Publications

1993
Shephard, Neil. 1993. “Maximum likelihood estimation of regression models with stochastic trend components .” Journal of the American Statistical Association 84: 590-595.
1993. “Fitting nonlinear time series models with applications to stochastic variance models.” Journal of Applied Econometrics 8: S135-152.
Reprinted in "Econometric Inference using Simulation Techniques" (editors B.W. Brown, Alain Monfort and Herman K. Van Dijk), Chichester: John Wiley & Sons, 1995, 151-168.
1992
Shephard, Neil. 1992. “Tabulation of Farebrother's test for linear restrictions in linear regression models under heteroscedasticity.” Econometric Theory 8: 583-584.
Koopman, Siem Jan, and Neil Shephard. 1992. “The exact score for time series models in state space form.” Biometrika 79: 823-826.
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1991
Shephard, Neil. 1991. “From characteristic function to distribution function: a simple framework for the theory.” Econometric Theory 7: 519-529.
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Shephard, Neil. 1991. “Numerical integration rules for multivariate inversions.” Journal of Statistical Computation and Simulation 39: 37-46.
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1990
Shephard, Neil. 1990. “The singular-value decomposition of the first-order difference matrix.” Econometric Theory, no. 6: 119-120.
Harvey, Andrew C. 1990. “On the probability of estimating a deterministic component in the local level model.” Journal of Time Series Analysis 11: 339-347.

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