Author Page for Karim M. Abadir

1.

An Introduction to Hypergeometric Functions for Economists

Econometric Reviews, Vol. 18, pp. 287-330, 1999

Number of pages: 44 Posted: 15 Jan 2012

Karim M. Abadir

Imperial College Business School

Downloads 229 (133,557)

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2.

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

Number of pages: 35 Posted: 02 Nov 2005

Karim M. Abadir and Laura Spierdijk

Imperial College Business School and University of Groningen

Downloads 225 (135,875)

Citation 3

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3.

The Characteristic Function from a Family of Truncated Normal Distributions

Econometric Theory, Vol. 18, p. 1276, 2002

Number of pages: 9 Posted: 15 Jan 2012

Karim M. Abadir and Tassos Magdalinos

Imperial College Business School and University of York

Downloads 212 (143,817)

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4.

The Square Root of a Matrix

Number of pages: 7 Posted: 15 Jan 2012 Last Revised: 26 Feb 2012

Karim M. Abadir

Imperial College Business School

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5.

Distilling Co-Movements from Persistent Macro and Financial Series

ECB Working Paper No. 525

Number of pages: 40 Posted: 19 Oct 2005

Karim M. Abadir and Gabriel Talmain

Imperial College Business School and University of York - Department of Economics and Related Studies

Downloads 109 (250,033)

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6.

Design-Free Estimation of Variance Matrices

Number of pages: 43 Posted: 09 Aug 2011 Last Revised: 20 Nov 2014

Karim M. Abadir, Walter Distaso and Filip Zikes

Imperial College Business School, Imperial College Business School and Imperial College London

Downloads 105 (256,639)

Citation 8

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7.

The Mean-Median-Mode Inequality: Counterexamples

Econometric Theory, Vol. 21, p. 477, 2005

Number of pages: 7 Posted: 15 Jan 2012

Karim M. Abadir

Imperial College Business School

Downloads 104 (258,283)

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8.

Beyond Co-Integration: Modelling Co-Movements in Macro Finance

Number of pages: 39 Posted: 22 Jan 2012 Last Revised: 26 Feb 2012

Karim M. Abadir and Gabriel Talmain

Imperial College Business School and University of York - Department of Economics and Related Studies

Downloads 102 (261,808)

Citation 1

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9.

Lies, Damned Lies, and Statistics? Examples from Finance and Economics

CEJEME 5: 231-248 (2013)

Number of pages: 18 Posted: 30 Dec 2015

Karim M. Abadir

Imperial College Business School

Downloads 87 (290,185)

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10.

Quantiles for T-Statistics Based on M-Estimators of Unit Roots

Number of pages: 10 Posted: 26 Nov 1997

Karim M. Abadir and Andre Lucas

Imperial College Business School and Vrije Universiteit Amsterdam - School of Business and Economics

Downloads 77 (312,332)

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11.

Asymptotic Normality for Weighted Sums of Linear Processes

Number of pages: 24 Posted: 15 Jan 2012

Karim M. Abadir, Walter Distaso, Liudas Giraitis and Hira Koul

Imperial College Business School, Imperial College Business School, University of York - Department of Mathematics and Economics and Michigan State University

Downloads 65 (342,824)

Citation 2

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12.

Two Estimators of the Long-Run Variance: Beyond Short Memory

Number of pages: 38 Posted: 14 Jan 2012

Karim M. Abadir, Walter Distaso and Liudas Giraitis

Imperial College Business School, Imperial College Business School and University of York - Department of Mathematics and Economics

Downloads 63 (348,403)

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13.

The Joint Density of Two Functionals of a Brownian Motion

Mathematical Methods of Statistics, Vol. 4, No. 4, pp. 449-462, Allerton Press Inc., 1995

Number of pages: 16 Posted: 22 Jan 2012 Last Revised: 26 Feb 2012

Karim M. Abadir

Imperial College Business School

Downloads 60 (356,986)

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14.

Link of Moments Before and After Transformations, with an Application to Resampling from Fat-Tailed Distributions

Number of pages: 29 Posted: 15 Oct 2011 Last Revised: 28 Feb 2018

Karim M. Abadir and Adriana Cornea

Imperial College Business School and University of Exeter

Downloads 58 (362,921)

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15.

Density Functionals, with an Option-Pricing Application

Econometric Theory, Vol. 19, p. 778, 2003

Number of pages: 34 Posted: 15 Jan 2012

Karim M. Abadir and Michael Rockinger

Imperial College Business School and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)

Downloads 47 (398,936)

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16.

Outlier-Robust Evidence for the Expectation Hypothesis

Number of pages: 18 Posted: 25 Sep 2012

Karim M. Abadir and Christina V. Atanasova

Imperial College Business School and Simon Fraser University

Downloads 45 (406,077)

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17.

Depreciation Rates and Capital Stocks

The Manchester School, Vol. 69, No. 1, pp. 42-51, January 2001

Number of pages: 15 Posted: 15 Jan 2012

Karim M. Abadir and Gabriel Talmain

Imperial College Business School and University of York - Department of Economics and Related Studies

Downloads 42 (417,246)

Citation 1

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18.

Nelson-Plosser Revisited: The ACF Approach

Number of pages: 31 Posted: 13 Jan 2012 Last Revised: 26 Feb 2012

Karim M. Abadir, Giovanni Caggiano and Gabriel Talmain

Imperial College Business School, Department of Economics, Monash University and University of York - Department of Economics and Related Studies

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19.

The Joint Moment Generating Function of Quadratic Forms in Multivariate Autoregressive Series: The Case with Deterministic Components

Econometric Theory, Vol. 12, p. 682, 1996

Number of pages: 22 Posted: 15 Jan 2012

Karim M. Abadir and Rolf Larsson

Imperial College Business School and Stockholm University

Downloads 40 (424,848)

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20.

Nonstationarity-Extended Local Whittle Estimation

Journal of Econometrics, Vol. 141, No. 2, p. 1353, December 2007

Number of pages: 48 Posted: 14 Jan 2012

Karim M. Abadir, Walter Distaso and Liudas Giraitis

Imperial College Business School, Imperial College Business School and University of York - Department of Mathematics and Economics

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Citation 4

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21.

Optimal Asymmetric Kernels

Economics Letters, Vol. 83, No. 1, p. 61, April 2004

Number of pages: 9 Posted: 15 Jan 2012

Karim M. Abadir and Steve Lawford

Imperial College Business School and ENAC

Downloads 30 (467,917)

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22.

The Joint Moment Generating Function of Quadratic Forms in Multivariate Autoregressive Series

Econometric Theory, Vol. 17, p. 222, 2001

Number of pages: 28 Posted: 15 Jan 2012

Karim M. Abadir and Rolf Larsson

Imperial College Business School and Stockholm University

Downloads 28 (477,803)

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23.

On the Definitions of (Co-) Integration

Journal of Time Series Analysis, Vol. 20, pp. 129-137, 1999

Number of pages: 12 Posted: 15 Jan 2012

Karim M. Abadir and A. M. Robert Taylor

Imperial College Business School and University of Birmingham - Department of Economics

Downloads 28 (477,803)

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24.

Cointegration Theory, Equilibrium and Disequilibrium Economics

Manchester School, Vol. 72, No. 1, pp. 60-71, January 2004

Number of pages: 12 Posted: 05 Apr 2004

Karim M. Abadir

Imperial College Business School

Downloads 28 (477,803)

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25.

Is the Economic Crisis Over (and Out)?

Review of Economic Analysis, Vol. 3, pp. 102-108, 2011

Number of pages: 7 Posted: 15 Jan 2012

Karim M. Abadir

Imperial College Business School

Downloads 26 (488,361)

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26.

Simple Robust Testing of Regression Hypotheses: A Comment

Econometrica, Vol. 70, No. 5, p. 2097, September 2002

Number of pages: 3 Posted: 15 Jan 2012

Karim M. Abadir and Paolo Paruolo

Imperial College Business School and European Commission Joint Research Center

Downloads 24 (499,477)

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27.

The Influence of VAR Dimensions on Estimator Biases

Econometrica, Vol. 67, No. 1, p. 163, January 1999

Number of pages: 18 Posted: 15 Jan 2012

Karim M. Abadir, Kaddour Hadri and Elias Tzavalis

Imperial College Business School, Queen's University Belfast and Athens University of Economics and Business - Department of Economics

Downloads 23 (504,997)

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28.

Semiparametric Estimation and Inference for Trending I(D) and Related Processes

Number of pages: 27 Posted: 14 Jan 2012

Karim M. Abadir, Walter Distaso and Liudas Giraitis

Imperial College Business School, Imperial College Business School and University of York - Department of Mathematics and Economics

Downloads 23 (504,997)

Citation 4

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29.

Testing Joint Hypotheses When One of the Alternatives is One-Sided

Number of pages: 45 Posted: 15 Jan 2012

Karim M. Abadir and Walter Distaso

Imperial College Business School and Imperial College Business School

Downloads 21 (516,729)

Citation 1

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30.

Notation in Econometrics: A Proposal for a Standard

The Econometrics Journal, Vol. 5, pp. 76-90, 2002

Number of pages: 15 Posted: 31 Dec 2002

Karim M. Abadir and J.R. Magnus

Imperial College Business School and Vrije Universiteit Amsterdam, School of Business and Economics

Downloads 18 (534,348)

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31.

Approximate Normality of T-Ratios Based on M-Estimators for the Unit Root

Economics Letters, Forthcoming

Number of pages: 11 Posted: 06 Jan 1998 Last Revised: 15 Jan 2012

Karim M. Abadir and Andre Lucas

Imperial College Business School and Vrije Universiteit Amsterdam - School of Business and Economics

Downloads 18 (534,348)

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32.

Explicit Solutions for the Asymptotically-Optimal Bandwidth in Cross Validation

Number of pages: 37 Posted: 13 Jan 2012 Last Revised: 26 Feb 2012

Karim M. Abadir and Michel Lubrano

Imperial College Business School and Ecole des Hautes Etudes en Sciences Sociales (EHESS)

Downloads 17 (540,249)

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33.

Autocovariance Functions of Series and of Their Transforms

Journal of Econometrics, Vol. 124, No. 2, p. 227, 2005

Number of pages: 27 Posted: 15 Jan 2012

Karim M. Abadir and Gabriel Talmain

Imperial College Business School and University of York - Department of Economics and Related Studies

Downloads 16 (546,093)

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34.

An I(d) Model with Trend and Cycles

Number of pages: 32 Posted: 14 Jan 2012

Karim M. Abadir, Walter Distaso and Liudas Giraitis

Imperial College Business School, Imperial College Business School and University of York - Department of Mathematics and Economics

Downloads 16 (546,093)

Citation 1

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35.

Biases of Correlograms and of AR Representations of Stationary Series

Number of pages: 10 Posted: 13 Jan 2012 Last Revised: 27 Feb 2012

Karim M. Abadir and Rolf Larsson

Imperial College Business School and Stockholm University

Downloads 16 (546,093)

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36.

Aggregation, Persistence and Volatility in a Macro Model

Review of Economic Studies, Vol. 69, No. 4, pp. 749-779, October 2002

Number of pages: 47 Posted: 15 Jan 2012

Karim M. Abadir and Gabriel Talmain

Imperial College Business School and University of York - Department of Economics and Related Studies

Downloads 15 (552,031)

Citation 1

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37.

Is More Information a Good Thing? Bias Nonmonotonicity in Stochastic Difference Equations

Bulletin of Economic Research, Vol. 52, Issue 2

Number of pages: 10 Posted: 27 Sep 2000 Last Revised: 15 Jan 2012

Karim M. Abadir and Kaddour Hadri

Imperial College Business School and Durham Business School

Downloads 10 (583,106)

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38.

A Comparison of Minimum MSE and Maximum Power for the Nearly Integrated Non-Gaussian Model

Journal of Econometrics, Vol. 119, No. 1, p. 45, 2004

Number of pages: 26 Posted: 15 Jan 2012

Karim M. Abadir and Andre Lucas

Imperial College Business School and Vrije Universiteit Amsterdam - School of Business and Economics

Downloads 4 (622,743)

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39.

A Statistical Proof of the Transformation Theorem

Posted: 19 Mar 2012

Karim M. Abadir and J.R. Magnus

Imperial College Business School and Vrije Universiteit Amsterdam, School of Business and Economics

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40.

On Efficient Simulations in Dynamic Models

Posted: 19 Mar 2012

Karim M. Abadir and Paolo Paruolo

Imperial College Business School and European Commission Joint Research Center

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41.

The Unconventional Dynamics of Economic and Financial Aggregates

Posted: 19 Mar 2012

Karim M. Abadir and Gabriel Talmain

Imperial College Business School and University of York - Department of Economics and Related Studies

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42.

A New Test for Nonstationarity Against the Stable Alternative

Posted: 22 Jan 2012

Karim M. Abadir

Imperial College Business School

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43.

Unbiased Estimation as a Solution to Testing for Random Walks

Posted: 22 Jan 2012

Karim M. Abadir

Imperial College Business School

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44.

The Limiting Distribution of the T Ratio Under a Unit Root

Posted: 22 Jan 2012

Karim M. Abadir

Imperial College Business School

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45.

On the Asymptotic Power of Unit Root Tests

Posted: 22 Jan 2012

Karim M. Abadir

Imperial College Business School

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46.

OLS Bias in a Nonstationary Autoregression

Posted: 22 Jan 2012

Karim M. Abadir

Imperial College Business School

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47.

A Distribution Generating Equation for Unit-Root Statistics

Posted: 22 Jan 2012

Karim M. Abadir

Imperial College Business School

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48.

The Limiting Distribution of the Autocorrelation Coefficient Under a Unit Root

Posted: 22 Jan 2012

Karim M. Abadir

Imperial College Business School

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49.

Expansions for Some Confluent Hypergeometric Functions

Posted: 22 Jan 2012

Karim M. Abadir

Imperial College Business School

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50.

The 'Devil's Horns' Problem of Inverting Confluent Characteristic Functions

Econometrica, Vol. 65, No. 5, September 1997

Posted: 15 Jan 2012

Karim M. Abadir and Michael Rockinger

Imperial College Business School and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)

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51.

Two Mixed Normal Densities from Cointegration Analysis

Econometrica, Vol. 65, No. 3, p. 671, 1997

Posted: 15 Jan 2012

Karim M. Abadir and Paolo Paruolo

Imperial College Business School and European Commission Joint Research Center

Karim M. Abadir

Imperial College Business School

Professor of Financial Econometrics

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Cointegration Theory, Equilibrium and Disequilibrium Economics

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Notation in Econometrics: A Proposal for a Standard

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