P. M. Robinson
33 published titles
Autocorrelation-robust inference
1 edition
- Suntory & Toyota International Centres for Economics & Related Disciplines
- 1996
- Details
Modelling nonlinearity and long memory in time series
3 editions
Alternative forms of fractional Brownian motion
(Contributor)
1 edition
Weak convergence of multivariate fractional processes
(Contributor)
1 edition
A model for long memory conditional heteroscedasticity
(Contributor)
1 edition
- Suntory and Toyota International Centres for Economics and Related Disciplines
- 2000
- Details
Determination of cointegrating rank in fractional systems
1 edition
- Suntory and Toyota International Centres for Economics and Related Disciplines
- 2001
- Details
Gaussian estimation of parametric spectral density with unknown pole
(Contributor)
1 edition
The memory of stochastic volatility models
1 edition
- Suntory and Toyota International Centres for Economics and Related Disciplines
- 2001
- Details
Time series with long memory
(Contributor)
1 edition
- ISBN: 0199257302
- Oxford University Press
- 2003
- Details
The distance between rival nonstationary fractional processes
1 edition
- Suntory and Toyota International Centres for Economics and Related Disciplines
- 2004
- Details
Pseudo-maximum likelihood estimation of ARCH [infinity] models
1 edition
Modified Whittle estimation of multilateral models on a lattice
1 edition
Modelling memory of economic and financial time series
1 edition
The Bootstrap and the Edgeworth correction for semiparametric averaged derivatives
(Contributor)
1 edition
Nonparametric spectrum estimation for spatial data
1 edition
- London School of Economics
- 2006
- Details
Root-n-consistent estimation of weak fractional cointegration
(Contributor)
1 edition
- London School of Economics
- 2006
- Details
Instrumental variables estimation of stationary and nonstationary cointegrating regressions
1 edition
- London School of Economics
- 2006
- Details
Finite sample performance in cointegration analysis of nonlinear time series with long memory
(Contributor)
1 edition
- London School of Economics
- 2006
- Details
Semiparametric estimation of fractional cointegration
(Contributor)
1 edition
- London School of Economics and Political Science
- 2006
- Details
Conditional-sum-of-squares estimation of models for stationary time series with long memory
1 edition
- Suntory and Toyota International Centrefor Economics and Related Disciplines
- 2006
- Details
Efficient estimation of the semiparametric spatial autoregression model
1 edition
- Suntory and Toyota International Centre for Economics and Related Disciplines
- 2007
- Details
Fractional cointegration in stochastic volatility models
(Contributor)
1 edition
On discrete sampling of time-varying continuous-time systems
1 edition
Diagnostic testing for cointegration
1 edition
- Suntory and Toyota International Centres for Economics and Related Disciplines
- 2007
- Details
Multiple local Whittle estimation in stationary systems
1 edition
Correlation testing in time series, spatial and cross-sectional data
1 edition
Developments in the analysis of spatial data
1 edition
Inference on nonparametrically trending time series with fractional errors
1 edition
Large-sample inference on spatial dependence
1 edition
Nonparametric trending regression with cross-sectional dependence
1 edition
Statistical inference on regression with spatial dependence
1 edition
Asymptotic theory for nonparametric regression with spatial data
1 edition
Inference on power law spatial trends
1 edition
