JEL classification

Journal of Economic Literature Classification (10696) C - Mathematical and Quantitative Methods (1374) C3 - Econometric Methods: Multiple; Simultaneous Equation Models; Multiple Variables; Endogenous Regressors (184) C32 - Time-Series Models (85)
Number of items at this level: 85.
Centre for Economic Performance
  • Jarocinski, Marek, Marcet, Albert (2011). Autoregressions in small samples, priors about observables and initial conditions. (CEP Discussion Papers CEPDP1061). London School of Economics and Political Science. Centre for Economic Performance. picture_as_pdf
  • Quah, Danny (1996). Aggregate and regional disaggregate fluctuations. (CEP discussion paper; CEPDP0275 275). London School of Economics and Political Science. Centre for Economic Performance.
  • Quah, Danny (1995). Convergence empirics across economies with (some) capital mobility. (CEP discussion paper; CEPDP0257 257). London School of Economics and Political Science. Centre for Economic Performance. picture_as_pdf
    • Centre for Macroeconomics
  • Alloza, Mario (2016). Is fiscal policy more effective in uncertain times or during recessions? (CFM discussion paper series CFM-DP2016-31). Centre For Macroeconomics.
  • Antolin-Diaz, Juan, Drechsel, Thomas, Petrella, Ivan (2016). Tracking the slowdown in long-run GDP growth. (CFM discussion paper series CFM-DP2016-04). Centre For Macroeconomics.
  • Chiu, Ching-Wai (Jeremy), Mumtaz, Haroon, Pinter, Gabor (2016). VAR models with non-Gaussian shocks. (CFM discussion paper series CFM-DP2016-09). Centre For Macroeconomics.
  • Haberis, Alex, Sokol, Andrej (2014). A procedure for combining zero and sign restrictions in aVAR-identification scheme. (CFM discussion paper series CFM-DP2014-10). Centre For Macroeconomics.
  • Miranda-Agrippino, Silvia, Ricco, Giovanni (2018). Bayesian vector autoregressions. (CFM Discussion Paper Series CFM-DP2018-08). Centre For Macroeconomics, London School of Economics and Political Science.
  • Miranda-Agrippino, Silvia, Ricco, Giovanni (2017). The transmission of monetary policy shocks. (CFM discussion paper series CFM-DP2017-11). Centre For Macroeconomics.
  • Monti, Francesca (2015). Can a data-rich environment help identify the sources of model misspecification? (CFM discussion paper series CFM-DP2015-05). Centre For Macroeconomics.
  • Pinter, Gabor (2018). Macroeconomic shocks and risk premia. (CFM Discussion Paper Series CFM-DP2018-12). Centre For Macroeconomics, London School of Economics and Political Science. picture_as_pdf
  • Pintor, Gabor (2016). The macroeconomic shock with the highest price of risk. (CFM discussion paper series CFM-DP2016-23). Centre For Macroeconomics.
    • Economics
  • Agnello, Luca, Castro, Vítor, Sousa, Ricardo M. (2023). Interest rate gaps in an uncertain global context why “too” low (high) for “so” long? Empirical Economics, 64(2), 539 - 565. https://doi.org/10.1007/s00181-022-02265-x
  • Arteche, Josu, Robinson, Peter M. (1998). Seasonal and cyclical long memory. (Econometrics; EM/1998/360 EM/98/360). Suntory and Toyota International Centres for Economics and Related Disciplines.
  • Arteche, Josu, Robinson, Peter M. (1998). Semiparametric inference in seasonal and cyclical long memory processes. (Econometrics; EM/1998/359 EM/98/359). Suntory and Toyota International Centres for Economics and Related Disciplines.
  • Dainauskas, Justas (2023). Time-varying exchange rate pass-through into terms of trade. Journal of International Money and Finance, 137, https://doi.org/10.1016/j.jimonfin.2023.102905 picture_as_pdf
  • Elsayed, Ahmed H., Sousa, Ricardo M. (2024). International monetary policy and cryptocurrency markets: dynamic and spillover effects. European Journal of Finance, 30(16), 1855 - 1875. https://doi.org/10.1080/1351847X.2022.2068375 picture_as_pdf
  • Hidalgo, Javier (2000). Nonparametric test for causality with long-range dependence. (EM 387). Suntory and Toyota International Centres for Economics and Related Disciplines.
  • Hidalgo, Javier, Robinson, Peter (2002). Adapting to unknown disturbance autocorrelation in regression with long memory. Econometrica, 70(4), 1545-1581. https://doi.org/10.1111/1468-0262.00341
  • Hualde, J., Robinson, Peter (2007). Root-n-consistent estimation of weak fractional cointegration. Journal of Econometrics, 140(2), 450-484. https://doi.org/10.1016/j.jeconom.2006.07.004
  • Hualde, J., Robinson, Peter M. (2006). Root-n-consistent estimation of weak fractional cointegration. Suntory and Toyota International Centres for Economics and Related Disciplines.
  • Hualde, Javier, Robinson, Peter M. (2006). Semiparametric Estimation of Fractional Cointegration. Suntory and Toyota International Centres for Economics and Related Disciplines.
  • Marinucci, D, Robinson, Peter M. (1998). Alternative forms of fractional Brownian motion. (Econometrics; EM/1998/354 EM/98/354). Suntory and Toyota International Centres for Economics and Related Disciplines.
  • Marinucci, D, Robinson, Peter M. (1998). Weak convergence of multivariate fractional processes. (Econometrics paper series EM/98/352). Suntory and Toyota International Centres for Economics and Related Disciplines. picture_as_pdf
  • Olivares Rios, A., Rodríguez, G., Ataurima Arellano, M. (2019). Estimation of Peru’s sovereign yield curve: the role of macroeconomic and latent factors. Journal of Economic Studies, 46(3), 533-563. https://doi.org/10.1108/JES-04-2017-0089
  • Quah, Danny (1996). Aggregate and regional disaggregate fluctuations. (CEP discussion paper; CEPDP0275 275). London School of Economics and Political Science. Centre for Economic Performance.
  • Quah, Danny (1995). Convergence empirics across economies with (some) capital mobility. (CEP discussion paper; CEPDP0257 257). London School of Economics and Political Science. Centre for Economic Performance. picture_as_pdf
  • Robinson, Peter (2007). Diagnostic testing for cointegration. Suntory and Toyota International Centres for Economics and Related Disciplines.
  • Robinson, Peter (2008). Diagnostic testing for cointegration. Journal of Econometrics, 143(1), 206-225. https://doi.org/10.1016/j.jeconom.2007.08.015
  • Robinson, Peter (2008). Inference on nonparametrically trending time series with fractional errors. (Econometrics Papers EM/2009/532). Suntory and Toyota International Centres for Economics and Related Disciplines.
  • Robinson, Peter (1984). Kernel estimation and interpolation for time series containing missing observations. Annals of the Institute of Statistical Mathematics, 36(1), 403-417. https://doi.org/10.1007/BF02481979
  • Robinson, Peter (2008). Multiple local whittle estimation in stationary systems. Annals of Statistics, 36(5), 2508-2530. https://doi.org/10.1214/07-AOS545
  • Robinson, Peter (1986). Nonparametric estimation from time series residuals. Cahiers du Centre d'études de Recherche Opérationnelle, 28(1), 197-208.
  • Robinson, Peter (1993). Nonparametric time series with long range dependence. Bulletin of the International Statistical Institute, 49th s(1), 315-325.
  • Robinson, Peter (2007). On discrete sampling of time-varying continuous-time systems. (EM 520). Suntory and Toyota International Centres for Economics and Related Disciplines.
  • Robinson, Peter, Iacone, F (2004). Cointegration in fractional systems with deterministic trends. Journal of Econometrics, https://doi.org/10.1016/j.jeconom.2004.09.009
  • Robinson, Peter M. (2007). Multiple local whittle estimation in stationary systems. Suntory and Toyota International Centres for Economics and Related Disciplines.
  • Robinson, Peter M., Gerolimetto, M. (2006). Instrumental variables estimation of stationary and nonstationary cointegrating regressions. Suntory and Toyota International Centres for Economics and Related Disciplines.
  • Selmi, Refk, Hammoudeh, Shawkat, Kasmaoui, Kamal, Sousa, Ricardo M., Errami, Youssef (2022). The dual shocks of the COVID-19 and the oil price collapse a spark or a setback for the circular economy? Energy Economics, 109, https://doi.org/10.1016/j.eneco.2022.105913
  • Seo, Myung Hwan (2007). Estimation of nonlinear error correction models. (EM 517). Suntory and Toyota International Centres for Economics and Related Disciplines.
  • Xia, Yingcun, Tong, Howell (2011). Discussion of "Feature matching in time series modeling": Rejoinder. Statistical Science, 26(1), 59-61. https://doi.org/10.1214/11-STS345REJ
  • Xia, Yingcun, Tong, Howell (2011). Feature matching in time series modeling. Statistical Science, 26(1), 21-46. https://doi.org/10.1214/10-STS345
  • da Silva, Afonso Gonçalves, Robinson, Peter (2008). Finite sample performance in cointegration analysis of nonlinear time series with long memory. Econometric Reviews, 27(1), 268-297. https://doi.org/10.1080/07474930701873382
    • European Institute
  • Gerba, Eddie, Hauzenberger, Klemens (2013). Estimating US fiscal and monetary interactions in a time varying VAR. (School of Economics discussion paper KDPE 1303). University of Kent.
    • Finance
  • Danielsson, Jon (2011). Financial risk forecasting: the theory and practice of forecasting market risk with implementation in R and Matlab. Wiley-Blackwell.
  • Dias, Gustavo F., Fernandes, Marcelo, Scherrer, Cristina M. (2021). Price discovery in a continuous-time setting. Journal of Financial Econometrics, 19(5), 985 - 1008. https://doi.org/10.1093/jjfinec/nbz030
  • Patton, Andrew J., Verardo, Michela (2012). Does beta move with news?: firm-specific information flows and learning about profitability. Review of Financial Studies, 25(9), 2789-2839. https://doi.org/10.1093/rfs/hhs073
  • Scherrer, Cristina Mabel (2021). Information processing on equity prices and exchange rate for cross-listed stocks. Journal of Financial Markets, 54, https://doi.org/10.1016/j.finmar.2021.100634 picture_as_pdf
    • Financial Markets Group
  • Altissimo, Filippo, Mele, Antonio (2004). Simulated nonparametric estimation of continuous time models of asset prices and returns. (Discussion paper 476). Financial Markets Group, The London School of Economics and Political Science. picture_as_pdf
  • Altissimo, Filippo, Mele, Antonio (2005). Simulated nonparametric estimation of dynamic models with applications to finance. (Financial Markets Group Discussion Papers 539). Financial Markets Group, The London School of Economics and Political Science.
  • Chen, Xiaohong, Fan, Yanqin, Patton, Andrew J. (2004). Simple tests for models of dependence between multiple financial time series, with applications to U.S. equity returns and exchange rates. (Financial Markets Group Discussion Papers 483). Financial Markets Group, The London School of Economics and Political Science.
  • Danielsson, Jon (2011). Financial risk forecasting: the theory and practice of forecasting market risk with implementation in R and Matlab. Wiley-Blackwell.
  • Granger, Clive W. J., Terasvirta, Timo, Patton, Andrew J. (2003). Common factors in conditional distributions for Bivariate time series. (Financial Markets Group Discussion Papers 455). Financial Markets Group, The London School of Economics and Political Science. picture_as_pdf
  • Hartmann, Philipp (1996). Trading volumes and transaction costs in the foreign market - evidence from daily dollar-yen spot data. (Financial Markets Group Discussion Papers 232). Financial Markets Group, The London School of Economics and Political Science. picture_as_pdf
  • Kristensen, Dennis (2004). Estimation of partial differential equations with applications in finance. (Financial Markets Group Discussion Papers 499). Financial Markets Group, The London School of Economics and Political Science.
  • Mencia, Javier F., Sentana, Enrique (2004). Estimation and testing of dynamic models with generalised hyperbolic innovations. (Financial Markets Group Discussion Papers 502). Financial Markets Group, The London School of Economics and Political Science.
  • Muñoz, Sònia (2004). Real effects of regional house prices: dynamic panel estimation with heterogeneity. (Financial Markets Group Discussion Papers 493). Financial Markets Group, The London School of Economics and Political Science.
  • Patton, Andrew J. (2002). On the out-of-sample importance of skewness and asymetric dependence for asset allocation. (Financial Markets Group Discussion Papers 431). Financial Markets Group, The London School of Economics and Political Science. picture_as_pdf
  • Patton, Andrew J., Verardo, Michela (2009). Does beta move with news? Systematic risk and firm-specific information flows. (Financial Markets Group Discussion Papers 630). Financial Markets Group, The London School of Economics and Political Science.
    • Geography and Environment
  • Ben Jebli, Mehdi, Madaleno, Mara, Schneider, Nicolas, Shahzad, Umer (2022). What does the EKC theory leave behind? A state-of-the-art review and assessment of export diversification-augmented models. Environmental Monitoring and Assessment, 194(6). https://doi.org/10.1007/s10661-022-10037-4
    • Grantham Research Institute
  • Campiglio, Emanuele, De Angelis, Luca, Neri, Paolo, Scalisi, Ginevra (2025). From climate chat to climate shock: non‐linear impacts of transition risk in energy CDS markets. Environmetrics, 36(3). https://doi.org/10.1002/env.70012 picture_as_pdf
    • LSE
  • Cesa-Bianchi, Ambrogio, Pesaran, M. Hashem, Rebucci, Alessandro, Xu, Tengteng (2012). China's emergence in the world economy and business cycles in Latin America. Economía, 12(2), 1 - 70. https://doi.org/10.1353/eco.2012.0001 picture_as_pdf
  • Quah, Danny (1995). Misinterpreting the dynamic effects of aggregate demand and supply disturbances. Economics Letters, 49(3), 247-250. https://doi.org/10.1016/0165-1765(95)00687-B
    • Middle East Centre
  • Kalaitzi, Athanasia Stylianou, Chamberlain, Trevor William (2020). Fuel-mining exports and growth in a developing state: the case of the UAE. International Journal of Energy Economics and Policy, 10(4), 300 - 308. https://doi.org/10.32479/ijeep.9183 picture_as_pdf
  • Kalaitzi, Athanasia Stylianou, Chamberlain, Trevor William (2021). The validity of the export-led growth hypothesis: some evidence from the GCC. Journal of International Trade and Economic Development, 30(2), 224 - 245. https://doi.org/10.1080/09638199.2020.1813191 picture_as_pdf
    • STICERD
  • Arteche, Josu, Robinson, Peter M. (1998). Seasonal and cyclical long memory. (Econometrics; EM/1998/360 EM/98/360). Suntory and Toyota International Centres for Economics and Related Disciplines.
  • Arteche, Josu, Robinson, Peter M. (1998). Semiparametric inference in seasonal and cyclical long memory processes. (Econometrics; EM/1998/359 EM/98/359). Suntory and Toyota International Centres for Economics and Related Disciplines.
  • Hidalgo, Javier (2000). Nonparametric test for causality with long-range dependence. (EM 387). Suntory and Toyota International Centres for Economics and Related Disciplines.
  • Hidalgo, Javier, Robinson, Peter (2002). Adapting to unknown disturbance autocorrelation in regression with long memory. Econometrica, 70(4), 1545-1581. https://doi.org/10.1111/1468-0262.00341
  • Hualde, J., Robinson, Peter M. (2006). Root-n-consistent estimation of weak fractional cointegration. Suntory and Toyota International Centres for Economics and Related Disciplines.
  • Hualde, Javier, Robinson, Peter M. (2006). Semiparametric Estimation of Fractional Cointegration. Suntory and Toyota International Centres for Economics and Related Disciplines.
  • Marinucci, D, Robinson, Peter M. (1998). Alternative forms of fractional Brownian motion. (Econometrics; EM/1998/354 EM/98/354). Suntory and Toyota International Centres for Economics and Related Disciplines.
  • Marinucci, D, Robinson, Peter M. (1998). Weak convergence of multivariate fractional processes. (Econometrics paper series EM/98/352). Suntory and Toyota International Centres for Economics and Related Disciplines. picture_as_pdf
  • Marinucci, D. (1998). Band spectrum regression for cointegrated time series with long memory innovations. (EM 353). Suntory and Toyota International Centres for Economics and Related Disciplines.
  • Robinson, Peter (2007). Diagnostic testing for cointegration. Suntory and Toyota International Centres for Economics and Related Disciplines.
  • Robinson, Peter (2008). Inference on nonparametrically trending time series with fractional errors. (Econometrics Papers EM/2009/532). Suntory and Toyota International Centres for Economics and Related Disciplines.
  • Robinson, Peter (2007). On discrete sampling of time-varying continuous-time systems. (EM 520). Suntory and Toyota International Centres for Economics and Related Disciplines.
  • Robinson, Peter M., Gerolimetto, M. (2006). Instrumental variables estimation of stationary and nonstationary cointegrating regressions. Suntory and Toyota International Centres for Economics and Related Disciplines.
  • Seo, Myung Hwan (2007). Estimation of nonlinear error correction models. (EM 517). Suntory and Toyota International Centres for Economics and Related Disciplines.
  • Zaffaroni, Paolo (2000). Contemporaneous aggregation of GARCH processes. (EM 378). Suntory and Toyota International Centres for Economics and Related Disciplines.
    • Statistics
  • Alessi, Lucia, Barigozzi, Matteo, Capasso, Marco (2007). Generalized dynamic factor model + GARCH: exploiting multivariant information for univariate prediction. (LEM working paper series 2006/13). Laboratory of Economics and Management (LEM).
  • Barigozzi, Matteo, Brownlees, Christian T., Gallo, Giampiero M., Veredas, David (2010). Disentangling systematic and idiosyncratic risk for large panels of assets. (ECARES working paper 2010‐019). Université Libre de Bruxelles.
  • Barigozzi, Matteo, Conti, Antonio (2012). Understanding Euro area money demand. The Authors.
  • Barigozzi, Matteo, Conti, Antonio, Luciani, Matteo (2012). Do Euro area countries respond asymmetrically to the common monetary policy? The Authors.
  • Barigozzi, Matteo, Conti, Antonio M. (2010). On the sources of Euro area money demand stability: a time-varying cointegration analysis. (ECARES working paper 2010‐022). Université Libre de Bruxelles.
  • Barigozzi, Matteo (2018). On the stability of euro area money demand and its implications for monetary policy. Oxford Bulletin of Economics and Statistics, 80(4), 755-787. https://doi.org/10.1111/obes.12239
  • Barigozzi, Matteo, Hallin, Marc (2017). Generalized dynamic factor models and volatilities estimation and forecasting. Journal of Econometrics, 201(2), 307-321. https://doi.org/10.1016/j.jeconom.2017.08.010
  • Barigozzi, Matteo, Hallin, Marc, Soccorsi, Stefano (2019). Identification of global and local shocks in international financial markets via general dynamic factor models. Journal of Financial Econometrics, 17(3), 462–494. https://doi.org/10.1093/jjfinec/nby006
  • Barigozzi, Matteo, Hallin, Mark (2015). Generalized dynamic factor models and volatilities: recovering the market volatility shocks. Econometrics Journal, 19(1), C33-C60. https://doi.org/10.1111/ectj.12047
  • Cen, Zetai, Lam, Clifford (2025). Tensor time series imputation through tensor factor modelling. Journal of Econometrics, 249(Part B). https://doi.org/10.1016/j.jeconom.2025.105974 picture_as_pdf
  • Chan, W., Ng, M. W., Tong, Howell (2006). On a simple graphical approach to modelling economic fluctuations with an application to United Kingdom price inflation, 1265-2005. Annals of Actuarial Science, 1(1), 103-128. https://doi.org/10.1017/S1748499500000075
  • Chang, Jinyuan, Chen, Cheng, Qiao, Xinghao, Yao, Qiwei (2023). An autocovariance-based learning framework for high-dimensional functional time series. Journal of Econometrics, 239(2). https://doi.org/10.1016/j.jeconom.2023.01.007 picture_as_pdf
  • Chang, Jinyuan, Guo, Bin, Yao, Qiwei (2015). High dimensional stochastic regression with latent factors, endogeneity and nonlinearity. Journal of Econometrics, 189(2), 297-312. https://doi.org/10.1016/j.jeconom.2015.03.024
  • Dou, Baojun, Parrella, Maria Lucia, Yao, Qiwei (2016). Generalized Yule–Walker estimation for spatio-temporal models with unknown diagonal coefficients. Journal of Econometrics, 194(2), 369-382. https://doi.org/10.1016/j.jeconom.2016.05.014
  • Kalogeropoulos, Konstantinos, Dellaportas, Petros, Roberts, Gareth O. (2011). Likelihood based inference for correlated diffusions. Canadian Journal of Statistics, 39(1), 52-72. https://doi.org/10.1002/cjs.10096
  • Lam, Clifford, Cen, Zetai (2025). Matrix-valued factor model with time-varying main effects. Journal of Econometrics, 252(A). https://doi.org/10.1016/j.jeconom.2025.106105 picture_as_pdf
  • Livieri, Giulia, Radi, Davide, Smaniotto, Elia (2024). Pricing transition risk with a jump-diffusion credit risk model: evidences from the CDS market. Review of Corporate Finance, 4(1–2), 177 - 201. https://doi.org/10.1561/114.00000064 picture_as_pdf
  • Wong, Shiu Fung, Tong, Howell, Siu, Tak Kuen, Lu, Zudi (2017). A new multivariate nonlinear time series model for portfolio risk measurement: the threshold copula-based TAR approach. Journal of Time Series Analysis, 38(2), 243-265. https://doi.org/10.1111/jtsa.12206
    • Systemic Risk Centre
  • Briola, Antonio, Bartolucci, Silvia, Aste, Tomaso (2025). Deep limit order book forecasting: a microstructural guide. Quantitative Finance, 25(7), 1101 - 1131. https://doi.org/10.1080/14697688.2025.2522911 picture_as_pdf
  • Koukorinis, Andreas, Peters, Gareth W., Germano, Guido (2025). Generative-discriminative machine learning models for high-frequency financial regime classification. Methodology and Computing in Applied Probability, 27, https://doi.org/10.1007/s11009-025-10148-8 picture_as_pdf
  • Toczydlowska, Dorota, Peters, Gareth W. (2018). Financial big data solutions for state space panel regression in interest rate dynamics. Econometrics, 6(3). https://doi.org/10.3390/econometrics6030034