52 citations · 99 across the 10 of their papers we have counts for
11 papers
Inference and forecasting for continuous-time integer-valued trawl processes
Mikkel Bennedsen, Asger Lunde, Neil Shephard +1
This paper develops likelihood-based methods for estimation, inference, model selection, and forecasting of continuous-time integer-valued trawl processes. The full likelihood of i…
An estimator for predictive regression: reliable inference for financial economics
Neil Shephard
Estimating linear regression using least squares and reporting robust standard errors is very common in financial economics, and indeed, much of the social sciences and elsewhere.…
Panel Experiments and Dynamic Causal Effects: A Finite Population Perspective
Iavor Bojinov, Ashesh Rambachan, Neil Shephard
In panel experiments, we randomly assign units to different interventions, measuring their outcomes, and repeating the procedure in several periods. Using the potential outcomes fr…
When do common time series estimands have nonparametric causal meaning?
Ashesh Rambachan, Neil Shephard
In this paper, we introduce the direct potential outcome system as a framework for analyzing dynamic causal effects of assignments on outcomes in observational time series settings…
Time series experiments and causal estimands: exact randomization tests and trading
Iavor Bojinov, Neil Shephard
We define causal estimands for experiments on single time series, extending the potential outcome framework to dealing with temporal data. Our approach allows the estimation of som…
A Nonparametric Bayesian Approach to Copula Estimation
Shaoyang Ning, Neil Shephard
We propose a novel Dirichlet-based Pólya tree (D-P tree) prior on the copula and based on the D-P tree prior, a nonparametric Bayesian inference procedure. Through theoretical anal…