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Beyond co-integration: new tools for inference on co-movements

Journal of Financial Econometrics
2024-09-01 | Journal article
DOI: 10.1093/jjfinec/nbad010
SOURCE-WORK-ID:

1315108

Part of ISSN: 1479-8409
Contributors: Karim Abadir; Gabriel Talmain
Source: check_circle
Imperial College London

Explicit solution for the asymptotically-optimal bandwidth in cross-validation

Biometrika
2024-09-01 | Journal article
DOI: 10.1093/biomet/asae007
SOURCE-WORK-ID:

1361244

Part of ISSN: 0006-3444
Contributors: Karim Abadir; Michel Lubrano
Source: check_circle
Imperial College London

Partially one-sided semiparametric inference for trending persistent and antipersistent processes

Econometrics and Statistics
2024-04-01 | Journal article
DOI: 10.1016/j.ecosta.2021.12.007
SOURCE-WORK-ID:

1246999

Part of ISSN: 2452-3062
WOSUID:

WOS:001221409300001
Contributors: Karim Abadir; Walter Distaso; Liudas Giraitis
Source: check_circle
Imperial College London

GARCH density and functional forecasts

Journal of Econometrics
2023-08-01 | Journal article
DOI: 10.1016/j.jeconom.2022.04.010
SOURCE-WORK-ID:

1259855

Part of ISSN: 0304-4076
WOSUID:

WOS:001028202500001
Contributors: Karim Abadir; ALESSANDRA LUATI; P Paruolo
Source: check_circle
Imperial College London

Explicit minimal representation of variance matrices, and its implication for dynamic volatility models

Econometrics Journal
2023-01 | Journal article
DOI: 10.1093/ectj/utac023
SOURCE-WORK-ID:

1268816

Part of ISSN: 1368-4221
WOSUID:

WOS:000859176000001
Contributors: Karim Abadir
Source: check_circle
Imperial College London

Where (and by how much) does a theory break down? With an application to the expectation hypothesis.

Advances in Econometrics
2022-01-18 | Book chapter
DOI: 10.1108/S0731-90532021000043B011
SOURCE-WORK-ID:

1259847

Part of ISSN: 0731-9053
Part of ISBN: 978-1-80262-066-5
Contributors: Karim Abadir; Christina Atanasova; Alexander Chudik; Cheng Hsiao; Allan Timmermann
Source: check_circle
Imperial College London

On an intriguing parallel between economics and cosmology modelling

Science
2021 | Other
SOURCE-WORK-ID:

1261696
Contributors: Karim Abadir; Gabriel Talmain
Source: check_circle
Imperial College London

Link of moments before and after transformations, with an application to resampling from fat-tailed distributions

Econometric Theory
2019-06-01 | Journal article
DOI: 10.1017/S026646661800021X
SOURCE-WORK-ID:

1029605

Part of ISSN: 0266-4666
WOSUID:

WOS:000466362600005
Contributors: Karim Abadir; Adriana Cornea-Madeira
Source: check_circle
Imperial College London

Statistics:

2018-10-31 | Book
SOURCE-WORK-ID:

1029785

ISBN: 9780521822886
Contributors: Karim Abadir; Risto D H Heijmans; Jan R Magnus
Source: check_circle
Imperial College London

Design-free estimation of variance matrices

Journal of Econometrics
2014-08 | Journal article
DOI: 10.1016/j.jeconom.2014.03.010
SOURCE-WORK-ID:

651301

Part of ISSN: 1872-6895
WOSUID:

WOS:000337855900007
Contributors: Karim Abadir; Walter Distaso; F Žikeš
Source: check_circle
Imperial College London

ASYMPTOTIC NORMALITY FOR WEIGHTED SUMS OF LINEAR PROCESSES

Econometric Theory
2014-02 | Journal article
DOI: 10.1017/S0266466613000182
SOURCE-WORK-ID:

525035

Part of ISSN: 0266-4666
WOSUID:

WOS:000337695000009
Contributors: Karim Abadir; Walter Distaso; Liudas Giraitis; Hira L Koul
Source: check_circle
Imperial College London

Nelson-Plosser revisited: the ACF approach

Journal of Econometrics
2013 | Journal article
DOI: 10.1016/j.jeconom.2013.02.006
SOURCE-WORK-ID:

467551

Part of ISSN: 0304-4076
WOSUID:

WOS:000319371300002
Contributors: Karim Abadir; G Caggiano; G Talmain
Source: check_circle
Imperial College London

Biases of correlograms and of AR representations of stationary series

Journal of Time Series Econometrics
2012 | Journal article
SOURCE-WORK-ID:

433453
Contributors: Karim Abadir; R Larsson
Source: check_circle
Imperial College London

An I(d) model with trend and cycles

Journal of Econometrics
2011 | Journal article
DOI: 10.1016/j.jeconom.2011.03.006
SOURCE-WORK-ID:

360736

Part of ISSN: 0304-4076
WOSUID:

WOS:000292368300005
Contributors: Karim Abadir; Walter Distaso; L Giraitis
Source: check_circle
Imperial College London

The unconventional dynamics of economic and financial aggregates

2011 | Book chapter
SOURCE-WORK-ID:

336961

Part of ISBN: 9781420070354
Contributors: Karim Abadir; G Talmain; Aman Ullah; David E Giles
Source: check_circle
Imperial College London

Is the economic crisis over (and out)?

Review of Economic Analysis
2011-01-01 | Journal article
SOURCE-WORK-ID:

378624

Part of ISSN: 1973-3909
Contributors: Karim Abadir
Source: check_circle
Imperial College London

On efficient simulations in dynamic models

2009 | Book chapter
DOI: 10.1093/acprof:oso/9780199237197.003.0011
SOURCE-WORK-ID:

13796

Part of ISBN: 9780199237197
Contributors: Karim Abadir; P Paruolo; J Castle; N Shephard
Source: check_circle
Imperial College London

Two estimators of the long-run variance: beyond short memory

Journal of Econometrics
2009 | Journal article
DOI: 10.1016/j.jeconom.2009.02.010
SOURCE-WORK-ID:

97132

Part of ISSN: 0304-4076
WOSUID:

WOS:000266510500005
Contributors: Karim Abadir; Walter Distaso; L Giraitis
Source: check_circle
Imperial College London

A statistical proof of the transformation theorem

2007 | Book chapter
DOI: 10.1017/CBO9780511493157.015
SOURCE-WORK-ID:

181772

Part of ISBN: 9780521870535
WOSUID:

WOS:000296963600014
Contributors: K. M. Abadir; J. R. Magnus; G D A Phillips; E Tzavalis
Source: check_circle
Imperial College London

Nonstationarity-extended local Whittle estimation

Journal of Econometrics
2007 | Journal article
DOI: 10.1016/j.jeconom.2007.01.020
SOURCE-WORK-ID:

157918

Part of ISSN: 0304-4076
WOSUID:

WOS:000250871900037
Contributors: Karim Abadir; Walter Distaso; L Giraitis
Source: check_circle
Imperial College London

Testing joint hypotheses when one of the alternatives is one-sided

Journal of Econometrics
2007 | Journal article
DOI: 10.1016/j.jeconom.2006.07.022
SOURCE-WORK-ID:

216928

Part of ISSN: 0304-4076
WOSUID:

WOS:000249410200014
Contributors: Abadir, K. M.; W. Distaso
Source: check_circle
Imperial College London

Autocovariance functions of series and of their transforms

Journal of Econometrics
2005 | Journal article
DOI: 10.1016/j.jeconom.2004.02.015
SOURCE-WORK-ID:

252006

Part of ISSN: 0304-4076
WOSUID:

WOS:000226183800002
Contributors: Abadir,K.M.; Talmain,G.
Source: check_circle
Imperial College London

Matrix Algebra

2005 | Book
DOI: 10.1017/CBO9780511810800
SOURCE-WORK-ID:

255735

ISBN: 9780521537469
Contributors: Abadir,K.M.; Magnus,J.R.
Source: check_circle
Imperial College London

THE MEAN-MEDIAN-MODE INEQUALITY: COUNTEREXAMPLES

Econometric Theory
2005 | Journal article
DOI: 10.1017/S0266466605050267
SOURCE-WORK-ID:

467527

Part of ISSN: 0266-4666
WOSUID:

WOS:000227879800009
Contributors: Karim Abadir
Source: check_circle
Imperial College London

Liquidity Constraints and the Demand for Assets: An Application to the Festivity Effect

2005-10-17 | Interactive resource
SOURCE-WORK-ID:

1259879
Contributors: Karim Abadir; Laura Spierdijk
Source: check_circle
Imperial College London

A comparison of minimum MSE and maximum power for the nearly integrated non-Gaussian model

Journal of Econometrics
2004 | Journal article
DOI: 10.1016/S0304-4076(03)00155-6
SOURCE-WORK-ID:

129295

Part of ISSN: 0304-4076
WOSUID:

WOS:000220031400003
Contributors: Abadir,K.M.; Lucas,A.
Source: check_circle
Imperial College London

Cointegration theory, equilibrium and disequilibrium economics

The Manchester School
2004 | Journal article
DOI: 10.1111/j.1467-9957.2004.00380.x
SOURCE-WORK-ID:

266501

Part of ISSN: 1463-6786
WOSUID:

WOS:000188767700004
Contributors: Abadir,K.M.
Source: check_circle
Imperial College London

Optimal asymmetric kernels

Economics Letters
2004 | Journal article
DOI: 10.1016/j.econlet.2003.07.017
SOURCE-WORK-ID:

121106

Part of ISSN: 0165-1765
WOSUID:

WOS:000220277500010
Contributors: Abadir,K.M.; Lawford,S.
Source: check_circle
Imperial College London

03.6.1 The Central Limit Theorem for Student's Distribution—Solution

Econometric Theory
2004-12 | Journal article
DOI: 10.1017/s0266466604216085
SOURCE-WORK-ID:

1030036

Part of ISSN: 0266-4666
Contributors: Karim Abadir; Jan Magnus
Source: check_circle
Imperial College London

03.3.1. Normal's Deconvolution and the Independence of Sample Mean and Variance—Solution

Econometric Theory
2004-08 | Journal article
DOI: 10.1017/s0266466604214086
SOURCE-WORK-ID:

1259886

Part of ISSN: 0266-4666
Contributors: Karim Abadir; Jan R Magnus
Source: check_circle
Imperial College London

Density functionals, with an option-pricing application

Econometric Theory
2003 | Journal article
DOI: 10.1017/S0266466603195047
SOURCE-WORK-ID:

285971

Part of ISSN: 0266-4666
WOSUID:

WOS:000185588800004
Contributors: Abadir,K.M.; Rockinger,M.
Source: check_circle
Imperial College London

03.4.1. Normal's Deconvolution and the Independence of Sample Mean and Variance

Econometric Theory
2003-08 | Journal article
DOI: 10.1017/s0266466603214122
SOURCE-WORK-ID:

1259876

Part of ISSN: 0266-4666
Contributors: Karim Abadir; Jan R Magnus
Source: check_circle
Imperial College London

The influence of var dimensions on estimator biases: Comment - Rejoinder to comment by Doornik, Nielsen, and Rothenberg

Econometrica: journal of the Econometric Society
2003-01 | Journal article
DOI: 10.1111/1468-0262.00402
SOURCE-WORK-ID:

40447

Part of ISSN: 0012-9682
WOSUID:

WOS:000180543900015
Contributors: Karim Abadir; K Hadri; E Tzavalis
Source: check_circle
Imperial College London

Aggregation, persistence and volatility in a macro model

The Review of Economic Studies
2002 | Journal article
DOI: 10.1111/1467-937x.00225
SOURCE-WORK-ID:

248850

Part of ISSN: 0034-6527
WOSUID:

WOS:000178956100001
Contributors: Abadir,K.; Talmain,G.
Source: check_circle
Imperial College London

Notation in econometrics: a proposal for a standard

Econometrics Journal
2002 | Journal article
DOI: 10.1111/1368-423x.t01-1-00074
SOURCE-WORK-ID:

164211

Part of ISSN: 1368-4221
Contributors: Abadir,K.M.; Magnus,J.R.
Source: check_circle
Imperial College London

Simple robust testing of regression hypotheses: a comment

Econometrica: journal of the Econometric Society
2002 | Journal article
DOI: 10.1111/1468-0262.00367
SOURCE-WORK-ID:

110130

Part of ISSN: 0012-9682
WOSUID:

WOS:000177639900017
Contributors: Abadir,K.M.; Paruolo,P.
Source: check_circle
Imperial College London

The characteristic function from a family of truncated normal distributions

Econometric Theory
2002-10 | Journal article
SOURCE-WORK-ID:

271394

Part of ISSN: 0266-4666
WOSUID:

WOS:000178158400012
Contributors: Karim Abadir; T Magdalinos
Source: check_circle
Imperial College London

Box-Cox transformations in linear models: large sample theory and tests of normality - Discussion - Comment 1

Canadian Journal of Statistics
2002-06 | Journal article
DOI: 10.2307/3315947
SOURCE-WORK-ID:

235358

Part of ISSN: 0319-5724
WOSUID:

WOS:000178125800002
Contributors: Karim Abadir
Source: check_circle
Imperial College London

Depreciation rates and capital stocks

The Manchester School
2001 | Journal article
DOI: 10.1111/1467-9957.00234
SOURCE-WORK-ID:

102930

Part of ISSN: 1463-6786
WOSUID:

WOS:000166611700004
Contributors: Abadir,K.; Talmain,G.
Source: check_circle
Imperial College London

The joint moment generating function of quadratic forms in multivariate autoregressive series -: <i>The case with deterministic components</i>

Econometric Theory
2001-02 | Journal article
DOI: 10.1017/S0266466601171070
SOURCE-WORK-ID:

276810

Part of ISSN: 0266-4666
WOSUID:

WOS:000166464600007
Contributors: Karim Abadir; R Larsson
Source: check_circle
Imperial College London

Is more information a good thing? Bias nonmonotonicity in stochastic difference equations

Bulletin of Economic Research
2000 | Journal article
DOI: 10.1111/1467-8586.00096
SOURCE-WORK-ID:

222880

Part of ISSN: 0307-3378
Contributors: Abadir,K.M.; Hadri,K.
Source: check_circle
Imperial College London

Quantiles for t-statistics based on M-Estimators of unit roots

Economics Letters
2000 | Journal article
DOI: 10.1016/S0165-1765(99)00254-2
SOURCE-WORK-ID:

283640

Part of ISSN: 0165-1765
WOSUID:

WOS:000086756700002
Contributors: Abadir,K.M.; Lucas,A.
Source: check_circle
Imperial College London

An introduction to hypergeometric functions for economists

Econometric Reviews
1999 | Journal article
DOI: 10.1080/07474939908800447
SOURCE-WORK-ID:

248597

Part of ISSN: 0747-4938
Contributors: Abadir,K.M.
Source: check_circle
Imperial College London

On the definitions of (co-)integration

Journal of Time Series Analysis
1999 | Journal article
DOI: 10.1111/1467-9892.00128
SOURCE-WORK-ID:

33443

Part of ISSN: 0143-9782
Contributors: Abadir,K.M.; Taylor,A.M.R.
Source: check_circle
Imperial College London

The influence of VAR dimensions on estimator biases

Econometrica: journal of the Econometric Society
1999 | Journal article
DOI: 10.1111/1468-0262.00008
SOURCE-WORK-ID:

209907

Part of ISSN: 0012-9682
WOSUID:

WOS:000077931400008
Contributors: Abadir,K.M.; Hadri,K.; Tzavalis,E.
Source: check_circle
Imperial College London

Order invariability of idempotent matrix

Econometric Theory
1998-06 | Journal article
SOURCE-WORK-ID:

250867

Part of ISSN: 0266-4666
WOSUID:

WOS:000074089200011
Contributors: Karim Abadir; Walter Distaso; N K Dastoor
Source: check_circle
Imperial College London

The "devil's horns" problem of inverting confluent characteristic functions

Econometrica: journal of the Econometric Society
1997 | Journal article
DOI: 10.2307/2171886
SOURCE-WORK-ID:

239355

Part of ISSN: 0012-9682
WOSUID:

WOS:A1997XT90600010
Contributors: Abadir,K.M.; Rockinger,M.
Source: check_circle
Imperial College London

Two mixed normal densities from cointegration analysis

Econometrica: journal of the Econometric Society
1997 | Journal article
DOI: 10.2307/2171758
SOURCE-WORK-ID:

143368

Part of ISSN: 0012-9682
WOSUID:

WOS:A1997WV90300008
Contributors: Abadir,K.M.; Paruolo,P.
Source: check_circle
Imperial College London

The joint moment generating function of quadratic forms in multivariate autoregressive series

Econometric Theory
1996 | Journal article
DOI: 10.1017/S0266466600006988
SOURCE-WORK-ID:

183426

Part of ISSN: 0266-4666
WOSUID:

WOS:A1996VK14300004
Contributors: Abadir,K.M.; Larsson,R.
Source: check_circle
Imperial College London

Roots of an Orthogonal Matrix

Econometric Theory
1996-12 | Journal article
DOI: 10.1017/s0266466600007222
SOURCE-WORK-ID:

1265959

Part of ISSN: 0266-4666
Contributors: Karim Abadir; Kaddour Hadri
Source: check_circle
Imperial College London
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