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Suntory and Toyota International Centres for Economics and Related Disciplines, LSE

STICERD - Econometrics Paper Series

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Content

1997

336 Large-Sample Inference for Nonparametric Regression with Dependent Errors - (Now published in 'Annals of Statistics', 28 (1997), pp.2054-2083.)
by Peter M Robinson
332 Beta Convergence
by C Michelacci & Paolo Zaffaroni
329 Gaussian Estimation of Long-Range Dependent Volatility in Asset Prices
by Paolo Zaffaroni
328 The Method of Simulated Scores for the Estimation of LDV Models
by V A Hajivassiliou & DL McFadden
327 Messy Time Series: A Unified Approach - (Now published in 'Advances in Econometrics', 13 (1998)pp.103-143.)
by Andrew C Harvey & Siem Jan Koopman & J Penzer
326 Semiparametric Estimation of a Sample Selection Model: A Simulation Study
by Marcia M Schafgans
325 Gender Wage Differences in Malaysia: Parametric and Semiparametric Estimation
by Marcia M Schafgans
324 Testing Game-Theoretic Models of Price Fixing Behaviour
by V A Hajivassiliou
323 Rate Optimal Semiparametric Estimation of the Memory Parameter of the Gaussian Time Serieswith Long-Range Dependence - (Now published in 'Journal of Time Series Analysis', 18 (1997), pp.49-60.)
by Liudas Giraitis & Peter M Robinson & Alexander Samarov
320 Nonlinear Time Series with Long Memory: A Model for Stochastic Volatility - (Now published in 'Journal of Statistical Planning and Inference', 68 (1998), pp.359-371.)
by Peter M Robinson & Paolo Zaffaroni
319 Modelling Nonlinearity and Long Memory in Time Series - (Now published in 'Nonlinear Dynamics and Time Series', C D Cutler and D T Kaplan (eds), Fields Institute Communications, 11 (1997), pp.61-170.)
by Peter M Robinson & Paolo Zaffaroni
318 Time Series Regression with Long Range Dependence - (Now published in 'Annals of Statistics', 25, (1997)pp.2054-2083.)
by Javier Hidalgo & Peter M Robinson

1996

317 Testing of Unit Root and Other Nonstationary Hypotheses in Macroeconomic Time Series - (Now published in 'Journal of Econometrics', 80, 1997, pp.241-268.)
by L A Gil-Alaña & Peter M Robinson
316 Autocorrelation-Robust Inference - (Now published in 'Handbook of Statistics', vol.15, G S Maddala and C R Rao (eds), Elsevier Science Publishers BV (1997), pp.267-298.)
by Peter M Robinson & Carlos Velasco
307 Multivariate Structural Time Series Models - (Now published in 'System Dynamics in Economic and Financial Models', CHeij, H Schumacher, B Hanzon and C Praagman (eds.) John Wiley & Sons, Chichester (1997), pp.269-298.)
by Andrew C Harvey & Siem Jan Koopman
306 Testing for a Slowly Changing Level with Special Reference to Stochastic Volatility - (Now published in 'Journal of Econometrics', 87 (1998), pp.167-189.)
by Andrew C Harvey & Mariane Streibel
296 Nonparametric Estimation with Strongly Dependent Multivariate Time-Series - (Now published in 'Journal of Time Series Analysis',18 (1997)pp.95-122.)
by Javier Hidalgo
295 Spectral Analysis for Bivariate Time Series with Long Memory - (Now published in 'Econometric Theory',12 (1997)pp.773-792.)
by Javier Hidalgo

1995

290 Aggregate and Regional Disagggregate Fluctuations (Now published in Empirical Economics (1996), vol.21, no.1, pp.137-159.)
by Danny Quah
284 The Modelling and Seasonal Adjustment of Weekly Observations - (Now published in 'Journal of Business and Economic Statistics', 15 (1997), pp.354-368.)
by Andrew C Harvey & Siem Jan Koopman & Marco Riani
282 Measuring Core Inflation (Now published in Economic Journal, vol. 105, No. 432 (September 1995), pp.1130-1144.)
by Danny Quah & Shaun P. Vahey
281 Empirics for Economic Growth and Convergence (Now published in European Economic Review, vol.40, no.6 (1996), pp.1353-1375.)
by Danny Quah

1993

270 Exploiting Cross Section Variation for Unit Root Inference in Dynamic Data (Now published in Economics Letters 44 (1), 1994, pp.9-19.)
by Danny Quah
268 Estimation and Testing of Stochastic Variance Models
by Andrew C Harvey & N.G. Shephard
266 Seasonality in Dynamic Regression Models (Now published in Economic Journal 104 (1994), pp.1324-1345.)
by Andrew C Harvey & Andrew Scott
265 Galton's Fallacy and Tests of the Convergence Hypothesis (Now published in Scandinavian Journal of Economics 95 (4), 1993, pp.427-443.)
by Danny Quah
262 The Multivariate Invariance Principle for Globally Nonstationary Processes, with an Application to I(2) Models
by James Davidson

1992

251 Conditions for Strong and Uniform Mixing in Linear Processes
by James Davidson
245 Deletion Diagnostics and Transformations for Time Series
by A.C. Atkinson & N.G. Shephard
244 Quasi-Maximum Likelihood Estimation of Stochastic Variance Models
by Esther Ruiz
243 The Central Limit Theorem for Globally Nonstationary Near-Epoch Dependent Functions of Mixing Processes: The Asymptotically Degenerate Case (Now published in Economic Theory 9 (1993), pp.402-412.)
by James Davidson
242 An L1-Convergence Theorem for Heterogeneous Mixingale Arrays with Trending Moments (Now published in Statistics & Probability Letters 16 (1993), pp.301-304.)
by James Davidson
241 Exact Score for Time Series Models in State Space Form (Now published in Biometrika (1992), 79, 4, pp.283-6.)
by Siem Jan Koopman & N.G. Shephard

1991

230 Detrending, Stylized Facts and The Business Cycle (Now published in Journal of Applied Econometrics, vol.8 (1993), pp.231-247.)
by Andrew C Harvey & Albert Jaeger

1990

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