pages 2637-2655, May.
    332. Hall, Peter & Yatchew, Adonis, 2005. "Unified approach to testing functional hypotheses in semiparametric contexts," Journal of Econometrics, Elsevier, vol. 127(2), pages 225-252, August.
    333. Ruthira Naraidoo & Ivan Paya, 2010. "Forecasting Monetary Rules in South Africa," Working Papers 201007, University of Pretoria, Department of Economics.
    334. Liang, Zhongwen & Li, Qi, 2012. "Functional coefficient regression models with time trend," Journal of Econometrics, Elsevier, vol. 170(1), pages 15-31.
    335. Laura Blow & Ian Crawford, 1999. "A non-parametric bound on substitution bias in the UK retail prices index," IFS Working Papers W99/15, Institute for Fiscal Studies.
    336. Bryan S. Graham & Cristine Campos de Xavier Pinto, 2018. "Semiparametrically Efficient Estimation of the Average Linear Regression Function," NBER Working Papers 25234, National Bureau of Economic Research, Inc.
    337. Chen, Haotian & Smyth, Russell & Zhang, Xibin, 2017. "A Bayesian sampling approach to measuring the price responsiveness of gasoline demand using a constrained partially linear model," Energy Economics, Elsevier, vol. 67(C), pages 346-354.
    338. Suzanna-Maria Paleologou, 2016. "The long-run tendency of government expenditure: a semi-parametric modelling approach," Empirical Economics, Springer, vol. 50(3), pages 753-776, May.
    339. Haiqing Xu, 2010. "Social Interactions: A Game Theoretic Approach," Department of Economics Working Papers 130914, The University of Texas at Austin, Department of Economics.
    340. Hagen, Tobias, 2013. "Impact of national financial regulation on macroeconomic and fiscal performance after the 2007 financial shock: Econometric analyses based on cross-country data," Economics Discussion Papers 2013-26, Kiel Institute for the World Economy (IfW Kiel).
    341. Manzan, sebastiano & Zerom, Dawit, 2008. "A Semiparametric Analysis of Gasoline Demand in the US: Reexamining The Impact of Price," MPRA Paper 14386, University Library of Munich, Germany.
    342. Xinkun Nie & Stefan Wager, 2017. "Quasi-Oracle Estimation of Heterogeneous Treatment Effects," Papers 1712.04912, arXiv.org, revised Aug 2020.
    343. Triolo, Ryan C. & Wolak, Frank A., 2022. "Quantifying the benefits of a nodal market design in the Texas electricity market," Energy Economics, Elsevier, vol. 112(C).
    344. Kaivan Munshi & Mark Rosenzweig, 2013. "Networks, Commitment, and Competence: Caste in Indian Local Politics," NBER Working Papers 19197, National Bureau of Economic Research, Inc.
    345. Nicoletti, Cheti, 2006. "Nonresponse in dynamic panel data models," Journal of Econometrics, Elsevier, vol. 132(2), pages 461-489, June.
    346. Temel, Tugrul, 2011. "A nonparametric hypothesis test via the Bootstrap resampling," MPRA Paper 31880, University Library of Munich, Germany.
    347. Caetano, Carolina & Rothe, Christoph & Yıldız, Neşe, 2016. "A discontinuity test for identification in triangular nonseparable models," Journal of Econometrics, Elsevier, vol. 193(1), pages 113-122.
    348. Nottingham, Quinton J. & Cook, Deborah F., 2001. "Local linear regression for estimating time series data," Computational Statistics & Data Analysis, Elsevier, vol. 37(2), pages 209-217, August.
    349. Clemens, Michael A., 2021. "Violence, development, and migration waves: Evidence from Central American child migrant apprehensions," Journal of Urban Economics, Elsevier, vol. 124(C).
    350. Aryal, Gaurab & Gabrielli, Maria F. & Vuong, Quang, 2014. "Semiparametric Estimation of First-Price Auction Models," MPRA Paper 57340, University Library of Munich, Germany.
    351. Schafgans, Marcia M.A. & Zinde-Walsh, Victoria, 2002. "On Intercept Estimation In The Sample Selection Model," Econometric Theory, Cambridge University Press, vol. 18(1), pages 40-50, February.
    352. Li, Cong & Liang, Zhongwen, 2015. "Asymptotics for nonparametric and semiparametric fixed effects panel models," Journal of Econometrics, Elsevier, vol. 185(2), pages 420-434.
    353. Kyle Handley & Nuno Limão, 2013. "Policy Uncertainty, Trade and Welfare: Theory and Evidence for China and the U.S," NBER Working Papers 19376, National Bureau of Economic Research, Inc.
    354. Hussinger, Katrin, 2003. "R&D and Subsidies at the Firm Level: An Application of Parametric and Semi-Parametric Two-Step Selection Models," ZEW Discussion Papers 03-63, ZEW - Leibniz Centre for European Economic Research.
    355. Zhang, Xiaobei & Wang, Xiaojun, 2021. "Measures of human capital and the mechanics of economic growth," China Economic Review, Elsevier, vol. 68(C).
    356. Emmanuel Flachaire, 2005. "The Role of Economic Space in Decision Making: A Comment," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00175901, HAL.
    357. Susanna Kinnman & Magnus Lodefalk, 2009. "A Global Baltic:Potential Gains from Trade Liberalisation in the Baltic Sea States," Baltic Journal of Economics, Baltic International Centre for Economic Policy Studies, vol. 9(1), pages 55-79, July.
    358. Fan, Yanqin & Ullah, Aman, 1999. "Asymptotic Normality of a Combined Regression Estimator," Journal of Multivariate Analysis, Elsevier, vol. 71(2), pages 191-240, November.
    359. Maican, Florin & Orth, Matilda, 2015. "A dynamic analysis of entry regulations and productivity in retail trade," International Journal of Industrial Organization, Elsevier, vol. 40(C), pages 67-80.
    360. Carneiro, Pedro & Lee, Sokbae, 2009. "Estimating distributions of potential outcomes using local instrumental variables with an application to changes in college enrollment and wage inequality," Journal of Econometrics, Elsevier, vol. 149(2), pages 191-208, April.
    361. Hellwig, Michael & Schober, Dominik & Woll, Oliver, 2020. "Measuring market integration and estimating policy impacts on the Swiss electricity market," Energy Economics, Elsevier, vol. 86(C).
    362. Nilanjana Roy, 2001. "A semiparametric analysis of calorie response to income change across income groups and gender," The Journal of International Trade & Economic Development, Taylor & Francis Journals, vol. 10(1), pages 93-109.
    363. Juan Carlos Escanciano & Telmo P'erez-Izquierdo, 2023. "Automatic Locally Robust Estimation with Generated Regressors," Papers 2301.10643, arXiv.org, revised Nov 2023.
    364. Oliver Linton, 1996. "An Asymptotic Expansion in the Garch(1,1) Model," Cowles Foundation Discussion Papers 1118, Cowles Foundation for Research in Economics, Yale University.
    365. Subal C. Kumbhakar, 2017. "Do urbanization and public expenditure affect productivity growth? The case of Chinese Provinces," Indian Economic Review, Springer, vol. 52(1), pages 127-156, December.
    366. Mert Demirer & Vasilis Syrgkanis & Greg Lewis & Victor Chernozhukov, 2019. "Semi-Parametric Efficient Policy Learning with Continuous Actions," Papers 1905.10116, arXiv.org, revised Jul 2019.
    367. Steve Gibbons, 2002. "Neighbourhood Effects on Educational Achievement," CEE Discussion Papers 0018, Centre for the Economics of Education, LSE.
    368. Xin Geng & Carlos Martins-Filho & Feng Yao, 2015. "Estimation of a Partially Linear Regression in Triangular Systems," Working Papers 15-46, Department of Economics, West Virginia University.
    369. Gao, Jiti, 2007. "Nonlinear time series: semiparametric and nonparametric methods," MPRA Paper 39563, University Library of Munich, Germany, revised 01 Sep 2007.
    370. Gottschalk, Peter & Moffitt, Robert, 1999. "Changes in Job Instability and Insecurity Using Monthly Survey Data," Journal of Labor Economics, University of Chicago Press, vol. 17(4), pages 91-126, October.
    371. Jacob, Daniel, 2020. "Cross-Fitting and Averaging for Machine Learning Estimation of Heterogeneous Treatment Effects," IRTG 1792 Discussion Papers 2020-014, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
    372. Huang, Liquan & Khalil, Umair & Yıldız, Neşe, 2019. "Identification and estimation of a triangular model with multiple endogenous variables and insufficiently many instrumental variables," Journal of Econometrics, Elsevier, vol. 208(2), pages 346-366.
    373. Stephen R. Yeaple & Wolfgang Keller, 2003. "Multinational Enterprises, International Trade, and Productivity Growth: Firm-Level Evidence From the United States," IMF Working Papers 2003/248, International Monetary Fund.
    374. Paul W. Wilson & Shirong Zhao, 2022. "Evidence from shadow price of equity on “Too-Big-to-Fail” Banks," Journal of Productivity Analysis, Springer, vol. 57(1), pages 23-40, February.
    375. Salvador Barrios & Eric Strobl, 2005. "The dynamics of regional inequalities," European Economy - Economic Papers 2008 - 2015 229, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission.
    376. Dabo-Niang, Sophie & Guillas, Serge, 2010. "Functional semiparametric partially linear model with autoregressive errors," Journal of Multivariate Analysis, Elsevier, vol. 101(2), pages 307-315, February.
    377. Hidehiko Ichimura & Whitney K. Newey, 2017. "The influence function of semiparametric estimators," CeMMAP working papers 06/17, Institute for Fiscal Studies.
    378. Villacis, Alexis H. & Bloem, Jeffrey R. & Mishra, Ashok K., 2023. "Aspirations, risk preferences, and investments in agricultural technologies," Food Policy, Elsevier, vol. 120(C).
    379. Marcia M. A. Schafgans, 2000. "On Intercept Estimation in the Sample Selection Model," Econometric Society World Congress 2000 Contributed Papers 0730, Econometric Society.
    380. Gao, Jiti, 2012. "Identification, Estimation and Specification in a Class of Semi-Linear Time Series Models," MPRA Paper 39256, University Library of Munich, Germany, revised 14 May 2012.
    381. Roberto Ezcurra & Pedro Pascual, 2007. "Regional Polarisation and National Development in the European Union," Urban Studies, Urban Studies Journal Limited, vol. 44(1), pages 99-122, January.
    382. Jie He & Patrick Richard, 2009. "Environmental Kuznets Curve for CO2 in Canada," Cahiers de recherche 09-13, Departement d'économique de l'École de gestion à l'Université de Sherbrooke.
    383. Ping Yu & Peter C.B. Phillips, 2014. "Threshold Regression with Endogeneity," Cowles Foundation Discussion Papers 1966, Cowles Foundation for Research in Economics, Yale University.
    384. Samuel Bazzi & Arya Gaduh & Alexander D. Rothenberg & Maisy Wong, 2016. "Skill Transferability, Migration, and Development: Evidence from Population Resettlement in Indonesia," American Economic Review, American Economic Association, vol. 106(9), pages 2658-2698, September.
    385. Oliver Linton, 1993. "Second Order Approximation in the Partially Linear Regression Model," Cowles Foundation Discussion Papers 1065, Cowles Foundation for Research in Economics, Yale University.
    386. Liebert, H. & Mäder, B., 2016. "Marginal effects of physician coverage on infant and disease mortality," Health, Econometrics and Data Group (HEDG) Working Papers 16/17, HEDG, c/o Department of Economics, University of York.
    387. Seema Jayachandran, 2008. "Air Quality and Early-Life Mortality: Evidence from Indonesia's Wildfires," NBER Working Papers 14011, National Bureau of Economic Research, Inc.
    388. Thomas R. Covert & Richard L. Sweeney, 2019. "Relinquishing Riches: Auctions vs Informal Negotiations in Texas Oil and Gas Leasing," NBER Working Papers 25712, National Bureau of Economic Research, Inc.
    389. Dany Brouillette & Madigan Dockrill & Helen Lao & Laurence Savoie-Chabot, 2018. "Bending the Curves: Wages and Inflation," Staff Analytical Notes 2018-15, Bank of Canada.
    390. Simar, Léopold & Wilson, Paul, 2021. "Nonparametric, Stochastic Frontier Models with Multiple Inputs and Outputs," LIDAM Discussion Papers ISBA 2021003, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    391. Byeong U. Park & Robin C Sickles & Léopold Simar, 2002. "Semi parametric efficient estimation of dynamic panel data models," 10th International Conference on Panel Data, Berlin, July 5-6, 2002 C6-1, International Conferences on Panel Data.
    392. Kim, Chang Sik & Kim, In-Moo, 2012. "Partial parametric estimation for nonstationary nonlinear regressions," Journal of Econometrics, Elsevier, vol. 167(2), pages 448-457.
    393. Simon Calmar Andersen & Louise Beuchert & Phillip Heiler & Helena Skyt Nielsen, 2023. "A Guide to Impact Evaluation under Sample Selection and Missing Data: Teacher's Aides and Adolescent Mental Health," Papers 2308.04963, arXiv.org.
    394. Sugata Marjit & Lei Yang, 2015. "Accumulation with Malnutrition - The Role of Status Seeking Behavior," Discussion Papers Series 544, School of Economics, University of Queensland, Australia.
    395. Hu, Zihan & Li, Teng, 2016. "Too hot to hold: the effects of high temperatures during pregnancy on birth weight and adult welfare outcomes," MPRA Paper 68631, University Library of Munich, Germany.
    396. Ph. Nguyen Van & Th. Azomahou, 2005. "Nonlinearties and heterogeneity in environmental quality : an empirical analysis of deforestation," THEMA Working Papers 2005-13, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
    397. Byunghoon Kang, 2018. "Inference in Nonparametric Series Estimation with Specification Searches for the Number of Series Terms," Working Papers 240829404, Lancaster University Management School, Economics Department.
    398. Stephen Dobson & Carlyn Ramlogan-Dobson & Eric Strobl, 2012. "Convergence or divergence in cross-country growth?," International Review of Applied Economics, Taylor & Francis Journals, vol. 26(3), pages 417-424, November.
    399. Sokbae (Simon) Lee, 2004. "Endogeneity in quantile regression models: a control function approach," CeMMAP working papers CWP08/04, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    400. Roy Allen & John Rehbeck, 2020. "Counterfactual and Welfare Analysis with an Approximate Model," Papers 2009.03379, arXiv.org.
    401. Christopher F. Parmeter & Hung-Jen Wang & Subal C. Kumbhakar, 2017. "Nonparametric estimation of the determinants of inefficiency," Journal of Productivity Analysis, Springer, vol. 47(3), pages 205-221, June.
    402. Christian K.M. Kingombe, 2012. "Regional Analysis of Eastern Province Feeder Road Project - District level estimation of the Poverty Alleviation Effects of Rural Roads Improvements in Zambia’s Eastern Province," IHEID Working Papers 10-2012, Economics Section, The Graduate Institute of International Studies.
    403. H. Spencer Banzhaf & Garima Bhalla, 2012. "Do Households Prefer Small School Districts? A Natural Experiment," Southern Economic Journal, John Wiley & Sons, vol. 78(3), pages 819-841, January.
    404. Fang, Ying & Tang, Shengfang & Cai, Zongwu & Lin, Ming, 2020. "An alternative test for conditional unconfoundedness using auxiliary variables," Economics Letters, Elsevier, vol. 194(C).
    405. Weili Ding & Steven F. Lehrer, 2007. "Do Peers Affect Student Achievement in China's Secondary Schools?," The Review of Economics and Statistics, MIT Press, vol. 89(2), pages 300-312, May.
    406. Olaf Hübler, 2006. "Multilevel and nonlinear panel data models," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 90(1), pages 121-136, March.
    407. Daniel Ackerberg & Xiaohong Chen & Jinyong Hahn, 2011. "Asymptotic Variance Estimator for Two-Step Semiparametric Estimators," Cowles Foundation Discussion Papers 1803, Cowles Foundation for Research in Economics, Yale University.
    408. Cotti, Chad & Courtemanche, Charles & Maclean, Joanna Catherine & Nesson, Erik & Pesko, Michael F. & Tefft, Nathan W., 2022. "The effects of e-cigarette taxes on e-cigarette prices and tobacco product sales: Evidence from retail panel data," Journal of Health Economics, Elsevier, vol. 86(C).
    409. Qi Li & Aman Ullha, 1998. "Estimating partially linear panel data models with one-way error components," Econometric Reviews, Taylor & Francis Journals, vol. 17(2), pages 145-166.
    410. Hans Koster & Jos N. van Ommeren & Piet Rietveld, 2010. "Estimating Firms' Demand for Agglomeration," Tinbergen Institute Discussion Papers 10-087/3, Tinbergen Institute.
    411. David Dranove & Neil Gandal, 2001. "The DVD vs. DIVX Standard War: Empirical Evidence of Vaporware," Law and Economics 0012001, University Library of Munich, Germany.
    412. Hung‐Hao Chang & Chad D. Meyerhoefer, 2021. "COVID‐19 and the Demand for Online Food Shopping Services: Empirical Evidence from Taiwan," American Journal of Agricultural Economics, John Wiley & Sons, vol. 103(2), pages 448-465, March.
    413. Wang, Qiao, 2023. "A simple nonparametric conditional quantile estimator for time series with thin tails," Economics Letters, Elsevier, vol. 232(C).
    414. Daniel P. McMillen & Christopher Redfearn, 2007. "Estimation, Interpretation, and Hypothesis Testing for Nonparametric Hedonic House Price Functions," Working Paper 8550, USC Lusk Center for Real Estate.
    415. Madeira, Carlos, 2018. "Explaining the cyclical volatility of consumer debt risk using a heterogeneous agents model: The case of Chile," Journal of Financial Stability, Elsevier, vol. 39(C), pages 209-220.
    416. Biavaschi, Costanza, 2016. "Recovering the counterfactual wage distribution with selective return migration," Labour Economics, Elsevier, vol. 38(C), pages 59-80.
    417. Bernhardt, Annette & Morris, Martina & Handcock, Mark S & Scott, Marc A, 1999. "Trends in Job Instability and Wages for Young Adult Men," Journal of Labor Economics, University of Chicago Press, vol. 17(4), pages 65-90, October.
    418. Gallego, Nuria & Llano, Carlos, 2014. "The Border Effect and the Non-Linear Relationship between Trade and Distance," Working Papers in Economic Theory 2014/06, Universidad Autónoma de Madrid (Spain), Department of Economic Analysis (Economic Theory and Economic History).
    419. Taisuke Otsu & Mengshan Xu, 2022. "Isotonic propensity score matching," STICERD - Econometrics Paper Series 623, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    420. Hirte, Georg & Leßmann, Christian, 2014. "Trade, Integration and Interregional Inequality," VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100610, Verein für Socialpolitik / German Economic Association.
    421. Marica Valente, 2020. "Policy evaluation of waste pricing programs using heterogeneous causal effect estimation," Papers 2010.01105, arXiv.org, revised Nov 2022.
    422. Maurizio Mazzocco & Shiv Saini, 2006. "Testing Efficient Risk Sharing with Heterogeneous Risk Preferences: Semi-parametric Tests with an Application to Village Economies," 2006 Meeting Papers 108, Society for Economic Dynamics.
    423. Sule Alan & Thomas F. Crossley & Paul Grootendorst & Michael R. Veall, 2002. "Out-of-Pocket Prescription Drug Expenditures and Public Prescription Drug Programs," Quantitative Studies in Economics and Population Research Reports 379, McMaster University.
    424. Komunjer, Ivana & Vuong, Quang, 2010. "Efficient estimation in dynamic conditional quantile models," Journal of Econometrics, Elsevier, vol. 157(2), pages 272-285, August.
    425. Wang, Xiaoguang & Lu, Dawei & Song, Lixin, 2013. "Statistical inference for partially linear stochastic models with heteroscedastic errors," Computational Statistics & Data Analysis, Elsevier, vol. 66(C), pages 150-160.
    426. Samuel Bazzi & Martin Fiszbein & Mesay Gebresilasse, 2020. "Frontier Culture: The Roots and Persistence of “Rugged Individualism” in the United States," Econometrica, Econometric Society, vol. 88(6), pages 2329-2368, November.
    427. Philipp Bach & Victor Chernozhukov & Malte S. Kurz & Martin Spindler & Sven Klaassen, 2021. "DoubleML -- An Object-Oriented Implementation of Double Machine Learning in R," Papers 2103.09603, arXiv.org, revised Jun 2024.
    428. Jun Zhang & Zhenghui Feng & Peirong Xu & Hua Liang, 2017. "Generalized varying coefficient partially linear measurement errors models," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 69(1), pages 97-120, February.
    429. Jansen, Dennis W. & Li, Qi & Wang, Zijun & Yang, Jian, 2008. "Fiscal policy and asset markets: A semiparametric analysis," Journal of Econometrics, Elsevier, vol. 147(1), pages 141-150, November.
    430. Klein, Alexander & Crafts, Nicholas, 2015. "Agglomeration Externalities and Productivity Growth : U.S. Cities in the Railroad Era, 1880-1930," CAGE Online Working Paper Series 235, Competitive Advantage in the Global Economy (CAGE).
    431. Hengartner, Nicolas W. & Sperlich, Stefan, 2005. "Rate optimal estimation with the integration method in the presence of many covariates," Journal of Multivariate Analysis, Elsevier, vol. 95(2), pages 246-272, August.
    432. Newham, Melissa & Valente, Marica, 2024. "The cost of influence: How gifts to physicians shape prescriptions and drug costs," Journal of Health Economics, Elsevier, vol. 95(C).
    433. McMillen, Daniel P. & William Lester, T., 2003. "Evolving subcenters: employment and population densities in Chicago, 1970-2020," Journal of Housing Economics, Elsevier, vol. 12(1), pages 60-81, March.
    434. Ullah, Aman & Wang, Tao & Yao, Weixin, 2023. "Semiparametric partially linear varying coefficient modal regression," Journal of Econometrics, Elsevier, vol. 235(2), pages 1001-1026.
    435. Xiaohong Chen & Oliver Linton & Ingred van Keilegom, 2002. "Estimation of semiparametric models when the criterion function is not smooth," CeMMAP working papers 02/02, Institute for Fiscal Studies.
    436. Evan M. Herrnstadt & Ryan Kellogg & Eric Lewis, 2020. "The Economics of Time-Limited Development Options: The Case of Oil and Gas Leases," Working Papers 2020-66, Becker Friedman Institute for Research In Economics.
    437. Gicheva, Dora, 2010. "Working Long Hours and Early Career Outcomes in the High-End Labor Market," UNCG Economics Working Papers 10-3, University of North Carolina at Greensboro, Department of Economics.
    438. Courtemanche, Charles & Tchernis, Rusty & Ukert, Benjamin, 2018. "The effect of smoking on obesity: Evidence from a randomized trial," Journal of Health Economics, Elsevier, vol. 57(C), pages 31-44.
    439. Tripathi, Gautam, 1999. "A matrix extension of the Cauchy-Schwarz inequality," Economics Letters, Elsevier, vol. 63(1), pages 1-3, April.
    440. You, Jinhong & Zhou, Xian & Zhou, Yong, 2010. "Statistical inference for panel data semiparametric partially linear regression models with heteroscedastic errors," Journal of Multivariate Analysis, Elsevier, vol. 101(5), pages 1079-1101, May.
    441. Emran, M. Shahe & Shilpi. Forhad, 2002. "Marketing externalities and market development," Policy Research Working Paper Series 2839, The World Bank.
    442. Aneiros-Perez, G. & Vilar-Fernandez, J.M., 2008. "Local polynomial estimation in partial linear regression models under dependence," Computational Statistics & Data Analysis, Elsevier, vol. 52(5), pages 2757-2777, January.
    443. Kasahara, Hiroyuki & Li, Bingjing, 2020. "Grain exports and the causes of China's Great Famine, 1959–1961: County-level evidence," Journal of Development Economics, Elsevier, vol. 146(C).
    444. Kossova, Elena & Kupriianova, Liubov & Potanin, Bogdan, 2020. "Parametric and semiparametric multivariate sample selection models estimators’ accuracy: Comparative analysis on simulated data," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 57, pages 119-139.
    445. Juan Carlos Escanciano & Lin Zhu, 2015. "A Simple Data-Driven Estimator for the Semiparametric Sample Selection Model," Econometric Reviews, Taylor & Francis Journals, vol. 34(6-10), pages 734-762, December.
    446. Oliver Linton, 2001. "Symmetrizing and unitizing transformations for linear smoother weights," Computational Statistics, Springer, vol. 16(1), pages 153-164, March.
    447. Joris Pinkse & Karl Schurter, 2019. "Estimation of Auction Models with Shape Restrictions," Papers 1912.07466, arXiv.org.
    448. Das, M., 2003. "Identification and sequential estimation of panel data models with insufficient exclusion restrictions," Journal of Econometrics, Elsevier, vol. 114(2), pages 297-328, June.
    449. Liebert, Helge & Mäder, Beatrice, 2017. "The impact of regional health care coverage on infant mortality and disease incidence," VfS Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking 168103, Verein für Socialpolitik / German Economic Association.
    450. Bofinger, Peter & Scheuermeyer, Philipp, 2016. "Income Distribution and Aggregate Saving: A Non-Monotonic Relationship," CEPR Discussion Papers 11435, C.E.P.R. Discussion Papers.
    451. Lewbel, Arthur, 2000. "Semiparametric qualitative response model estimation with unknown heteroscedasticity or instrumental variables," Journal of Econometrics, Elsevier, vol. 97(1), pages 145-177, July.
    452. Mesnard, Alice & Ravallion, Martin, 2001. "Is inequality bad for business : a non-linear microeconomic model of wealth effects on self-employment," Policy Research Working Paper Series 2527, The World Bank.
    453. Huergo, Elena & Jaumandreu, Jordi, 2004. "Firms' age, process innovation and productivity growth," International Journal of Industrial Organization, Elsevier, vol. 22(4), pages 541-559, April.
    454. Paul, Satya & Shankar, Sriram, 2018. "On estimating efficiency effects in a stochastic frontier model," European Journal of Operational Research, Elsevier, vol. 271(2), pages 769-774.
    455. Serrano-Domingo, Guadalupe & Requena-Silvente, Francisco, 2013. "Re-examining the migration–trade link using province data: An application of the generalized propensity score," Economic Modelling, Elsevier, vol. 32(C), pages 247-261.
    456. Shakeeb Khan & Denis Nekipelov & Justin Rao, 2018. "Measuring the Return to Online Advertising: Estimation and Inference of Endogenous Treatment Effects," Boston College Working Papers in Economics 946, Boston College Department of Economics.
    457. Takahiro Hoshino & Yuya Shimizu, 2019. "Doubly Robust-type Estimation of Population Moments and Parameters in Biased Sampling," Keio-IES Discussion Paper Series 2019-006, Institute for Economics Studies, Keio University.
    458. Kim Huynh & Robert Petrunia & Joel Rodrigue & Walter Steingress, 2023. "Exporting and Investment Under Credit Constraints," Staff Working Papers 23-10, Bank of Canada.
    459. Salma Ahmad & Ranjan Ray, 2014. "Health consequences of child labour in Bangladesh," Demographic Research, Max Planck Institute for Demographic Research, Rostock, Germany, vol. 30(4), pages 111-150.
    460. Stanislao Maldonado, 2018. "The Non-Monotonic Political Effects of Resource Booms," Working Papers 121, Peruvian Economic Association.
    461. Hu Yang & Ning Li & Jing Yang, 2020. "A robust and efficient estimation and variable selection method for partially linear models with large-dimensional covariates," Statistical Papers, Springer, vol. 61(5), pages 1911-1937, October.
    462. Lee, Jungyoon & Robinson, Peter M., 2013. "Series estimation under cross-sectional dependence," LSE Research Online Documents on Economics 58188, London School of Economics and Political Science, LSE Library.
    463. Zelin Zhang & Kejia Yang & Jonathan Z. Zhang & Robert W. Palmatier, 2023. "Uncovering Synergy and Dysergy in Consumer Reviews: A Machine Learning Approach," Management Science, INFORMS, vol. 69(4), pages 2339-2360, April.
    464. Alexandre Belloni & Victor Chernozhukov & Kengo Kato, 2014. "Uniform post selection inference for LAD regression and other Z-estimation problems," CeMMAP working papers CWP51/14, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    465. Green, Carl & Long, Wei & Hsiao, Cheng, 2015. "Testing error serial correlation in fixed effects nonparametric panel data models," Journal of Econometrics, Elsevier, vol. 188(2), pages 466-473.
    466. William Cheung & Lewen Guo & Yuichiro Kawaguchi, 2021. "Automated valuation model for residential rental markets: evidence from Japan," Journal of Spatial Econometrics, Springer, vol. 2(1), pages 1-34, December.
    467. María José Lombardía & Stefan Sperlich, 2008. "Semiparametric inference in generalized mixed effects models," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 70(5), pages 913-930, November.
    468. Schmidt, Stefanie R, 1999. "Long-Run Trends in Workers' Beliefs about Their Own Job Security: Evidence from the General Social Survey," Journal of Labor Economics, University of Chicago Press, vol. 17(4), pages 127-141, October.
    469. Anish Agarwal & Rahul Singh, 2021. "Causal Inference with Corrupted Data: Measurement Error, Missing Values, Discretization, and Differential Privacy," Papers 2107.02780, arXiv.org, revised Feb 2024.
    470. Gorgens, Tue & Horowitz, Joel L., 1999. "Semiparametric estimation of a censored regression model with an unknown transformation of the dependent variable," Journal of Econometrics, Elsevier, vol. 90(2), pages 155-191, June.
    471. Lance Bachmeier, 2002. "Is the term structure nonlinear? A semiparametric investigation," Applied Economics Letters, Taylor & Francis Journals, vol. 9(3), pages 151-153.
    472. Joonwoo Nahm, 2010. "Price determinants and genre effects in the Korean art market: a partial linear analysis of size effect," Journal of Cultural Economics, Springer;The Association for Cultural Economics International, vol. 34(4), pages 281-297, November.
    473. Crafts, Nicholas & Klein, Alexander, 2015. "Agglomeration Economies and Productivity Growth: U.S. Cities, 1880-1930," CEPR Discussion Papers 10673, C.E.P.R. Discussion Papers.
    474. Poirier, Alexandre, 2017. "Efficient estimation in models with independence restrictions," Journal of Econometrics, Elsevier, vol. 196(1), pages 1-22.
    475. Ketteni, Elena & Mamuneas, Theofanis & Stengos, Thanasis, 2011. "The Effect Of Information Technology And Human Capital On Economic Growth," Macroeconomic Dynamics, Cambridge University Press, vol. 15(5), pages 595-615, November.
    476. M. Li & J. L. Tobias, 2003. "A semiparametric investigation of the school quality-gs relationship," Applied Economics Letters, Taylor & Francis Journals, vol. 10(1), pages 43-45.
    477. Leon Zolotoy & Don O’Sullivan & Myeong-Gu Seo & Madhu Veeraraghavan, 2021. "Mood and Ethical Decision Making: Positive Affect and Corporate Philanthropy," Journal of Business Ethics, Springer, vol. 171(1), pages 189-208, June.
    478. Cai, Hengrui & Shi, Chengchun & Song, Rui & Lu, Wenbin, 2023. "Jump interval-learning for individualized decision making with continuous treatments," LSE Research Online Documents on Economics 118231, London School of Economics and Political Science, LSE Library.
    479. Moral, Ignacio & Rodriguez-Poo, Juan M., 2004. "An efficient marginal integration estimator of a semiparametric additive modelling," Statistics & Probability Letters, Elsevier, vol. 69(4), pages 451-463, October.
    480. Dong, Hao & Otsu, Taisuke & Taylor, Luke, 2022. "Estimation of varying coefficient models with measurement error," LSE Research Online Documents on Economics 108147, London School of Economics and Political Science, LSE Library.
    481. James J. Heckman, 2005. "Micro Data, Heterogeneity and the Evaluation of Public Policy Part 2," The American Economist, Sage Publications, vol. 49(1), pages 16-44, March.
    482. Jonathan Fuhr & Philipp Berens & Dominik Papies, 2024. "Estimating Causal Effects with Double Machine Learning -- A Method Evaluation," Papers 2403.14385, arXiv.org, revised Apr 2024.
    483. Giorgio Canarella & Stephen M. Miller, 2019. "Firm Size, Corporate Debt, R&D Activity, and Agency Costs: Exploring Dynamic and Non-Linear Effects," Working papers 2019-05, University of Connecticut, Department of Economics.
    484. Richard W. Blundell & Martin Browning & Ian A. Crawford, 2003. "Nonparametric Engel Curves and Revealed Preference," Econometrica, Econometric Society, vol. 71(1), pages 205-240, January.
    485. James Levinsohn & Amil Petrin, 2000. "Estimating Production Functions Using Inputs to Control for Unobservables," NBER Working Papers 7819, National Bureau of Economic Research, Inc.
    486. Daniel Jacob, 2021. "CATE meets ML -- The Conditional Average Treatment Effect and Machine Learning," Papers 2104.09935, arXiv.org, revised Apr 2021.
    487. Jeffrey R. Bloem, 2021. "Aspirations and investments in rural Myanmar," The Journal of Economic Inequality, Springer;Society for the Study of Economic Inequality, vol. 19(4), pages 727-752, December.
    488. Holland, Ashley D., 2017. "Penalized spline estimation in the partially linear model," Journal of Multivariate Analysis, Elsevier, vol. 153(C), pages 211-235.
    489. Li, Lingling & Tchetgen Tchetgen, Eric & van der Vaart, Aad & Robins, James M., 2011. "Higher order inference on a treatment effect under low regularity conditions," Statistics & Probability Letters, Elsevier, vol. 81(7), pages 821-828, July.
    490. Pierre LEVASSEUR, 2016. "The effects of bodyweight on wages in urban Mexico," Cahiers du GREThA (2007-2019) 2016-18, Groupe de Recherche en Economie Théorique et Appliquée (GREThA).
    491. Aklin, Michaël, 2021. "Do high electricity bills undermine public support for renewables? Evidence from the European Union," Energy Policy, Elsevier, vol. 156(C).
    492. Moschini, GianCarlo, 1991. "Testing for Preference Change in Consumer Demand: An Indirectly Separable, Semiparametric Model," Staff General Research Papers Archive 11261, Iowa State University, Department of Economics.
    493. Mealli, Fabrizia & Pacini, Barbara, 2008. "Comparing principal stratification and selection models in parametric causal inference with nonignorable missingness," Computational Statistics & Data Analysis, Elsevier, vol. 53(2), pages 507-516, December.
    494. Li, Shuo & Tu, Yundong, 2016. "n-consistent density estimation in semiparametric regression models," Computational Statistics & Data Analysis, Elsevier, vol. 104(C), pages 91-109.
    495. Wolfgang Härdle & Oliver Linton & Wang & Qihua, 2003. "Semiparametric regression analysis with missing response at random," CeMMAP working papers 11/03, Institute for Fiscal Studies.
    496. Chang, Yoosoon & Choi, Yongok & Kim, Chang Sik & Miller, J. Isaac & Park, Joon Y., 2016. "Disentangling temporal patterns in elasticities: A functional coefficient panel analysis of electricity demand," Energy Economics, Elsevier, vol. 60(C), pages 232-243.
    497. Seebens, Holger, 2009. "Child Welfare and Old-Age Security in Female Headed Households in Tanzania," IZA Discussion Papers 3929, Institute of Labor Economics (IZA).
    498. Tran, Dai Binh & Tran, Hanh Thi My & Pham, Thao Dinh Ngoc & Nguyen, Thuy Thanh, 2023. "Education and agricultural household income: Comparative evidence from Vietnam and Thailand," World Development Perspectives, Elsevier, vol. 29(C).
    499. Petru Crudu, 2023. "Long-term effects of early adverse labour market conditions: A Causal Machine Learning approach," Working Papers 2023:21, Department of Economics, University of Venice "Ca' Foscari".
    500. Ibacache-Pulgar, Germán & Paula, Gilberto A., 2011. "Local influence for Student-t partially linear models," Computational Statistics & Data Analysis, Elsevier, vol. 55(3), pages 1462-1478, March.
    501. Hagen, Tobias, 2013. "Impact of national financial regulation on macroeconomic and fiscal performance after the 2007 financial stock: Econometric analyses based on cross-country data," Working Paper Series 02, Frankfurt University of Applied Sciences, Faculty of Business and Law.
    502. Chu, Chi-Yang & Henderson, Daniel J. & Parmeter, Christopher F., 2017. "On discrete Epanechnikov kernel functions," Computational Statistics & Data Analysis, Elsevier, vol. 116(C), pages 79-105.
    503. Escribano, Álvaro & Wang, Dandan, 2021. "Mixed random forest, cointegration, and forecasting gasoline prices," International Journal of Forecasting, Elsevier, vol. 37(4), pages 1442-1462.
    504. Adland, Roar & Cariou, Pierre & Wolff, François-Charles, 2018. "Does energy efficiency affect ship values in the second-hand market?," Transportation Research Part A: Policy and Practice, Elsevier, vol. 111(C), pages 347-359.
    505. Boente, Graciela & Rodriguez, Daniela, 2008. "Robust bandwidth selection in semiparametric partly linear regression models: Monte Carlo study and influential analysis," Computational Statistics & Data Analysis, Elsevier, vol. 52(5), pages 2808-2828, January.
    506. Maciej Lis, 2017. "Productivity based selection to retirement: Evidence from EU-SILC," IBS Working Papers 02/2017, Instytut Badan Strukturalnych.
    507. Eling, Martin & Jia, Ruo & Yao, Yi, 2014. "Between-Group Adverse Selection: Evidence from Group Critical Illness Insurance," Working Papers on Finance 1403, University of St. Gallen, School of Finance, revised Oct 2014.
    508. Peter Rupert & Mark E. Schweitzer & Eric K. Severance-Lossin & Erin Turner, 1996. "Earnings, education and experience," Economic Review, Federal Reserve Bank of Cleveland, issue Q IV, pages 2-12.
    509. Qi Li & Jeffrey Scott Racine, 2006. "Nonparametric Econometrics: Theory and Practice," Economics Books, Princeton University Press, edition 1, volume 1, number 8355.
    510. Sebastiano Manzan & Dawit Zerom, 2010. "A Semiparametric Analysis of Gasoline Demand in the United States Reexamining The Impact of Price," Econometric Reviews, Taylor & Francis Journals, vol. 29(4), pages 439-468.
    511. Denis Chetverikov & Daniel Wilhelm, 2016. "Nonparametric instrumental variable estimation under monotonicity," CeMMAP working papers 48/16, Institute for Fiscal Studies.
    512. Kan K & Lee M, 2009. "Lose Weight for Money Only if Over-Weight: Marginal Integration for Semi-Linear Panel Models," Health, Econometrics and Data Group (HEDG) Working Papers 09/19, HEDG, c/o Department of Economics, University of York.
    513. Ben-Moshe, Dan & D’Haultfœuille, Xavier & Lewbel, Arthur, 2017. "Identification of additive and polynomial models of mismeasured regressors without instruments," Journal of Econometrics, Elsevier, vol. 200(2), pages 207-222.
    514. Newey, Whitney K., 1999. "Consistency of two-step sample selection estimators despite misspecification of distribution," Economics Letters, Elsevier, vol. 63(2), pages 129-132, May.
    515. Hu, Cui & Xu, Zhaoyuan & Yashiro, Naomitsu, 2015. "Agglomeration and productivity in China: Firm level evidence," China Economic Review, Elsevier, vol. 33(C), pages 50-66.
    516. Max Cytrynbaum, 2021. "Optimal Stratification of Survey Experiments," Papers 2111.08157, arXiv.org, revised Aug 2023.
    517. Goldberg, Andrew & Romalis, John, 2015. "Public Debt and Growth in U.S. States," Working Papers 2015-10, University of Sydney, School of Economics.
    518. Victor Chernozhukov & Whitney Newey & Rahul Singh & Vasilis Syrgkanis, 2020. "Adversarial Estimation of Riesz Representers," Papers 2101.00009, arXiv.org, revised Apr 2024.
    519. Germán Aneiros-Pérez & Philippe Vieu, 2013. "Testing linearity in semi-parametric functional data analysis," Computational Statistics, Springer, vol. 28(2), pages 413-434, April.
    520. Saarimaa, Tuukka & Kortelainen, Mika, 2012. "Do homeowners benefit urban neighborhoods? Evidence from housing prices," Working Papers 36, VATT Institute for Economic Research.
    521. Wen-Shuenn Deng & Yi-Chen Lin, 2013. "Parameter heterogeneity in the foreign direct investment-income inequality relationship: a semiparametric regression analysis," Empirical Economics, Springer, vol. 45(2), pages 845-872, October.
    522. Zhao, Yan-Yong & Zhang, Yuchun & Liu, Yuan & Ismail, Noriszura, 2024. "Distributed debiased estimation of high-dimensional partially linear models with jumps," Computational Statistics & Data Analysis, Elsevier, vol. 191(C).
    523. Frazer, Garth, 2006. "Learning the master's trade: Apprenticeship and human capital in Ghana," Journal of Development Economics, Elsevier, vol. 81(2), pages 259-298, December.
    524. Hyungtaik Ahn & Hidehiko Ichimura & James L. Powell & Paul A. Ruud, 2018. "Simple Estimators for Invertible Index Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 36(1), pages 1-10, January.
    525. Byunghoon Kang, 2019. "Inference in Nonparametric Series Estimation with Specification Searches for the Number of Series Terms," Papers 1909.12162, arXiv.org, revised Feb 2020.
    526. Delgado, Miguel A. & Hidalgo, Javier, 2000. "Nonparametric inference on structural breaks," Journal of Econometrics, Elsevier, vol. 96(1), pages 113-144, May.
    527. McMillen, Daniel P., 2001. "Nonparametric Employment Subcenter Identification," Journal of Urban Economics, Elsevier, vol. 50(3), pages 448-473, November.
    528. Nopo, Hugo R. & Saavedra, Jaime & Torero, Maximo, 2004. "Ethnicity and Earnings in Urban Peru," IZA Discussion Papers 980, Institute of Labor Economics (IZA).
    529. Joel L. Horowitz, 2015. "Variable selection and estimation in high-dimensional models," CeMMAP working papers 35/15, Institute for Fiscal Studies.
    530. Taining Wang & Jinjing Tian, 2020. "Recasting the trade impact on labor share: a fixed-effect semiparametric estimation study," Empirical Economics, Springer, vol. 58(5), pages 2465-2511, May.
    531. Lars Skipper & Marianne Simonsen, 2006. "The costs of motherhood: an analysis using matching estimators," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(7), pages 919-934.
    532. Charles Bellemare & Bertrand Melenberg & Arthur van Soest van Soest, 2002. "Semi-parametric models for satisfaction with income," CeMMAP working papers 12/02, Institute for Fiscal Studies.
    533. Hans R.A. Koster & Jan Rouwendal, 2010. "The Impact of Mixed Land Use on Residential Property Values," Tinbergen Institute Discussion Papers 10-105/3, Tinbergen Institute.
    534. Theophile T. Azomahou & Jalal El Ouardighi & Phu Nguyen Van & Thi Kim Cuong Pham, 2010. "Testing convergence of European regions : A semiparametric approach," Post-Print hal-00279180, HAL.
    535. Mangiavacchi, Lucia & Piccoli, Luca, 2018. "Parental alcohol consumption and adult children's educational attainment," Economics & Human Biology, Elsevier, vol. 28(C), pages 132-145.
    536. van Vuuren, Aico, 2022. "Is There a Diminishing Value of Urban Amenities as a Result of the COVID-19 Pandemic?," IZA Discussion Papers 15025, Institute of Labor Economics (IZA).
    537. Jooyoung Cha & Harold D. Chiang & Yuya Sasaki, 2021. "Inference in high-dimensional regression models without the exact or $L^p$ sparsity," Papers 2108.09520, arXiv.org, revised Dec 2022.
    538. Casey Warman, 2007. "You Can Take It With You! The Returns To Foreign Human Capital Of Male Temporary Foreign Workers," Working Paper 1125, Economics Department, Queen's University.
    539. Jiti Gao & Peter C.B. Phillips, 2013. "Functional Coefficient Nonstationary Regression with Non- and Semi-Parametric Cointegration," Monash Econometrics and Business Statistics Working Papers 16/13, Monash University, Department of Econometrics and Business Statistics.
    540. Kyle Colangelo & Ying-Ying Lee, 2019. "Double debiased machine learning nonparametric inference with continuous treatments," CeMMAP working papers CWP54/19, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    541. Wang, Jia & Cai, Xizhen & Li, Runze, 2021. "Variable selection for partially linear models via Bayesian subset modeling with diffusing prior," Journal of Multivariate Analysis, Elsevier, vol. 183(C).
    542. Esteban Rossi-Hansberg & Pierre-Daniel Sarte & Raymond Owens, 2010. "Housing Externalities," Journal of Political Economy, University of Chicago Press, vol. 118(3), pages 485-535, June.
    543. Jessica Coria & Jūratė Jaraitė, 2019. "Transaction Costs of Upstream Versus Downstream Pricing of $$\hbox {CO}_{2}$$ CO 2 Emissions," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 72(4), pages 965-1001, April.
    544. Jikai Jin & Vasilis Syrgkanis, 2024. "Structure-agnostic Optimality of Doubly Robust Learning for Treatment Effect Estimation," Papers 2402.14264, arXiv.org, revised Mar 2024.
    545. Guadalupe Serrano-Domingo & Francisco Requena-Silvente, 2013. "Examining the non-linear relationship between migration and trade," Working Papers 1310, Department of Applied Economics II, Universidad de Valencia.
    546. Kim, Kun Ho & Chao, Shih-Kang & Härdle, Wolfgang Karl, 2020. "Simultaneous Inference of the Partially Linear Model with a Multivariate Unknown Function," IRTG 1792 Discussion Papers 2020-008, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
    547. Blundell, Richard & Powell, James L., 2007. "Censored regression quantiles with endogenous regressors," Journal of Econometrics, Elsevier, vol. 141(1), pages 65-83, November.
    548. Nishiyama, Y., 2005. "Kernel order selection by minimum bootstrapped MSE for density weighted averages," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 69(1), pages 113-122.
    549. Victor Chernozhukov & Whitney K. Newey & Rahul Singh, 2021. "A Simple and General Debiased Machine Learning Theorem with Finite Sample Guarantees," Papers 2105.15197, arXiv.org, revised Oct 2022.
    550. Li, Dingding & Stengos, Thanasis, 2002. "The partially linear regression model: Monte Carlo evidence from the projection pursuit regression approach," Economics Letters, Elsevier, vol. 75(1), pages 11-16, March.
    551. Ian Walker & Rhys Wheeler, 2018. "The Decline and Fall of UK Lotto," Working Papers 247054751, Lancaster University Management School, Economics Department.
    552. Yunfang Hu & Kazuo Nishimura & Ping Wang & Takuma Kunieda, 2019. "Flying or Trapped?," 2019 Meeting Papers 362, Society for Economic Dynamics.
      • Yunfang Hu & Takuma Kunieda & Kazuo Nishimura & Ping Wang, 2020. "Flying or Trapped?," NBER Working Papers 27278, National Bureau of Economic Research, Inc.
      • Yunfang Hu & Takuma Kunieda & Kazuo Nishimura & Ping Wang, 2023. "Flying or trapped?," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 75(2), pages 341-388, February.
    553. Natalia Kyui, 2013. "Expansion of Higher Education, Employment and Wages: Evidence from the Russian Transition," Staff Working Papers 13-45, Bank of Canada.
    554. Racine, Jeff & Li, Qi, 2004. "Nonparametric estimation of regression functions with both categorical and continuous data," Journal of Econometrics, Elsevier, vol. 119(1), pages 99-130, March.
    555. Patrick W. Saart & Jiti Gao & David E. Allen, 2015. "Semiparametric Autoregressive Conditional Duration Model: Theory and Practice," Econometric Reviews, Taylor & Francis Journals, vol. 34(6-10), pages 849-881, December.
    556. Koster, Hans R.A. & Ozgen, Ceren, 2021. "Cities and Tasks," IZA Discussion Papers 14231, Institute of Labor Economics (IZA).
    557. Chen, Songnian & Zhou, Yahong, 2010. "Semiparametric and nonparametric estimation of sample selection models under symmetry," Journal of Econometrics, Elsevier, vol. 157(1), pages 143-150, July.
    558. Dandan Liu & Rui Li & Zijun Wang, 2011. "Testing for structural breaks in panel varying coefficient models: with an application to OECD health expenditure," Empirical Economics, Springer, vol. 40(1), pages 95-118, February.
    559. J. Gibson & S. Rozelle, 2002. "How Elastic is Calorie Demand? Parametric, Nonparametric, and Semiparametric Results for Urban Papua New Guinea," Journal of Development Studies, Taylor & Francis Journals, vol. 38(6), pages 23-46.
    560. Schick, Anton, 1996. "Root-n consistent estimation in partly linear regression models," Statistics & Probability Letters, Elsevier, vol. 28(4), pages 353-358, August.
    561. Schick, Anton, 1996. "Root-n-consistent and efficient estimation in semiparametric additive regression models," Statistics & Probability Letters, Elsevier, vol. 30(1), pages 45-51, September.
    562. Schafgans, Marcia M. A., 2000. "Gender wage differences in Malaysia: parametric and semiparametric estimation," Journal of Development Economics, Elsevier, vol. 63(2), pages 351-378, December.
    563. Semenova, Vira, 2023. "Debiased machine learning of set-identified linear models," Journal of Econometrics, Elsevier, vol. 235(2), pages 1725-1746.
    564. Dong, Chaohua & Gao, Jiti & Linton, Oliver, 2023. "High dimensional semiparametric moment restriction models," Journal of Econometrics, Elsevier, vol. 232(2), pages 320-345.
    565. Nilsson, William, 2005. "Opportunities, Preferences and Incomes," Umeå Economic Studies 649, Umeå University, Department of Economics.
    566. Azomahou, Theophile & Goedhuys, Micheline & Nguyen-Van, Phu, 2009. "A structural nonparametric reappraisal of the CO2 emissions-income relationship," MERIT Working Papers 2009-064, United Nations University - Maastricht Economic and Social Research Institute on Innovation and Technology (MERIT).
    567. Denis Chetverikov & Daniel Wilhelm, 2017. "Nonparametric instrumental variable estimation under monotonicity," CeMMAP working papers CWP14/17, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    568. Qiong Pang & Xijian Hu, 2024. "INLA Estimation of Semi-Variable Coefficient Spatial Lag Model—Analysis of PM2.5 Influencing Factors in the Context of Urbanization in China," Mathematics, MDPI, vol. 12(7), pages 1-24, March.
    569. Thomas P. Triebs & Subal C. Kumbhakar, 2018. "Management in production: from unobserved to observed," Journal of Productivity Analysis, Springer, vol. 49(2), pages 111-121, June.
    570. Judith Chevalier & Glenn Ellison, 1998. "Career Concerns of Mutual Fund Managers," NBER Working Papers 6394, National Bureau of Economic Research, Inc.
    571. Levasseur, Pierre, 2017. "The ambiguous causal relationship between body-mass and labour income in emerging economies: The case of Mexico," MPRA Paper 81933, University Library of Munich, Germany.
    572. Graciela Boente & Daniela Rodriguez, 2012. "Robust estimates in generalized partially linear single-index models," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 21(2), pages 386-411, June.
    573. Lien, Donald & Hu, Yue & Liu, Long, 2017. "A note on using ratio variables in regression analysis," Economics Letters, Elsevier, vol. 150(C), pages 114-117.
    574. Jim Levinsohn & Wendy Petropoulos, 2001. "Creative Destruction or Just Plain Destruction?: The U.S. Textile and Apparel Industries since 1972," NBER Working Papers 8348, National Bureau of Economic Research, Inc.
    575. Axenbeck, Janna & Berner, Anne & Kneib, Thomas, 2022. "What drives the relationship between digitalization and industrial energy demand? Exploring firm-level heterogeneity," ZEW Discussion Papers 22-059, ZEW - Leibniz Centre for European Economic Research.
    576. Man, Georg, 2014. "Political competition and economic growth: A nonlinear relationship?," European Journal of Political Economy, Elsevier, vol. 36(C), pages 287-302.
    577. Xia, Yingcun & Härdle, Wolfgang, 2002. "Semi-parametric estimation of generalized partially linear single-index models," SFB 373 Discussion Papers 2002,56, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    578. Zhou, Jianhua & Parmeter, Christopher F. & Kumbhakar, Subal C., 2020. "Nonparametric estimation of the determinants of inefficiency in the presence of firm heterogeneity," European Journal of Operational Research, Elsevier, vol. 286(3), pages 1142-1152.
    579. Sawada, Yasuyuki & Takasaki, Yoshito, 2017. "Natural Disaster, Poverty, and Development: An Introduction," World Development, Elsevier, vol. 94(C), pages 2-15.
    580. Yatchew, A., 1997. "An elementary estimator of the partial linear model," Economics Letters, Elsevier, vol. 57(2), pages 135-143, December.
    581. Gayle, Wayne-Roy & Namoro, Soiliou Daw, 2013. "Estimation of a nonlinear panel data model with semiparametric individual effects," Journal of Econometrics, Elsevier, vol. 175(1), pages 46-59.
    582. Deniz Ozabaci & Daniel Henderson, 2015. "Additive kernel estimates of returns to schooling," Empirical Economics, Springer, vol. 48(1), pages 227-251, February.
    583. Eric Auerbach, 2019. "Identification and Estimation of a Partially Linear Regression Model using Network Data," Papers 1903.09679, arXiv.org, revised Jun 2021.
    584. Yang, Shuquan & Ling, Nengxiang, 2023. "Robust projected principal component analysis for large-dimensional semiparametric factor modeling," Journal of Multivariate Analysis, Elsevier, vol. 195(C).
    585. David Fielding & Paul Mizen, 2008. "Evidence on the Functional Relationship between Relative Price Variability and Inflation with Implications for Monetary Policy," Economica, London School of Economics and Political Science, vol. 75(300), pages 683-699, November.
    586. Jeffrey Racine, 2008. "Nonparametric econometrics: a primer (in Russian)," Quantile, Quantile, issue 4, pages 7-56, March.
    587. Sungwon Lee & Joon H. Ro, 2020. "Nonparametric Tests for Conditional Quantile Independence with Duration Outcomes," Working Papers 2013, Nam Duck-Woo Economic Research Institute, Sogang University (Former Research Institute for Market Economy).
    588. Christian Stetter & Philipp Mennig & Johannes Sauer, 2022. "Using Machine Learning to Identify Heterogeneous Impacts of Agri-Environment Schemes in the EU: A Case Study," European Review of Agricultural Economics, Oxford University Press and the European Agricultural and Applied Economics Publications Foundation, vol. 49(4), pages 723-759.
    589. Kim, Taehoon, 2019. "Signaling Effects of Layoffs in South Korea," Hitotsubashi Journal of Economics, Hitotsubashi University, vol. 60(2), pages 163-188, December.
    590. Yifei Lyu & Alexis Akira Toda, 2019. "Publications, Citations, Position, and Compensation of Economics Professors," Econ Journal Watch, Econ Journal Watch, vol. 16(2), pages 239–257-2, September.
    591. Keith Battocchi & Eleanor Dillon & Maggie Hei & Greg Lewis & Miruna Oprescu & Vasilis Syrgkanis, 2021. "Estimating the Long-Term Effects of Novel Treatments," Papers 2103.08390, arXiv.org, revised Feb 2022.
    592. Qizhao Chen & Vasilis Syrgkanis & Morgane Austern, 2022. "Debiased Machine Learning without Sample-Splitting for Stable Estimators," Papers 2206.01825, arXiv.org, revised Nov 2022.
    593. Brett Day & Ian Bateman & Iain Lake, 2007. "Beyond implicit prices: recovering theoretically consistent and transferable values for noise avoidance from a hedonic property price model," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 37(1), pages 211-232, May.
    594. BERTINELLI, Luisito & STROBL, Eric, 2004. "The Environmental Kuznets Curve semi-parametrically revisited," LIDAM Discussion Papers CORE 2004051, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    595. Xiaolin Sun, 2022. "Estimation of Heterogeneous Treatment Effects Using a Conditional Moment Based Approach," Papers 2210.15829, arXiv.org, revised Oct 2024.
    596. Amy Apon & Linh Ngo & Michael Payne & Paul Wilson, 2015. "Assessing the effect of high performance computing capabilities on academic research output," Empirical Economics, Springer, vol. 48(1), pages 283-312, February.
    597. Driva, Anastasia & Lührmann, Melanie & Winter, Joachim, 2016. "Gender differences and stereotypes in financial literacy: Off to an early start," Economics Letters, Elsevier, vol. 146(C), pages 143-146.
    598. Wenceslao González-Manteiga & Rosa Crujeiras, 2013. "An updated review of Goodness-of-Fit tests for regression models," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 22(3), pages 361-411, September.
    599. Daniel J. Henderson & Christopher F. Parmeter & Liangjun Su, 2017. "M-Estimation of a Nonparametric Threshold Regression Model," Working Papers 2017-15, University of Miami, Department of Economics.
    600. Murillo Carmen & San Juan Carlos & Sperlich Stefan, 2007. "An Empirical Assessment of the EU Agricultural Policy Based on Firm Level Data," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 227(3), pages 273-294, June.
    601. Philipp Eisenhauer & James J. Heckman & Edward Vytlacil, 2015. "The Generalized Roy Model and the Cost-Benefit Analysis of Social Programs," Journal of Political Economy, University of Chicago Press, vol. 123(2), pages 413-443.
    602. Heshmati, Almas & Kumbhakar, Subal C. & Sun, Kai, 2013. "Estimation of Productivity in Korean Electric Power Plants: A Semiparametric Smooth Coefficient Model," IZA Discussion Papers 7277, Institute of Labor Economics (IZA).
    603. Daisuke Kurisu & Taisuke Otsu, 2021. "Nonparametric inference for extremal conditional quantiles," STICERD - Econometrics Paper Series 616, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    604. Insik Min & Sheng jang Sheu & Zijun Wang, 2003. "A Monte Carlo Comparison of Various Semiparametric Type-3 Tobit Estimators," Annals of Economics and Finance, Society for AEF, vol. 4(1), pages 125-136, May.
    605. Sun, Kai & Kumbhakar, Subal C. & Tveterås, Ragnar, 2015. "Productivity and efficiency estimation: A semiparametric stochastic cost frontier approach," European Journal of Operational Research, Elsevier, vol. 245(1), pages 194-202.
    606. Takaaki Aoki, 2008. "Proposed separability restriction tests using nonparametric regression methods," Applied Economics Letters, Taylor & Francis Journals, vol. 15(12), pages 949-954.
    607. Rosenthal, Stuart S. & Strange, William C. & Urrego, Joaquin A., 2022. "JUE insight: Are city centers losing their appeal? Commercial real estate, urban spatial structure, and COVID-19," Journal of Urban Economics, Elsevier, vol. 127(C).
    608. Chen, Xi, 2017. "Biased Technical Change, Scale, And Factor Substitution In U.S. Manufacturing Industries," Macroeconomic Dynamics, Cambridge University Press, vol. 21(2), pages 488-514, March.
    609. Li, Qi & Hsiao, Cheng & Zinn, Joel, 2003. "Consistent specification tests for semiparametric/nonparametric models based on series estimation methods," Journal of Econometrics, Elsevier, vol. 112(2), pages 295-325, February.
    610. Juan Carlos Escanciano & Joel Robert Terschuur, 2022. "Machine Learning Inference on Inequality of Opportunity," Papers 2206.05235, arXiv.org, revised Oct 2023.
    611. Das, Monica & Basu, Sudip Ranjan, 2022. "Understanding the relationship between income inequality and pollution: A fresh perspective with cross-country evidence," World Development Perspectives, Elsevier, vol. 26(C).
    612. Emmanuel Skoufias & Vincenzo Di Maro & Teresa González‐Cossío & Sonia Rodríguez Ramírez, 2009. "Nutrient consumption and household income in rural Mexico," Agricultural Economics, International Association of Agricultural Economists, vol. 40(6), pages 657-675, November.
    613. Hübler, Olaf, 2005. "Panel Data Econometrics: Modelling and Estimation," Hannover Economic Papers (HEP) dp-319, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    614. Kuckulenz Anja & Maier Michael, 2006. "Heterogeneous Returns to Training: An Analysis with German Data Using Local Instrumental Variables," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 226(1), pages 24-40, February.
    615. Ryo Aruga & Keiichi Goshima & Takashi Chiba, 2022. "CO2 Emissions and Corporate Performance: Japan's Evidence with Double Machine Learning," IMES Discussion Paper Series 22-E-01, Institute for Monetary and Economic Studies, Bank of Japan.
    616. Fricke, Daniel & Jank, Stephan & Wilke, Hannes, 2022. "Who creates and who bears flow externalities in mutual funds?," Discussion Papers 41/2022, Deutsche Bundesbank.
    617. Joel L. Horowitz, 2015. "Variable selection and estimation in high-dimensional models," Canadian Journal of Economics, Canadian Economics Association, vol. 48(2), pages 389-407, May.
    618. Lee, Jungyoon & Robinson, Peter M., 2013. "Panel nonparametric regression with fixed effects," LSE Research Online Documents on Economics 58175, London School of Economics and Political Science, LSE Library.
    619. Polemis, Michael L. & Stengos, Thanasis, 2020. "The impact of regulatory quality on business venturing: A semi-parametric approach," Economic Analysis and Policy, Elsevier, vol. 67(C), pages 29-36.
    620. Bin Li & Mingzhen Lu & Yiyi Zhang & Jia Huang, 2019. "A Weekend Load Forecasting Model Based on Semi-Parametric Regression Analysis Considering Weather and Load Interaction," Energies, MDPI, vol. 12(20), pages 1-19, October.
    621. Kazianga, Harounan, 2004. "Motives for Household Private Transfers in Burkina Faso," Center Discussion Papers 28463, Yale University, Economic Growth Center.
    622. Boente, Graciela & Rodriguez, Daniela, 2010. "Robust inference in generalized partially linear models," Computational Statistics & Data Analysis, Elsevier, vol. 54(12), pages 2942-2966, December.
    623. Jacob, Daniel & Härdle, Wolfgang Karl & Lessmann, Stefan, 2019. "Group Average Treatment Effects for Observational Studies," IRTG 1792 Discussion Papers 2019-028, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
    624. Oliver Linton, 1997. "Second Order Approximation in a Linear Regression with Heteroskedasticity for Unknown Form," Cowles Foundation Discussion Papers 1151, Cowles Foundation for Research in Economics, Yale University.
    625. Yixin Fang & Heng Lian & Hua Liang, 2018. "A generalized partially linear framework for variance functions," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 70(5), pages 1147-1175, October.
    626. You, Jinhong & Chen, Gemai, 2006. "Estimation of a semiparametric varying-coefficient partially linear errors-in-variables model," Journal of Multivariate Analysis, Elsevier, vol. 97(2), pages 324-341, February.
    627. Hsiao, Cheng & Shen, Yan & Wang, Boqing & Weeks, Greg, 2008. "Evaluating the effectiveness of Washington state repeated job search services on the employment rate of prime-age female welfare recipients," Journal of Econometrics, Elsevier, vol. 145(1-2), pages 98-108, July.
    628. Park, Sangin, 2003. "Semiparametric instrumental variables estimation," Journal of Econometrics, Elsevier, vol. 112(2), pages 381-399, February.
    629. Schulz, Rainer & Wersing, Martin, 2012. "A slab in the face: Building quality and neighborhood effects," SFB 649 Discussion Papers 2012-020, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    630. Vidal-Sanz, Jose M., 1999. "Global rates of convergence for the bias of singular integral estimators and their shifted versions," DES - Working Papers. Statistics and Econometrics. WS 6329, Universidad Carlos III de Madrid. Departamento de Estadística.
    631. Kamhon Kan & Chihwa Kao, 2005. "Simulation-Based Two-Step Estimation with Endogenous Regressors," Center for Policy Research Working Papers 76, Center for Policy Research, Maxwell School, Syracuse University.
    632. Lee, Jungyoon & Robinson, Peter M., 2016. "Series estimation under cross-sectional dependence," Journal of Econometrics, Elsevier, vol. 190(1), pages 1-17.
    633. Robert G. Valletta, 1998. "Declining job security," Working Papers in Applied Economic Theory 98-02, Federal Reserve Bank of San Francisco.
    634. Azomahou, Theophile T. & El Ouardighi, Jalal & Nguyen-Van, Phu & Kim Cuong Pham, Thi, 2010. "Convergence of European Regions: A Reappraisal," MERIT Working Papers 2010-029, United Nations University - Maastricht Economic and Social Research Institute on Innovation and Technology (MERIT).
    635. Bertille Antoine & Xiaolin Sun, 2022. "Partially linear models with endogeneity: a conditional moment-based approach [Efficient estimation of models with conditional moment restrictions containing unknown functions]," The Econometrics Journal, Royal Economic Society, vol. 25(1), pages 256-275.
    636. Ait-Sahalia, Yacine & Bickel, Peter J. & Stoker, Thomas M., 2001. "Goodness-of-fit tests for kernel regression with an application to option implied volatilities," Journal of Econometrics, Elsevier, vol. 105(2), pages 363-412, December.
    637. Khalil, Umair & Yıldız, Neşe, 2022. "A test of the selection on observables assumption using a discontinuously distributed covariate," Journal of Econometrics, Elsevier, vol. 226(2), pages 423-450.
    638. Rangan Gupta & Lardo Stander & Andrea Vaona, 2023. "Openness and growth: Is the relationship non‐linear?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(3), pages 3071-3099, July.
    639. You, Jinhong & Zhou, Xian, 2006. "Statistical inference in a panel data semiparametric regression model with serially correlated errors," Journal of Multivariate Analysis, Elsevier, vol. 97(4), pages 844-873, April.
    640. Wei Lin & Zhentao Shi & Yishu Wang & Ting Hin Yan, 2023. "Unfolding Beijing in a Hedonic Way," Computational Economics, Springer;Society for Computational Economics, vol. 61(1), pages 317-340, January.
    641. Arthur Lewbel, 2018. "The Identification Zoo - Meanings of Identification in Econometrics," Boston College Working Papers in Economics 957, Boston College Department of Economics, revised 14 Dec 2019.
    642. Hannah Druckenmiller & Solomon Hsiang, 2018. "Accounting for Unobservable Heterogeneity in Cross Section Using Spatial First Differences," Papers 1810.07216, arXiv.org, revised Aug 2019.
    643. Michael Levine, 2019. "Robust functional estimation in the multivariate partial linear model," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 71(4), pages 743-770, August.
    644. Alemayehu, Fikru K. & Kumbhakar, Subal C. & Landazuri Tveteraas, Sigbjørn, 2022. "Estimation of staff use efficiency: Evidence from the hospitality industry," Technological Forecasting and Social Change, Elsevier, vol. 178(C).
    645. Lin, Shu-Chin & (River) Huang, Ho-Chuan & Weng, Hsiao-Wen, 2006. "A semi-parametric partially linear investigation of the Kuznets' hypothesis," Journal of Comparative Economics, Elsevier, vol. 34(3), pages 634-647, September.
    646. Germán Aneiros-Pérez, 2004. "Plug-in bandwidth choice for estimation of nonparametric part in partial linear regression models with strong mixing errors," Statistical Papers, Springer, vol. 45(2), pages 191-210, April.
    647. Yanqin Fan & Qi Li, 2002. "A Consistent Model Specification Test Based On The Kernel Sum Of Squares Of Residuals," Econometric Reviews, Taylor & Francis Journals, vol. 21(3), pages 337-352.
    648. Henrika Langen & Martin Huber, 2022. "How causal machine learning can leverage marketing strategies: Assessing and improving the performance of a coupon campaign," Papers 2204.10820, arXiv.org, revised Jun 2022.
    649. Zongwu Cai & Huaiyu Xiong, 2013. "Effient Estimation of Partially Varying Coefficient Instrumental Variables Models," Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
    650. George-Levi Gayle & Christelle Viauroux, "undated". "Root-N Consistent Semiparametric Estimators of a Dynamic Panel Sample Selection Model," GSIA Working Papers 2004-E62, Carnegie Mellon University, Tepper School of Business.
    651. Mroz, Thomas A., 1999. "Discrete factor approximations in simultaneous equation models: Estimating the impact of a dummy endogenous variable on a continuous outcome," Journal of Econometrics, Elsevier, vol. 92(2), pages 233-274, October.
    652. Yatchew, A., 1999. "An elementary nonparametric differencing test of equality of regression functions," Economics Letters, Elsevier, vol. 62(3), pages 271-278, March.
    653. Wu, Guojun & Xiao, Zhijie, 2002. "A generalized partially linear model of asymmetric volatility," Journal of Empirical Finance, Elsevier, vol. 9(3), pages 287-319, August.
    654. Boente, Graciela & Vahnovan, Alejandra, 2017. "Robust estimators in semi-functional partial linear regression models," Journal of Multivariate Analysis, Elsevier, vol. 154(C), pages 59-84.
    655. Hotz, V. Joseph & Crump, Richard K. & Mitnik, Oscar A. & Imbens, Guido, 2009. "Dealing with Limited Overlap in Estimation of Average Treatment Effects," Scholarly Articles 3007645, Harvard University Department of Economics.
    656. Daniel P. McMillen & Christian L. Redfearn, 2010. "Estimation And Hypothesis Testing For Nonparametric Hedonic House Price Functions," Journal of Regional Science, Wiley Blackwell, vol. 50(3), pages 712-733, August.
    657. Mathilde Poulhes, 2017. "From Latin Quarter to Montmartre Investigating Parisian Real-Estate Prices," Working Papers 2017-13, Center for Research in Economics and Statistics.
    658. Leandro De Magalhães & Lucas Ferrero, 2012. "Separation of Powers and the Size of Government in the U.S. States," The Centre for Market and Public Organisation 12/285, The Centre for Market and Public Organisation, University of Bristol, UK.
    659. Astrid Pennerstorfer & Dieter Pennerstorfer, 2019. "Inequalities in spatial accessibility of childcare: The role of non-profit providers," Economics working papers 2019-15, Department of Economics, Johannes Kepler University Linz, Austria.
    660. Jaeger, David A & Stevens, Ann Huff, 1999. "Is Job Stability in the United States Falling? Reconciling Trends in the Current Population Survey and Panel Study of Income Dynamics," Journal of Labor Economics, University of Chicago Press, vol. 17(4), pages 1-28, October.
    661. Weiran Huang & Ashlyn Nelson & Stephen L. Ross, 2018. "Foreclosure Spillovers within Broad Neighborhoods," Working Papers 2018-096, Human Capital and Economic Opportunity Working Group.
    662. Schmidt-Dengler, Philipp & Schutz, Nicolas & Weiss, Christoph & Pennerstorfer, Dieter & Yontcheva, Biliana, 2015. "Information and Price Dispersion: Theory and Evidence," CEPR Discussion Papers 10771, C.E.P.R. Discussion Papers.
    663. Bontemps, Christophe & Simioni, Michel & Surry, Yves R., 2005. "Hedonic Housing Prices and Agricultural Pollution: An Empirical Investigation on Semiparametric Models," 2005 International Congress, August 23-27, 2005, Copenhagen, Denmark 24709, European Association of Agricultural Economists.
    664. Shannon Seitz & Aloysius Siow & Eugene Choo, 2010. "The Collective Marriage Matching Model: Identification, Estimation and Testing," 2010 Meeting Papers 267, Society for Economic Dynamics.
    665. Donald Lien & Feng Yao & Fan Zhang, 2018. "Confucius Institute's Effects on China's Higher Education Exports: A Perspective from Cultural Difference and Institutional Quality," Working Papers 18-04, Department of Economics, West Virginia University.
    666. Smruti Ranjan Behera, 2017. "Regional foreign direct investment and technology spillover: evidence across different clusters in India," Economics of Innovation and New Technology, Taylor & Francis Journals, vol. 26(7), pages 596-620, October.
    667. Kim, Namhyun & W. Saart, Patrick, 2021. "Estimation in partially linear semiparametric models with parametric and/or nonparametric endogeneity," Cardiff Economics Working Papers E2021/9, Cardiff University, Cardiff Business School, Economics Section.
    668. Chad Brown, 2024. "Statistical Properties of Deep Neural Networks with Dependent Data," Papers 2410.11113, arXiv.org, revised Nov 2024.
    669. Paudel, Krishna P. & Zapata, Hector O., 2004. "Two Methods Of Estimating Semiparametric Component In The Environmental Kuznet'S Curve (Ekc)," 2004 Annual Meeting, February 14-18, 2004, Tulsa, Oklahoma 34598, Southern Agricultural Economics Association.
    670. Ouyang, Min & Peng, Yulei, 2015. "The treatment-effect estimation: A case study of the 2008 economic stimulus package of China," Journal of Econometrics, Elsevier, vol. 188(2), pages 545-557.
    671. König, Anja, 1997. "Schätzen und Testen in semiparametrischen partiell linearen Modellen für die Paneldatenanalyse," Hannover Economic Papers (HEP) dp-208, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    672. Chesher, Andrew, 2009. "Excess heterogeneity, endogeneity and index restrictions," Journal of Econometrics, Elsevier, vol. 152(1), pages 37-45, September.
    673. Leung, Siu Fai & Yu, Shihti, 1996. "On the choice between sample selection and two-part models," Journal of Econometrics, Elsevier, vol. 72(1-2), pages 197-229.
    674. Deaton, A. & Paxson, C., 1997. "Economies of Scale, Household Size, and the Demand for Food," Papers 178, Princeton, Woodrow Wilson School - Development Studies.
    675. Yu-Chang Chen & Haitian Xie, 2022. "Personalized Subsidy Rules," Papers 2202.13545, arXiv.org, revised Mar 2022.
    676. Ahn, Hyungtaik, 1995. "Nonparametric two-stage estimation of conditional choice probabilities in a binary choice model under uncertainty," Journal of Econometrics, Elsevier, vol. 67(2), pages 337-378, June.
    677. Hans R. A. Koster & Jos Ommeren & Piet Rietveld, 2014. "Agglomeration Economies and Productivity: A Structural Estimation Approach Using Commercial Rents," Economica, London School of Economics and Political Science, vol. 81(321), pages 63-85, January.
    678. Klasing, Mariko J. & Milionis, Petros, 2014. "Quantifying the evolution of world trade, 1870–1949," Journal of International Economics, Elsevier, vol. 92(1), pages 185-197.
    679. Li, Qi & Stengos, Thanasis, 1996. "Semiparametric estimation of partially linear panel data models," Journal of Econometrics, Elsevier, vol. 71(1-2), pages 389-397.
    680. Stephen Dobson & Carlyn Ramlogan-Dobson & Eric Strobl, 2020. "Savings and the informal sector," International Review of Applied Economics, Taylor & Francis Journals, vol. 34(2), pages 217-234, March.
    681. Robert V. Breunig & Rebecca J. McKibbin, 2012. "Income Pooling between Australian Young Adults and Their Parents," LABOUR, CEIS, vol. 26(2), pages 235-265, June.
    682. Lee, Jinhyun, 2013. "A Consistent Nonparametric Bootstrap Test of Exogeneity," SIRE Discussion Papers 2013-95, Scottish Institute for Research in Economics (SIRE).
    683. E. Santarelli & H. T. Tran, 2013. "Diversification Strategies and Firm Performance: A Sample Selection Approach," Working Papers wp896, Dipartimento Scienze Economiche, Universita' di Bologna.
    684. Shoshana Grossbard & Sankar Mukhopadhyay, 2017. "Marriage markets as explanation for why heavier people work more hours," IZA Journal of Labor Economics, Springer;Forschungsinstitut zur Zukunft der Arbeit GmbH (IZA), vol. 6(1), pages 1-30, December.
    685. Adrian pagan & Don Harding, 2006. "The Econometric Analysis of Constructed Binary Time Series. Working paper #1," NCER Working Paper Series 1, National Centre for Econometric Research.
    686. Rojas Valdes, Ruben I. & Lin Lawell, C.-Y. Cynthia & Taylor, J. Edward, 2017. "The Dynamic Migration Game: A Structural Econometric Model and Application to Rural Mexico," 2017 Annual Meeting, July 30-August 1, Chicago, Illinois 259184, Agricultural and Applied Economics Association.
    687. Raymond E. Owens & Esteban Rossi-Hansberg & Pierre-Daniel G. Sarte, 2008. "Housing externalities : evidence from spatially concentrated urban revitalization programs," Working Paper 08-03, Federal Reserve Bank of Richmond.
    688. Duc-Anh Le & Phu Nguyen-Van & Thi Kim Cuong Pham, 2016. "Public expenditure, growth and productivity of Vietnam’s provinces," Working Papers of BETA 2016-17, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg.
    689. Gao, Jiti & Liang, Hua, 1995. "Asymptotic normality of pseudo-LS estimator for partly linear autoregression models," Statistics & Probability Letters, Elsevier, vol. 23(1), pages 27-34, April.
    690. Krantz, Sebastian, 2024. "Mapping Africa's infrastructure potential with geospatial big data and causal ML," Kiel Working Papers 2276, Kiel Institute for the World Economy (IfW Kiel).
    691. Ramdan Dridi, 2000. "Simulated Asymptotic Least Squares Theory," STICERD - Econometrics Paper Series 396, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    692. Markus Eberhardt & Christian Helmers, 2010. "Untested Assumptions and Data Slicing: A Critical Review of Firm-Level Production Function Estimators," Economics Series Working Papers 513, University of Oxford, Department of Economics.
    693. You, Jinhong & Chen, Gemai & Zhou, Yong, 2007. "Statistical inference of partially linear regression models with heteroscedastic errors," Journal of Multivariate Analysis, Elsevier, vol. 98(8), pages 1539-1557, September.
    694. Pinkse, Joris, 1998. "A consistent nonparametric test for serial independence," Journal of Econometrics, Elsevier, vol. 84(2), pages 205-231, June.
    695. Kreider, Brent, 1999. "Social Security Disability Insurance: Applications, Awards, and Lifetime Income Flows," Staff General Research Papers Archive 5188, Iowa State University, Department of Economics.
    696. Zongwu Cai & Zhijie Xiao, 2010. "Semiparametric Quantile Regression Estimation in Dynamic Models with Partially Varying Coefficients," Boston College Working Papers in Economics 761, Boston College Department of Economics.
    697. Lee, David S., 2008. "Randomized experiments from non-random selection in U.S. House elections," Journal of Econometrics, Elsevier, vol. 142(2), pages 675-697, February.
    698. Lessmann, Christian, 2014. "Spatial inequality and development — Is there an inverted-U relationship?," Journal of Development Economics, Elsevier, vol. 106(C), pages 35-51.
    699. Jones, Andrew M. & Wildman, John, 2008. "Health, income and relative deprivation: Evidence from the BHPS," Journal of Health Economics, Elsevier, vol. 27(2), pages 308-324, March.
    700. Gaduh, Arya & Gračner, Tadeja & Rothenberg, Alexander D., 2022. "Life in the slow lane: Unintended consequences of public transit in Jakarta," Journal of Urban Economics, Elsevier, vol. 128(C).
    701. DiNardo, John & Tobias, Justin, 2001. "Nonparametric Density and Regression Estimation," Staff General Research Papers Archive 12020, Iowa State University, Department of Economics.
    702. Wayne Yuan Gao & Rui Wang, 2023. "IV Regressions without Exclusion Restrictions," Papers 2304.00626, arXiv.org, revised Jul 2023.
    703. Koster, Hans R.A. & Rietveld, Piet & van Ommerren, Jos N., 2011. "Is the sky the limit? an analysis of high-rise office buildings," LSE Research Online Documents on Economics 58467, London School of Economics and Political Science, LSE Library.
    704. Han Shang, 2014. "Bayesian bandwidth estimation for a semi-functional partial linear regression model with unknown error density," Computational Statistics, Springer, vol. 29(3), pages 829-848, June.
    705. Wong, Heung & Liu, Feng & Chen, Min & Ip, Wai Cheung, 2009. "Empirical likelihood based diagnostics for heteroscedasticity in partial linear models," Computational Statistics & Data Analysis, Elsevier, vol. 53(9), pages 3466-3477, July.
    706. Dachary-Bernard, Jeanne & Rambonilaza, Tina & Lemarié-Boutry, Marie, 2014. "The response of land markets to flood protection and flood experience: a hedonic price modeling on the Gironde estuary (France)," 88th Annual Conference, April 9-11, 2014, AgroParisTech, Paris, France 169761, Agricultural Economics Society.
    707. Jacopo Mazza, 2012. "Does Risk Matter? A Semi-parametric Model for Educational Choices in the Presence of Uncertainty," Economics Discussion Paper Series 1225, Economics, The University of Manchester.
    708. Hardle, Wolfgang & LIang, Hua & Gao, Jiti, 2000. "Partially linear models," MPRA Paper 39562, University Library of Munich, Germany, revised 01 Sep 2000.
    709. Carlos Ordás Criado, 2008. "Temporal and Spatial Homogeneity in Air Pollutants Panel EKC Estimations," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 40(2), pages 265-283, June.
    710. Feng Li & Lu Lin & Yuxia Su, 2013. "Variable selection and parameter estimation for partially linear models via Dantzig selector," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 76(2), pages 225-238, February.
    711. Tadesse Getacher Engida & Christopher F. Parmeter & Xudong Rao & Alfons G.J.M. Oude Lansink, 2022. "Investment Inefficiency and Corporate Social Responsibility," Journal of Productivity Analysis, Springer, vol. 58(1), pages 95-108, August.
    712. Puigvert Jonathan & Juárez-Torres Miriam, 2019. "Labour Force Participation and the Business Cycle in Mexico," Working Papers 2019-04, Banco de México.
    713. Tianfa Xie & Zhihua Sun & Liuquan Sun, 2012. "A consistent model specification test for a partial linear model with covariates missing at random," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 24(4), pages 841-856, December.
    714. Chang, Hung-Hao & Nayga Jr., Rodolfo M., 2011. "Mother's nutritional label use and children's body weight," Food Policy, Elsevier, vol. 36(2), pages 171-178, April.
    715. Flückiger, Matthias & Ludwig, Markus, 2020. "Malaria suitability, urbanization and subnational development in sub-Saharan Africa," Journal of Urban Economics, Elsevier, vol. 120(C).
    716. Leslie, Gordon, 2018. "Tax induced emissions? Estimating short-run emission impacts from carbon taxation under different market structures," Journal of Public Economics, Elsevier, vol. 167(C), pages 220-239.
    717. Alexandra Soberon & Irene D’Hers, 2020. "The Environmental Kuznets Curve: A Semiparametric Approach with Cross-Sectional Dependence," JRFM, MDPI, vol. 13(11), pages 1-23, November.
    718. Sabiwalsky, Ralf, 2010. "Executive compensation regulation and the dynamics of the pay-performance sensitivity," SFB 649 Discussion Papers 2010-051, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    719. Dustin Chambers & Alan Krause, 2010. "Is the relationship between inequality and growth affected by physical and human capital accumulation?," The Journal of Economic Inequality, Springer;Society for the Study of Economic Inequality, vol. 8(2), pages 153-172, June.
    720. Luisito Bertinelli & Eric Strobl, 2007. "Urbanisation, Urban Concentration and Economic Development," Urban Studies, Urban Studies Journal Limited, vol. 44(13), pages 2499-2510, December.
    721. Bravo, Francesco & Chu, Ba M. & Jacho-Chávez, David T., 2017. "Generalized empirical likelihood M testing for semiparametric models with time series data," Econometrics and Statistics, Elsevier, vol. 4(C), pages 18-30.
    722. Francesco Bravo, 2013. "Partially linear varying coefficient models with missing at random responses," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 65(4), pages 721-762, August.
    723. Gupta, A, 2015. "Nonparametric specification testing via the trinity of tests," Economics Discussion Papers 23824, University of Essex, Department of Economics.
    724. White, Halbert & Hong, Yongmiao, 1999. "M-Testing Using Finite and Infinite Dimensional Parameter Estimators," University of California at San Diego, Economics Working Paper Series qt9qz123ng, Department of Economics, UC San Diego.
    725. Stephan Martin, 2022. "Estimation of Conditional Random Coefficient Models using Machine Learning Techniques," Papers 2201.08366, arXiv.org.
    726. Tai-Hsin Huang & Kuan-Chen Chen & Chien-Hsiu Lin & Ming-Tai Chung, 2014. "Consistent estimation of technical and allocative efficiencies for a semiparametric stochastic cost frontier with shadow input prices," Journal of Productivity Analysis, Springer, vol. 41(2), pages 307-320, April.
    727. Helmut Wasserbacher & Martin Spindler, 2024. "Credit Ratings: Heterogeneous Effect on Capital Structure," Papers 2406.18936, arXiv.org.
    728. Nicoletti, Cheti, 2008. "Multiple sample selection in the estimation of intergenerational occupational mobility," ISER Working Paper Series 2008-20, Institute for Social and Economic Research.
    729. Denis Chetverikov, 2012. "Testing regression monotonicity in econometric models," CeMMAP working papers CWP35/12, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    730. Jinhong You & Xian Zhou, 2010. "Statistical inference on seemingly unrelated varying coefficient partially linear models," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 64(2), pages 227-253, May.
    731. Masayuki Hirukawa & Di Liu & Irina Murtazashvili & Artem Prokhorov, 2023. "DS-HECK: double-lasso estimation of Heckman selection model," Empirical Economics, Springer, vol. 64(6), pages 3167-3195, June.
    732. Syed Abul Hasan, 2013. "The impact of a large rice price increase on welfare and poverty in Bangladesh," ASARC Working Papers 2013-11, The Australian National University, Australia South Asia Research Centre.
    733. Ana Fernandez Sainz & Juan Rodriguez-Poo & Inmaculada Villanua Martin, 2002. "Finite sample behavior of two step estimators in selection models," Computational Statistics, Springer, vol. 17(1), pages 1-16, March.
    734. Macedoni, Luca, 2022. "Large multiproduct exporters across rich and poor countries: Theory and evidence," Journal of Development Economics, Elsevier, vol. 156(C).
    735. Hirukawa, Masayuki & Prokhorov, Artem, 2018. "Consistent estimation of linear regression models using matched data," Journal of Econometrics, Elsevier, vol. 203(2), pages 344-358.
    736. Nishiyama, Y., 2004. "Minimum normal approximation error bandwidth selection for averaged derivatives," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 64(1), pages 53-61.
    737. Häggström, Jenny, 2013. "Bandwidth selection for backfitting estimation of semiparametric additive models: A simulation study," Computational Statistics & Data Analysis, Elsevier, vol. 62(C), pages 136-148.
    738. Juhl, Ted & Xiao, Zhijie, 2005. "A nonparametric test for changing trends," Journal of Econometrics, Elsevier, vol. 127(2), pages 179-199, August.
    739. Gao, Jiti & Phillips, Peter C.B., 2013. "Semiparametric estimation in triangular system equations with nonstationarity," Journal of Econometrics, Elsevier, vol. 176(1), pages 59-79.
    740. Manzan, Sebastiano & Zerom, Dawit, 2005. "Kernel estimation of a partially linear additive model," Statistics & Probability Letters, Elsevier, vol. 72(4), pages 313-322, May.
    741. Delgado, Miguel A. & Song, Xiaojun, 2018. "Nonparametric tests for conditional symmetry," Journal of Econometrics, Elsevier, vol. 206(2), pages 447-471.
    742. Jorge Hugo Barrientos Marín, 2006. "Estimation And Testing An Additive Partially Linear Model In A Sysmtem Of Engel Curves," Grupo Microeconomía Aplicada 034, Universidad de Antioquia, Departamento de Economía.
    743. Stoker, Thomas M., 1996. "Smoothing bias in the measurement of marginal effects," Journal of Econometrics, Elsevier, vol. 72(1-2), pages 49-84.
    744. Luya Wang & Zhongwen Liang & Juan Lin & Qi Li, 2015. "Local Constant Kernel Estimation of a Partially Linear Varying Coefficient Cointegration Model," Annals of Economics and Finance, Society for AEF, vol. 16(2), pages 353-369, November.
    745. Emmanuel Skoufias & Vincenzo Di Maro & Teresa Gonzalez-Cossio & Sonia Rodriguez Ramirez, 2011. "Food quality, calories and household income," Applied Economics, Taylor & Francis Journals, vol. 43(28), pages 4331-4342.
    746. Rahul Singh & Liyuan Xu & Arthur Gretton, 2021. "Sequential Kernel Embedding for Mediated and Time-Varying Dose Response Curves," Papers 2111.03950, arXiv.org, revised Jul 2023.
    747. Chambers, Dustin & Wu, Ying & Yao, Hong, 2008. "The impact of past growth on poverty in Chinese provinces," Journal of Asian Economics, Elsevier, vol. 19(4), pages 348-357, August.
    748. David Fielding & Christopher Hajzler & James (Jim) C. MacGee, 2017. "Price-Level Dispersion versus Inflation-Rate Dispersion: Evidence from Three Countries," Staff Working Papers 17-3, Bank of Canada.
    749. Song, Lixin & Zhao, Yue & Wang, Xiaoguang, 2010. "Sieve least squares estimation for partially nonlinear models," Statistics & Probability Letters, Elsevier, vol. 80(17-18), pages 1271-1283, September.
    750. Otsu, Taisuke, 2007. "Penalized empirical likelihood estimation of semiparametric models," Journal of Multivariate Analysis, Elsevier, vol. 98(10), pages 1923-1954, November.
    751. Noemi Kreif & Andrew Mirelman & Rodrigo Moreno-Serra & Taufik Hidayat, & Karla DiazOrdaz & Marc Suhrcke, 2020. "Who benefits from health insurance? Uncovering heterogeneous policy impacts using causal machine learning," Working Papers 173cherp, Centre for Health Economics, University of York.
    752. Scheuermeyer, Philipp & Bofinger, Peter, 2016. "Income Distribution and Household Saving: A Non-Monotonic Relationship," VfS Annual Conference 2016 (Augsburg): Demographic Change 145901, Verein für Socialpolitik / German Economic Association.
    753. Junmin Liu & Deli Zhu & Luoyao Yu & Xuehu Zhu, 2023. "Specification testing of partially linear single-index models: a groupwise dimension reduction-based adaptive-to-model approach," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 32(1), pages 232-262, March.
    754. Chen, Songxi, 2012. "Estimation in semiparametric models with missing data," MPRA Paper 46216, University Library of Munich, Germany.
    755. Xin, Kai & Zhang, ZhengYu & Zhou, YaHong & Zhu, PingFang, 2021. "Time-varying individual effects in a panel data probit model with an application to female labor force participation," Economic Modelling, Elsevier, vol. 95(C), pages 181-191.
    756. Delgado, Michael S. & Parmeter, Christopher F., 2014. "A simple estimator for partial linear regression with endogenous nonparametric variables," Economics Letters, Elsevier, vol. 124(1), pages 100-103.
    757. Lokshin, Michael & Ravallion, Martin, 2005. "Searching for the economic gradient in self-assessed health," Policy Research Working Paper Series 3698, The World Bank.
    758. Ye Chen & Liangjun Su & Aman Ullah, 2009. "Functional Coefficient Estimation with Both Categorical and Continuous Data," Working Papers 200909, University of California at Riverside, Department of Economics, revised Jun 2009.
    759. Shane M. Sherlund, 2008. "The jumbo-conforming spread: a semiparametric approach," Finance and Economics Discussion Series 2008-01, Board of Governors of the Federal Reserve System (U.S.).
    760. Chandra Bahadur Adhikar & Trond Bjorndal, 2014. "Economic Relationship between Access to Land and Rural Poverty in Nepal," Applied Economics Journal, Kasetsart University, Faculty of Economics, Center for Applied Economic Research, vol. 21(1), pages 20-41, June.
    761. Michael Polemis, 2019. "Is the effect of corruption on entrepreneurial activity nonmonotonic? A semi-parametric panel data analysis," Economics Bulletin, AccessEcon, vol. 39(4), pages 2976-2989.
    762. De Loecker, Jan & Konings, Jozef, 2006. "Job reallocation and productivity growth in a post-socialist economy: Evidence from Slovenian manufacturing," European Journal of Political Economy, Elsevier, vol. 22(2), pages 388-408, June.
    763. Paul, Satya & Shankar, Sriram, 2018. "Modelling Efficiency Effects in a True Fixed Effects Stochastic Frontier," MPRA Paper 87437, University Library of Munich, Germany.
    764. Cheng Chou & Geert Ridder & Ruoyao Shi, 2024. "Identification and Estimation of Nonstationary Dynamic Binary Choice Models," Working Papers 202402, University of California at Riverside, Department of Economics.
    765. Peter C.B. Phillips & Binbin Guo & Zhijie Xiao, 2002. "Efficient Regression in Time Series Partial Linear Models," Cowles Foundation Discussion Papers 1363, Cowles Foundation for Research in Economics, Yale University.
    766. Justine S. Hastings & Jesse M. Shapiro, 2017. "How Are SNAP Benefits Spent? Evidence from a Retail Panel," NBER Working Papers 23112, National Bureau of Economic Research, Inc.
    767. Li, Qi, 1999. "Consistent model specification tests for time series econometric models," Journal of Econometrics, Elsevier, vol. 92(1), pages 101-147, September.
    768. Fernández Sainz, Ana Isabel & Rodríguez Poo, Juan M. & Villanúa Martín, Inmaculada, 1999. "Finite sample behavior of two step estimators in selection models," BILTOKI 1134-8984, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística).
    769. Diego A. Restrepo-Tobón & Subal C. Kumbhakar & Kai Sun, 2013. "Are U.S. Commercial Banks Too Big?," Documentos de Trabajo de Valor Público 10943, Universidad EAFIT.
    770. Løken, Katrine Vellesen & Mogstad, Magne & Wiswall, Matthew, 2011. "What Linear Estimators Miss: The E ects of Family Income on Child Outcomes," Working Papers in Economics 02/11, University of Bergen, Department of Economics.
    771. Hui Guo & Zijun Wang & Jian Yang, 2006. "Does aggregate relative risk aversion change countercyclically over time? evidence from the stock market," Working Papers 2006-047, Federal Reserve Bank of St. Louis.
    772. Larin, Alexander & Tarunina, Elena, 2015. "Entrepreneurial activity and economic development: The shape of the relationship," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 37(1), pages 3-26.
    773. Dylan J. Foster & Vasilis Syrgkanis, 2019. "Orthogonal Statistical Learning," Papers 1901.09036, arXiv.org, revised Jun 2023.
    774. Braun, Sebastian T. & Dwenger, Nadja, 2020. "Settlement location shapes the integration of forced migrants: Evidence from post-war Germany⁎," Explorations in Economic History, Elsevier, vol. 77(C).
    775. Frazer, Garth, 2006. "Inequality and development across and within countries," World Development, Elsevier, vol. 34(9), pages 1459-1481, September.
    776. Monir Uddin Ahmed & Md. Moniruzzaman Muzib & Md. Mahedi Hasan, 2016. "Inflation, inflation uncertainty and relative price variability in Bangladesh," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 6(3), pages 389-427, December.
    777. Gabriel Okasa, 2022. "Meta-Learners for Estimation of Causal Effects: Finite Sample Cross-Fit Performance," Papers 2201.12692, arXiv.org.
    778. Chan Shen, 2019. "Recursive Differencing for Estimating Semiparametric Models," Departmental Working Papers 201903, Rutgers University, Department of Economics.
    779. Arthur Sweetman & Casey Warman, 2013. "Canada's Immigration Selection System and Labour Market Outcomes," Canadian Public Policy, University of Toronto Press, vol. 39(s1), pages 141-160, May.
    780. Arthur Lewbel & Oliver Linton, 2003. "Nonparametric Matching and Efficient Estimators of Homothetically Separable Functions," Boston College Working Papers in Economics 585, Boston College Department of Economics, revised 04 Sep 2006.
    781. Bhaumik, Sumon K. & Dimova, Ralitza & Kumbhakar, Subal C. & Sun, Kai, 2012. "Does Institutional Quality Affect Firm Performance? Insights from a Semiparametric Approach," IZA Discussion Papers 6351, Institute of Labor Economics (IZA).
    782. Czarnitzki, Dirk & Lopes Bento, Cindy & Doherr, Thorsten, 2011. "Counterfactual impact evaluation of cohesion policy. Work package 2: Examples from support to innovation and research. Final report," ZEW Expertises, ZEW - Leibniz Centre for European Economic Research, number 110541.
    783. Yiyi Huo & Yingying Fan & Fang Han, 2023. "On the adaptation of causal forests to manifold data," Papers 2311.16486, arXiv.org, revised Dec 2023.
    784. Sullivan Hué, 2022. "GAM(L)A: An econometric model for interpretable machine learning," French Stata Users' Group Meetings 2022 19, Stata Users Group.
    785. Nilsson, William, 2005. "Equality of Opportunity, Heterogeneity and Poverty," Umeå Economic Studies 652, Umeå University, Department of Economics.
    786. Jiti Gao & Hua Liang, 1997. "Statistical Inference in Single-Index and Partially Nonlinear Models," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 49(3), pages 493-517, September.
    787. Timothy Ludlow & Jonas Fooken & Christiern Rose & Kam Ki Tang, 2024. "Out-of-pocket expenditure, need, utilisation, and private health insurance in the Australian healthcare system," International Journal of Health Economics and Management, Springer, vol. 24(1), pages 33-56, March.
    788. Pengfei Wang & Yi Wen & Zhiwei Xu, 2017. "Online Appendix to ""Financial Development and Long-Run Volatility Trends"," Online Appendices 15-174, Review of Economic Dynamics.
    789. Davillas, Apostolos & Pudney, Stephen, 2016. "Concordance of health states in couples. Analysis of self-reported, nurse administered and blood-based biomarker data in Understanding Society," ISER Working Paper Series 2016-15, Institute for Social and Economic Research.
    790. Daoud, Adel & Johansson, Fredrik, 2019. "Estimating Treatment Heterogeneity of International Monetary Fund Programs on Child Poverty with Generalized Random Forest," SocArXiv awfjt, Center for Open Science.
    791. Bergler, Julian & Heim, Sven & Hüschelrath, Kai, 2016. "Strategic capacity withholding through failures in the German-Austrian electricity market," ZEW Discussion Papers 16-009, ZEW - Leibniz Centre for European Economic Research.
    792. Wang, Xiuli & Zhao, Shengli & Wang, Mingqiu, 2017. "Restricted profile estimation for partially linear models with large-dimensional covariates," Statistics & Probability Letters, Elsevier, vol. 128(C), pages 71-76.
    793. Qi-Hua Wang, 2009. "Statistical estimation in partial linear models with covariate data missing at random," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 61(1), pages 47-84, March.
    794. Denis Chetverikov & Daniel Wilhelm, 2015. "Nonparametric instrumental variable estimation under monotonicity," CeMMAP working papers 39/15, Institute for Fiscal Studies.
    795. Li, Q. & Hsiao, C., 1998. "Testing serial correlation in semiparametric panel data models," Journal of Econometrics, Elsevier, vol. 87(2), pages 207-237, September.
    796. Baltagi, Badi H. & Li, Qi, 2002. "On instrumental variable estimation of semiparametric dynamic panel data models," Economics Letters, Elsevier, vol. 76(1), pages 1-9, June.
    797. Aguirregabiria, Victor, 2009. "Some Notes on Sample Selection Models," MPRA Paper 15974, University Library of Munich, Germany.
    798. Nan Cai & Zongwu Cai & Ying Fang & Qiuhua Xu, 2015. "Forecasting major Asian exchange rates using a new semiparametric STAR model," Empirical Economics, Springer, vol. 48(1), pages 407-426, February.
    799. Thanasis Stengos & Andreas Savvides & Theofanis Mamuneas & Elena Ketteni, 2007. "Is the Financial Development and Economic Growth Relationship Nonlinear?," Economics Bulletin, AccessEcon, vol. 15(14), pages 1-12.
    800. Haotian Chen & Xibin Zhang, 2014. "Bayesian Estimation for Partially Linear Models with an Application to Household Gasoline Consumption," Monash Econometrics and Business Statistics Working Papers 28/14, Monash University, Department of Econometrics and Business Statistics.
    801. Lee, Myoung-jae & Vella, Francis, 2006. "A semi-parametric estimator for censored selection models with endogeneity," Journal of Econometrics, Elsevier, vol. 130(2), pages 235-252, February.
    802. Eskander Alvi & Debasri Mukherjee & Ashraf Eid, 2007. "Do Patent Protection and Technology Transfer Facilitate R&D in Developed and Emerging Countries? A Semiparametric Study," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 35(2), pages 217-231, June.
    803. Anna Ruzik-Sierdzinska & Claudia Villosio & Michele Belloni & Maciej Lis & Monika Potoczna, 2013. "Age and productivity. Human Capital Accumulation and Depreciation," CASE Network Reports 0114, CASE-Center for Social and Economic Research.
    804. Zongwu Cai & Linna Chen & Ying Fang, 2015. "Semiparametric Estimation of Partially Varying-Coefficient Dynamic Panel Data Models," Econometric Reviews, Taylor & Francis Journals, vol. 34(6-10), pages 695-719, December.
    805. Tomson Ogwang & Jean-François Lamarche, 2024. "Hybrid measures of multidimensional poverty," Empirical Economics, Springer, vol. 67(3), pages 1211-1233, September.
    806. Alexakis, Panayotis D. & Samantas, Ioannis G., 2020. "Foreign ownership and market power: The special case of European banks," Journal of Banking & Finance, Elsevier, vol. 118(C).
    807. Salvador Navarro & David Rivers & Amit Gandhi, 2008. "Estimating Production Functions with Heterogeneous Firms," 2008 Meeting Papers 935, Society for Economic Dynamics.
    808. Sugata Marjit & Sattwik Santra & Koushik Kumar Hati, 2014. "Does inequality affect the consumption patterns of the poor? – The role of status seeking behaviour," Discussion Papers Series 514, School of Economics, University of Queensland, Australia.
    809. Neophyta Empora, 2017. "Air pollution spillovers and U.S. state productivity growth," University of Cyprus Working Papers in Economics 06-2017, University of Cyprus Department of Economics.
    810. Donald, Stephen G., 1995. "Two-step estimation of heteroskedastic sample selection models," Journal of Econometrics, Elsevier, vol. 65(2), pages 347-380, February.
    811. Syed Abul Hasan, 2012. "Engel Curves and Equivalence Scales for Bangladesh," ASARC Working Papers 2012-15, The Australian National University, Australia South Asia Research Centre.
    812. Shaibu Mellon Bedi & Carlo Azzarri & Bekele Hundie Kotu & Lukas Kornher & Joachim von Braun, 2022. "Scaling-up agricultural technologies: who should be targeted?," European Review of Agricultural Economics, Oxford University Press and the European Agricultural and Applied Economics Publications Foundation, vol. 49(4), pages 857-875.
    813. Parey, Matthias, 2016. "Vocational Schooling versus Apprenticeship Training. Evidence from Vacancy Data," VfS Annual Conference 2016 (Augsburg): Demographic Change 145655, Verein für Socialpolitik / German Economic Association.
    814. Brajendra C. Sutradhar & Vandna Jowaheer & R. Prabhakar Rao, 2016. "Semi-Parametric Models for Negative Binomial Panel Data," Sankhya A: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 78(2), pages 269-303, August.
    815. Daniel A. Ackerberg & Kevin Caves & Garth Frazer, 2015. "Identification Properties of Recent Production Function Estimators," Econometrica, Econometric Society, vol. 83, pages 2411-2451, November.
    816. Chen, Xiaohong, 2007. "Large Sample Sieve Estimation of Semi-Nonparametric Models," Handbook of Econometrics, in: J.J. Heckman & E.E. Leamer (ed.), Handbook of Econometrics, edition 1, volume 6, chapter 76, Elsevier.
    817. Leonardo Fabio Morales & Christian Posso & Luz A. Flórez, 2021. "Heterogeneity in the Returns to Tertiary Education for the Disadvantage Youth: Quality vs. Quantity Analysis," Borradores de Economia 1150, Banco de la Republica de Colombia.
    818. Chang, Xiao-Wen & Qu, Leming, 2004. "Wavelet estimation of partially linear models," Computational Statistics & Data Analysis, Elsevier, vol. 47(1), pages 31-48, August.
    819. Takahiro ITO, 2024. "Binary and Ordered Response Models in Randomized Experiments: Applications of the Resampling-Based Maximum Likelihood Method," GSICS Working Paper Series 42, Graduate School of International Cooperation Studies, Kobe University.
    820. McFadden, Daniel, 2012. "Economic juries and public project provision," Journal of Econometrics, Elsevier, vol. 166(1), pages 116-126.
    821. Qi Gao & Long Liu & Jeffrey S. Racine, 2015. "A Partially Linear Kernel Estimator for Categorical Data," Econometric Reviews, Taylor & Francis Journals, vol. 34(6-10), pages 959-978, December.
    822. Jeanne Dachary-Bernard & Frédéric Gaschet & Sandrine Lyser & Guillaume Pouyanne & Stéphane Virol, 2011. "L'impact de la littoralisation sur les marchés fonciers : une approche comparative des côtes basque et charentaise," Post-Print hal-00688634, HAL.
    823. Leandro M. De Magalhães & Lucas Ferrero, 2009. "Budgetary Separation of Powers in the American States and the Tax Level: A Regression Discontinuity Design," The Centre for Market and Public Organisation 09/225, The Centre for Market and Public Organisation, University of Bristol, UK.
    824. Pedro Carneiro & Sokbae (Simon) Lee, 2005. "Ability, sorting and wage inequality," CeMMAP working papers CWP16/05, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    825. Boente, Graciela & Cao, Ricardo & González Manteiga, Wenceslao & Rodriguez, Daniela, 2013. "Testing in generalized partially linear models: A robust approach," Statistics & Probability Letters, Elsevier, vol. 83(1), pages 203-212.
    826. Sim, Nicholas & Zhou, Hongtao, 2015. "Oil prices, US stock return, and the dependence between their quantiles," Journal of Banking & Finance, Elsevier, vol. 55(C), pages 1-8.
    827. Panayotis D. Alexakis & Ioannis G. Samantas, 2018. "Foreign ownership and market power: the special case of European banks," Working Papers 242, Bank of Greece.
    828. Germán Aneiros-Pérez & Philippe Vieu, 2011. "Automatic estimation procedure in partial linear model with functional data," Statistical Papers, Springer, vol. 52(4), pages 751-771, November.
    829. Powell, James L. & Stoker, Thomas M., 1996. "Optimal bandwidth choice for density-weighted averages," Journal of Econometrics, Elsevier, vol. 75(2), pages 291-316, December.
    830. Seçil Yalaz, 2019. "Multivariate partially linear regression in the presence of measurement error," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 103(1), pages 123-135, March.
    831. George Athanasopoulos & Minfeng Deng & Gang Li & Haiyan Song, 2013. "Domestic and outbound tourism demand in Australia: a System-of-Equations Approach," Monash Econometrics and Business Statistics Working Papers 6/13, Monash University, Department of Econometrics and Business Statistics.
    832. Subal Kumbhakar & Kai Sun, 2012. "Estimation of TFP growth: a semiparametric smooth coefficient approach," Empirical Economics, Springer, vol. 43(1), pages 1-24, August.
    833. Aradillas-Lopez, Andres, 2024. "Inference in models with partially identified control functions," Journal of Econometrics, Elsevier, vol. 238(1).
    834. Lv, Zhike, 2017. "Intelligence and corruption: An empirical investigation in a non-linear framework," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, vol. 69(C), pages 83-91.
    835. Rahul Singh, 2021. "Generalized Kernel Ridge Regression for Causal Inference with Missing-at-Random Sample Selection," Papers 2111.05277, arXiv.org.
    836. Joel L. Horowitz, 2015. "Variable selection and estimation in high-dimensional models," CeMMAP working papers CWP35/15, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    837. Sinha, Paramita & Caulkins, Martha & Cropper, Maureen, 2021. "The value of climate amenities: A comparison of hedonic and discrete choice approaches," Journal of Urban Economics, Elsevier, vol. 126(C).
    838. Agboola, Oluwagbenga David & Yu, Han, 2023. "Neighborhood-based cross fitting approach to treatment effects with high-dimensional data," Computational Statistics & Data Analysis, Elsevier, vol. 186(C).
    839. Noam Ben-Ze'ev, 2023. "Drivers of Flows-Performance Sensitivity in Mutual Funds," Bank of Israel Working Papers 2023.06, Bank of Israel.
    840. Giovanni Forchini & Raoul Theler, 2023. "Semi-parametric modelling of inefficiencies in stochastic frontier analysis," Journal of Productivity Analysis, Springer, vol. 59(2), pages 135-152, April.
    841. Cai, Zongwu & Chen, Linna & Fang, Ying, 2018. "A semiparametric quantile panel data model with an application to estimating the growth effect of FDI," Journal of Econometrics, Elsevier, vol. 206(2), pages 531-553.
    842. Härdle, W.K. & Mammen, E. & Müller, M.D., 1996. "Testing Parametric versus Semiparametric Modelling in Generalized Linear Models," Discussion Paper 1996-42, Tilburg University, Center for Economic Research.
    843. David Fielding & Chris Hajzler & Jim MacGee, 2011. "Determinants of Relative Price Variability during a Recession: Evidence from Canada at the Time of the Great Depression," Working Papers 1107, University of Otago, Department of Economics, revised Aug 2011.
    844. Gencay, Ramazan & Xian, Yang, 1996. "A forecast comparison of residential housing prices by parametric versus semiparametric conditional mean estimators," Economics Letters, Elsevier, vol. 52(2), pages 129-135, August.
    845. Claudia PIGINI, 2012. "Of Butterflies and Caterpillars: Bivariate Normality in the Sample Selection Model," Working Papers 377, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
    846. Chu, Ba, 2023. "A distance-based test of independence between two multivariate time series," Journal of Multivariate Analysis, Elsevier, vol. 195(C).
    847. Patrícia C. Melo & Conceição Rego & Paulo Rui Anciães & Nuno Guiomar & José Muñoz-Rojas, 2021. "Does road accessibility to cities support rural population growth? Evidence for Portugal for the 1991-2011 period," Working Papers REM 2021/0165, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
    848. M. Christopher Auld, 2002. "Disentangling the effects of morbidity and life expectancy on labor market outcomes," Health Economics, John Wiley & Sons, Ltd., vol. 11(6), pages 471-483, September.
    849. Kazianga, Harounan, 2003. "Motives For Household Private Transfers In Rural Burkina Faso," 2003 Annual meeting, July 27-30, Montreal, Canada 21949, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    850. Jiti Gao & Peter C.B. Phillips, 2013. "Functional Coefficient Nonstationary Regression," Cowles Foundation Discussion Papers 1911, Cowles Foundation for Research in Economics, Yale University.
    851. Whitney K. Newey & James M. Robins, 2017. "Cross-fitting and fast remainder rates for semiparametric estimation," CeMMAP working papers CWP41/17, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    852. Roger White & Bedassa Tadesse, 2011. "International Migration and Economic Integration," Books, Edward Elgar Publishing, number 14318.
    853. Maican, Florin G., 2012. "From Boom to Bust and Back Again: A dynamic analysis of IT services," Working Papers in Economics 543, University of Gothenburg, Department of Economics.
    854. Christian N. Brinch & Magne Mogstad & Matthew Wiswall, 2012. "Beyond LATE with a discrete instrument. Heterogeneity in the quantity-quality interaction of children," Discussion Papers 703, Statistics Norway, Research Department.
    855. De Gooijer, Jan G. & Reichardt, Hugo, 2021. "A multi-step kernel–based regression estimator that adapts to error distributions of unknown form," LSE Research Online Documents on Economics 115083, London School of Economics and Political Science, LSE Library.
    856. Dennis Kristensen, 2004. "Estimation in Two Classes of Semiparametric Diffusion Models," FMG Discussion Papers dp500, Financial Markets Group.
    857. Germán Aneiros & Philippe Vieu, 2015. "Partial linear modelling with multi-functional covariates," Computational Statistics, Springer, vol. 30(3), pages 647-671, September.
    858. James Levinsohn & Amil Petrin, 1999. "When Industries Become More Productive, Do Firms?," NBER Working Papers 6893, National Bureau of Economic Research, Inc.
    859. Grossi, Luigi & Heim, Sven & Waterson, Michael, 2017. "The impact of the German response to the Fukushima earthquake," Energy Economics, Elsevier, vol. 66(C), pages 450-465.
    860. Hema Yoganarasimhan & Ebrahim Barzegary & Abhishek Pani, 2020. "Design and Evaluation of Personalized Free Trials," Papers 2006.13420, arXiv.org.
    861. Zongwu Cai & Ying Fang & Dingshi Tian, 2018. "Assessing Tail Risk Using Expectile Regressions with Partially Varying Coefficients," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 201804, University of Kansas, Department of Economics, revised Oct 2018.
    862. Wang Q. & Linton O. & Hardle W., 2004. "Semiparametric Regression Analysis With Missing Response at Random," Journal of the American Statistical Association, American Statistical Association, vol. 99, pages 334-345, January.
    863. Bedi, Shaibu Mellon & Azzarri, Carlo & Kotu, Bekele Hundi & Kornher, Lukas, 2021. "Scaling-up Agricultural Innovations: Who Should be Targeted?," 2021 Conference, August 17-31, 2021, Virtual 315267, International Association of Agricultural Economists.
    864. Su, Liangjun & Jin, Sainan, 2010. "Profile quasi-maximum likelihood estimation of partially linear spatial autoregressive models," Journal of Econometrics, Elsevier, vol. 157(1), pages 18-33, July.
    865. Aneiros-Pérez, Germán, 2002. "On bandwidth selection in partial linear regression models under dependence," Statistics & Probability Letters, Elsevier, vol. 57(4), pages 393-401, May.
    866. Stéphane Virol & Guillaume Pouyanne & Sandrine Lyser & Frédéric Gaschet & Jeanne Dachary-Bernard, 2011. "L’impact de la littoralisation sur les marchés fonciers. Une approche comparative des côtes basque et charentaise," Économie et Statistique, Programme National Persée, vol. 444(1), pages 127-154.
    867. Mengshan Xu & Taisuke Otsu, 2022. "Isotonic propensity score matching," Papers 2207.08868, arXiv.org, revised Aug 2024.
    868. Lien, Gudbrand & Kumbhakar, Subal C. & Mishra, Ashok K. & Hardaker, J. Brian, 2022. "Does risk management affect productivity of organic rice farmers in India? Evidence from a semiparametric production model," European Journal of Operational Research, Elsevier, vol. 303(3), pages 1392-1402.
    869. Chuan Goh, 2017. "Rate-Optimal Estimation of the Intercept in a Semiparametric Sample-Selection Model," Papers 1710.01423, arXiv.org, revised Sep 2018.
    870. Yoo, Seung-Hoon & Yang, Chang-Young, 2000. "Dealing with bottled water expenditures data with zero observations: a semiparametric specification," Economics Letters, Elsevier, vol. 66(2), pages 151-157, February.
    871. Cai, Zongwu & Das, Mitali & Xiong, Huaiyu & Wu, Xizhi, 2006. "Functional coefficient instrumental variables models," Journal of Econometrics, Elsevier, vol. 133(1), pages 207-241, July.
    872. Phu NGUYEN VAN, 2002. "Endogenous Population and Environmental Quality," Working Papers of BETA 2002-09, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg.
    873. Yang Ning & Sida Peng & Jing Tao, 2020. "Doubly Robust Semiparametric Difference-in-Differences Estimators with High-Dimensional Data," Papers 2009.03151, arXiv.org.
    874. Yismaw Ayelign & Lakhwinder Singh, 2019. "Comparison of Recent Developments in Productivity Estimation: Application on Ethiopian Manufacturing Sector," Academic Journal of Economic Studies, Faculty of Finance, Banking and Accountancy Bucharest,"Dimitrie Cantemir" Christian University Bucharest, vol. 5(3), pages 20-31, September.
    875. Marina Murat, 2020. "Emigration and development. What are the links?," Department of Economics 0181, University of Modena and Reggio E., Faculty of Economics "Marco Biagi".
    876. You, Jinhong & Zhou, Xian & Chen, Gemai, 2005. "Jackknifing in partially linear regression models with serially correlated errors," Journal of Multivariate Analysis, Elsevier, vol. 92(2), pages 386-404, February.
    877. Georgios Fotopoulos, 2012. "Nonlinearities in regional economic growth and convergence: the role of entrepreneurship in the European union regions," The Annals of Regional Science, Springer;Western Regional Science Association, vol. 48(3), pages 719-741, June.
    878. Baltagi, Badi H. & Hidalgo, Javier & Li, Qi, 1996. "A nonparametric test for poolability using panel data," Journal of Econometrics, Elsevier, vol. 75(2), pages 345-367, December.
    879. Finan, Frederico & de Janvry, Alain & Sadoulet, Elisabeth, 2002. "Measuring The Income Generating Potential Of Land In Rural Mexico," 2002 Annual meeting, July 28-31, Long Beach, CA 19643, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    880. Gibbons, Steve & Machin, Stephen, 2003. "Valuing English primary schools," Journal of Urban Economics, Elsevier, vol. 53(2), pages 197-219, March.
    881. Gür Ali, Özden & Amorim, Pedro, 2024. "Personalized choice model for forecasting demand under pricing scenarios with observational data—The case of attended home delivery," International Journal of Forecasting, Elsevier, vol. 40(2), pages 706-720.
    882. Dridi, Ramdan, 2000. "Simulated asymptotic least squares theory," LSE Research Online Documents on Economics 6861, London School of Economics and Political Science, LSE Library.
    883. Lee, Jungyoon & Robinson, Peter M., 2015. "Panel nonparametric regression with fixed effects," Journal of Econometrics, Elsevier, vol. 188(2), pages 346-362.
    884. Carlianne Patrick & Mark Partridge, 2022. "Agglomeration Spillovers and Persistence: New Evidence from Large Plant Openings," Working Papers 22-21, Center for Economic Studies, U.S. Census Bureau.
    885. Max Cytrynbaum, 2024. "Finely Stratified Rerandomization Designs," Papers 2407.03279, arXiv.org, revised Jul 2024.
    886. Lyssiotou, Panayiota & Pashardes, Panos & Stengos, Thanasis, 1999. "Testing the rank of Engel curves with endogenous expenditure," Economics Letters, Elsevier, vol. 64(1), pages 61-65, July.
    887. Ozhegov, Evgeniy & Popova, Evgeniya, 2017. "Demand for electricity and weather conditions: Nonparametric analysis," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 46, pages 55-73.
    888. Giraldo, Iader & Giraldo, Iader & Gomez-Gonzalez, Jose E & Uribe, Jorge M, 2024. "Integration and Financial Stability: A Post-Global Crisis Assessment," Documentos de trabajo 20926, FLAR.
    889. Whitney K. Newey & James M. Robins, 2017. "Cross-fitting and fast remainder rates for semiparametric estimation," CeMMAP working papers 41/17, Institute for Fiscal Studies.
    890. Zhang, Xingmin & Zhang, Shuai, 2021. "Optimal time-varying tail risk network with a rolling window approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 580(C).
    891. Li, Hongjun & Li, Qi & Liu, Ruixuan, 2016. "Consistent model specification tests based on k-nearest-neighbor estimation method," Journal of Econometrics, Elsevier, vol. 194(1), pages 187-202.
    892. Marianne Simonsen & Lars Skipper, 2004. "Identifying Direct and Indirect Effects. Estimating th Costs of Motherhood Using Matching Estimators," Discussion Papers 03-023, Stanford Institute for Economic Policy Research.
    893. Tarozzi, Alessandro, 2005. "The Indian Public Distribution System as provider of food security: Evidence from child nutrition in Andhra Pradesh," European Economic Review, Elsevier, vol. 49(5), pages 1305-1330, July.
    894. Kumar, Anil, 2008. "Labor supply, deadweight loss and tax reform act of 1986: A nonparametric evaluation using panel data," Journal of Public Economics, Elsevier, vol. 92(1-2), pages 236-253, February.
    895. Ganesh Karapakula, 2023. "Stable Probability Weighting: Large-Sample and Finite-Sample Estimation and Inference Methods for Heterogeneous Causal Effects of Multivalued Treatments Under Limited Overlap," Papers 2301.05703, arXiv.org, revised Jan 2023.
    896. Steve Gibbons, 2002. "Geography, Resources and Primary School Performance," CEE Discussion Papers 0025, Centre for the Economics of Education, LSE.
    897. Degao Li & Guodong Li & Jinhong You, 2014. "Significant Variable Selection And Autoregressive Order Determination For Time-Series Partially Linear Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 35(5), pages 478-490, August.
    898. Farber, Henry S, 1999. "Alternative and Part-Time Employment Arrangements as a Response to Job Loss," Journal of Labor Economics, University of Chicago Press, vol. 17(4), pages 142-169, October.
    899. Todea, Alexandru & Petrescu, Daiana Florina, 2021. "Is stock price informativeness shaped by our genes?," Economic Modelling, Elsevier, vol. 103(C).
    900. Wichmann, Bruno & Wichmann, Roberta, 2022. "COVID-19 and Indigenous health in the Brazilian Amazon," Economic Modelling, Elsevier, vol. 115(C).
    901. Juhl, Ted & Xiao, Zhijie, 2005. "Testing for cointegration using partially linear models," Journal of Econometrics, Elsevier, vol. 124(2), pages 363-394, February.
    902. Keller, Wolfgang & Yeaple, Stephen, 2003. "Multinational Enterprises, International Trade and Productivity Growth: Firm-Level Evidence from the US," CEPR Discussion Papers 3805, C.E.P.R. Discussion Papers.
    903. Victor Chernozhukov & Denis Nekipelov & Vira Semenova & Vasilis Syrgkanis, 2018. "Plug-in regularized estimation of high dimensional parameters in nonlinear semiparametric models," CeMMAP working papers CWP41/18, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    904. Idrobo, Nicolás & Kronick, Dorothy & Rodriguez, Francisco, 2020. "Do Shifts in Late-Counted Votes Signal Fraud? Evidence From Bolivia," MPRA Paper 105118, University Library of Munich, Germany.
    905. Tian, Xu & Yu, Xiaohua, 2015. "Using semiparametric models to study nutrition improvement and dietary change with different indices: The case of China," Food Policy, Elsevier, vol. 53(C), pages 67-81.
    906. Isaac Meza & Rahul Singh, 2021. "Nested Nonparametric Instrumental Variable Regression: Long Term, Mediated, and Time Varying Treatment Effects," Papers 2112.14249, arXiv.org, revised Mar 2024.
    907. Gao, Jiti, 1995. "The laws of the iterated logarithm of some estimates in partly linear models," Statistics & Probability Letters, Elsevier, vol. 25(2), pages 153-162, November.
    908. Denis Chetverikov, 2012. "Testing regression monotonicity in econometric models," CeMMAP working papers 35/12, Institute for Fiscal Studies.
    909. Härdle, W.K. & Mammen, E. & Müller, M.D., 1996. "Testing Parametric versus Semiparametric Modelling in Generalized Linear Models," Other publications TiSEM 3b9b6d39-869e-4ecd-9982-6, Tilburg University, School of Economics and Management.
    910. Li, Dong & Li, Qi, 2010. "Nonparametric/semiparametric estimation and testing of econometric models with data dependent smoothing parameters," Journal of Econometrics, Elsevier, vol. 157(1), pages 179-190, July.
    911. Cohen, Jeffrey P. & Osleeb, Jeffrey P. & Yang, Ke, 2014. "Semi-parametric regression models and economies of scale in the presence of an endogenous variable," Regional Science and Urban Economics, Elsevier, vol. 49(C), pages 252-261.
    912. Christopher D. Walker, 2023. "Parametrization, Prior Independence, and the Semiparametric Bernstein-von Mises Theorem for the Partially Linear Model," Papers 2306.03816, arXiv.org, revised Feb 2024.
    913. Liu, Ruixuan & Yu, Zhengfei, 2022. "Sample selection models with monotone control functions," Journal of Econometrics, Elsevier, vol. 226(2), pages 321-342.
    914. Long, Wei & Ouyang, Min & Shang, Ying, 2013. "Efficient estimation of partially linear varying coefficient models," Economics Letters, Elsevier, vol. 121(1), pages 79-81.
    915. Joris Pinkse, 2000. "Feasible Multivariate Nonparametric Estimation Using Weak Separability," Econometric Society World Congress 2000 Contributed Papers 1241, Econometric Society.
    916. Chaohua Dong & Jiti Gao & Dag Tjostheim, 2014. "Estimation for Single-index and Partially Linear Single-index Nonstationary Time Series Models," Monash Econometrics and Business Statistics Working Papers 7/14, Monash University, Department of Econometrics and Business Statistics.
    917. Lu, Minggen, 2010. "Spline-based sieve maximum likelihood estimation in the partly linear model under monotonicity constraints," Journal of Multivariate Analysis, Elsevier, vol. 101(10), pages 2528-2542, November.
    918. Hu, Zihan & Li, Teng, 2016. "Too hot to hold: the effects of high temperatures during pregnancy on endowment and adult welfare outcomes," MPRA Paper 69644, University Library of Munich, Germany.
    919. Heerde, Harald J. van & Leeflang, Peter S.H. & Wittink, Dick R., 1999. "Semiparametric analysis to estimate the deal effect curve," Research Report 99B35, University of Groningen, Research Institute SOM (Systems, Organisations and Management).

  27. Robinson, P M, 1988. "Semiparametric Econometrics: A Survey," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 3(1), pages 35-51, January.

    Cited by:

    1. Lee, Lung-fei, 1995. "Semiparametric maximum likelihood estimation of polychotomous and sequential choice models," Journal of Econometrics, Elsevier, vol. 65(2), pages 381-428, February.
    2. Calzolari, Giorgio, 1992. "Stima delle equazioni simultanee non-lineari: una rassegna [Estimation of nonlinear simultaneous equations: a survey]," MPRA Paper 24123, University Library of Munich, Germany, revised 1992.
    3. Jinliang Li & Chihwa Kao & Wei David Zhang, 2010. "Bounded influence estimator for GARCH models: evidence from foreign exchange rates," Applied Economics, Taylor & Francis Journals, vol. 42(11), pages 1437-1445.
    4. Drost, F.C. & Klaassen, C.A.J. & Werker, B.J.M., 1997. "Adaptive estimation in time-series models," Other publications TiSEM aa253902-af93-4e1e-b974-2, Tilburg University, School of Economics and Management.
    5. Jamal Ibrahim Haidar, 2012. "Trade and productivity: self-selection or learning-by-exporting in India," Documents de travail du Centre d'Economie de la Sorbonne 12046, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
    6. Facundo Alvaredo & Anthony B. Atkinson & Salvatore Morelli, 2017. "Top Wealth Shares in the UK over more than a Century," CSEF Working Papers 464, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
    7. Song, Song & Ritov, Ya’acov & Härdle, Wolfgang K., 2012. "Bootstrap confidence bands and partial linear quantile regression," Journal of Multivariate Analysis, Elsevier, vol. 107(C), pages 244-262.
    8. Karim Abadir, 1999. "An introduction to hypergeometric functions for economists," Econometric Reviews, Taylor & Francis Journals, vol. 18(3), pages 287-330.
    9. W. K. Li & Shiqing Ling & Michael McAleer, 2001. "A Survey of Recent Theoretical Results for Time Series Models with GARCH Errors," ISER Discussion Paper 0545, Institute of Social and Economic Research, Osaka University.
    10. Koop, Gary M & Tobias, Justin, 2006. "Semiparametric Bayesian Inference in Smooth Coefficient Models," Staff General Research Papers Archive 12202, Iowa State University, Department of Economics.
    11. Robinson, Peter M., 2002. "Denis Sargan: some perspectives," LSE Research Online Documents on Economics 2263, London School of Economics and Political Science, LSE Library.
    12. Ishtiaq P. Mahmood & Will Mitchell, 2004. "Two Faces: Effects of Business Groups on Innovation in Emerging Economies," Management Science, INFORMS, vol. 50(10), pages 1348-1365, October.
    13. Oliver Linton, 1993. "Second Order Approximation in the Partially Linear Regression Model," Cowles Foundation Discussion Papers 1065, Cowles Foundation for Research in Economics, Yale University.
    14. Drost, Feike C. & Klaassen, Chris A. J., 1997. "Efficient estimation in semiparametric GARCH models," Journal of Econometrics, Elsevier, vol. 81(1), pages 193-221, November.
    15. Bollerslev, Tim & Chou, Ray Y. & Kroner, Kenneth F., 1992. "ARCH modeling in finance : A review of the theory and empirical evidence," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 5-59.
    16. Peeters, H.M.M., 1989. "Het gebruik van een parametrische en een semi-parametrische schattingsmethode voor het binaire keuzemodel: Probit Maximum Likelihood versus Maximum Score [The use of a parametric and a semi-paramet," MPRA Paper 28104, University Library of Munich, Germany.
    17. Gouriéroux, Christian & Monfort, Alain & Tenreiro, Carlos, 1994. "Kernel m-estimators : non parametric diagnostics for structural models," CEPREMAP Working Papers (Couverture Orange) 9405, CEPREMAP.
    18. Harvey, Campbell R., 2001. "The specification of conditional expectations," Journal of Empirical Finance, Elsevier, vol. 8(5), pages 573-637, December.
    19. Carlos Casacuberta & N鳴or Gandelman, 2012. "Multiple job holding: the artist's labour supply approach," Applied Economics, Taylor & Francis Journals, vol. 44(3), pages 323-337, January.
    20. Härdle, Wolfgang Karl & Ritov, Ya'acov & Song, Song, 2010. "Partial linear quantile regression and bootstrap confidence bands," SFB 649 Discussion Papers 2010-002, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    21. Shiqing Ling & Michael McAleer, 2001. "On Adaptive Estimation in Nonstationary ARMA Models with GARCH Errors," ISER Discussion Paper 0548, Institute of Social and Economic Research, Osaka University.
    22. Ishtiaq Mahmood & Chi-Nien Chung & Will Mitchell, 2013. "The Evolving Impact of Combinatorial Opportunities and Exhaustion on Innovation by Business Groups as Market Development Increases: The Case of Taiwan," Management Science, INFORMS, vol. 59(5), pages 1142-1161, May.
    23. Chihwa Kao, 2001. "Geography, Industrial Organization, and Agglomeration Heteroskedasticity Models with Estimates of the Variances of Foreign Exchange Rates," Center for Policy Research Working Papers 34, Center for Policy Research, Maxwell School, Syracuse University.
    24. Eric Ghysels & Christian Gouriéroux & Joann Jasiak, 1996. "Kernel Autocorrelogram for Time Deformed Processes," CIRANO Working Papers 96s-19, CIRANO.
    25. Robinson, Peter M., 2003. "Denis Sargan: some perspectives," LSE Research Online Documents on Economics 292, London School of Economics and Political Science, LSE Library.
    26. Huang, Roger D. & Lin, Charles S. Y., 1996. "An analysis of nonlinearities in term premiums and forward rates," Journal of Empirical Finance, Elsevier, vol. 3(4), pages 347-368, December.
    27. Tim Bollerslev & Ray Y. Chou & Narayanan Jayaraman & Kenneth F. Kroner - L, 1991. "es modéles ARCH en finance : un point sur la théorie et les résultats empiriques," Annals of Economics and Statistics, GENES, issue 24, pages 1-59.
    28. Dennis Kristensen, 2009. "Semiparametric Modelling and Estimation: A Selective Overview," CREATES Research Papers 2009-44, Department of Economics and Business Economics, Aarhus University.
    29. Drost, F.C. & Klaassen, C.A.J., 1996. "Efficient Estimation in Semiparametric GARCH Models," Other publications TiSEM 3da5ac9e-1f93-41b2-aaa0-5, Tilburg University, School of Economics and Management.
    30. Peter M Robinson, 2002. "Denis Sargan: Some Perspectives," STICERD - Econometrics Paper Series 437, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.

  28. Robinson, Peter M, 1988. "The Stochastic Difference between Econometric Statistics," Econometrica, Econometric Society, vol. 56(3), pages 531-548, May.

    Cited by:

    1. Hiroyuki Kasahara & Katsumi Shimotsu, 2006. "Nested Pseudo-likelihood Estimation and Bootstrap-based Inference for Structural Discrete Markov Decision Models," University of Western Ontario, Departmental Research Report Series 20064, University of Western Ontario, Department of Economics.
    2. Kutoyants, Yu.A., 2017. "On the multi-step MLE-process for ergodic diffusion," Stochastic Processes and their Applications, Elsevier, vol. 127(7), pages 2243-2261.
    3. Calzolari, Giorgio, 1992. "Stima delle equazioni simultanee non-lineari: una rassegna [Estimation of nonlinear simultaneous equations: a survey]," MPRA Paper 24123, University Library of Munich, Germany, revised 1992.
    4. Peter Robinson, 2006. "Efficient estimation of the semiparametric spatial autoregressive model," CeMMAP working papers CWP08/06, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    5. Oliver B. Linton & Enno Mammen & J. Nielsen & Carsten Tanggaard, 2000. "Yield Curve Estimation by Kernel Smoothing Methods," Econometric Society World Congress 2000 Contributed Papers 0235, Econometric Society.
    6. Jeffrey M. Wooldridge, 2004. "Estimating average partial effects under conditional moment independence assumptions," CeMMAP working papers 03/04, Institute for Fiscal Studies.
    7. Ai, Chunrong & McFadden, Daniel, 1997. "Estimation of some partially specified nonlinear models," Journal of Econometrics, Elsevier, vol. 76(1-2), pages 1-37.
    8. Guang Cheng, 2013. "How Many Iterations are Sufficient for Efficient Semiparametric Estimation?," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 40(3), pages 592-618, September.
    9. Dennis Kristensen & Bernard Salanie, 2013. "Higher-order properties of approximate estimators," CeMMAP working papers 45/13, Institute for Fiscal Studies.
    10. Hafner C. & Linton, O., 2013. "An Almost Closed Form Estimator for the EGARCH," LIDAM Discussion Papers ISBA 2013010, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    11. Gupta, A & Robinson, PM, 2015. "Pseudo Maximum Likelihood Estimation of Spatial Autoregressive Models with Increasing Dimension," Economics Discussion Papers 22698, University of Essex, Department of Economics.
    12. David T. Frazierz & Eric Renault, 2016. "Efficient Two-Step Estimation via Targeting," CIRANO Working Papers 2016s-16, CIRANO.
    13. Michael Creel & Jiti Gao & Han Hong & Dennis Kristensen, 2016. "Bayesian Indirect Inference and the ABC of GMM," Monash Econometrics and Business Statistics Working Papers 1/16, Monash University, Department of Econometrics and Business Statistics.
    14. Peter Robinson & J. Vidal Sanz Vidal Sanz, 2003. "Modified whittle estimation of multilateral spatial models," CeMMAP working papers CWP18/03, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    15. Giuseppe de Luca & Jan Magnus & Franco Peracchi, 2017. "Weighted-Average Least Squares Estimation of Generalized Linear Models," Tinbergen Institute Discussion Papers 17-029/III, Tinbergen Institute.
    16. Andrews, Donald W.K., 2002. "EQUIVALENCE OF THE HIGHER ORDER ASYMPTOTIC EFFICIENCY OF k-STEP AND EXTREMUM STATISTICS," Econometric Theory, Cambridge University Press, vol. 18(5), pages 1040-1085, October.
    17. Fan, Yanqin & Gentry, Matthew & Li, Tong, 2011. "A new class of asymptotically efficient estimators for moment condition models," Journal of Econometrics, Elsevier, vol. 162(2), pages 268-277, June.
    18. Whitney K. Newey & Richard Smith, 2003. "Higher order properties of GMM and generalised empirical likelihood estimators," CeMMAP working papers CWP04/03, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    19. Miguel A. Delgado & Julius Vainora, 2022. "Conditional Distribution Model Specification Testing Using Chi-Square Goodness-of-Fit Tests," Papers 2210.00624, arXiv.org, revised Sep 2023.
    20. Jean-Jacques Forneron, 2022. "Estimation and Inference by Stochastic Optimization," Papers 2205.03254, arXiv.org.
    21. Hafner, Christian & Linton, Oliver, 2017. "An Almost Closed Form Estimator For The EGARCH Model," LIDAM Reprints ISBA 2017040, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    22. Oliver Linton, 1993. "Second Order Approximation in the Partially Linear Regression Model," Cowles Foundation Discussion Papers 1065, Cowles Foundation for Research in Economics, Yale University.
    23. Forneron, Jean-Jacques, 2024. "Estimation and inference by stochastic optimization," Journal of Econometrics, Elsevier, vol. 238(2).
    24. Robinson, P.M. & Vidal Sanz, J., 2006. "Modified Whittle estimation of multilateral models on a lattice," Journal of Multivariate Analysis, Elsevier, vol. 97(5), pages 1090-1120, May.
    25. Dovonon, Prosper, 2008. "Large sample properties of the three-step euclidean likelihood estimators under model misspecification," MPRA Paper 40025, University Library of Munich, Germany, revised 16 May 2010.
    26. Jean-Jacques Forneron, 2023. "Noisy, Non-Smooth, Non-Convex Estimation of Moment Condition Models," Papers 2301.07196, arXiv.org, revised Feb 2023.
    27. M. Dolores de Prada & Luis M. Borge, 1997. "Some methods for comparing first-order asymptotically equivalent estimators," Investigaciones Economicas, Fundación SEPI, vol. 21(3), pages 473-500, September.
    28. Bruins, Marianne & Duffy, James A. & Keane, Michael P. & Smith, Anthony A., 2018. "Generalized indirect inference for discrete choice models," Journal of Econometrics, Elsevier, vol. 205(1), pages 177-203.
    29. Yunbei Ma & Alan Wan & Xuerong Chen & Yong Zhou, 2014. "On estimation and inference in a partially linear hazard model with varying coefficients," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 66(5), pages 931-960, October.
    30. Haoying Wang, 2018. "Pricing used books on Amazon.com: a spatial approach to price dispersion," Spatial Economic Analysis, Taylor & Francis Journals, vol. 13(1), pages 99-117, January.
    31. Marinucci, D. & Robinson, P. M., 2001. "Semiparametric fractional cointegration analysis," Journal of Econometrics, Elsevier, vol. 105(1), pages 225-247, November.
    32. Frazier, David T. & Renault, Eric, 2017. "Efficient two-step estimation via targeting," Journal of Econometrics, Elsevier, vol. 201(2), pages 212-227.
    33. Grigory Franguridi & Bulat Gafarov & Kaspar Wüthrich, 2021. "Conditional Quantile Estimators: A Small Sample Theory," CESifo Working Paper Series 9046, CESifo.
    34. Antoine, Bertille & Bonnal, Helene & Renault, Eric, 2007. "On the efficient use of the informational content of estimating equations: Implied probabilities and Euclidean empirical likelihood," Journal of Econometrics, Elsevier, vol. 138(2), pages 461-487, June.
    35. J. H. Wright, 1995. "Stochastic Orders Of Magnitude Associated With Two‐Stage Estimators Of Fractional Arima Systems," Journal of Time Series Analysis, Wiley Blackwell, vol. 16(1), pages 119-125, January.
    36. Robinson, P.M., 2010. "Efficient estimation of the semiparametric spatial autoregressive model," Journal of Econometrics, Elsevier, vol. 157(1), pages 6-17, July.
    37. Gallant, A. Ronald & Hong, Han & Leung, Michael P. & Li, Jessie, 2022. "Constrained estimation using penalization and MCMC," Journal of Econometrics, Elsevier, vol. 228(1), pages 85-106.
    38. Oliver Linton, 1997. "Second Order Approximation in a Linear Regression with Heteroskedasticity for Unknown Form," Cowles Foundation Discussion Papers 1151, Cowles Foundation for Research in Economics, Yale University.
    39. Dietmar Bauer, 2005. "Comparing the CCA Subspace Method to Pseudo Maximum Likelihood Methods in the case of No Exogenous Inputs," Journal of Time Series Analysis, Wiley Blackwell, vol. 26(5), pages 631-668, September.
    40. Jianwen Cai & Jianqing Fan & Jiancheng Jiang & Haibo Zhou, 2008. "Partially linear hazard regression with varying coefficients for multivariate survival data," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 70(1), pages 141-158, February.
    41. Bernard Salanie & Frank A. Wolak, 2018. "Fast, "robust", and approximately correct: estimating mixed demand systems," CeMMAP working papers CWP64/18, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    42. Donald W. K. Andrews, 1997. "A Stopping Rule for the Computation of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 65(4), pages 913-932, July.
    43. Rilstone, Paul & Srivastava, V. K. & Ullah, Aman, 1996. "The second-order bias and mean squared error of nonlinear estimators," Journal of Econometrics, Elsevier, vol. 75(2), pages 369-395, December.
    44. Dennis Kristensen & Bernard Salanié, 2010. "Higher Order Improvements for Approximate Estimators," CAM Working Papers 2010-04, University of Copenhagen. Department of Economics. Centre for Applied Microeconometrics.
    45. Lobato, Ignacio N., 1999. "A semiparametric two-step estimator in a multivariate long memory model," Journal of Econometrics, Elsevier, vol. 90(1), pages 129-153, May.
    46. Abhimanyu Gupta, 2020. "Efficient closed-form estimation of large spatial autoregressions," Papers 2008.12395, arXiv.org, revised May 2021.
    47. Yu, Jialin, 2007. "Closed-form likelihood approximation and estimation of jump-diffusions with an application to the realignment risk of the Chinese Yuan," Journal of Econometrics, Elsevier, vol. 141(2), pages 1245-1280, December.
    48. Katsumi Shimotsu, 2006. "Exact Local Whittle Estimation of Fractional Integration with Unknown Mean and Time Trend," Working Paper 1061, Economics Department, Queen's University.
    49. Alain Guay & Florian Pelgrin, 2007. "Using Implied Probabilities to Improve Estimation with Unconditional Moment Restrictions," Cahiers de recherche 0747, CIRPEE.
    50. Abhimanyu Gupta & Xi Qu, 2021. "Consistent specification testing under spatial dependence," Papers 2101.10255, arXiv.org, revised Aug 2022.
    51. Kasahara, Hiroyuki & Shimotsu, Katsumi, 2008. "Pseudo-likelihood estimation and bootstrap inference for structural discrete Markov decision models," Journal of Econometrics, Elsevier, vol. 146(1), pages 92-106, September.

  29. Robinson, P M, 1988. "Using Gaussian Estimators Robustly," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 50(1), pages 97-106, February.

    Cited by:

    1. Theodore Simos, 2008. "The exact discrete model of a system of linear stochastic differential equations driven by fractional noise," Journal of Time Series Analysis, Wiley Blackwell, vol. 29(6), pages 1019-1031, November.
    2. Petrova, Katerina, 2022. "Asymptotically valid Bayesian inference in the presence of distributional misspecification in VAR models," Journal of Econometrics, Elsevier, vol. 230(1), pages 154-182.

  30. Robinson, P M, 1987. "Asymptotically Efficient Estimation in the Presence of Heteroskedasticity of Unknown Form," Econometrica, Econometric Society, vol. 55(4), pages 875-891, July.

    Cited by:

    1. Lu, Xun & White, Halbert, 2014. "Robustness checks and robustness tests in applied economics," Journal of Econometrics, Elsevier, vol. 178(P1), pages 194-206.
    2. Yoici Arai & Taisuke Otsu & Mengshan Xu, 2022. "GLS under monotone heteroskedasticity," STICERD - Econometrics Paper Series 625, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    3. Charlier, Erwin & Melenberg, Bertrand & van Soest, Arthur, 2000. "Estimation of a censored regression panel data model using conditional moment restrictions efficiently," Journal of Econometrics, Elsevier, vol. 95(1), pages 25-56, March.
    4. Tetsuya Kaji, 2019. "Theory of Weak Identification in Semiparametric Models," Papers 1908.10478, arXiv.org, revised Aug 2020.
    5. Antoine Djogbenou & Christian Gouriéroux & Joann Jasiak & Paul Rilstone, 2022. "An Econometric Panel Data Model of the COVID-19 Pandemic," Journal of Statistical and Econometric Methods, SCIENPRESS Ltd, vol. 11(1), pages 1-3.
    6. Dennis Kristensen, 2009. "Semiparametric modelling and estimation (in Russian)," Quantile, Quantile, issue 7, pages 53-83, September.
    7. Hansen, Lars Peter, 2013. "Uncertainty Outside and Inside Economic Models," Nobel Prize in Economics documents 2013-7, Nobel Prize Committee.
    8. Donald W.K. Andrews, 1992. "An Introduction to Econometric Applications of Functional Limit Theory for Dependent Random Variables," Cowles Foundation Discussion Papers 1020, Cowles Foundation for Research in Economics, Yale University.
    9. Daiji Kawaguchi & Yukitoshi Matsushita & Hisahiro Naito, 2017. "Moment Estimation of the Probit Model with an Endogenous Continuous Regressor," The Japanese Economic Review, Springer, vol. 68(1), pages 48-62, March.
    10. Hrishikesh D. Vinod, 2008. "Heteroscedasticity and Autocorrelation Efficient (HAE) Estimation and Pivots for Jointly Evolving Series," Fordham Economics Discussion Paper Series dp2008-15, Fordham University, Department of Economics.
    11. Inkmann, Joachim, 2000. "Misspecified heteroskedasticity in the panel probit model: A small sample comparison of GMM and SML estimators," Journal of Econometrics, Elsevier, vol. 97(2), pages 227-259, August.
    12. You, Jinhong & Sun, Xiaoqian & Pang, Wan-kai & Leung, Ping-kei, 2002. "Jackknifing type weighted least squares estimators in partially linear regression models," Statistics & Probability Letters, Elsevier, vol. 60(1), pages 17-31, November.
    13. George-Levi Gayle & Limor Golan & Mehmet A. Soytas, 2015. "What Accounts for the Racial Gap in Time Allocation and Intergenerational Transmission of Human Capital?," Working Papers 2015-18, Federal Reserve Bank of St. Louis.
    14. Pelenis, Justinas, 2012. "Bayesian Semiparametric Regression," Economics Series 285, Institute for Advanced Studies.
    15. Arsene Mouongue Kelly & Beatrice Laure Toukap Yimele & Nidel Lolita Wassou Tchieu & Pascal Ndyanabo Rutazihana, 2023. "Access to Electricity and Primary Education Nexus in Central Africa," Journal of Regional Economics, Anser Press, vol. 2(1), pages 26-41, June.
    16. Manuel Arellano & Stéphane Bonhomme, 2009. "Identifying Distributional Characteristics in Random Coefficients Panel Data Models," Working Papers wp2009_0904, CEMFI.
    17. Cizek, P., 2008. "Semiparametric Robust Estimation of Truncated and Censored Regression Models," Discussion Paper 2008-34, Tilburg University, Center for Economic Research.
    18. Ariel M. Viale & David A. Bessler & James W. Kolari, 2014. "On the structure of financial contagion: Econometric tests and Mercosur evidence," Journal of Applied Economics, Universidad del CEMA, vol. 17, pages 373-400, November.
    19. Yuichi Kitamura & Gautam Tripathi & Hyungtaik Ahn, 2004. "Empirical Likelihood-Based Inference in Conditional Moment Restriction Models," Econometrica, Econometric Society, vol. 72(6), pages 1667-1714, November.
    20. Lavergne, Pascal & Nguimkeu, Pierre, 2016. "A Hausman Specification Test of Conditional Moment Restrictions," TSE Working Papers 16-743, Toulouse School of Economics (TSE).
    21. Chamberlain, Gary, 2022. "Feedback in panel data models," Journal of Econometrics, Elsevier, vol. 226(1), pages 4-20.
    22. Stefano Magrini & Margherita Gerolimetto, 2015. "Spatial Distribution Dynamics," ERSA conference papers ersa15p1172, European Regional Science Association.
    23. Chu, Ba & Jacho-Chávez, David T., 2012. "k-NEAREST NEIGHBOR ESTIMATION OF INVERSE-DENSITY-WEIGHTED EXPECTATIONS WITH DEPENDENT DATA," Econometric Theory, Cambridge University Press, vol. 28(4), pages 769-803, August.
    24. Andersen, Torben G. & Fusari, Nicola & Todorov, Viktor & Varneskov, Rasmus T., 2019. "Unified inference for nonlinear factor models from panels with fixed and large time span," Journal of Econometrics, Elsevier, vol. 212(1), pages 4-25.
    25. Xiao, Zhijie & Phillips, Peter C. B., 1998. "Higher-order approximations for frequency domain time series regression," Journal of Econometrics, Elsevier, vol. 86(2), pages 297-336, June.
    26. Smith, Richard J., 2007. "Efficient information theoretic inference for conditional moment restrictions," Journal of Econometrics, Elsevier, vol. 138(2), pages 430-460, June.
    27. Francesco Bravo & Ba M. Chu & David T. Jacho-Chávez, 2017. "Semiparametric estimation of moment condition models with weakly dependent data," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 29(1), pages 108-136, January.
    28. Yuichi Kitamura, 2006. "Empirical Likelihood Methods in Econometrics: Theory and Practice," CIRJE F-Series CIRJE-F-430, CIRJE, Faculty of Economics, University of Tokyo.
    29. Gencay, Ramazan, 1999. "Linear, non-linear and essential foreign exchange rate prediction with simple technical trading rules," Journal of International Economics, Elsevier, vol. 47(1), pages 91-107, February.
    30. Michael O'Hara & Christopher F. Parmeter, 2013. "Nonparametric Generalized Least Squares in Applied Regression Analysis," Pacific Economic Review, Wiley Blackwell, vol. 18(4), pages 456-474, October.
    31. Donald W.K. Andrews, 1989. "An Empirical Process Central Limit Theorem for Dependent Non-Identically Distributed Random Variables," Cowles Foundation Discussion Papers 907, Cowles Foundation for Research in Economics, Yale University.
    32. David Harris & Hsein Kew & A. M. Robert Taylor, 2020. "Level Shift Estimation in the Presence of Non-stationary Volatility with an Application to the Unit Root Testing Problem," Monash Econometrics and Business Statistics Working Papers 8/20, Monash University, Department of Econometrics and Business Statistics.
    33. Stanislav Anatolyev, 2005. "Optimal Instruments in Time Series: A Survey," Working Papers w0069, Center for Economic and Financial Research (CEFIR).
    34. Ke-Li Xu & Jui-Chung Yang, 2015. "Towards Uniformly Efficient Trend Estimation Under Weak/Strong Correlation and Non-stationary Volatility," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 42(1), pages 63-86, March.
    35. Stanislav Anatolyev, 2007. "Optimal instruments (in Russian)," Quantile, Quantile, issue 2, pages 61-69, March.
    36. Nilanjana Roy, 2002. "Is Adaptive Estimation Useful For Panel Models With Heteroskedasticity In The Individual Specific Error Component? Some Monte Carlo Evidence," Econometric Reviews, Taylor & Francis Journals, vol. 21(2), pages 189-203.
    37. Torben G. Andersen & Nicola Fusari & Viktor Todorov, 2012. "Parametric Inference and Dynamic State Recovery from Option Panels," Global COE Hi-Stat Discussion Paper Series gd12-266, Institute of Economic Research, Hitotsubashi University.
    38. Manuel Arellano & Olympia Bover, 1990. "La econometría de datos de panel," Investigaciones Economicas, Fundación SEPI, vol. 14(1), pages 3-45, January.
    39. Norets, Andriy, 2015. "Bayesian regression with nonparametric heteroskedasticity," Journal of Econometrics, Elsevier, vol. 185(2), pages 409-419.
    40. Chaudhuri, Saraswata & Renault, Eric, 2023. "Efficient estimation of regression models with user-specified parametric model for heteroskedasticty," The Warwick Economics Research Paper Series (TWERPS) 1473, University of Warwick, Department of Economics.
    41. Oliver Linton, 1993. "Second Order Approximation in the Partially Linear Regression Model," Cowles Foundation Discussion Papers 1065, Cowles Foundation for Research in Economics, Yale University.
    42. Lee, Jungyoon & Robinson, Peter M., 2020. "Adaptive inference on pure spatial models," Journal of Econometrics, Elsevier, vol. 216(2), pages 375-393.
    43. Zhijie Xiao & Peter C.B. Phillips, 1998. "Higher Order Approximations for Wald Statistics in Cointegrating Regressions," Cowles Foundation Discussion Papers 1192, Cowles Foundation for Research in Economics, Yale University.
    44. Bollerslev, Tim & Chou, Ray Y. & Kroner, Kenneth F., 1992. "ARCH modeling in finance : A review of the theory and empirical evidence," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 5-59.
    45. Pagan, Adrian & Ullah, Aman, 1988. "The Econometric Analysis of Models with Risk Terms," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 3(2), pages 87-105, April.
    46. Hahn, Jinyong, 1997. "Efficient estimation of panel data models with sequential moment restrictions," Journal of Econometrics, Elsevier, vol. 79(1), pages 1-21, July.
    47. Hiroaki Chigira & Tsunemasa Shiba, 2012. "Dirichlet Prior for Estimating Unknown Regression Error Heteroscedasticity," Global COE Hi-Stat Discussion Paper Series gd12-248, Institute of Economic Research, Hitotsubashi University.
    48. Komunjer, Ivana & Vuong, Quang, 2010. "Efficient estimation in dynamic conditional quantile models," Journal of Econometrics, Elsevier, vol. 157(2), pages 272-285, August.
    49. Miguel A. Delgado & Thomas J. Kniesner, 1997. "Count Data Models With Variance Of Unknown Form: An Application To A Hedonic Model Of Worker Absenteeism," The Review of Economics and Statistics, MIT Press, vol. 79(1), pages 41-49, February.
    50. So Im, Kyung, 1998. "Efficient estimation with grouped data," Economics Letters, Elsevier, vol. 59(2), pages 169-174, May.
    51. Oliver Linton, 2001. "Symmetrizing and unitizing transformations for linear smoother weights," Computational Statistics, Springer, vol. 16(1), pages 153-164, March.
    52. Jun, Sung Jae & Pinkse, Joris, 2009. "Semiparametric tests of conditional moment restrictions under weak or partial identification," Journal of Econometrics, Elsevier, vol. 152(1), pages 3-18, September.
    53. Magerman, Glenn & Studnicka, Zuzanna & Van Hove, Jan, 2015. "Distance and border effects in international trade: A comparison of estimation methods," Economics Discussion Papers 2015-69, Kiel Institute for the World Economy (IfW Kiel).
    54. Altug, S. & Miller, R.A., 1991. "Human capital, aggregate shocks and panel data estimation," Discussion Paper 1991-28, Tilburg University, Center for Economic Research.
    55. Qi Li & Jeffrey Scott Racine, 2006. "Nonparametric Econometrics: Theory and Practice," Economics Books, Princeton University Press, edition 1, volume 1, number 8355.
    56. Miller, Steve & Startz, Richard, 2019. "Feasible generalized least squares using support vector regression," Economics Letters, Elsevier, vol. 175(C), pages 28-31.
    57. Richard Smith, 2005. "Local GEL methods for conditional moment restrictions," CeMMAP working papers CWP15/05, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    58. Qingfeng Liu & Ryo Okui & Arihiro Yoshimura, 2016. "Generalized Least Squares Model Averaging," Econometric Reviews, Taylor & Francis Journals, vol. 35(8-10), pages 1692-1752, December.
    59. Inmaculada Martínez-Zarzoso, 2013. "The log of gravity revisited," Applied Economics, Taylor & Francis Journals, vol. 45(3), pages 311-327, January.
    60. Ke Zhu, 2018. "Statistical inference for autoregressive models under heteroscedasticity of unknown form," Papers 1804.02348, arXiv.org, revised Aug 2018.
    61. B.U.PARK & Wolfgang HAERDLE, "undated". "Testing increasing dispersion," Statistic und Oekonometrie 9314, Humboldt Universitaet Berlin.
    62. Yu, Ping, 2015. "Adaptive estimation of the threshold point in threshold regression," Journal of Econometrics, Elsevier, vol. 189(1), pages 83-100.
    63. Eric S. Lin & Ta-Sheng Chou, 2018. "Finite-sample refinement of GMM approach to nonlinear models under heteroskedasticity of unknown form," Econometric Reviews, Taylor & Francis Journals, vol. 37(1), pages 1-28, January.
    64. Quentin Giai Gianetto & Hamdi Raïssi, 2015. "Testing Instantaneous Causality in Presence of Nonconstant Unconditional Covariance," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 33(1), pages 46-53, January.
    65. Oliver Linton, 1997. "Second Order Approximation in a Linear Regression with Heteroskedasticity for Unknown Form," Cowles Foundation Discussion Papers 1151, Cowles Foundation for Research in Economics, Yale University.
    66. Bertschek, Irene & Lechner, Michael, 1995. "Convenient Estimators for the Panel Probit Model," Discussion Papers 528, Institut fuer Volkswirtschaftslehre und Statistik, Abteilung fuer Volkswirtschaftslehre.
    67. Pelenis, Justinas, 2014. "Bayesian regression with heteroscedastic error density and parametric mean function," Journal of Econometrics, Elsevier, vol. 178(P3), pages 624-638.
    68. Oliver Linton & Douglas G. Steigerwald, 1995. "Adaptive Testing in ARCH Models," Cowles Foundation Discussion Papers 1105, Cowles Foundation for Research in Economics, Yale University.
    69. Joris Pinkse & Margaret E. Slade, 2010. "The Future Of Spatial Econometrics," Journal of Regional Science, Wiley Blackwell, vol. 50(1), pages 103-117, February.
    70. Xu, Ke-Li & Phillips, Peter C.B., 2008. "Adaptive estimation of autoregressive models with time-varying variances," Journal of Econometrics, Elsevier, vol. 142(1), pages 265-280, January.
    71. Li, Jia & Todorov, Viktor & Tauchen, George, 2017. "Adaptive estimation of continuous-time regression models using high-frequency data," Journal of Econometrics, Elsevier, vol. 200(1), pages 36-47.
    72. Linton, Oliver & Xiao, Zhijie, 2019. "Efficient estimation of nonparametric regression in the presence of dynamic heteroskedasticity," Journal of Econometrics, Elsevier, vol. 213(2), pages 608-631.
    73. J. M. C. Santos Silva & Silvana Tenreyro, 2006. "The Log of Gravity," The Review of Economics and Statistics, MIT Press, vol. 88(4), pages 641-658, November.
    74. Francesco Bravo, 2013. "Partially linear varying coefficient models with missing at random responses," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 65(4), pages 721-762, August.
    75. White, Halbert & Hong, Yongmiao, 1999. "M-Testing Using Finite and Infinite Dimensional Parameter Estimators," University of California at San Diego, Economics Working Paper Series qt9qz123ng, Department of Economics, UC San Diego.
    76. Thomas Hellström & Kenneth Holmström, 2000. "The relevance of trends for predictions of stock returns," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 9(1), pages 23-34, March.
    77. Tim Bollerslev & Ray Y. Chou & Narayanan Jayaraman & Kenneth F. Kroner - L, 1991. "es modéles ARCH en finance : un point sur la théorie et les résultats empiriques," Annals of Economics and Statistics, GENES, issue 24, pages 1-59.
    78. Behnam Najafzadeh & Mohammadreza Monjazeb & Siab Mamipour, 2016. "The Analysis of Real Exchange Rate Volatility and Stock Exchange Return with PANEL-GARCH Approach (Case Study: D8 Countries)," Iranian Economic Review (IER), Faculty of Economics,University of Tehran.Tehran,Iran, vol. 20(4), pages 525-550, Autumn.
    79. Bin Nan, 2004. "New estimating methods for surrogate outcome data," The University of Michigan Department of Biostatistics Working Paper Series 1017, Berkeley Electronic Press.
    80. Martínez-Zarzoso, Inmaculada & Nowak-Lehmann D., Felicitas & Vollmer, Sebastian, 2007. "The log of gravity revisited," University of Göttingen Working Papers in Economics 64, University of Goettingen, Department of Economics.
    81. Álvarez, Begoña, 1997. "Nonparametric checks for count data models: an application to demand for health care in Spain," DES - Working Papers. Statistics and Econometrics. WS 4547, Universidad Carlos III de Madrid. Departamento de Estadística.
    82. Zhu, Ke, 2023. "A new generalized exponentially weighted moving average quantile model and its statistical inference," Journal of Econometrics, Elsevier, vol. 237(1).
    83. Jiang, Feiyu & Li, Dong & Zhu, Ke, 2021. "Adaptive inference for a semiparametric generalized autoregressive conditional heteroskedasticity model," Journal of Econometrics, Elsevier, vol. 224(2), pages 306-329.
    84. Yoshihiro Usami & Mituaki Huzii, 1995. "Estimation Of Coefficients Of Time Series Regression With A Nonstationary Error Process," Journal of Time Series Analysis, Wiley Blackwell, vol. 16(1), pages 105-118, January.
    85. Feiyu Jiang & Dong Li & Ke Zhu, 2019. "Adaptive inference for a semiparametric generalized autoregressive conditional heteroskedasticity model," Papers 1907.04147, arXiv.org, revised Oct 2020.
    86. Inkmann, Joachim, 1997. "Circumventing multiple integration: A comparison of GMM and SML estimators for the panel probit model," Discussion Papers, Series II 339, University of Konstanz, Collaborative Research Centre (SFB) 178 "Internationalization of the Economy".
    87. Dennis Kristensen, 2009. "Semiparametric Modelling and Estimation: A Selective Overview," CREATES Research Papers 2009-44, Department of Economics and Business Economics, Aarhus University.
    88. Tetsuya Kaji, 2021. "Theory of Weak Identification in Semiparametric Models," Econometrica, Econometric Society, vol. 89(2), pages 733-763, March.
    89. Begoña Álvarez, 2001. "La demanda atendida de consultas médicas y servicios urgentes en España," Investigaciones Economicas, Fundación SEPI, vol. 25(1), pages 93-138, January.
    90. Adián R. Pagan & Hernán Sabau, 1992. "Consistency tests for heteroskedastic and risk models," Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, vol. 7(1), pages 3-30.
    91. Lewbel, Arthur & Schennach, Susanne M., 2007. "A simple ordered data estimator for inverse density weighted expectations," Journal of Econometrics, Elsevier, vol. 136(1), pages 189-211, January.
    92. Li, Hongjun & Li, Qi & Liu, Ruixuan, 2016. "Consistent model specification tests based on k-nearest-neighbor estimation method," Journal of Econometrics, Elsevier, vol. 194(1), pages 187-202.
    93. Charlier, E., 1997. "Limited dependent variable models for panel data," Other publications TiSEM a62de6c4-ca26-4d7a-8884-c, Tilburg University, School of Economics and Management.
    94. Yuan, Xiaohui & Liu, Tianqing & Lin, Nan & Zhang, Baoxue, 2010. "Combining conditional and unconditional moment restrictions with missing responses," Journal of Multivariate Analysis, Elsevier, vol. 101(10), pages 2420-2433, November.
    95. Juhl, Ted & Xiao, Zhijie, 2005. "Testing for cointegration using partially linear models," Journal of Econometrics, Elsevier, vol. 124(2), pages 363-394, February.
    96. Song, Kyungchul, 2014. "Semiparametric models with single-index nuisance parameters," Journal of Econometrics, Elsevier, vol. 178(P3), pages 471-483.

  31. Robinson, P M, 1986. "Nonparametric Methods in Specification," Economic Journal, Royal Economic Society, vol. 96(380a), pages 134-141, Supplemen.

    Cited by:

    1. Pagan, Adrian & Ullah, Aman, 1988. "The Econometric Analysis of Models with Risk Terms," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 3(2), pages 87-105, April.
    2. Kusum Mundra, 2005. "Nonparametric Slope Estimators for Fixed-Effect Panel Data," Econometrics 0502008, University Library of Munich, Germany.

  32. Robinson, P M & Bera, Anil K & Jarque, Carlos M, 1985. "Tests for Serial Dependence in Limited Dependent Variable Models," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 26(3), pages 629-638, October.

    Cited by:

    1. Tolga Akcura & Kemal Altinkemer & Hailiang Chen, 2018. "Noninfluentials and information dissemination in the microblogging community," Information Technology and Management, Springer, vol. 19(2), pages 89-106, June.
    2. Chavas, Jean-Paul & Kim, Kwansoo, 2001. "An Econometric Analysis Of The Effects Of Market Liberalization On Price Dynamics And Price Volatility," 2001 Annual meeting, August 5-8, Chicago, IL 20649, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    3. Tolga Akcura & Kemal Altinkemer & Hailiang Chen, 0. "Noninfluentials and information dissemination in the microblogging community," Information Technology and Management, Springer, vol. 0, pages 1-18.
    4. MacKinnon, James G, 1992. "Model Specification Tests and Artificial Regressions," Journal of Economic Literature, American Economic Association, vol. 30(1), pages 102-146, March.
    5. Kim, Kwansoo & Chavas, Jean-Paul, 2002. "A Dynamic Analysis Of The Effects Of A Price Support Program On Price Dynamics And Price Volatility," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 27(2), pages 1-20, December.

  33. Robinson, Peter M, 1982. "On the Asymptotic Properties of Estimators of Models Containing Limited Dependent Variables," Econometrica, Econometric Society, vol. 50(1), pages 27-41, January.

    Cited by:

    1. Laisney, François & Pohlmeier, Winfried & Staat, Matthias, 1991. "Estimation of labour supply functions using panel data: a survey," ZEW Discussion Papers 91-05, ZEW - Leibniz Centre for European Economic Research.
    2. Francisco J. Ruge-Murcia, 2000. "Uncovering financial markets' beliefs about inflation targets," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(5), pages 483-512.
    3. Luc Renneboog & Yang Zhao, 2020. "Director networks, turnover, and appointments," European Financial Management, European Financial Management Association, vol. 26(1), pages 44-76, January.
    4. Ariel Mecikovsky & Felix Wellschmied, 2018. "Wage Risk, Employment Risk, and the Rise in Wage Inequality," 2018 Meeting Papers 52, Society for Economic Dynamics.
    5. Lixin Cai, 2021. "The effects of health on the extensive and intensive margins of labour supply," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 184(1), pages 87-117, January.
    6. Juliana Araujo & Povilas Lastauskas & Chris Papageorgiou, 2016. "Evolution of Bilateral Capital Flows to Developing Countries at Intensive and Extensive Margins," Bank of Lithuania Working Paper Series 37, Bank of Lithuania.
    7. Michael P. Keane, 1989. "A computationally practical simulation estimator for panel data, with applications to labor supply and real wage movement over the business cycle," Discussion Paper / Institute for Empirical Macroeconomics 16, Federal Reserve Bank of Minneapolis.
    8. Czellar, Veronika & Frazier, David T. & Renault, Eric, 2022. "Approximate maximum likelihood for complex structural models," Journal of Econometrics, Elsevier, vol. 231(2), pages 432-456.
    9. Gouriéroux, Christian & Jouneau, F., 1994. "Multivariate distributions for limited dependent variable models," CEPREMAP Working Papers (Couverture Orange) 9414, CEPREMAP.
    10. Sergio Pastorello & Valentin Patilea & Eric Renault, 2003. "Iterative and Recursive Estimation in Structural Non-Adaptive Models," CIRANO Working Papers 2003s-08, CIRANO.
    11. Vasudaven, M. & Nair, M. G. & Sithole, M. M., 1996. "On estimation for censored autoregressive data," Statistics & Probability Letters, Elsevier, vol. 31(2), pages 97-105, December.
    12. Kalouptsidi, Myrto & Barwick, Panle Jia & Zahur, Nahim Bin, 2019. "China’s Industrial Policy: an Empirical Evaluation," CEPR Discussion Papers 13889, C.E.P.R. Discussion Papers.
    13. Ray Bachan & Barry Reilly & Robert Witt, 2005. "The Hazard of Being an English Football League Manager: Empirical Estimates from the 2002/3 Season," School of Economics Discussion Papers 1605, School of Economics, University of Surrey.
    14. James Mitchell & Richard J. Smith & Martin R. Weale, 2013. "Efficient Aggregation Of Panel Qualitative Survey Data," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 28(4), pages 580-603, June.
    15. Jing Cheng & Dylan S. Small, 2021. "Semiparametric models and inference for the effect of a treatment when the outcome is nonnegative with clumping at zero," Biometrics, The International Biometric Society, vol. 77(4), pages 1187-1201, December.
    16. Diaz-Serrano, Luis, 2005. "Income volatility and residential mortgage delinquency across the EU," Journal of Housing Economics, Elsevier, vol. 14(3), pages 153-177, September.
    17. Stéfan Lollivier & Pascale Pollet, 2003. "Impact de la formation initiale sur les rémunérations au cours de la vie active," Revue d'économie politique, Dalloz, vol. 113(6), pages 801-827.
    18. Rabovič, Renata & Čížek, Pavel, 2023. "Estimation of spatial sample selection models: A partial maximum likelihood approach," Journal of Econometrics, Elsevier, vol. 232(1), pages 214-243.
    19. Ananish Chaudhuri & Andrew Schotter & Barry Sopher, 2009. "Talking Ourselves to Efficiency: Coordination in Inter-Generational Minimum Effort Games with Private, Almost Common and Common Knowledge of Advice," Economic Journal, Royal Economic Society, vol. 119(534), pages 91-122, January.
    20. Wolter, James Lewis, 2016. "Kernel estimation of hazard functions when observations have dependent and common covariates," Journal of Econometrics, Elsevier, vol. 193(1), pages 1-16.
    21. De Donato, Andrew & Thomas, James, 2017. "The effects of Greek affiliation on academic performance," Economics of Education Review, Elsevier, vol. 57(C), pages 41-51.
    22. Wiji Arulampalam, 1999. "A Note on Estimated Coefficients in Random Effects Probit Models," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 61(4), pages 597-602, November.
    23. Nan‐Kuang Chen & Hung‐Jen Wang, 2008. "Identifying the Demand and Supply Effects of Financial Crises on Bank Credit—Evidence from Taiwan," Southern Economic Journal, John Wiley & Sons, vol. 75(1), pages 26-49, July.
    24. Takeshima, Hiroyuki & Adhikari, Rajendra Prasad & Shivakoti, Sabnam & Kaphle, Basu Dev & Kumar, Anjani, 2017. "Heterogeneous returns to chemical fertilizer at the intensive margins: Insights from Nepal," Food Policy, Elsevier, vol. 69(C), pages 97-109.
    25. Hanemann, W. Michael & Kanninen, Barbara, 1996. "The Statistical Analysis Of Discrete-Response Cv Data," CUDARE Working Papers 25022, University of California, Berkeley, Department of Agricultural and Resource Economics.
    26. Kim, Kwansoo & Chavas, Jean-Paul, 2002. "A Dynamic Analysis Of The Effects Of A Price Support Program On Price Dynamics And Price Volatility," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 27(2), pages 1-20, December.
    27. Backus, Peter, 2010. "Is charity a homogeneous good?," Economic Research Papers 270773, University of Warwick - Department of Economics.
    28. Backus, Peter, 2010. "Is charity a homogeneous good?," The Warwick Economics Research Paper Series (TWERPS) 951, University of Warwick, Department of Economics.
    29. Steven T. Yen & Andrew M. Jones, 1996. "Individual cigarette consumption and addiction: A flexible limited dependent variable approach," Health Economics, John Wiley & Sons, Ltd., vol. 5(2), pages 105-117, March.
    30. R Bachan & B Reilly & R Witt, 2008. "The hazard of being an English football league manager: empirical estimates for three recent league seasons," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 59(7), pages 884-891, July.
    31. Gustavo Angeles & David K. Guilkey & Thomas A. Mroz, 2005. "The Impact of Community-Level Variables on Individual-Level Outcomes," Sociological Methods & Research, , vol. 34(1), pages 76-121, August.
    32. Veronika Czellar & David T. Frazier & Eric Renault, 2020. "Approximate Maximum Likelihood for Complex Structural Models," Papers 2006.10245, arXiv.org.
    33. Andersson, Mats & Smith, Andrew & Wikberg, Åsa & Wheat, Phill, 2012. "Estimating the marginal cost of railway track renewals using corner solution models," Transportation Research Part A: Policy and Practice, Elsevier, vol. 46(6), pages 954-964.
    34. James Wolter, 2015. "Kernel Estimation Of Hazard Functions When Observations Have Dependent and Common Covariates," Economics Series Working Papers 761, University of Oxford, Department of Economics.
    35. Riccardo LUCCHETTI & Claudia PIGINI, 2011. "Conditional Moment Tests for Normality in Bivariate Limited Dependent Variable Models: a Monte Carlo Study," Working Papers 357, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
    36. Flaig, Gebhard & Stadler, Manfred, 1998. "On the dynamics of product and process innovations - A bivariate random effects probit model," Munich Reprints in Economics 20365, University of Munich, Department of Economics.
    37. Barry V. Bye & Gerald F. Riley, 1989. "Model Estimation when Observations are not Independent:," Sociological Methods & Research, , vol. 17(4), pages 353-375, May.
    38. Steve J. Miller & Robert T. Deacon, 2017. "Protecting Marine Ecosystems: Regulation Versus Market Incentives," Marine Resource Economics, University of Chicago Press, vol. 32(1), pages 83-107.
    39. Marcel G. Dagenais, 1992. "Pièges et limitations de l'analyse micro-économétrique," Économie et Prévision, Programme National Persée, vol. 102(1), pages 1-9.
    40. Borjas, George J. & Sueyoshi, Glenn T., 1994. "A two-stage estimator for probit models with structural group effects," Journal of Econometrics, Elsevier, vol. 64(1-2), pages 165-182.
    41. Paul Contoyannis & Andrew M. Jones & Roberto Leon‐Gonzalez, 2004. "Using simulation‐based inference with panel data in health economics," Health Economics, John Wiley & Sons, Ltd., vol. 13(2), pages 101-122, February.
    42. Steven Yen, 1995. "Alternative transformations in a class of limited dependent variable models: alcohol consumption by US women," Applied Economics Letters, Taylor & Francis Journals, vol. 2(8), pages 258-262.
    43. Ho, Anson T.Y. & Morin, Lealand & Paarsch, Harry J. & Huynh, Kim P., 2022. "A flexible framework for intervention analysis applied to credit-card usage during the coronavirus pandemic," International Journal of Forecasting, Elsevier, vol. 38(3), pages 1129-1157.
    44. Rabovic, Renata & Cizek, Pavel, 2016. "Estimation of Spatial Sample Selection Models : A Partial Maximum Likelihood Approach," Other publications TiSEM 8a4b2e5d-6787-4685-8b9e-1, Tilburg University, School of Economics and Management.
    45. Bertschek, Irene & Lechner, Michael, 1995. "Convenient Estimators for the Panel Probit Model," Discussion Papers 528, Institut fuer Volkswirtschaftslehre und Statistik, Abteilung fuer Volkswirtschaftslehre.
    46. Michael Lechner & Stefan Lollivier & Thierry Magnac, 2005. "Parametric Binary Choice Models," University of St. Gallen Department of Economics working paper series 2005 2005-23, Department of Economics, University of St. Gallen.
    47. Nicoletti, Cheti & Buck, Nick, 2004. "Explaining interviewee contact and co-operation in the British and German Household Panels," ISER Working Paper Series 2004-06, Institute for Social and Economic Research.
    48. Panle Jia Barwick & Myrto Kalouptsidi & Nahim Bin Zahur, 2019. "China’s Industrial Policy: an Empirical Evaluation," NBER Working Papers 26075, National Bureau of Economic Research, Inc.
    49. Hitaj, Claudia, 2013. "Wind power development in the United States," Journal of Environmental Economics and Management, Elsevier, vol. 65(3), pages 394-410.
    50. Wang, Honglin & Iglesias, Emma M. & Wooldridge, Jeffrey M., 2013. "Partial maximum likelihood estimation of spatial probit models," Journal of Econometrics, Elsevier, vol. 172(1), pages 77-89.
    51. David T. Frazier & Eric Renault, 2016. "Indirect Inference With(Out) Constraints," Papers 1607.06163, arXiv.org, revised Aug 2019.
    52. Nishiyama, Y & Robinson, Peter, 1999. "Studentization in Edgworth expansions for estimates of semiparametric index models," LSE Research Online Documents on Economics 2095, London School of Economics and Political Science, LSE Library.
    53. Czellar, Veronika & Frazier, David T. & Renault, Eric, 2021. "Approximate Maximum Likelihood for Complex Structural Models," The Warwick Economics Research Paper Series (TWERPS) 1337, University of Warwick, Department of Economics.
    54. Yoo, Seung-Hoon & Kim, Tai-Yoo & Lee, Jai-Ki, 2001. "Modeling zero response data from willingness to pay surveys: A semi-parametric estimation," Economics Letters, Elsevier, vol. 71(2), pages 191-196, May.
    55. Riccardo Lucchetti & Claudia Pigini, 2013. "A test for bivariate normality with applications in microeconometric models," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 22(4), pages 535-572, November.
    56. Y Nishiyama & Peter M Robinson, 1999. "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 A," STICERD - Econometrics Paper Series 374, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    57. Ricardo Gonçalves Silva, 2004. "Bayesian Semiparametric Regression for Autoregressive Models with Possible Unit Roots," Econometrics 0405002, University Library of Munich, Germany.
    58. Jonathan A. Cook & Saad Siddiqui, 2020. "Random forests and selected samples," Bulletin of Economic Research, Wiley Blackwell, vol. 72(3), pages 272-287, July.
    59. Takeshima, Hiroyuki & Adhikari, Rajendra Prasad & Kaphle, Basu Dev & Shivakoti, Sabnam & Kumar, Anjani, 2016. "Determinants of chemical fertilizer use in Nepal: Insights based on price responsiveness and income effects:," IFPRI discussion papers 1507, International Food Policy Research Institute (IFPRI).
    60. Renneboog, Luc & Zhao, Yang, 2017. "Director Networks, Turnover, and Appointments," Other publications TiSEM cbe90d43-2048-43b4-bee0-c, Tilburg University, School of Economics and Management.
    61. Takeshima, Hiroyuki, 2015. "Identifying the effects of market imperfections for a scale biased agricultural technology: Tractors in Nigeria," 2015 Conference, August 9-14, 2015, Milan, Italy 211937, International Association of Agricultural Economists.
    62. Renneboog, Luc & Zhao, Yang, 2020. "Director networks, turnover, and appointments," Other publications TiSEM 3963badf-c66c-4002-b054-0, Tilburg University, School of Economics and Management.
    63. Lee, Lung-Fei, 1997. "A smooth likelihood simulator for dynamic disequilibrium models," Journal of Econometrics, Elsevier, vol. 78(2), pages 257-294, June.
    64. Keane, Michael, 1993. "Simulation estimation for panel data models with limited dependent variables," MPRA Paper 53029, University Library of Munich, Germany.
    65. Asano, Hirokatsu, 2002. "An empirical analysis of lumpy investment: the case of US petroleum refining industry," Energy Economics, Elsevier, vol. 24(6), pages 629-645, November.
    66. Seung-Hoon Yoo, 2003. "A robust approach to dealing with zero expenditures on mobile communications," Applied Economics Letters, Taylor & Francis Journals, vol. 10(12), pages 757-760.
    67. Poncet, Sandra, 2006. "Provincial migration dynamics in China: Borders, costs and economic motivations," Regional Science and Urban Economics, Elsevier, vol. 36(3), pages 385-398, May.

  34. Robinson, P M, 1976. "The Estimation of Linear Differential Equations with Constant Coefficients," Econometrica, Econometric Society, vol. 44(4), pages 751-764, July.

    Cited by:

    1. Lars Peter Hansen & Jose Alexandre Scheinkman, 1993. "Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes," NBER Technical Working Papers 0141, National Bureau of Economic Research, Inc.
    2. Robinson, Peter, 2007. "On discrete sampling of time-varying continuous-time systems," LSE Research Online Documents on Economics 6795, London School of Economics and Political Science, LSE Library.
    3. Peter Robinson, 2007. "On Discrete Sampling Of Time-Varyingcontinuous-Time Systems," STICERD - Econometrics Paper Series 520, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.

  35. Robinson, P M, 1976. "Instrumental Variables Estimation of Differential Equations," Econometrica, Econometric Society, vol. 44(4), pages 765-776, July.

    Cited by:

    1. Juan Carlos Escanciano & Wei Li, 2018. "Optimal Linear Instrumental Variables Approximations," Papers 1805.03275, arXiv.org, revised Feb 2020.
    2. Hsiao, Cheng & Robinson, P M, 1978. "Efficient Estimation of a Dynamic Error-Shock Model," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 19(2), pages 467-479, June.
    3. Mitali Das, 2000. "Instrumental Variables Estimation of Nonparametric Models with Discrete Endogenous Regressors," Econometric Society World Congress 2000 Contributed Papers 1008, Econometric Society.
    4. Juan Carlos Escanciano, 2010. "The Integrated Instrumental Variables Estimator: Exploiting Nonlinearities for Identification of Linear Models," CAEPR Working Papers 2010-001, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington.

  36. Robinson, P M, 1974. "Identification, Estimation and Large-Sample Theory for Regressions Containing Unobservable Variables," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 15(3), pages 680-692, October.

    Cited by:

    1. Hsiao, Cheng & Robinson, P M, 1978. "Efficient Estimation of a Dynamic Error-Shock Model," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 19(2), pages 467-479, June.
    2. Terry A. Marsh, 1985. "Asset Pricing Model Specification and the Term Structure Evidence," NBER Working Papers 1612, National Bureau of Economic Research, Inc.
    3. Raiser, M. & Di Tommaso, M.L. & Weeks, M., 2000. "The Measurement and Determination of Institutional Change: Evidence from Transition Economics," Cambridge Working Papers in Economics 0029, Faculty of Economics, University of Cambridge.
    4. Bin Jiang & Anastasios Panagiotelis & George Athanasopoulos & Rob Hyndman & Farshid Vahid, 2016. "Bayesian Rank Selection in Multivariate Regression," Monash Econometrics and Business Statistics Working Papers 6/16, Monash University, Department of Econometrics and Business Statistics.
    5. Anders Skrondal & Jouni Kuha, 2012. "Improved Regression Calibration," Psychometrika, Springer;The Psychometric Society, vol. 77(4), pages 649-669, October.
    6. Moore, Kevin Clare, 1985. "Predictive econometric modeling of the United States farmland market: an empirical test of the rational expectations hypothesis," ISU General Staff Papers 198501010800008872, Iowa State University, Department of Economics.
    7. Rahman, Tauhidur & Mittelhammer, Ronald C. & Wandschneider, Philip R., 2004. "A Latent Variable Mimic Approach To Inferring The Quality Of Life," 2004 Annual meeting, August 1-4, Denver, CO 20351, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).

IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.