Centre for microdata methods and practice
Dennis is a Professor in the Department of Economics at University College London. He joined the IFS and UCL Centre for Microdata Methods and Practice (Cemmap) and became a Research Associate of the IFS Centre for the Microeconomic Analysis of Public Policy (CPP) in 2011. His main areas of research include econometric theory, quantitative finance and applied microeconomics.
Many modern estimation methods in econometrics approximate an objective function, for instance, through simulation or discretisation…. Continue reading.
This paper investigates the asymptotic properties of the Gaussian quasi-maximum-likelihood estimators (QMLE’s) of the GARCH model… Continue reading.
This paper develops a new technique for the estimation of consumer demand models with unobserved heterogeneity… Continue reading.
This paper studies a shape-invariant Engel curve system with endogenous total expenditure, in which the shape-invariant… Continue reading.
This paper concerns the identification and estimation of a shape-invariant Engel curve system with endogenous total… Continue reading.