Working Papers Nuffield

Working Papers

Generalised empirical likelihood-based kernel density estimation

Author(s): Vitaliy Oryshchenko, Richard J. Smith

Jul 2013 | Ref: 662

The actual financing costs of English higher education student loans

Author(s): Neil Shephard

May 2013 | Ref: 2013-W06

Inference and forecasting in the age-period-cohort model with unknown exposure with an application to mesothelioma mortality

Author(s): Bent Nielsen, Maria Dolores Martinez Miranda, Jens Perch Nielsen

Mar 2013 | Ref: 2013-W05

Unpredictability in Economic Analysis, Econometric Modeling and Forecasting

Author(s): David Hendry, Grayham E. Mizon

Mar 2013 | Ref: 2013-W04

Asymptotic analysis of the Forward Search

Author(s): Bent Nielsen, Soren Johansen

Feb 2013 | Ref: 2013-W02

Martingale unobserved component models

Author(s): Neil Shephard

Feb 2013 | Ref: 644

Estimation of Discrete Choice Models with Many Alternatives Using Random Subsets of the Full Choice Set: With an Application to Demand for Frozen Pizza

Author(s): Michael Keane, Nada Wasi

Nov 2012 | Ref: 2012-W13

Reconciling Micro and Macro Labor Supply Elasticities: A Structural Perspective

Author(s): Michael Keane, Richard Rogers

Oct 2012 | Ref: 2012-W12

Discrimination in a universal health system: Explaining socioeconomic waiting time gaps

Author(s): Michael Keane, Meliyanni Johar, Glenn Jones, Elizabeth Savage, Olena Stavrunova

Oct 2012 | Ref: 2012-W11

Adverse Selection, Moral Hazard and the Demand for Medigap Insurance

Author(s): Michael Keane, Olena Stavrunova

Oct 2012 | Ref: 2012-W10

How the Allocation of Children's Time Affects Cognitive and Non-Cognitive Development

Author(s): Michael Keane, Mario Fiorini

Oct 2012 | Ref: 2012-W09

Income Taxation in a Life Cycle Model with Human Capital

Author(s): Michael Keane

Jul 2012 | Ref: 2012-W08

A Joint Chow Test for Structural Instability

Author(s): Bent Nielsen, Andrew Whitby

Jun 2012 | Ref: 2012-W07

Basics of Levy processes

Author(s): Neil Shephard, Ole E. Barndorff-Nielsen

Jun 2012 | Ref: 610

Robust inference on parameters via particle filters and sandwich covariance matrices

Author(s): Neil Shephard, Arnaud Doucet

Jun 2012 | Ref: 606

Econometric analysis of multivariate realised QML: efficient positive semi-definite estimators of the covariation of equity prices

Author(s): Neil Shephard, Dacheng Xiu

Apr 2012 | Ref: 604

Multivariate Rotated ARCH models

Author(s): Diaa Noureldin, Neil Shephard, Kevin Sheppard

Feb 2012 | Ref: 594

Regulated Prices, Rent-Seeking, and Consumer Surplus

Author(s): Paul Klemperer, Jeremy Bulow

Feb 2012 | Ref: 595

Efficient and feasible inference for the components of financial variation using blocked multipower variation

Author(s): Neil Shephard, Kevin Sheppard

Feb 2012 | Ref: 593

Multivariate High-Frequency-Based Volatility (HEAVY) Models

Author(s): Diaa Noureldin, Neil Shephard, Kevin Sheppard

Feb 2011 | Ref: 533

Identification and forecasting in the Lee-Carter model

Author(s): Bent Nielsen, J.P. Nielsen

Dec 2010 | Ref: 2010-W07

Discrete-valued Levy processes and low latency financial econometrics

Author(s): Neil Shephard, David G. Pollard, Ole E. Barndorff-Nielsen

Jun 2010 | Ref: 490

Testing for rational bubbles in a co-explosive vector autoregression

Author(s): Bent Nielsen, Tom Engsted

Jun 2010 | Ref: 2010-W06

Forecasting in an extended chain-ladder-type model

Author(s): Bent Nielsen, Di Kuang and Jens Perch Nielsen

Jun 2010 | Ref: 2010-W05

Deferred fees for universities

Author(s): Neil Shephard

Apr 2010 | Ref: 2010-W03