Imperial College London

ProfessorKarimAbadir

Business School

Emeritus Professor
 
 
 
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Contact

 

k.m.abadir

 
 
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Location

 

3.0353 Prince's GateSouth Kensington Campus

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Summary

 

Publications

Publication Type
Year
to

45 results found

Abadir KM, Distaso W, Giraitis L, Koul HLet al., 2014, ASYMPTOTIC NORMALITY FOR WEIGHTED SUMS OF LINEAR PROCESSES, Econometric Theory, Vol: 30, Pages: 252-284, ISSN: 0266-4666

JOURNAL ARTICLE

Abadir KM, Distaso W, Žikeš F, 2014, Design-free estimation of variance matrices, Journal of Econometrics, Vol: 181, Pages: 165-180, ISSN: 1872-6895

This paper introduces a new method for estimating variance matrices. Starting from the orthogonal decomposition of the sample variance matrix, we exploit the fact that orthogonal matrices are never ill-conditioned and therefore focus on improving the estimation of the eigenvalues. We estimate the eigenvectors from just a fraction of the data, then use them to transform the data into approximately orthogonal series that deliver a well-conditioned estimator (by construction), even when there are fewer observations than dimensions. We also show that our estimator has lower error norms than the traditional one. Our estimator is design-free: we make no assumptions on the distribution of the random sample or on any parametric structure the variance matrix may have. Simulations confirm our theoretical results and they also show that our simple estimator does very well in comparison with other existing methods.

JOURNAL ARTICLE

Abadir KM, 2013, Lies, damned lies, and statistics? Examples from finance and economics., Central European Journal of Economic Modelling and Econometrics, Vol: 5, Pages: 231-248, ISSN: 2080-119X

Reliable data analysis is one of the hardest tasks in sciences and socialsciences. Often misleading and sometimes puzzling results arise when theanalysis is done without regard for the special features of the data. In thisexposition, I will focus on designing new statistical tools to deal with someprominent questions in Finance and Economics. In particular, I will talk aboutthe following. (1) How to characterize the randomness of variables, motivated bya problem in the pricing of financial options. (2) Uncovering the relation betweeninterest rates on different maturities, now and in the future; the "term structureof interest rates". (3) Modelling the unconventional nonlinear long-memorydynamics that arise from a general-equilibrium economic model, and theirimplications for exchange rates, stock market indexes, and all macroeconomicvariables; with recommendations for trading in financial markets, but also forthe design of macroeconomic stabilization policies by governments.

JOURNAL ARTICLE

Abadir KM, Caggiano G, Talmain G, 2013, Nelson-Plosser revisited: The ACF approach, JOURNAL OF ECONOMETRICS, Vol: 175, Pages: 22-34, ISSN: 0304-4076

JOURNAL ARTICLE

Abadir KM, 2012, The square root of a matrix, Journal of Time Series Econometrics, Vol: 4

JOURNAL ARTICLE

Abadir KM, Larsson R, 2012, Biases of correlograms and of AR representations of stationary series, Journal of Time Series Econometrics, Vol: 4 (lead article)

JOURNAL ARTICLE

Abadir KM, 2011, Is the economic crisis over (and out)?, Review of Economic Analysis, Vol: 3, Pages: 102-108, ISSN: 1973-3909

This note analyzes the recent global recession: its causes, the predictability of the timingof its start and of its end, and the implications for macro policy. These follow from thegeneral-equilibrium macro model of Abadir and Talmain (2002) and its implications fora new type of macroeconometrics. The note also proposes some banking regulations, andpresents prospects for the future.

JOURNAL ARTICLE

Abadir KM, Distaso W, Giraitis L, 2011, An I(d) model with trend and cycles, JOURNAL OF ECONOMETRICS, Vol: 163, Pages: 186-199, ISSN: 0304-4076

JOURNAL ARTICLE

Abadir KM, Talmain G, 2011, The unconventional dynamics of economic and financial aggregates, Handbook of Empirical Economics and Finance, Editors: Ullah, Giles, Publisher: Chapman & Hall/CRC, ISBN: 9781420070354

BOOK CHAPTER

Abadir KM, Distaso W, Giraitis L, 2009, Two estimators of the long-run variance: Beyond short memory, JOURNAL OF ECONOMETRICS, Vol: 150, Pages: 56-70, ISSN: 0304-4076

JOURNAL ARTICLE

Abadir KM, Paruolo P, 2009, On efficient simulations in dynamic models, The Methodology and Practice of Econometrics (Refereed Festschrift in honour of David F. Hendry), Editors: Castle, Shephard, Oxford, Publisher: Oxford University Press

BOOK CHAPTER

Abadir KM, Distaso W, 2007, Testing joint hypotheses when one of the alternatives is one-sided, JOURNAL OF ECONOMETRICS, Vol: 140, Pages: 695-718, ISSN: 0304-4076

JOURNAL ARTICLE

Abadir KM, Distaso W, Giraltis L, 2007, Nonstationarity-extended local Whittle estimation, JOURNAL OF ECONOMETRICS, Vol: 141, Pages: 1353-1384, ISSN: 0304-4076

JOURNAL ARTICLE

K M Abadir, J R Magnus, 2007, A statistical proof of the transformation theorem, The Refinement of Econometric Estimation and Test Procedures: Finite Sample and Asymptotic Analysis, Editors: Phillips, Tzavalis, Cambridge, Publisher: Cambridge University Press, ISBN: 9780521870535

BOOK CHAPTER

Abadir KM, 2005, The mean-median-mode inequality: Counterexamples, ECONOMETRIC THEORY, Vol: 21, Pages: 477-482, ISSN: 0266-4666

JOURNAL ARTICLE

Abadir KM, Talmain G, 2005, Autocovariance functions of series and of their transforms, JOURNAL OF ECONOMETRICS, Vol: 124, Pages: 227-252, ISSN: 0304-4076

JOURNAL ARTICLE

Abadir KM, Magnus JR, 2005, Matrix algebra, Cambridge, Publisher: Cambridge University Press, ISBN: 9780521537469

BOOK

Abadir KM, 2004, Cointegration theory, equilibrium and disequilibrium economics, MANCHESTER SCHOOL, Vol: 72, Pages: 60-71, ISSN: 1463-6786

JOURNAL ARTICLE

Abadir KM, Lawford S, 2004, Optimal asymmetric kernels, ECONOMICS LETTERS, Vol: 83, Pages: 61-68, ISSN: 0165-1765

JOURNAL ARTICLE

Abadir KM, Lucas A, 2004, A comparison of minimum MSE and maximum power for the nearly integrated non-Gaussian model, JOURNAL OF ECONOMETRICS, Vol: 119, Pages: 45-71, ISSN: 0304-4076

JOURNAL ARTICLE

Abadir KM, Rockinger M, 2003, Density functionals, with an option-pricing application, ECONOMETRIC THEORY, Vol: 19, Pages: 778-811, ISSN: 0266-4666

JOURNAL ARTICLE

Abadir K, Magnus J, 2002, Notation in econometrics: a proposal for a standard, The Econometrics Journal, Vol: 5, Pages: 76-90, ISSN: 1368-4221

JOURNAL ARTICLE

Abadir K, Talmain G, 2002, Aggregation, Persistence and Volatility in a Macro Model, Review of Economic Studies, Vol: 69, Pages: 749-779, ISSN: 0034-6527

JOURNAL ARTICLE

Abadir KM, Magdalinos T, 2002, The characteristic function from a family of truncated normal distributions, ECONOMETRIC THEORY, Vol: 18, Pages: 1276-1287, ISSN: 0266-4666

JOURNAL ARTICLE

Abadir KM, Paruolo P, 2002, Simple robust testing of regression hypotheses: A comment, ECONOMETRICA, Vol: 70, Pages: 2097-2099, ISSN: 0012-9682

JOURNAL ARTICLE

Abadir K, Talmain G, 2001, Depreciation Rates and Capital Stocks, The Manchester School, Vol: 69, Pages: 42-51, ISSN: 1463-6786

JOURNAL ARTICLE

Abadir KM, Larsson R, 2001, The joint moment generating function of quadratic forms in multivariate autoregressive series - The case with deterministic components, ECONOMETRIC THEORY, Vol: 17, Pages: 222-246, ISSN: 0266-4666

JOURNAL ARTICLE

Abadir KM, Lucas A, 2000, Quantiles for t-statistics based on M-estimators of unit roots, ECONOMICS LETTERS, Vol: 67, Pages: 131-137, ISSN: 0165-1765

JOURNAL ARTICLE

Abadir KM, Hadri K, 2000, Is more information a good thing? Bias nonmonotonicity in stochastic difference equations, Bulletin of Economic Research, Vol: 52, Pages: 91-100

JOURNAL ARTICLE

Abadir KM, Hadri K, Tzavalis E, 1999, The influence of VAR dimensions on estimator biases, ECONOMETRICA, Vol: 67, Pages: 163-181, ISSN: 0012-9682

JOURNAL ARTICLE

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