About me

ABOUT MY RESEARCH
My research contribution has mostly been to do with nonparametric and semiparametric methods. I am also interested in Financial Econometrics.
Investigation of the curse of dimensionality, leads one to consider models like additive regression that only involve one-dimensional functions. My work with Jens Perch Nielsen led to a number of papers on estimating additive and other separable models. We introduced a new method which we called marginal integration for estimating additive nonparametric regression. More recently, I have worked with Jens Perch Nielsen and Enno Mammen on deriving the asymptotic properties of a general class of iterative smoothing procedures which includes as a special case a variant of backfitting. It turns out that the backfitting method can be shown to be more efficient than the marginal integration method (under homoskedasticity) and to be better behaved in the boundaries, although the finite sample comparison is more complex, see the simulation study by Stefan Sperlich. I am also working with Arthur Lewbel on estimating a general class of nonparametric index models, which includes models for censored and truncated regression as well as models representing homotheticity. These structures also lead to non-standard estimation problems.
I am also interested in financial econometrics. I am interested in discrete time volatility models like GARCH models, their properties and estimation methods thereof, both parametric and nonparametric. I am interested in the econometrics of continuous time, realized volatility and its uses. I have been working with Greg Connor on estimating a class of semiparametric factor models that are useful for large cross-section and low frequency (ie monthly) time series. There is still an important role to play for nonlinearity in such models.

PRESENT POSITION

Fellow of Trinity College and Professor of Political Economy, University of Cambridge, 2011-

PREVIOUS POSITIONS
Professor of Econometrics, Department of Economics The London School of Economics and Political Science, July 1999-2011
Member, Financial Markets Group, 2001-2011
Professor, Department of Economics and Department of Statistics and Fellow, International Center for Finance Yale University, July 1998—June 2000
Associate Professor, Department of Economics Yale University, July 1997—June 1998
Assistant Professor, Department of Economics Yale University, July 1993—June 1997
Junior Research Fellow Nuffield College, Oxford University, September 1991—June 1993

EDUCATION
MA, Yale University (1998)
MA, Oxford University (1993)
PhD in Economics, UC Berkeley, 1991
MSc in Econometrics and Mathematical Economics, LSE, 1986
BSc (1st Class) in Mathematics, LSE, 1983

EDITORIAL SERVICES
Co-Editor, Journal of Econometrics, 2014-2019
Co-Editor, Econometric Theory, 2000-2014
Co-Editor, Econometrics Journal, 2007-2014
Associate Editor, Econometrica , 2003-2006, 2006-2009, 2009-2012, 2012-2015
Associate Editor, Journal of the American Statistical Association Case Studies and Applications, 2004-2007
Associate Editor, Journal of Econometrics, 1998-2007, 2012-2013
Guest Co-Editor (with J.P. Florens), Special Issue of Econometric Theory on Inverse Problems, 2008
Guest Co-Editor, Special Issues of Journal of Econometrics, 2004, 2006, 2010
Editorial Board, Review of Economic Studies, 1999-2006
Associate Editor, Journal of Statistical Planning and Inference, 2001
Associate Editor, Econometric Theory, 1996-1999