Peter M Robinson

Position: Tooke Professor of Economic Science and Statistics


Contact details:

Research Interests:

Econometrics, time series analysis, spatial analysis, nonparametric inference, semiparametric inference.

Conference in Honour of Peter Michael Robinson’s 60th Birthday, May 25-26, 2007: Slideshow due to Murad Taqqu; other photographs 1, 2

Academic Genealogy of Peter M. Robinson 2007: Poster due to Domenico Marinucci

Links to Publications:

(with C. Velasco) “Inference on Trending Panel Data”, Journal of Econometrics, forthcoming.


“Long Memory Models” , Oxford Research Encyclopedia of Economics and Finance, Oxford University Press, forthcoming.


(with R. Zhang and Q. Yao) “Identifying Cointegration by Eigenanalysis”,  Journal of the American Statistical Association, forthcoming.


(with A. Gupta) “Pseudo Maximum Likelihood Estimation of Spatial Autoregressive Models with Increasing Dimension”, Journal of Econometrics 202 (2018), 92-107.


(with S. N. Lahiri and D. N. Politis) “Editorial”, Emanuel Parzen Memorial Issue, Journal  of Time Series Analysis 39 (2018), 241.


“Long-Range Dependence”, Wiley StatsRef-Statistics Reference Online 1-5, Wiley.


(with L. Taylor) “Adaptive Estimation in Multiple Time Series with Independent Component Errors”, Journal of Time Series Analysis 38 (2017), 191-203


(with J. Gao) “Inference on Nonstationary Time Series with Moving Mean”, Econometric Theory 32 (2016), 431-457.


(with S. N. Lahiri) “Central limit theorems for long range dependent spatial linear processes”, Bernoulli 22 (2016), 345-375.


(with J. Lee) “Series Estimation under Cross-sectional Dependence”, Journal of Econometrics 190 (2016), 1-17.


(with F. Rossi) “Refinements in Maximum Likelihood Inference on Spatial Autocorrelation in Panel Data”, Journal of Econometrics 189 (2015), 447-456.


(with F. Rossi) “Refined Tests for Spatial Correlation, Econometric Theory 31 (2015), 1249-1280.


(with J. Lee) “Panel Non-parametric Regression with Fixed Effects”, Journal of Econometrics 188 (2015), 346-362.


(with M. A. Delgado) “Non-Nested Testing of Spatial Correlation”, Journal of Econometrics 187 (2015), 385-401.


(with A. Gupta) “Inference on Higher-order Spatial Autoregressive Models with Increasingly Many Parameters”, Journal of Econometrics 186  (2015), 19-31.


(with C. Velasco) “Efficient Inference on Fractionally Integrated Panel Data Models with Fixed Effects”, Journal of Econometrics 185  (2015), 435-452.


“The Estimation of Misspecified Long Memory Models”, Journal of Econometrics 178 (2014), 225-230.


(with F. Rossi) “Improved Lagrange multiplier tests in spatial autoregressions”, Econometrics Journal 17 (2014), 139-164.


“Nonparametric Trending Regression with Cross-Sectional Dependence”,

Journal of Econometrics 169 (2012), 4-14.


“Inference on Power Law Spatial Trends”, Bernoulli 18 (2012), 644-677.


(with S. Thawornkaiwong) “Statistical Inference on Regression with Spatial Dependence”,  Journal of Econometrics 167 (2012), 521-542. 


(with J. Hualde) “Gaussian Pseudo-Maximum Likelihood Estimation of Fractional Time Series Models”, Annals of Statistics 39 (2011), 3152-3181. Supplement.      


“Asymptotic Theory for Nonparametric Regression with Spatial Data”, Journal of Econometrics 165 (2011), 5-19.


“Efficient Estimation of the Semiparametric Spatial Autoregressive Model”, Journal of Econometrics 157 (2010), 6-17.


(with J. Hualde) “Semiparametric Inference in Multivariate Fractionally Cointegrated Systems”, Journal of Econometrics 157(2010), 492-511.


“Inference on Nonparametric Nonstationary Time Series with Fractional Errors”, Econometric Theory 25 (2009), 1716-1733.


“On Discrete Sampling of Time-Varying Continuous-Time Systems”, Econometric Theory 25 (2009), 985-994.


“Large-Sample Inference on Spatial Dependence”, The Econometrics

Journal (Tenth Anniversary Special Issue) 12 (2009), S68-S82.

“Correlation Testing in Time Series, Spatial and Cross-Sectional Data”, Journal of Econometrics 147 (2008), 5-16.

(with A. Gonçalves da Silva) “Finite Sample Performance in Cointegration Analysis of Nonlinear Time Series with Long Memory”, Econometric Reviews (Special Issue on Realized Volatility and Long Memory)  27 (2008), 268-297.

“Multiple Local Whittle Estimation in Stationary Systems”, Annals of Statistics 36 (2008), 2508-2530.


(with A. Gonçalves da Silva) “Fractional Cointegration in Stochastic Volatility Models”, Econometric Theory 24 (2008), 1207-1253.


“Developments in the Analysis of Spatial Data” Journal of the Japan Statistical Society (issue in honour of H. Akaike) 38 (2008), 87-96.

“Diagnostic Testing for Cointegration, Journal of Econometrics, 143 (2008), 206-225.

(with J. Hualde) “Root-N-Consistent Estimation of Weak Fractional

Cointegration, Journal of Econometrics 140 (2007), 450-484.

“Nonparametric Spectrum Estimation for Spatial Data”, Journal of Statistical Planning and Inference (Special Issue in honour of Madan L. Puri) 137 (2007), 1024-1034.

“Conditional-Sum-of-Squares Estimation of Models for Stationary Time Series with Long Memory”, In  Time Series and Related Topics: In Memory of Ching-Zong Wei. (H.-C. Ho, C.-K. Ing  and T.L. Lai, eds.). IMS Lecture Notes - Monograph Series 52 (2006), 130-137.


“Comment on 'Quantile Autoregression', by R. Koenker and Z. Xiao”, Journal of the American Statistical Association 101 (2006), 1001-1002.

(with P. Zaffaroni) “Pseudo-Maximum Likelihood Estimation of ARCH(infinity) Models”, Annals of Statistics 34 (2006), 1049-1074.

(with M. Gerolimetto) “Instrumental Variables Estimation of Stationary and Nonstationary Cointegrating Regressions, Econometrics Journal 9 (2006), 291-306.

“Efficiency Improvements in Inference on Stationary and Nonstationary Fractional Time Series” Annals of Statistics 33 (2005), 1800-1842.

(with J. Vidal Sanz) “Modified Whittle Estimation of Multilateral Models on a Lattice”, Journal of Multivariate Analysis 97 (2006), 1090-1120.

(with Y. Nishiyama) “The Bootstrap and the Edgeworth Correction for Semiparametric Averaged Derivatives”, Econometrica 73 (2005), 903-948.

(with F. Iacone) “Cointegration in Fractional Systems with Deterministic Trends”Journal of Econometrics 129 (2005), 263-298.

“Modelling Memory of Economic and Financial Time Series”. Singapore Economic Review ( Eminent Paper Series) 50 (2005), 1-8.

“Robust Covariance Matrix Estimation: ‘HAC’ Estimates with Long Memory/Antipersistence Correction”, Econometric Theory 21 (2005), 171-180.


“The Distance Between Rival Nonstationary Fractional Processes” Journal of Econometrics 128 (2005), 195-236.


(with L. Giraitis, R. Leipus and D. Surgailis) “LARCH, Leverage and Long Memory”, Journal of Financial Econometrics 2 (2004), 177-210.


Time Series With Long Memory. Advanced Texts in Econometrics (P. M. Robinson, ed.), Oxford University Press, Oxford (2003).


(with J. Hualde) “Cointegration in Fractional Systems with Unknown Integration Orders”, Econometrica 71 (2003), 1727-1766.

“Denis Sargan: Some Perspectives”, Econometric Theory 19 (2003), 481-494.   

(with L. Giraitis) “Edgeworth Expansions for Semiparametric Whittle Estimation of Long Memory”, Annals of Statistics 31 (2003), 1325-1375.  

(with D. Marinucci) “Semiparametric Frequency Domain Analysis of Fractional Cointegration”, Time Series With Long Memory (P. M. Robinson, ed.), Oxford University Press, Oxford (2003), 334-373.


“Long-Memory Time Series”, Time Series With Long Memory (P. M. Robinson, ed.), Oxford University Press, Oxford (2003), 1-32.


(with M. Henry) “Higher-order Kernel Semiparametric M-estimation of Long Memory”, Journal of Econometrics 114 (2003), 1-27.

(with L. Giraitis) “Parametric Estimation Under Long Range Dependence”, Theory and Applications of Long Range Dependence (P. Doukhan, G. Oppenheim and M. Taqqu, eds.), Birkhauser (2003), 229-249.

(with F. J. Hidalgo) “Adapting to Unknown Disturbance Autocorrelation with Long Memory”, Econometrica 70 (2002), 1545-1581.  

(with Y. Yajima) “Determination of Cointegrating Rank in Fractional Systems”, Journal of Econometrics 106 (2002), 217-241.  

(with L. Giraitis and F. J. Hidalgo) “Gaussian Estimation of Parametric Spectral Density with Unknown Pole”, Annals of Statistics 29 (2001), 987-1023.  

(with D. Marinucci) “Narrow-Band Analysis of Nonstationary Processes”, Annals of Statistics 29 (2001), 947-986.  

(with D. Marinucci) “Semiparametric Fractional Cointegration Analysis”, Journal of Econometrics 105 (2001), 225-247.  

(with L. Giraitis) Whittle Estimation of ARCH Models”, Econometric Theory 17 (2001), 608-631.  

(with D. Marinucci) Finite Sample Improvements in Statistical Inference with I(1) Processes”, Journal of Applied Econometrics 16 (2001), 431-444.

(with C. Velasco) “Edgeworth Expansions for Spectral Density Estimates and Studentized Sample Mean”, Econometric Theory 17 (2001), 497-539.

“Long Range Dependence”, Encyclopaedia of Environmetrics (2001).  

(with L. Gil-Alana) “Testing of Seasonal Fractional Integration in UK and Japanese Consumption and Income”, Journal of Applied Econometrics 16 (2001), 95-114.  

(with X. Chen and O. Linton) “The Estimation of Conditional Densities”, Asymptotics in Statistics and Probability (M. L. Puri, ed.), VSP International Science Publishers, The Netherlands (2001), 71-84.  

“The Memory of Stochastic Volatility Models”, Journal of Econometrics, 101 (2001), 195-218.  

(with Y. Nishiyama) “Studentization in Edgeworth Expansions for Estimates of Semiparametric Index Models”, Nonlinear Statistical Modeling (Festschrift for Takeshi Amemiya) (C. Hsiao, K. Morimune and J. Powell, eds.), Cambridge University Press (2001), 197-240. 

(with L. Giraitis and A. Samarov) “Adaptive Semiparametric Estimation of the Memory Parameter”, Journal of Multivariate Analysis 72 (2000), 183-207.

(with L. Giraitis and D. Surgailis) A Model for Long Memory Conditional Heteroscedasticity”, Annals of Applied Probability 20 (2000), 1002-1024.

(with Y. Nishiyama) “Edgeworth Expansions for Semiparametric Averaged Derivatives”, Econometrica 68, 931-980.

(with J. Arteche) “Semiparametric Inference in Seasonal and Cyclical Long Memory Processes”, Journal of Time Series Analysis 21 (2000), 1-26. 


(with D. Marinucci) “Weak Convergence of Multivariate Fractional Processes”, Stochastic Processes and Their Applications 86 (2000), 103-120.


(with C. Velasco) “Whittle Pseudo-maximum Likelihood Estimation for Nonstationary Time Series”, Journal of the American Statistical Association, 95 (2000), 1229-1243.


(with D. Marinucci) “The Averaged Periodogram for Nonstationary Vector Time Series”, Statistical Inference for Stochastic Processes, 3 (2000), 149-160.

Last updated: 31/08/2018