Nonparametric and semiparametric methods, asymptotic approximations and expansions, financial econometrics, nonlinear time series analysis, survival analysis and missing data
Professor of Political Economy, University of Cambridge; Fellow, Trinity College, Cambridge
Past appointments
Faculty of Economics, CambridgeProfessor of Political Economy, University of Cambridge; Fellow, Trinity College, Cambridge
Sep 2011 -
London School of Economics and Political Science University of LondonProfessor of Econometrics, London School of Economics
Jan 1999 - Sep 2011
London School of Economics and Political Science University of LondonProfessor of Econometrics, London School of Economics
Jan 1999 - Sep 2011
Yale UniversityAssociate and Full Professor
Jan 1997 - Jan 1999
Yale UniversityAssistant Professor
Jan 1993 - Jan 1997
Nuffield College University of OxfordJunior Research Fellow
Jan 1991 - Jan 1993
Nuffield College University of OxfordNuffield College, Oxford
Jan 1991 - Jan 1993
Publications
A kernel method of estimating structured nonparametric regression based on marginal integration (with J.P. Nielsen) Biometrika, 82, 93-100 -1995
Testing for Stochastic Dominance under general conditions: A subsampling approach (with Y. Whang and E. Maasoumi) Review of Economic Studies 72, 735-765 2005
Estimating Semiparametric ARCH Models by Kernel Smoothing Methods (with E. Mammen) Econometrica 73, 771-836 2005
