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Econometrics

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Robust estimation of moment condition models with weakly dependent data
Kirill  Evdokimov,  Yuichi  Kitamura,  Taisuke  Otsu,  December 2014
Paper No' EM/2014/579: Read Abstract | Full paper (pdf)
Paper copy now out of print.
Regularization for Spatial Panel Time Series Using the Adaptive LASSO
Clifford  Lam,  Pedro  Souza,  November 2014
Paper No' EM/2014/578: Read Abstract | Full paper (pdf)
Dynamic Panels with Threshold Effect and Endogeneity
Myung Hwan  Seo,  Yongcheol  Shin,  September 2014
Paper No' EM/2014/577: Read Abstract | Full paper (pdf)
A Cusum Test of Common Trends in Large Heterogeneous Panels
Javier  Hidalgo,  Jungyoon  Lee,  August 2014
Paper No' EM/2014/576: Read Abstract | Full paper (pdf)
Estimation of Nonseparable Models with Censored Dependent Variables and Endogenous Regressors.
Taisuke  Otsu,  Luke  Taylor,  August 2014
Paper No' EM/2014/575: Read Abstract | Full paper (pdf)
Empirical Likelihood for Random Sets
Karun  Adusumilli,  Taisuke  Otsu,  June 2014
Paper No' EM/2014/574: Read Abstract | Full paper (pdf)
Empirical Likelihood for Regression Discontinuity Design
Yukitoshi  Matsushita,  Taisuke  Otsu,  Ke-Li  Xu,  February 2014
Paper No' EM/2014/573: Full paper (pdf)
Robustness of bootstrap in instrumental variable regression
Lorenzo  Camponovo,  Taisuke  Otsu,  January 2014
Paper No' EM/2014/572: Read Abstract | Full paper (pdf)
Asymptotics for maximum score method under general conditions
Taisuke  Otsu,  Myung Hwan  Seo,  January 2014
Paper No' EM/2014/571: Read Abstract | Full paper (pdf)
Non-Nested Testing of Spatial Correlation
Miguel A.  Delgado,  Peter M  Robinson,  November 2013
Paper No' EM/2013/568: Read Abstract | Full paper (pdf)
Improved Lagrange Multiplier Tests in Spatial Autoregressions
Peter M  Robinson,  Francesca  Rossi,  October 2013
Paper No' EM/2013/566: Read Abstract | Full paper (pdf)
Extremum Sieve Estimation in k-out-of-n Systems
Tatiana  Komarova,  July 2013
Paper No' EM/2013/564: Read Abstract | Full paper (pdf)
Series Estimation under Cross-sectional Dependence
Jungyoon  Lee,  Peter M  Robinson,  June 2013
Paper No' EM/2013/570: Read Abstract | Full paper (pdf)
Testing for equality of an increasing number of spectral density functions
Javier  Hidalgo,  Pedro  Souza,  Pedro  Souza,  June 2013
Paper No' EM/2013/563: Read Abstract | Full paper (pdf)
Improved Tests for Spatial Correlation
Peter M  Robinson,  Francesca  Rossi,  May 2013
Paper No' EM/2013/565: Read Abstract | Full paper (pdf)
SPECIFICATION FOR LATTICE PROCESSES
Javier  Hidalgo,  Myung Hwan  Seo,  May 2013
Paper No' EM/2013/562: Read Abstract | Full paper (pdf)
Panel Nonparametric Regression with Fixed Effects
Jungyoon  Lee,  Peter M  Robinson,  March 2013
Paper No' EM/2013/569: Read Abstract | Full paper (pdf)
Efficient Inference on Fractionally Integrated Panel Data Models with Fixed Effects
Peter M  Robinson,  Carlos  Velasco,  March 2013
Paper No' EM/2013/567: Read Abstract | Full paper (pdf)
ON TESTABILITY OF COMPLEMENTARITY IN MODELS WITH MULTIPLE EQUILIBRIA
Taisuke  Otsu,  Yoshiyasu  Rai,  February 2013
Paper No' EM/2013/560: Read Abstract | Full paper (pdf)
Testing for Structural Stability in the Whole Sample
Javier  Hidalgo,  Myung Hwan  Seo,  September 2012
Paper No' EM/2013/561: Read Abstract | Full paper (pdf)
Binary Choice Models with Discrete Regressors: Identification and Misspecification
Tatiana  Komarova,  May 2012
Paper No' EM/2012/559: Read Abstract | Full paper (pdf)
TESTING FOR STRUCTURAL STABILITY IN THE WHOLE SAMPLE
Javier  Hidalgo,  Myunghwan  Seo,  October 2011
Paper No' EM/2011/558: Read Abstract | Full paper (pdf)
Inference on Power Law Spatial Trends (Running Title: Power Law Trends)
Peter M  Robinson,  May 2011
Paper No' EM/2011/556: Read Abstract | Full paper (pdf)
Adapting Kernel Estimation to Uncertain Smoothness
Yulia  Kotlyarova,  Marcia M  Schafgans,  Victoria  Zinde-Walsh,  April 2011
Paper No' EM/2011/557: Read Abstract | Full paper (pdf)
Asymptotic Theory for Nonparametric Regression with Spatial Data
Peter M  Robinson,  September 2010
Paper No' EM/2010/555: Read Abstract | Full paper (pdf)
Quantile Uncorrelation and Instrumental Regression
Tatiana  Komorova,  Thomas  Severini,  Elie  Tamer,  September 2010
Paper No' EM/2010/552: Read Abstract | Full paper (pdf)
Semiparametric Estimation of Locally Stationary Diffusion Models
Bonsoo  Koo,  Oliver  Linton,  August 2010
Paper No' EM/2010/551: Read Abstract | Full paper (pdf)
Semiparametric Estimation of Markov Decision Processeswith Continuous State Space
Oliver  Linton,  Sorawoot  Srisuma,  August 2010
Paper No' EM/2010/550: Read Abstract | Full paper (pdf)
Loch Linear Fitting under Near Epoch Dependence: Uniform Consistency with Convergence Rate
Degui  Li,  Oliver  Linton,  Zudi  Lu,  August 2010
Paper No' EM/2010/549: Read Abstract | Full paper (pdf)
Estimation of Structural Optimization Models: A Note on Identification
Sorawoot  Srisuma,  May 2010
Paper No' EM/2010/547: Read Abstract | Full paper (pdf)
Statistical Inference on Regression with Spatial Dependence
Peter M  Robinson,  Supachoke  Thawornkaiwong,  April 2010
Paper No' EM/2010/554: Read Abstract | Full paper (pdf)
Nonparametric Trending Regression with Cross-Sectional Dependence
Peter M  Robinson,  January 2010
Paper No' EM/2010/553: Read Abstract | Full paper (pdf)
Nonparametric Identification in Asymmetric Second-Price Auctions: A New Approach
Tatiana  Komorova,  October 2009
Paper No' EM/2009/545: Read Abstract | Full paper (pdf)
Efficient Estimation of a Multivariate Multiplicative Volatility Model
Christian M.  Hafner,  Oliver  Linton,  October 2009
Paper No' EM/2009/541: Read Abstract | Full paper (pdf)
ESTIMATION OF A SEMIPARAMETRIC IGARCH(1,1) MODEL
Woocheol  Kim,  Oliver  Linton,  October 2009
Paper No' EM/2009/539: Read Abstract | Full paper (pdf)
Nonparametric Regression with a Latent Time Series
Oliver  Linton,  Søren Feodor  Nielsen,  Jens Perch  Nielsen,  October 2009
Paper No' EM/2009/538: Read Abstract | Full paper (pdf)
Optimal Smoothing for a Computationally and Statistically Efficient Single Index Estimator
Wolfgang  Härdle,  Oliver  Linton,  Yingcun  Xia,  July 2009
Paper No' EM/2009/537: Read Abstract | Full paper (pdf)
An Alternative Way of Computing Efficient Instrumental Variable Estimators
Xiaohong  Chen,  David T.  Jacho-Chávez,  Oliver  Linton,  June 2009
Paper No' EM/2009/536: Read Abstract | Full paper (pdf)
Nonparametric Estimation of a Polarization Measure
Gordon  Anderson,  Oliver  Linton,  Yoon-Jae  Whang,  June 2009
Paper No' EM/2009/534: Read Abstract | Full paper (pdf)
Uniform Bahadur Representation for Local Polynomial Estimates of M-Regression and Its Application to The Additive Model
Efang  Kong,  Oliver  Linton,  Yingcun  Xia,  January 2009
Paper No' EM/2009/535: Read Abstract | Full paper (pdf)
Large-Sample Inference on Spatial Dependence
Peter M  Robinson,  January 2009
Paper No' EM/2009/533: Read Abstract | Full paper (pdf)
Inference On Nonparametrically Trending Time Series With Fractional Errors
Peter M  Robinson,  January 2009
Paper No' EM/2009/532: Read Abstract | Full paper (pdf)
Developments in the Analysis of Spatial Data
Peter M  Robinson,  January 2009
Paper No' EM/2009/531: Read Abstract | Full paper (pdf)
Correlation Testing in Time Series, Spatial and Cross-Sectional Data
Peter M  Robinson,  January 2009
Paper No' EM/2009/530: Read Abstract | Full paper (pdf)
Smoothness Adaptive Average Derivative Estimation
Marcia M  Schafgans,  Victoria  Zinde-Walshyz,  August 2008
Paper No' EM/2008/529: Read Abstract | Full paper (pdf)
Bootstrap Tests of Stochastic Dominance with Asymptotic Similarity on the Boundary
Oliver  Linton,  Kyungchul  Song,  Yoon-Jae  Whang,  February 2008
Paper No' EM/2008/527: Read Abstract | Full paper (pdf)
Multiple Local Whittle Estimation in Stationary Systems
Peter M  Robinson,  October 2007
Paper No' EM/2007/525: Read Abstract | Full paper (pdf)
Efficient Estimation of a Semiparametric Characteristic-Based Factor Model of Security Returns
Gregory  Connor,  Matthias  Hagmann,  Oliver  Linton,  October 2007
Paper No' EM/2007/524: Read Abstract | Full paper (pdf)
Inference about Realized Volatility using Infill Subsampling
Ilze  Kalnina,  Oliver  Linton,  September 2007
Paper No' EM/2007/523: Read Abstract | Full paper (pdf)
DIAGNOSTIC TESTING FOR COINTEGRATION
Peter  Robinson,  September 2007
Paper No' EM/2007/522: Read Abstract | Full paper (pdf)
ON DISCRETE SAMPLING OF TIME-VARYING CONTINUOUS-TIME SYSTEMS
Peter  Robinson,  June 2007
Paper No' EM/2007/520: Read Abstract | Full paper (pdf)
Fractional Cointegration In Stochastic Volatility Models
Afonso   Gonçalves da Silva,  Peter M  Robinson,  May 2007
Paper No' EM/2007/519: Read Abstract | Full paper (pdf)
SPECIFICATION TESTING FOR REGRESSION MODELS WITH DEPENDENT DATA
Javier  Hidalgo,  May 2007
Paper No' EM/2007/518: Read Abstract | Full paper (pdf)
Estimation of Nonlinear Error Correction Models
Myung Hwan  Seo,  March 2007
Paper No' EM/2007/517: Read Abstract | Full paper (pdf)
SEMIPARAMETRIC ESTIMATION OF A BINARY RESPONSE MODEL WITH A CHANGE-POINT DUE TO A COVARIATE THRESHOLD
Sokbae  Lee,  Myunghwan  Seo,  February 2007
Paper No' EM/2007/516: Read Abstract | Full paper (pdf)
Efficient Estimation of the Semiparametric Spatial Autoregressive Model
Peter M  Robinson,  February 2007
Paper No' EM/2007/515: Read Abstract | Full paper (pdf)
Selectivity and the gender wage gap decomposition in the presence of a joint decision process
Marcia M  Schafgans,  Morton   Stelcnery,  December 2006
Paper No' EM/2006/513: Read Abstract | Full paper (pdf)
Estimating Quadratic Variation Consistently in the Presence of Correlated Measurement Error
Ilze  Kalnina,  Oliver  Linton,  October 2006
Paper No' EM/2006/509: Read Abstract | Full paper (pdf)
Identification and Nonparametric Estimation of a Transformed Additively Separable Model
David  Jacho-Chávez,  Arthur  Lewbel,  Oliver  Linton,  September 2006
Paper No' EM/2006/508: Read Abstract | Full paper (pdf)
ESTIMATING FEATURES OF A DISTRIBUTION FROM BINOMIAL DATA
Arthur  Lewbel,  Oliver  Linton,  DL  McFadden,  September 2006
Paper No' EM/2006/507: Read Abstract | Full paper (pdf)
Semiparametric Estimation of a Characteristic-based Factor Model of Common Stock Returns
Gregory  Connor,  Oliver  Linton,  September 2006
Paper No' EM/2006/506: Read Abstract | Full paper (pdf)
Conditional-Sum-of-Squares Estimation of Models for Stationary Time Series with Long Memory
Peter M  Robinson,  September 2006
Paper No' EM/2006/505: Read Abstract | Full paper (pdf)
TESTING FOR STOCHASTIC MONOTONICITY
Sokbae  Lee,  Oliver  Linton,  Yoon-Jae  Whang,  August 2006
Paper No' EM/2006/504: Read Abstract | Full paper (pdf)
Nonparametric Transformation to White Noise
Oliver  Linton,  Enno  Mammen,  August 2006
Paper No' EM/2006/503: Read Abstract | Full paper (pdf)
Semiparametric Estimation of Fractional Cointegration
Javier  Hualde,  Peter M  Robinson,  May 2006
Paper No' EM/2006/502: Read Abstract | Full paper (pdf)
Finite Sample Performance in Cointegration Analysis of Nonlinear Time Series with Long Memory
Afonso   Gonçalves da Silva,  Peter M  Robinson,  April 2006
Paper No' EM/2006/501: Read Abstract | Full paper (pdf)
Instrumental Variables Estimation of Stationary and Nonstationary Cointegrating Regressions
M.  Gerolimetto,  Peter M  Robinson,  April 2006
Paper No' EM/2006/500: Read Abstract | Full paper (pdf)
ROOT-N-CONSISTENT ESTIMATION OF WEAK FRACTIONAL COINTEGRATION
Javier  Hualde,  Peter M  Robinson,  March 2006
Paper No' EM/2006/499: Read Abstract | Full paper (pdf)
Nonparametric Spectrum Estimation for Spatial Data
Peter M  Robinson,  February 2006
Paper No' EM/2006/498: Read Abstract | Full paper (pdf)
Consistent estimation of the memory parameter for nonlinear time series
Violetta  Dalla,  Liudas  Giraitis,  Javier  Hidalgo,  January 2006
Paper No' EM/2006/497: Read Abstract | Full paper (pdf)
A Smoothed Least Squares Estimator For Threshold Regression Models
Oliver  Linton,  Myunghwan  Seo,  October 2005
Paper No' EM/2005/496: Read Abstract | Full paper (pdf)
Pseudo-Maximum Likelihood Estimation of ARCH(∞) Models
Peter M  Robinson,  Paolo  Zaffaroni,  October 2005
Paper No' EM/2005/495: Read Abstract | Full paper (pdf)
A method of moments estimator for semiparametric index models
Bas  Donkers,  Marcia M  Schafgans,  July 2005
Paper No' EM/2005/493: Read Abstract | Full paper (pdf)
Modified Whittle Estimation of Multilateral Models on a Lattice
Peter M  Robinson,  J  Vidal Sanz,  June 2005
Paper No' EM/2005/492: Read Abstract | Full paper (pdf)
Modelling Memory of Economic and Financial Time Series
Peter M  Robinson,  March 2005
Paper No' EM/2005/487: Read Abstract | Full paper (pdf)
A Parametric Bootstrap Test for Cycles
Violetta  Dalla,  Javier  Hidalgo,  February 2005
Paper No' EM/2005/486: Read Abstract | Full paper (pdf)
Testable Implications of Forecast Optimality
Andrew J.  Patton,  Allan  Timmermann,  January 2005
Paper No' EM/2005/485: Read Abstract | Full paper (pdf)
Unit Root Test in a Threshold Autoregression: Asymptotic Theory and Residual-based Block Bootstrap
Myunghwan  Seo,  January 2005
Paper No' EM/2005/484: Read Abstract | Full paper (pdf)
The Bootstrap and the Edgeworth Correction for Semiparametric Averaged Derivatives
Yoshihiko  Nishiyama,  Peter M  Robinson,  January 2005
Paper No' EM/2005/483: Read Abstract | Full paper (pdf)
Distribution Free Goodness-of-Fit Tests for Linear Processes
Miguel A.  Delgado,  Javier  Hidalgo,  Carlos  Velasco,  January 2005
Paper No' EM/2005/482: Read Abstract | Full paper (pdf)
Semiparametric Estimation for Stationary Processes whose Spectra have an Unknown Pole
Javier  Hidalgo,  January 2005
Paper No' EM/2005/481: Read Abstract | Full paper (pdf)
Efficiency Improvements in Inference on Stationary and Nonstationary Fractional Time Series
Peter M  Robinson,  November 2004
Paper No' EM/2004/480: Read Abstract | Full paper (pdf)
Forecasting the density of asset returns
Trino-Manuel  Niguez,  Javier  Perote,  October 2004
Paper No' EM/2004/479: Read Abstract | Full paper (pdf)
Cointegration in Fractional Systems with Deterministic Trends
Fabrizio  Iacone,  Peter M  Robinson,  May 2004
Paper No' EM/2004/476: Read Abstract | Full paper (pdf)
Nonparametric Inference for Unbalanced Time Series Data
Oliver  Linton,  April 2004
Paper No' EM/2004/474: Read Abstract | Full paper (pdf)
ROBUST COVARIANCE MATRIX ESTIMATION: "HAC" Estimates with Long Memory/Antipersistence Correction
Peter M  Robinson,  March 2004
Paper No' EM/2004/471: Read Abstract | Full paper (pdf)
The Distance between Rival Nonstationary Fractional Processes
Peter M  Robinson,  March 2004
Paper No' EM/2004/468: Read Abstract | Full paper (pdf)
Consistent Testing for Stochastic Dominance under General Sampling Schemes
Oliver  Linton,  Esfandiar  Maasoumi,  Yoon-Jae  Whang,  December 2003
Paper No' EM/2003/466: Read Abstract | Full paper (pdf)
A Quantilogram Approach to Evaluating Directional Predictability
Oliver  Linton,  Yoon-Jae  Whang,  November 2003
Paper No' EM/2003/463: Read Abstract | Full paper (pdf)
A Bootstrap Causality Test for Covariance Stationary Processes
Javier  Hidalgo,  November 2003
Paper No' EM/2003/462: Read Abstract | Full paper (pdf)
Nonparametric Estimation of Homothetic and Homothetically Separable Functions
Arthur  Lewbel,  Oliver  Linton,  October 2003
Paper No' EM/2003/461: Read Abstract | Full paper (pdf)
LARCH, Leverage and Long Memory
Liudas  Giraitis,  Remigijus  Leipus,  Peter M  Robinson,  Donatas  Surgailis,  October 2003
Paper No' EM/2003/460: Read Abstract | Full paper (pdf)
A Local Instrumental Variable Estimation Method for Generalized Additive Volatility Models
Woocheol  Kim,  Oliver  Linton,  May 2003
Paper No' EM/2003/456: Read Abstract | Full paper (pdf)
Nonparametric Neural Network Estimation of Lyapunov Exponents and a Direct Test for Chaos
Oliver  Linton,  Mototsugu  Shintani,  May 2003
Paper No' EM/2003/455: Read Abstract | Full paper (pdf)
Semiparametric Regression Analysis under Imputation for Missing Response Data
Wolfgang  Haerdle,  Oliver  Linton,  Qihua  Wang,  May 2003
Paper No' EM/2003/454: Read Abstract | Full paper (pdf)
Estimating Semiparametric ARCH (∞) Models by Kernel Smoothing Methods
Oliver  Linton,  Enno  Mammen,  May 2003
Paper No' EM/2003/453: Read Abstract | Full paper (pdf)
An Alternative Bootstrap to Moving Blocks for Time Series Regression Models
Javier  Hidalgo,  May 2003
Paper No' EM/2003/452: Read Abstract | Full paper (pdf)
Asymptotic Expansions for Some Semiparametric Program Evaluation Estimators
Hidehiko  Ichimura,  Oliver  Linton,  May 2003
Paper No' EM/2003/451: Read Abstract | Full paper (pdf)
Estimation of Semiparametric Models when the Criterion Function is not Smooth
Xiaohong  Chen,  Oliver  Linton,  Ingrid  Van Keilegom,  May 2003
Paper No' EM/2003/450: Read Abstract | Full paper (pdf)
Cointegration in Fractional Systems with Unkown Integration Orders
Javier  Hualde,  Peter M  Robinson,  February 2003
Paper No' EM/2003/449: Read Abstract | Full paper (pdf)
Edgeworth Expansions for Semiparametric Whittle Estimation of Long Memory
Liudas  Giraitis,  Peter M  Robinson,  September 2002
Paper No' EM/2002/438: Read Abstract | Full paper (pdf)
Denis Sargan: Some Perspectives
Peter M  Robinson,  September 2002
Paper No' EM/2002/437: Read Abstract | Full paper (pdf)
Higher-Order Kernel Semiparametric M-Estimation of Long Memory
Marc  Henry,  Peter M  Robinson,  September 2002
Paper No' EM/2002/436: Read Abstract | Full paper (pdf)
More Efficient Kernel Estimation in Nonparametric Regression with Autocorrelated Errors
Raymond J  Carroll,  Oliver  Linton,  Enno  Mammen,  Zhijie  Xiao,  June 2002
Paper No' EM/2002/435: Read Abstract | Full paper (pdf)
Nonparametric Neutral Network Estimation of Lyapunov Exponents and a Direct Test for Chaos
Oliver  Linton,  Mototsugu  Shintani,  March 2002
Paper No' EM/2002/434: Read Abstract | Full paper (pdf)
Consistent Testing for Stochastic Dominance: A Subsampling Approach
Oliver  Linton,  Esfandiar  Maasoumi,  Yoon-Jae  Whang,  March 2002
Paper No' EM/2002/433: Read Abstract | Full paper (pdf)
Consistent Order Selection with Strongly Dependent Data and its Application to Efficient Estimation
Javier  Hidalgo,  February 2002
Paper No' EM/2002/430: Read Abstract | Full paper (pdf)
Adapting to Unknown Disturbance Autocorrelation in Regression with Long Memory
Javier  Hidalgo,  Peter M  Robinson,  September 2001
Paper No' EM/2001/427: Read Abstract | Full paper (pdf)
Gaussian Estimation of Parametric Spectral Density with Unknown Pole
Liudas  Giraitis,  Javier  Hidalgo,  Peter M  Robinson,  August 2001
Paper No' EM/2001/424: Read Abstract | Full paper (pdf)
Determination of Cointegrating Rank in Fractional Systems
Peter M  Robinson,  Yoshihiro  Yajima,  July 2001
Paper No' EM/2001/423: Read Abstract | Full paper (pdf)
Finite Sample Improvement in Statistical Inference with I(1) Processes
D  Marinucci,  Peter M  Robinson,  July 2001
Paper No' EM/2001/422: Read Abstract | Full paper (pdf)
Narrow-Band Analysis of Nonstationary Processes
D  Marinucci,  Peter M  Robinson,  July 2001
Paper No' EM/2001/421: Read Abstract | Full paper (pdf)
Semiparametric Fractional Cointegration Analysis
D  Marinucci,  Peter M  Robinson,  July 2001
Paper No' EM/2001/420: Read Abstract | Full paper (pdf)
A Nonparametric Regression Estimator that Adapts to Error Distribution of Unknown Form
Oliver  Linton,  Zhijie  Xiao,  June 2001
Paper No' EM/2001/419: Read Abstract | Full paper (pdf)
Prediction and Signal Extraction of Strong Dependent Processess in the Frequency Domain
Javier  Hidalgo,  Yoshihiro  Yajima,  June 2001
Paper No' EM/2001/418: Read Abstract | Full paper (pdf)
Parametric Estimation under Long-Range Dependence
Liudas  Giraitis,  Peter M  Robinson,  May 2001
Paper No' EM/2001/416: Read Abstract | Full paper (pdf)
The Estimation of Conditional Densities
Xiaohong  Chen,  Oliver  Linton,  Peter M  Robinson,  May 2001
Paper No' EM/2001/415: Read Abstract | Full paper (pdf)
Estimating Multiplicative and Additive Hazard Functions by Kernel Methods
Oliver  Linton,  Jens Perch  Nielsen,  Sara  van de Geer,  February 2001
Paper No' EM/2001/411: Read Abstract | Full paper (pdf)
The Memory of Stochastic Volatility Models
Peter M  Robinson,  February 2001
Paper No' EM/2001/410: Read Abstract | Full paper (pdf)
The Averaged Periodogram for Nonstationary Vector Time Series
D  Marinucci,  Peter M  Robinson,  December 2000
Paper No' EM/2000/408: Read Abstract | Full paper (pdf)
Whittle Estimation of ARCH Models
Liudas  Giraitis,  Peter M  Robinson,  November 2000
Paper No' EM/2000/406: Read Abstract | Full paper (pdf)
Testing of Seasonal Fractional Integration in UK and Japanese Consumption and Income
L A  Gil-Alaña,  Peter M  Robinson,  November 2000
Paper No' EM/2000/402: Read Abstract | Full paper (pdf)
Limit Theorems for Estimating the Parameters of Differentiated Product Demand Systems
Steve  Berry,  Oliver  Linton,  Ariel  Pakes,  July 2000
Paper No' EM/2000/400: Read Abstract | Full paper (pdf)
Edgeworth Approximations for Semiparametric Instrumental Variable Estimators and Test Statistics
Oliver  Linton,  July 2000
Paper No' EM/2000/399: Read Abstract | Full paper (pdf)
Testing the Capital Asset Pricing Model Efficiently under Elliptical Symmetry: A Semiparametric Approach
Douglas J  Hodgson,  Oliver  Linton,  Keith  Vorkink,  July 2000
Paper No' EM/2000/398: Read Abstract | Full paper (pdf)
Nonparametric Estimation with Aggregated Data
Oliver  Linton,  Yoon-Jae  Whang,  July 2000
Paper No' EM/2000/397: Read Abstract | Full paper (pdf)
Simulated Asymptotic Least Squares Theory
Ramdan  Dridi,  June 2000
Paper No' EM/2000/396: Read Abstract | Full paper (pdf)
Noise and Competition in Strategic Oligopoly
Ramdan  Dridi,  Laurent  Germain,  June 2000
Paper No' EM/2000/395: Read Abstract | Full paper (pdf)
Semi-Parametric Indirect Inference
Ramdan  Dridi,  Eric  Renault,  May 2000
Paper No' EM/2000/392: Read Abstract | Full paper (pdf)
Whittle Pseudo-Maximum Likelihood Estimation for Nonstationary Time Series - (Now published in 'Journal of the American Statistical Association', 95, (2000), pp.1229-1243.)
Peter M  Robinson,  Carlos  Velasco,  May 2000
Paper No' EM/2000/391: Read Abstract | Full paper (pdf)
Edgeworth Expansions for Spectral Density Estimates and Studentized Sample Mean - (Now published in 'Economic Theory', 17 (2001), pp.497-539.
Peter M  Robinson,  Carlos  Velasco,  May 2000
Paper No' EM/2000/390: Read Abstract | Full paper (pdf)
Nonparametric Censored and Truncated Regression
Arthur  Lewbel,  Oliver  Linton,  April 2000
Paper No' EM/2000/389: Read Abstract | Full paper (pdf)
Adaptive Varying-Coefficient Linear Models
Zongwu  Cai,  Jianqin  Fan,  Qiwei  Yao,  April 2000
Paper No' EM/2000/388: Read Abstract | Full paper (pdf)
Nonparametric Test for Causality with Long-Range Dependence - (Now published in 'Econometrica', 68, (2000) pp.1465-1490.
Javier  Hidalgo,  April 2000
Paper No' EM/2000/387: Read Abstract | Full paper (pdf)
The Existence and Asymptotic Properties of a Backfitting Projection Algorithm under Weak Conditions
Oliver  Linton,  Enno  Mammen,  N  Nielsen,  April 2000
Paper No' EM/2000/386: Read Abstract | Full paper (pdf)
Yield Curve Estimation by Kernel Smoothing Methods
Oliver  Linton,  Enno  Mammen,  Jens Perch  Nielsen,  C  Tanggaard,  April 2000
Paper No' EM/2000/385: Read Abstract | Full paper (pdf)
Stationarity and Memory of ARCH Models
Paolo  Zaffaroni,  March 2000
Paper No' EM/2000/383: Read Abstract | Full paper (pdf)
A Model for Long Memory Conditional Heteroscedasticity - (Now published in 'Annals of Applied Probability', 10 (2000), pp.1002-1024.)
Liudas  Giraitis,  Peter M  Robinson,  Donatas  Surgailis,  March 2000
Paper No' EM/2000/382: Full paper (pdf)
On Intercept Estimation in the Sample Selection Model
Marcia M  Schafgans,  January 2000
Paper No' EM/2000/380: Read Abstract | Full paper (pdf)
Adaptive Semiparametric Estimation of the Memory Parameter - (Now published with revised title, Adaptive Rate-Optimal Estimation of the Memory Parameter, in 'Journal of Multivariate Analysis, 72 (2000), pp.183-207.)
Liudas  Giraitis,  Peter M  Robinson,  Alexander  Samarov,  January 2000
Paper No' EM/2000/379: Full paper (pdf)
Contemporaneous Aggregation of GARCH Processes
Paolo  Zaffaroni,  January 2000
Paper No' EM/2000/378: Read Abstract | Full paper (pdf)
Studentization in Edgworth Expansions for Estimates of Semiparametric Index Models - (Now published in C Hsiao, K Morimune and J Powell (eds): 'Nonlinear Statistical Modeling' (Festschrift for Takeshi Amemiya), (Cambridge University Press, 2001), pp.197-240.)
Y  Nishiyama,  Peter M  Robinson,  October 1999
Paper No' EM/1999/374: Read Abstract | Full paper (pdf)
Edgeworth Expansions for Semiparametric Averaged Derivatives - (Now published in 'Econometrica', 68 (2000), pp.931-979.)
Y  Nishiyama,  Peter M  Robinson,  October 1999
Paper No' EM/1999/373: Read Abstract | Full paper (pdf)
Testing for the Presence of a Random Walk in Series with Structural Breaks - (Now published in 'Journal of Time Series Analysis', 22 (2001), pp.127-150.)
Fabio  Busetti,  Andrew C  Harvey,  December 1998
Paper No' EM/1998/365: Read Abstract | Full paper (pdf)
Variance-Type Estimation of Long Memory - (Now published in 'Stochastic Processes and their Applications', 29 (1999), pp.1-24.)
Liudas  Giraitis,  Peter M  Robinson,  October 1998
Paper No' EM/1998/363: Read Abstract | Full paper (pdf)
Seasonal and Cyclical Long Memory - (Now published in S Ghosh (ed): 'Asymptotics, Nonparametrics and Time Series: A Tribute to Madam Lal Puri (Marcel Decker, 1999), pp.115-145.)
Josu  Artech,  Peter M  Robinson,  September 1998
Paper No' EM/1998/360: Read Abstract | Full paper (pdf)
Semiparametric Inference in Seasonal and Cyclical Long Memory Processes - (Now published in 'Journal of Time Series Analysis', 21 (2000), pp.1-25.)
Josu  Artech,  Peter M  Robinson,  September 1998
Paper No' EM/1998/359: Read Abstract | Full paper (pdf)
Long and Short Memory Conditional Heteroscedasticity in Estimating the Memory Parameter of Levels - (Now published in 'Econometric Theory', 15 (1999), pp.299-336.)
Marc  Henry,  Peter M  Robinson,  August 1998
Paper No' EM/1998/357: Read Abstract | Full paper (pdf)
Alternative Forms of Fractional Brownian Motion - (Now published in 'Journal of Statistical Planning and Inference', 80 (1999), pp.111-122.)
D  Marinucci,  Peter M  Robinson,  July 1998
Paper No' EM/1998/354: Read Abstract | Full paper (pdf)
Band Spectrum Regression for Cointegrated Time Series with Long Memory Innovations
D  Marinucci,  July 1998
Paper No' EM/1998/353: Read Abstract | Full paper (pdf)
Weak Convergence of Multivariate Fractional Processes - (Now published in 'Stochastic Processes and their Applications', 80 (1999), pp.103-120.)
D  Marinucci,  Peter M  Robinson,  July 1998
Paper No' EM/1998/352: Read Abstract | Full paper (pdf)
Aggregation of Simple Linear Dynamics: Exact Asymptotic Results
Marco  Lippi,  Paolo  Zaffaroni,  April 1998
Paper No' EM/1998/350: Read Abstract | Full paper (pdf)
Semiparametric Frequency Domain Analysis of Fractional Cointegration - (Revised version forthcoming in P M Robinson: 'Time Series with Long Memory' (Oxford University Press).
D  Marinucci,  Peter M  Robinson,  March 1998
Paper No' EM/1998/348: Read Abstract | Full paper (pdf)
Interpolating Exogenous Variables in Open Continuous Time Dynamic Models
J R  McCrorie,  December 1997
Paper No' EM/1997/344: Read Abstract
Paper copy now out of print.
Deriving the Exact Discrete Analog of a Continuous Time System
J R  McCrorie,  December 1997
Paper No' EM/1997/343: Read Abstract
Paper copy now out of print.
A Nonparametric Test for I(0) - (Now published in 'Review of Economic Studies', 65 (1998), pp.475-495.)
Ignacio  Lobato,  Peter M  Robinson,  November 1997
Paper No' EM/1997/342: Read Abstract
Paper copy now out of print.
Some Practical Issues in Maximum Simulated Likelihood
V A  Hajivassiliou,  November 1997
Paper No' EM/1997/340: Read Abstract
Paper copy now out of print.
Inference-without-Smoothing in the Presence of Nonparametric Autocorrelation - (Now published in 'Econometrica', 66 (1998), pp.1163-1182.)
Peter M  Robinson,  October 1997
Paper No' EM/1997/338: Read Abstract
Paper copy now out of print.
Large-Sample Inference for Nonparametric Regression with Dependent Errors - (Now published in 'Annals of Statistics', 28 (1997), pp.2054-2083.)
Peter M  Robinson,  September 1997
Paper No' EM/1997/336: Read Abstract
Paper copy now out of print.
Beta Convergence
C  Michelacci,  Paolo  Zaffaroni,  July 1997
Paper No' EM/1997/332: Read Abstract
Paper copy now out of print.
Gaussian Estimation of Long-Range Dependent Volatility in Asset Prices
Paolo  Zaffaroni,  May 1997
Paper No' EM/1997/329: Read Abstract
Paper copy now out of print.
The Method of Simulated Scores for the Estimation of LDV Models
V A  Hajivassiliou,  DL  McFadden,  May 1997
Paper No' EM/1997/328: Read Abstract
Paper copy now out of print.
Messy Time Series: A Unified Approach - (Now published in 'Advances in Econometrics', 13 (1998)pp.103-143.)
Andrew C  Harvey,  Siem Jan  Koopman,  J  Penzer,  March 1997
Paper No' EM/1997/327: Read Abstract
Paper copy now out of print.
Semiparametric Estimation of a Sample Selection Model: A Simulation Study
Marcia M  Schafgans,  March 1997
Paper No' EM/1997/326: Read Abstract
Paper copy now out of print.
Gender Wage Differences in Malaysia: Parametric and Semiparametric Estimation
Marcia M  Schafgans,  March 1997
Paper No' EM/1997/325: Read Abstract
Paper copy now out of print.
Testing Game-Theoretic Models of Price Fixing Behaviour
V A  Hajivassiliou,  March 1997
Paper No' EM/1997/324: Read Abstract
Paper copy now out of print.
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.)
Liudas  Giraitis,  Peter M  Robinson,  Alexander  Samarov,  February 1997
Paper No' EM/1997/323: Read Abstract
Paper copy now out of print.
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.)
Peter M  Robinson,  Paolo  Zaffaroni,  January 1997
Paper No' EM/1997/320: Read Abstract
Paper copy now out of print.
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.)
Peter M  Robinson,  Paolo  Zaffaroni,  January 1997
Paper No' EM/1997/319: Read Abstract
Paper copy now out of print.
Time Series Regression with Long Range Dependence - (Now published in 'Annals of Statistics', 25, (1997)pp.2054-2083.)
Javier  Hidalgo,  Peter M  Robinson,  January 1997
Paper No' EM/1997/318: Read Abstract
Paper copy now out of print.
Testing of Unit Root and Other Nonstationary Hypotheses in Macroeconomic Time Series - (Now published in 'Journal of Econometrics', 80, 1997, pp.241-268.)
L A  Gil-Alaña,  Peter M  Robinson,  December 1996
Paper No' EM/1996/317: Read Abstract
Paper copy now out of print.
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.)
Peter M  Robinson,  Carlos  Velasco,  December 1996
Paper No' EM/1996/316: Read Abstract
Paper copy now out of print.
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.)
Andrew C  Harvey,  Siem Jan  Koopman,  March 1996
Paper No' EM/1996/307: Read Abstract
Paper copy now out of print.
Testing for a Slowly Changing Level with Special Reference to Stochastic Volatility - (Now published in 'Journal of Econometrics', 87 (1998), pp.167-189.)
Andrew C  Harvey,  Mariane  Streibel,  March 1996
Paper No' EM/1996/306: Read Abstract
Paper copy now out of print.
Nonparametric Estimation with Strongly Dependent Multivariate Time-Series - (Now published in 'Journal of Time Series Analysis',18 (1997)pp.95-122.)
Javier  Hidalgo,  February 1996
Paper No' EM/1996/296: Read Abstract
Paper copy now out of print.
Spectral Analysis for Bivariate Time Series with Long Memory - (Now published in 'Econometric Theory',12 (1997)pp.773-792.)
Javier  Hidalgo,  February 1996
Paper No' EM/1996/295: Read Abstract
Paper copy now out of print.
The Modelling and Seasonal Adjustment of Weekly Observations - (Now published in 'Journal of Business and Economic Statistics', 15 (1997), pp.354-368.)
Andrew C  Harvey,  Siem Jan  Koopman,  Marco  Riani,   1995
Paper No' EM/1995/284: Read Abstract
Paper copy now out of print.
Measuring Core Inflation (Now published in Economic Journal, vol. 105, No. 432 (September 1995), pp.1130-1144.)
Danny  Quah,  Shaun P.  Vahey,   1995
Paper No' EM/1995/282: Read Abstract
Paper copy now out of print.
Empirics for Economic Growth and Convergence (Now published in European Economic Review, vol.40, no.6 (1996), pp.1353-1375.)
Danny  Quah,   1995
Paper No' EM/1995/281: Read Abstract
Paper copy now out of print.
Aggregate and Regional Disagggregate Fluctuations (Now published in Empirical Economics (1996), vol.21, no.1, pp.137-159.)
Danny  Quah,  August 1995
Paper No' EM/1995/290: Read Abstract
Paper copy now out of print.
Convergence Empirics Across Economies with (Some)Capital Mobility (Now published in Journal of Economic Growth, vol.1, No.1 ( March 1996),pp.95-124.)
Danny  Quah,   1994
Paper No' EM/1994/275: Read Abstract
Paper copy now out of print.
Exploiting Cross Section Variation for Unit Root Inference in Dynamic Data (Now published in Economics Letters 44 (1), 1994, pp.9-19.)
Danny  Quah,   1993
Paper No' EM/1993/270: Read Abstract
Paper copy now out of print.
Estimation and Testing of Stochastic Variance Models
Andrew C  Harvey,  N.G.  Shephard,   1993
Paper No' EM/1993/268: Read Abstract
Paper copy now out of print.
Seasonality in Dynamic Regression Models (Now published in Economic Journal 104 (1994), pp.1324-1345.)
Andrew C  Harvey,  Andrew  Scott,   1993
Paper No' EM/1993/266: Read Abstract
Paper copy now out of print.
Galton's Fallacy and Tests of the Convergence Hypothesis (Now published in Scandinavian Journal of Economics 95 (4), 1993, pp.427-443.)
Danny  Quah,   1993
Paper No' EM/1993/265: Read Abstract
Paper copy now out of print.
The Multivariate Invariance Principle for Globally Nonstationary Processes, with an Application to I(2) Models
James  Davidson,   1993
Paper No' EM/1993/262: Read Abstract
Paper copy now out of print.
Conditions for Strong and Uniform Mixing in Linear Processes
James  Davidson,   1992
Paper No' EM/1992/251: Read Abstract
Paper copy now out of print.
Deletion Diagnostics and Transformations for Time Series
A.C.  Atkinson,  N.G.  Shephard,   1992
Paper No' EM/1992/245: Read Abstract
Paper copy now out of print.
Quasi-Maximum Likelihood Estimation of Stochastic Variance Models
Esther  Ruiz,   1992
Paper No' EM/1992/244: Read Abstract
Paper copy now out of print.
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.)
James  Davidson,   1992
Paper No' EM/1992/243: Read Abstract
Paper copy now out of print.
An L1-Convergence Theorem for Heterogeneous Mixingale Arrays with Trending Moments (Now published in Statistics & Probability Letters 16 (1993), pp.301-304.)
James  Davidson,   1992
Paper No' EM/1992/242: Read Abstract
Paper copy now out of print.
Exact Score for Time Series Models in State Space Form (Now published in Biometrika (1992), 79, 4, pp.283-6.)
Siem Jan  Koopman,  N.G.  Shephard,   1992
Paper No' EM/1992/241: Read Abstract
Paper copy now out of print.
Detrending, Stylized Facts and The Business Cycle (Now published in Journal of Applied Econometrics, vol.8 (1993), pp.231-247.)
Andrew C  Harvey,  Albert  Jaeger,   1991
Paper No' EM/1991/230: Read Abstract
Paper copy now out of print.
A Local Scale Model: An Unobserved Component Alternative to Integrated GARCH Processes (Now published in Journal of Econometrics, vol.60, (1994), pp.181-202.)
N.G.  Shephard,   1990
Paper No' EM/1990/220:
Paper copy now out of print.
Central Limit Theorems for Nonstationary Mixing Processes and Near-Epoch Dependent Functions (Now published in Economic Theory, vol.8, no.3 (1992).)
James  Davidson,   1990
Paper No' EM/1990/216:
Paper copy now out of print.
Cointegration in Recursive Systems: the Structure of Wage and Price Determination in the United Kingdom (Now published in Economic Journal RES/AUTE 1990 Conference Supplement, vol.101, March 1991, pp.239-251.)
James  Davidson,  Stephen  Hall,   1989
Paper No' EM/1989/191:
Paper copy now out of print.
Least-Squares Autoregression with Near-Unit Root
Jan R.  Magnus,  Thomas J.  Rothenberg,   1988
Paper No' EM/1988/178:
Paper copy now out of print.
The Exact Multiperiod Mean-Square Forecast Error for the First-Order Autoregressive Model with an Intercept (Now published in Journal of Econometrics, 42, (1989), pp.157-179.)
Jan R.  Magnus,  Bahram  Pesaran,   1988
Paper No' EM/1988/169:
Paper copy now out of print.
The Bias of Forecasts from a First-Order Autoregression (Now published in Econometric Theory, 7, (1991), pp.222-235.)
Jan R.  Magnus,  Bahram  Pesaran,   1987
Paper No' EM/1987/153:
Paper copy now out of print.
Cointegration in Linear Dynamic Systems (Now published in Journal of Time Series Analysis, 12,1 (1991), pp.41-62.)
James  Davidson,   1986
Paper No' EM/1986/144:
Paper copy now out of print.
The Exact Multiperiod Mean-Square Forecast Error for the First-Order Autoregressive Model (Now published in Journal of Econometrics, 39, (1988), pp.327-346.)
Asraul  Hoque,  Jan R.  Magnus,  Bahram  Pesaran,   1986
Paper No' EM/1986/139:
Paper copy now out of print.
The Exact Moments of a Ratio of Quadratic Forms in Normal Variables (Now published in Annales d'Economie et de Statistique, Vol.1 (1986).)
Jan R.  Magnus,   1986
Paper No' EM/1986/136:
Paper copy now out of print.
A Note on Instrumental Variables and Maximum Likelihood Estimation Procedures (Now published in Annales d'Economie et de Statistique, 10, (1988), pp.121-138.)
Alberto  Holly,  Jan R.  Magnus,   1986
Paper No' EM/1986/130:
Paper copy now out of print.
Some Properties of the Bordered Hessian Matrix (Now published in Advanced Lectures in Quantitative Economics (ed. F. van der Ploeg), (Academic Press, London, 1990), pp.583-604.)
Jan R.  Magnus,   1985
Paper No' EM/1985/126:
Paper copy now out of print.
Some Evidence on the Robustness of Nonlinear FIQML
James  Davidson,   1985
Paper No' EM/1985/121:
Paper copy now out of print.
Symmetry, 0-1 Matrices, and Jacobians: A Review (Now published in Econometric Theory, Vol.2 (1986).)
Jan R.  Magnus,  H.  Neudecker,   1985
Paper No' EM/1985/111:
Paper copy now out of print.
Interfuel substitution and separability in Dutch Manufacturing: A Multivariate Error Components Approach (Now published in Applied Economics, 19, (1987), pp.1639-1664.)
Jan R.  Magnus,  Alan D.  Woodland,   1985
Paper No' EM/1985/110:
Paper copy now out of print.
Money Disequilibrium: An Approach to Modelling Monetary Phenomena in the U.K. (Now published in The Operation and Regulation of Financial Markets, edited by Charles Goodhart, David Llewellyn and David Currie, (Macmillan, 1987).)
James  Davidson,   1984
Paper No' EM/1984/96:
Paper copy now out of print.
A Generalization of the Univariate Logit Model and its Bivariate Extension
Takamitsu  Sawa,   1984
Paper No' EM/1984/93:
Paper copy now out of print.
On Differentiating Eigenvalues and Eigenvectors (Now published in Econometric Theory, Vol.1 (1985).)
Jan R.  Magnus,   1984
Paper No' EM/1984/105:
Paper copy now out of print.
Asymptotic Normality of the Maximum Likelihood Estimation in the Nonlinear Regression Model with Normal Errors (Now published in Econometric Theory, Vol.2 (1986) pp.374-412.)
Risto D.H.  Heijmans,  Jan R.  Magnus,   1983
Paper No' EM/1983/83:
Paper copy now out of print.
Error Correction Systems
James  Davidson,   1983
Paper No' EM/1983/79:
Paper copy now out of print.
Consistent Maximum Likelihood Estimation of the Nonlinear Regression Model with Normal Errors (Now published in Journal of Econometrics, Vol.32 (1986).)
Risto D.H.  Heijmans,  Jan R.  Magnus,   1983
Paper No' EM/1983/75:
Paper copy now out of print.
On the Asymptotic Normality of the Maximum Likelihood Estimator with Dependent Observations (Now published in Statistica Neerlandia, Vol.40 (1986).)
Risto D.H.  Heijmans,  Jan R.  Magnus,   1983
Paper No' EM/1983/74:
Paper copy now out of print.
Econometric Modelling of the Sterling Effective Exchange Rate (Now published in Review of Economic Studies, LII (1985), pp.231 240.)
James  Davidson,   1983
Paper No' EM/1983/70:
Paper copy now out of print.
On the Consistency of the Maximum Likelihood Estimator with Dependent Observations (Now published in the Journal of Econometrics, Vol.32 (1986).)
Risto D.H.  Heijmans,  Jan R.  Magnus,   1983
Paper No' EM/1983/68:
Paper copy now out of print.
Money Demand Stability in the U.K. and Error Correction Mechanism
Manfred  Keil,   1983
Paper No' EM/1983/66:
Paper copy now out of print.
Computer Price Functions (Now published in Oxford Bulletin of Economics and Statistics, Vol.45, No.4, (1983), pp.339-356.)
Anthony  Horsley,  G.M.P.  Swann,   1982
Paper No' EM/1982/39:
Paper copy now out of print.
Alternative Estimates for Systems with Log-Linear Stochastic Equations and Linear Identities
James  Davidson,   1981
Paper No' EM/1981/29:
Paper copy now out of print.
An Econometric Model of the Money Supply and Balance of Payments in the United Kingdom
James  Davidson,  Manfred  Keil,   1981
Paper No' EM/1981/27:
Paper copy now out of print.
Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of Inflationary Expectations (Now published in Econometrica, Vol.50, July 1982, pp.987-1007.)
Robert F.  Engle,   1979
Paper No' EM/1979/01:
Paper copy now out of print.