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 303 (115,605)

Abstract:

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 229 (153,671)

Citation 3

Abstract:

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 227 (154,950)

Abstract:

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

Downloads 169 (202,771)

Abstract:

5.

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 147 (227,858)

Abstract:

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 115 (274,981)

Citation 9

Abstract:

7.

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 110 (283,676)

Abstract:

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 108 (287,395)

Citation 1

Abstract:

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 89 (326,298)

Abstract:

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 78 (353,280)

Abstract:

11.

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 76 (358,610)

Abstract:

12.

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 74 (363,997)

Abstract:

13.

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 67 (384,232)

Citation 2

Abstract:

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 59 (409,805)

Abstract:

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 51 (438,104)

Citation 1

Abstract:

16.

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 50 (441,842)

Abstract:

17.

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

Downloads 46 (457,483)

Citation 5

Abstract:

18.

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 (461,584)

Abstract:

19.

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 43 (470,004)

Citation 1

Abstract:

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

Downloads 34 (511,011)

Citation 7

Abstract:

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 33 (516,071)

Abstract:

22.

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 31 (526,344)

Abstract:

23.

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 (542,982)

Abstract:

24.

Cointegration Theory, Equilibrium and Disequilibrium Economics

Number of pages: 12 Posted: 05 Apr 2004

Karim M. Abadir

Imperial College Business School

Downloads 28 (542,982)

Add to Cart

Abstract:

25.

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 27 (548,738)

Abstract:

26.

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 (554,695)

Abstract:

27.

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 Joint Research Center of the European Commission

Downloads 25 (560,919)

Abstract:

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 24 (567,324)

Citation 4

Abstract:

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 23 (573,595)

Citation 1

Abstract:

30.

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 23 (573,595)

Citation 1

Abstract:

31.

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 20 (593,225)

Abstract:

32.

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 19 (599,959)

Abstract:

33.

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 19 (599,959)

Abstract:

34.

Notation in Econometrics: A Proposal for a Standard

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 (606,596)

Citation 1

Add to Cart

Abstract:

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 17 (613,089)

Abstract:

36.

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 (619,896)

Citation 1

Abstract:

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 (662,791)

Abstract:

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 (706,677)

Abstract:

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

Abstract:

40.

On Efficient Simulations in Dynamic Models

Posted: 19 Mar 2012

Karim M. Abadir and Paolo Paruolo

Imperial College Business School and Joint Research Center of the European Commission

Abstract:

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

Abstract:

42.

A New Test for Nonstationarity Against the Stable Alternative

Posted: 22 Jan 2012

Karim M. Abadir

Imperial College Business School

Abstract:

43.

Unbiased Estimation as a Solution to Testing for Random Walks

Posted: 22 Jan 2012

Karim M. Abadir

Imperial College Business School

Abstract:

44.

The Limiting Distribution of the T Ratio Under a Unit Root

Posted: 22 Jan 2012

Karim M. Abadir

Imperial College Business School

Abstract:

45.

On the Asymptotic Power of Unit Root Tests

Posted: 22 Jan 2012

Karim M. Abadir

Imperial College Business School

Abstract:

46.

OLS Bias in a Nonstationary Autoregression

Posted: 22 Jan 2012

Karim M. Abadir

Imperial College Business School

Abstract:

47.

A Distribution Generating Equation for Unit-Root Statistics

Posted: 22 Jan 2012

Karim M. Abadir

Imperial College Business School

Abstract:

48.

The Limiting Distribution of the Autocorrelation Coefficient Under a Unit Root

Posted: 22 Jan 2012

Karim M. Abadir

Imperial College Business School

Abstract:

49.

Expansions for Some Confluent Hypergeometric Functions

Posted: 22 Jan 2012

Karim M. Abadir

Imperial College Business School

Abstract:

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)

Abstract:

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 Joint Research Center of the European Commission

Karim M. Abadir

Imperial College Business School

Professor of Financial Econometrics

51

Top 22,190

2,511

Top 6,692

17

171

Scholarly Papers (51)

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Cointegration Theory, Equilibrium and Disequilibrium Economics

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Notation in Econometrics: A Proposal for a Standard

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract: