Professor

Room number: CB312
Tel: +44 20 7882 8827
Fax: +44 20 8983 3580
Email: e.guerre@qmul.ac.uk
Website: http://webspace.qmul.ac.uk/eguerre/
Office hours: Monday 14:00-16:00
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Research keywords: Econometric Theory

Emmanuel's research interests concern nonparametric identification and inference for auctions, optimal nonparametric testing and inference for recurrent/unit root processes. His main contribution in auction modelling consists in a nonparametric rate optimal estimation method that circumvents the numerical difficulties induced by the Nash equilibrium. His work in nonparametric testing deals with adaptive rate optimal tests that also have a simple limit distribution. This testing approach can be applied in various contexts and is easy to implement.

Selected publications

• Guerre, E. 'Exact asymptotic minimax constants for the estimation of analytical functions in Lp', with A.B. Tsybakov. Probability Theory and Related Fields 112, 1998, 33-51
• Guerre, E. 'Optimal rate for nonparametric estimation in deterministic dynamical systems', with J. Maes. Statistical Inference for Stochastic Processes 1, 1998, 157-173.
• Guerre, E. 'Optimal nonparametric estimation of first-price auctions', with I. Perrigne and Q. Vuong. Econometrica 68, 2000, 525-574.
• Guerre, E. 'Design adaptive nearest-neighbor regression estimation'. Journal of Multivariate Analysis 75, 2000, 219-244.
• Guerre,E. 'Minimax rates for nonparametric specification testing in regression models', with P. Lavergne. Econometric Theory 18, 2002, 1139-1171.
• Guerre, E. 'A note on the nonstationary binary choice logit model', with H.R. Moon. Economic Letters 76, 2002, 267-271.
• Guerre, E. 'Rate-optimal data-driven specification testing for regression models', with P. Lavergne. The Annals of Statistics 33, 2005, 840-870.
• Guerre, E. 'A data-driven nonparametric specification test for dynamic regression models', with A. Guay. Econometric Theory 22, 2006, 543-586.
• Guerre, E. 'Semiparametric analysis of single index models under nonstationarity of the exogeneous variables', with H.R. Moon. Econometric Theory 22, 2006, 721-742.
• Guerre, E., 'Adaptive consistent unit root tests based on autoregressive threshold model', with F. Bec and A. Guay. September 2006, 48p. Forthcoming in the Journal of Econometrics.