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Li, Degui, Robinson, Peter M. and Shang, Han Lin (2023) Nonstationary fractionally integrated functional time series. Bernoulli, 29 (2). 1505 - 1526. ISSN 1350-7265
Rossi, Francesca and Robinson, Peter M. (2023) Higher-order least squares inference for spatial autoregressions. Journal of Econometrics, 232 (1). 244- 269. ISSN 0304-4076
Soberon, Alexandra, Rodriguez-Poo, Juan M. and Robinson, Peter M. (2022) Nonparametric panel data regression with parametric cross-sectional dependence. Econometrics Journal, 25 (1). 114 - 133. ISSN 1368-4221
Dalla, Violetta, Giraitis, Liudas and Robinson, Peter M. (2020) Asymptotic theory for time series with changing mean and variance. Journal of Econometrics, 219 (2). 281 - 313. ISSN 0304-4076
Lee, Jungyoon and Robinson, Peter M. (2020) Adaptive inference on pure spatial models. Journal of Econometrics, 216 (2). pp. 375-393. ISSN 0304-4076
Li, Degui, Robinson, Peter M. and Shang, Han Lin (2020) Long-range dependent curve time series. Journal of the American Statistical Association, 115 (530). pp. 957-971. ISSN 0162-1459
Robinson, Peter M. and Velasco, Carlos (2019) Estimation for dynamic panel data with individual effects. Econometric Theory, 36 (2). pp. 185-222. ISSN 0266-4666
Gupta, Abhimanyu and Robinson, Peter M. (2017) Pseudo maximum likelihood estimation of spatial autoregressive models with increasing dimension. Journal of Econometrics. ISSN 0304-4076
Lahiri, S.N. and Robinson, Peter M. (2016) Central limit theorems for long range dependent spatial linear processes. Bernoulli, 22 (1). pp. 345-375. ISSN 1350-7265
Robinson, Peter M. and Rossi, Francesca (2015) Refined tests for spatial correlation. Econometric Theory, 31 (6). pp. 1249-1280. ISSN 0266-4666
Gupta, Abhimanyu and Robinson, Peter M. (2015) Inference on higher-order spatial autoregressive models with increasingly many parameters. Journal of Econometrics, 186 (1). pp. 19-31. ISSN 0304-4076
Robinson, Peter M. and Velasco, Carlos (2015) Efficient inference on fractionally integrated panel data models with fixed effects. Journal of Econometrics, 185 (2). pp. 435-452. ISSN 0304-4076
Gao, Jiti and Robinson, Peter M. (2014) Inference on nonstationary time series with moving mean. Econometric Theory, 32 (02). pp. 431-457. ISSN 0266-4666
Robinson, Peter M. and Rossi, Francesca (2014) Improved Lagrange multiplier tests in spatial autoregressions. Econometrics Journal, 17 (1). pp. 139-164. ISSN 1368-4221
Robinson, Peter M. (2014) The estimation of misspecified long memory models. Journal of Econometrics, 178 (2). pp. 225-230. ISSN 0304-4076
Robinson, Peter M. and Thawornkaiwong, Supachoke (2012) Statistical inference on regression with spatial dependence. Journal of Econometrics, 167 (2). pp. 521-542. ISSN 0304-4076
Robinson, Peter M. (2012) Nonparametric trending regression with cross-sectional dependence. Journal of Econometrics, 169 (1). pp. 4-14. ISSN 0304-4076
Robinson, Peter M. (2012) Inference on power law spatial trends. Bernoulli, 18 (2). pp. 644-677. ISSN 1350-7265
Robinson, Peter M. (2010) Efficient estimation of the semiparametric spatial autoregressive model. Journal of Econometrics, 157 (1). pp. 6-17. ISSN 0304-4076
Robinson, Peter M. (2009) On discrete sampling of time-varying continuous-time systems. Econometric Theory, 25 (04). pp. 985-994. ISSN 0266-4666
da Silva, Afonso Gonçalves and Robinson, Peter M. (2008) Fractional cointegration in stochastic volatility models. Econometric Theory, 24 (05). pp. 1207-1253. ISSN 0266-4666
Giraitis, Liudas, Leipus, Remigijus, Robinson, Peter M. and Surgailis, Donatas (2004) LARCH, leverage, and long memory. Journal of Financial Econometrics, 2 (2). pp. 177-210. ISSN 1479-8409
Robinson, Peter M. and Hualde, J. (2003) Cointegration in fractional systems with unknown integration orders. Econometrica, 71 (6). pp. 1727-1766. ISSN 0012-9682
Robinson, Peter M. (2003) Denis Sargan: some perspectives. Econometric Theory, 19 (3). pp. 481-494. ISSN 1469-4360
Giraitis, L, Hidalgo, J and Robinson, Peter M. (2001) Gaussian estimation of parametric spectral density with unknown pole. Annals of Statistics, 29 (4). pp. 987-1023. ISSN 0090-5364
Velasco, Carlos and Robinson, Peter M. (2001) Edgeworth expansions for spectral density estimates and studentized sample mean. Econometric Theory, 17 (3). pp. 497-539. ISSN 1469-4360
Giraitis, Liudas and Robinson, Peter M. (2001) Whittle estimation of ARCH models. Econometric Theory, 17 (3). 608 - 631. ISSN 1469-4360
Gil-Alaña, L. A. and Robinson, Peter M. (2001) Testing of seasonal fractional integration in UK and Japanese consumption and income. Journal of Applied Econometrics, 16 (2). pp. 95-114. ISSN 1099-1255
Marinucci, D. and Robinson, Peter M. (2001) Narrow-band analysis of nonstationary processes. Annals of Statistics, 29 (4). pp. 947-986. ISSN 0090-5364
Giraitis, Liudas, Robinson, Peter M. and Samarov, Alexander (2000) Adaptive semiparametric estimation of the memory parameter. Journal of Multivariate Analysis, 72 (2). pp. 183-207. ISSN 0047-259X
Giraitis, Liudas, Robinson, Peter M. and Surgailis, Donatas (2000) A model for long memory conditional heteroscedasticity. Annals of Applied Probability, 10 (3). pp. 1002-1024. ISSN 1050-5164
Robinson, Peter M. and Henry, M. (1999) Long and short memory conditional heteroskedasticity in estimating the memory parameter of levels. Econometric Theory, 15 (3). pp. 299-336. ISSN 1469-4360
Robinson, Peter M. (1997) Large-sample inference for nonparametric regression with dependent errors. Annals of Statistics, 25 (5). pp. 2054-2083. ISSN 0090-5364
Robinson, Peter M. and Giraitis, Liudas (2003) Parametric estimation under long range dependence. In: Doukhan, Paul, Oppenheim, George and Taqqu, Murad, (eds.) Theory and Applications of Long Range Dependence. Birkhäuser (Firm), Basel, pp. 229-250. ISBN 9780817641689
Robinson, Peter M. (2003) Semiparametric frequency domain analysis of fractional cointegration. In: Robinson, Peter M., (ed.) Time Series With Long Memory. Advanced texts in econometrics. Oxford University Press, New York, pp. 334-374. ISBN 9780199257300
Robinson, Peter M. and Nishiyama, Yoshihiko (2001) Studentization in Edgeworth expansions for estimates of semiparametric index models. In: Hsiao, Cheng, Morimune, Kimio and Powell, James, (eds.) Nonlinear Statistical Modeling: Proceedings of the Thirteenth International Symposium in Economic Theory and Econometrics. International symposia in economic theory and econometrics (13). Cambridge University Press, Cambridge, pp. 197-240. ISBN 9780521662468
Robinson, Peter M., Chen, Xu and Linton, Oliver (2001) The estimation of conditional densities. In: Puri, Madan L, (ed.) Asymptotics in Statistics and Probability - Papers in Honor of George Gregory Roussas. VSP International Science Publishers, Utrecht, The Netherlands, pp. 71-84. ISBN 9789067643337
Robinson, Peter M. and Arteche, Josu (1999) Seasonal and cyclic long memory. In: Asymptotics, Nonparametrics and Time Series: a Tribute to Madan Lal Puri. Statistics: a series of textbooks and monographs. Marcel Dekker Inc, London, pp. 115-148. ISBN 9780824700515
Robinson, Peter M. (1984) Robust nonparametric autoregression. In: Franke, J, Hordle, W and Martin, D, (eds.) Robust and Nonlinear Time Series Analysis : Proceedings of a Workshop Organized by the Sonderforschungsbereich 123 "Stochastisch. Lecture notes in statistics ; 26. Springer Berlin / Heidelberg, New York, pp. 247-255.
Delgado, Miguel A. and Robinson, Peter M. (2013) Non-nested testing of spatial correlation. Econometrics (EM/2013/568). Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.
Lee, Jungyoon and Robinson, Peter M. (2013) Series estimation under cross-sectional dependence. Econometrics (EM/2013/570). Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.
Robinson, Peter M. and Rossi, Francesca (2013) Improved tests for spatial correlation. Econometrics (EM/2013/565). Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.
Robinson, Peter M. and Velasco, Carlos (2013) Efficient inference on fractionally integrated panel data models with fixed effects. Econometrics (EM/2013/567). Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.
Lee, Jungyoon and Robinson, Peter M. (2013) Panel nonparametric regression with fixed effects. Econometrics (EM/2013/569). Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.
Robinson, Peter M. (2011) Inference on power law spatial trends (Running Title: Power Law Trends). Econometrics (EM/2011/556). Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.
Robinson, Peter M. (2007) Multiple local whittle estimation in stationary systems. . Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.
Robinson, Peter M. (2007) Efficient estimation of the semiparametric spatial autoregressive model. . Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.
Hualde, Javier and Robinson, Peter M. (2006) Semiparametric Estimation of Fractional Cointegration. . Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.
Robinson, Peter M. and Gerolimetto, M. (2006) Instrumental variables estimation of stationary and nonstationary cointegrating regressions. . Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.
Hualde, J. and Robinson, Peter M. (2006) Root-n-consistent estimation of weak fractional cointegration. . Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.
Robinson, Peter M. (2006) Nonparametric spectrum estimation for spatial data. . Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.
Robinson, Peter M. and Zafaroni, Paolo (2005) Pseudo-maximum likelihood estimation of ARCH models. . Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.
Robinson, Peter M. and Zaffaroni, Paolo (2005) Pseudo-maximum likelihood estimation of ARCH(∞) models. Econometrics (EM/2005/495). Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.
Robinson, Peter M. and Vidal Sanz, J. (2005) Modified whittle estimation of multilateral models on a lattice. . Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.
Nishiyama, Yoshihiko and Robinson, Peter M. (2005) The bootstrap and the Edgeworth correction for semiparametric averaged derivatives. Econometrics; EM/2005/483 (EM/05/483). Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.
Iacone, Fabrizio and Robinson, Peter M. (2004) Cointegration in fractional systems with deterministic trends. Econometrics; EM/2004/476 (EM/04/476). Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.
Robinson, Peter M. (2004) Robust covariance matrix estimation : HAC estimates with long memory/antipersistence correction. Econometrics; EM/2004/471 (EM/04/471). Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.
Robinson, Peter M. (2004) The distance between rival nonstationary fractional processes. Econometrics; EM/2004/468 (EM/03/468). Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.
Giraitis, Liudas, Leipus, Remigijus, Robinson, Peter M. and Surgailis, Donatas (2003) LARCH, leverage and long memory. Econometrics; EM/2003/460 (EM/03/460). Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.
Robinson, Peter M. and Hualde, Javier (2003) Cointegration in fractional systems with unknown integration orders. Econometrics; EM/2003/449 (EM/03/449). Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.
Hualde, Javier and Robinson, Peter M. (2003) Cointegration in fractional systems with unkown integration orders. Econometrics (EM/2003/449). Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.
Robinson, Peter M. (2002) Denis Sargan: some perspectives. Econometrics; EM/2002/437 (EM/02/437). Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.
Marinucci, D and Robinson, Peter M. (2001) Semiparametric fractional cointegration analysis. Econometrics; EM/2001/420 (EM/01/420). Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.
Giraitis, Liudas and Robinson, Peter M. (2001) Parametric estimation under long-range dependence. Econometrics; EM/2001/416 (EM/01/416). Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.
Robinson, Peter M. (2001) The memory of stochastic volatility models. Econometrics; EM/2001/410 (EM/01/410). Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.
Marinucci, D and Robinson, Peter M. (2000) The averaged periodogram for nonstationary vector time series. Econometrics; EM/2000/408 (EM/00/408). Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.
Gil-Alana, L A and Robinson, Peter M. (2000) Testing of seasonal fractional integration in UK and Japanese consumption and income. Econometrics; EM/2000/402 (EM/00/402). Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.
Giraitis, Liudas and Robinson, Peter M. (2000) Whittle estimation of ARCH models. Econometrics; EM/2000/406 (EM/00/406). Suntory and Toyota International Centres for Economics and Related Disciplines, London.
Robinson, Peter M. and Velasco, Carlos (2000) Edgeworth expansions for spectral density estimates and studentized sample mean. Econometrics; EM/2000/390 (EM/00/390). Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.
Robinson, Peter M. and Velasco, Carlos (2000) Whittle pseudo-maximum likelihood estimation for nonstationary time series. Econometrics; EM/2000/391 (EM/00/391). Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.
Giraitis, Liudas, Robinson, Peter M. and Samarov, Alexander (2000) Adaptive semiparametric estimation of the memory parameter. Econometrics; EM/2000/379 (EM/00/379). Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.
Nishiyama, Y and Robinson, Peter M. (1999) Edgeworth expansions for semiparametric averaged derivatives. Econometrics; EM/1999/373 (EM/99/373). Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.
Giraitis, Liudas and Robinson, Peter M. (1998) Variance-type estimation of long memory. Econometrics; EM/1998/363 (EM/98/363). Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.
Arteche, Josu and 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, London, UK.
Arteche, Josu and 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, London, UK.
Robinson, Peter M. and Henry, Marc (1998) Long and short memory conditional heteroscedasticity in estimating the memory parameter of levels. Econometrics; EM/1998/357 (EM/98/357). Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.
Marinucci, D and 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, London, UK.
Marinucci, D and 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, London, UK.
Marinucci, D and Robinson, Peter M. (1998) Semiparametric frequency domain analysis of fractional cointegration. Econometrics; EM/1998/348 (EM/98/348). Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.
Lobato, Ignacio and Robinson, Peter M. (1997) A nonparametric test for I(0). Econometrics; EM/1997/342 (EM/1997/342). Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.
Robinson, Peter M. (1997) Inference-without-smoothing in the presence of nonparametric autocorrelation. Econometrics; EM/1997/338 (EM/1997/338). Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.
Robinson, Peter M. (1997) Large-sample inference for nonparametric regression with dependent errors. Econometrics; EM/1997/336 (EM/1997/336). Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.
Giraitis, Liudas, Robinson, Peter M. and Samarov, Alexander (1997) Rate optimal semiparametric estimation of the memory parameter of the Gaussian time series with long-range dependence. Econometrics; EM/1997/323 (EM/1997/323). Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.
Robinson, Peter M. and Zaffaroni, Paolo (1997) Modelling nonlinearity and long memory in time series. Econometrics; EM/1997/319 (EM/1997/319). Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.
Robinson, Peter M. and Hidalgo, Javier (1997) Time series regression with long range dependence. . Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.
Robinson, Peter M. and Velasco, Carlos (1996) Autocorrelation-robust inference. Econometrics; EM/1996/316 (EM/1996/316). Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.
