High frequency financial data allows us to learn more about volatility, volatility of volatility and jumps.  One of the key techniques developed in the literature in recent years has been bipower variation and its multipower extension, which estimates time-varying volatility robustly to...

Suppose we wish to carry out likelihood based inference but we solely have an unbiased simulation based estimator of the likelihood.  We note that unbiasedness is enough when the estimated likelihood is used inside a Metropolis-Hastings algorithm.  This result has recently been introduced in...

Global frailty is an unobserved macroeconomic variable.  In event data contexts, this unobserved variable is assumed to impact the hazard rate of event arrivals.  Attempts to identify and estimate the path of frailty are complicated when observed macroeconomic variables also impact hazard...

Partial mean processes with generated regressors arise in several important econometric problems, such as the distribution of potential outcomes with continuous treatments and the quantile structural function in a nonseparable triangular model.  This paper proposes a fully nonparametric...

High-profile universities often face public criticism for undermining academic merit and promoting social elitism/engineering through their admissions-process. In this paper, we develop an empirical test for whether access to selective universities is meritocratic. We assume that students who...

This paper discusses and documents the algorithms of SsfPack 2.2. SsfPack is a suite of C routines for carrying out computations involving the statistical analysis of univariate and multivariate models in state space form. The emphasis is on documenting the link we have made to the Ox computing...

We consider kernel-based estimators of integrated variances in the presence of independent market microstructure effects. We derive the bias and variance properties for all regular kernel-based estimators and derive a lower bound for their asymptotic variance. Further we show that the...

After a dramatic slowdown of the 1970s, productivity growth in UK manufacturing in the 1980s returned to something like its pre-slowdown trend. This paper constructs a quarterly dynamic model of TFP growth in UK manufacturing using cointegration techniques, correcting for a variety of...

In a recent paper we have introduced the class of realised kernel estimators of the increments of quadratic variation in the presence of noise. We showed that this estimator is consistent and derived its limit distribution under various assumptions on the kernel weights. In this paper we extend...

This paper develops an asymptotic estimation theory for nonlinear autoregressive models with conditionally heteroskedastic errors.  We consider a functional coefficient autoregression of order p (AR(p)) with the conditional variance specified as a general nonlinear first order generalized...