Details about Anindya Banerjee

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Workplace:	Department of Economics, University of Birmingham, (more information at EDIRC)

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Working Papers

2019

1. Structural Factor Analysis of Interest Rate Pass Through in Four Large Euro Area Economies
   Lodz Economics Working Papers, University of Lodz, Faculty of Economics and Sociology
   Also in Working Papers in Economics, University of Canterbury, Department of Economics and Finance (2017)

2018

2. The effect of PROCAMPO on farms’ technical efficiency: A Stochastic Frontier Analysis
   2018 Annual Meeting, August 5-7, Washington, D.C., Agricultural and Applied Economics Association
3. The effects of climate change on crop and livestock choices
   2018 Conference, July 28-August 2, 2018, Vancouver, British Columbia, International Association of Agricultural Economists

2015

4. An Overview of the Factor-augmented Error-Correction Model
   Discussion Papers, Department of Economics, University of Birmingham
   See also Chapter An Overview of the Factor-augmented Error-Correction Model, Advances in Econometrics, Emerald Group Publishing Limited (2016) View citations (6) (2016)
5. Micro-Finance and Credit Access in the Agricultural Sector of Nicaragua
   Discussion Papers, Department of Economics, University of Birmingham View citations (1)

2014

6. Structural FECM: Cointegration in large-scale structural FAVAR models
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (1)
   See also Journal Article Structural FECM: Cointegration in large‐scale structural FAVAR models, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2017) View citations (9) (2017)
7. Testing for Panel Cointegration using Common Correlated Effects Estimators
   Discussion Papers, Department of Economics, University of Birmingham View citations (6)
   See also Journal Article Testing for Panel Cointegration Using Common Correlated Effects Estimators, Journal of Time Series Analysis, Wiley Blackwell (2017) View citations (72) (2017)

2012

8. How do anticipated changes to short-term market rates influence banks' retail interest rates? Evidence from the four major euro area economies
   Working papers, Banque de France View citations (4)
   See also Journal Article How Do Anticipated Changes to Short-Term Market Rates Influence Banks' Retail Interest Rates? Evidence from the Four Major Euro Area Economies, Journal of Money, Credit and Banking, Blackwell Publishing (2013) View citations (28) (2013)
9. The changing role of expectations in US monetary policy: A new look using the Livingston Survey
   Working papers, Banque de France View citations (3)

2011

10. A MULTIPLE BREAK PANEL APPROACH TO ESTIMATING UNITED STATES PHILLIPS CURVES
    Dundee Discussion Papers in Economics, Economic Studies, University of Dundee View citations (5)
    Also in Dundee Discussion Papers in Economics, Economic Studies, University of Dundee (2010) View citations (11)
    Discussion Papers, Department of Economics, University of Birmingham (2010) View citations (15)
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) (2011) View citations (5)
11. Cointegration in Panel Data with Breaks and Cross-section Dependence
    Discussion Papers, Department of Economics, University of Birmingham View citations (5)
    Also in Economics Working Papers, European University Institute (2006) View citations (115)
    Working Paper Series, European Central Bank (2006) View citations (109)
12. Testing for Panel Cointegration Using Common Correlated Effects
    Discussion Papers, Department of Economics, University of Birmingham View citations (40)

2010

13. Forecasting with Factor-augmented Error Correction Models
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (7)
    Also in Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University (2008) View citations (25)
    Economics Working Papers, European University Institute (2008) View citations (17)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2008) View citations (16)
    See also Journal Article Forecasting with factor-augmented error correction models, International Journal of Forecasting, Elsevier (2014) View citations (46) (2014)
14. Interest rate Pass-Through in the Major European Economies - The Role of Expectations
    Discussion Papers, University of Nottingham, Centre for Finance, Credit and Macroeconomics (CFCM) View citations (6)
    Also in Discussion Papers, Department of Economics, University of Birmingham (2010) View citations (7)
15. Modelling Thirty Five Years of Coffee Prices in Brazil, Guatemala and India and the Law of One Price
    Discussion Papers, Department of Economics, University of Birmingham
16. Panel Estimation for Worriers
    Economics Series Working Papers, University of Oxford, Department of Economics View citations (15)
17. The Response of Retail Interest Rates to Factor Forecasts of Money Market Rates in Major European Economies
    Working Papers, COMISEF View citations (4)

2008

18. Forecasting Macroeconomic Variables Using Diffusion Indexes in Short Samples with Structural Change
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (83)
    Also in Economics Working Papers, European University Institute (2008) View citations (72)
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University (2008) View citations (77)

2007

19. Measuring Long-Run Exchange Rate Pass-Through
    Working papers, Banque de France View citations (14)
    Also in Economics Discussion Papers, Kiel Institute for the World Economy (IfW Kiel) (2007) View citations (25)
    See also Journal Article Measuring Long-Run Exchange Rate Pass-Through, Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel) (2008) View citations (26) (2008)

2006

20. The Long-Run Phillips Curve and Non-Stationary Inflation
    Economics Working Papers, European University Institute View citations (2)
    See also Journal Article The long-run Phillips curve and non-stationary inflation, Journal of Macroeconomics, Elsevier (2008) View citations (25) (2008)

2005

21. Forecasting macroeconomic variables for the new member states of the European Union
    Working Paper Series, European Central Bank View citations (13)

2004

22. Competition, the Lisbon Strategy and the Euro
    Economics Working Papers, European University Institute
23. Forecasting Macroeconomic Variables for the Acceding Countries
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations (10)

2003

24. A New Look at the Feldstein-Horioka Puzzle using an Integrated Panel
    Working Papers, CEPII research center View citations (36)
25. A Re-interpretation of the Linear-Quadratic Model When Inventories and Sales are Polynomially Cointegrated
    Economics Working Papers, European University Institute View citations (1)
    See also Journal Article A re-interpretation of the linear quadratic model when inventories and sales are polynomially cointegrated, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2006) View citations (5) (2006)
26. Are There Any Reliable Leading Indicators for U.S. Inflation and GDP Growth?
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations (8)
    Also in Economics Working Papers, European University Institute (2002) View citations (5)
    See also Journal Article Are there any reliable leading indicators for US inflation and GDP growth?, International Journal of Forecasting, Elsevier (2006) View citations (105) (2006)
27. Leading Indicators for Euro Area Inflation and GDP Growth
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (47)
    Also in Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University (2003) View citations (29)
    See also Journal Article Leading Indicators for Euro‐area Inflation and GDP Growth*, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2005) View citations (71) (2005)

2002

28. A Markup Model for Forecasting Inflation for the Euro
    Dundee Discussion Papers in Economics, Economic Studies, University of Dundee View citations (4)
29. A Markup Model for Forecasting Inflation in the Euro AreaI
    Economics Working Papers, European University Institute View citations (3)
30. Factor Forecasts for the UK
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (7)
    Also in Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations (112)
    Economics Working Papers, European University Institute (2001) View citations (39)
31. Inflation Measures of the Markup
    Economics Working Papers, European University Institute View citations (4)
32. Inflation and Measures of the Markup
    Dundee Discussion Papers in Economics, Economic Studies, University of Dundee View citations (5)
    See also Journal Article Inflation and measures of the markup, Journal of Macroeconomics, Elsevier (2005) View citations (32) (2005)
33. Testing for PPP: Should We Use Panel Methods?
    Royal Economic Society Annual Conference 2002, Royal Economic Society View citations (9)
    Also in Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations (206)
    See also Journal Article Testing for PPP: Should we use panel methods?, Empirical Economics, Springer (2005) View citations (230) (2005)
34. The Long-Run Relationship among Relative Price Variability, Inflation and the Markup
    Economics Working Papers, European University Institute View citations (7)

2000

35. An I(2) Analysis of Inflation and the Markup
    Dundee Discussion Papers in Economics, Economic Studies, University of Dundee
    Also in Economics Series Working Papers, University of Oxford, Department of Economics (1998) View citations (13)
    See also Journal Article An I(2) analysis of inflation and the markup, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2001) View citations (80) (2001)
36. Industry Structure and the Dynamics of Price Adjstment
    Dundee Discussion Papers in Economics, Economic Studies, University of Dundee
    Also in Economics Working Papers, European University Institute (2000) View citations (1)
    See also Journal Article Industry structure and the dynamics of price adjustment, Applied Economics, Taylor & Francis Journals (2001) View citations (11) (2001)
37. Some Cautions on the Use of Panel Methods for Integrated Series of Macro-economic Data
    Economics Working Papers, European University Institute View citations (27)
    Also in Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations (139)
    See also Journal Article Some cautions on the use of panel methods for integrated series of macroeconomic data, Econometrics Journal, Royal Economic Society (2004) View citations (306) (2004)
38. The Markup and the Business Cycle Reconsidered
    Economics Working Papers, European University Institute View citations (3)
39. The Relationship Between the Markup and Inflation in the G7 Plus One Economies
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society View citations (15)
    Also in Economics Series Working Papers, University of Oxford, Department of Economics (1999) View citations (1)
    Economics Working Papers, European University Institute (2000) View citations (11)
40. The Relationship between the Markup and Inflation in the G7 Economies and Australia
    Dundee Discussion Papers in Economics, Economic Studies, University of Dundee View citations (13)

1997

41. ECM tests for cointegration in a single equation framework
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística View citations (4)

1996

42. The Econometric Analysis of Economic Policy
    Economics Working Papers, European University Institute View citations (24)
    See also Journal Article The Econometric Analysis of Economic Policy, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (1996) View citations (32) (1996)

1995

43. On the Power of Cointegration Tests: Dimension Invariance vs. Common Factors
    Working Paper, Economics Department, Queen's University View citations (8)

1994

44. Dynamic Specification And Testing For Unit Roots And Co-integration
    Working Paper, Economics Department, Queen's University View citations (2)

1992

45. Simultanenous Versus Sequential Move Structures in Principal-Agent Models
    Economics Series Working Papers, University of Oxford, Department of Economics

1991

46. Estimating Intertemporal Quadratic Adjustment Cost Models with Integrated Series
    Economics Series Working Papers, University of Oxford, Department of Economics View citations (23)
    See also Journal Article Estimating Intertemporal Quadratic Adjustment Cost Models with Integrated Series, International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association (1991) View citations (24) (1991)

1990

47. Recursive and Sequential Tests of the Unit Root and Trend Break Hypothesis: Theory and International Evidence
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (7)
    See also Journal Article Recursive and Sequential Tests of the Unit-Root and Trend-Break Hypotheses: Theory and International Evidence, Journal of Business & Economic Statistics, American Statistical Association (1992) View citations (601) (1992)

1989

48. ESTIMATING EULER EQUATIONS WITH INTEGRATED SERIES
    Economics Series Working Papers, University of Oxford, Department of Economics View citations (1)

1988

49. Moral Hazard and Limited Liability in the Market for Loans: Credit Restriction Versus Credit Rationing
    CEPR Discussion Papers, C.E.P.R. Discussion Papers

Journal Articles

2017

1. Structural FECM: Cointegration in large‐scale structural FAVAR models
   Journal of Applied Econometrics, 2017, 32, (6), 1069-1086 View citations (9)
   See also Working Paper Structural FECM: Cointegration in large-scale structural FAVAR models, CEPR Discussion Papers (2014) View citations (1) (2014)
2. Testing for Panel Cointegration Using Common Correlated Effects Estimators
   Journal of Time Series Analysis, 2017, 38, (4), 610-636 View citations (72)
   See also Working Paper Testing for Panel Cointegration using Common Correlated Effects Estimators, Discussion Papers (2014) View citations (6) (2014)

2015

3. Cointegration in Panel Data with Structural Breaks and Cross‐Section Dependence
   Journal of Applied Econometrics, 2015, 30, (1), 1-23 View citations (51)
4. How to use SETAR models in gretl
   Computational Economics, 2015, 46, (2), 231-241

2014

5. Forecasting with factor-augmented error correction models
   International Journal of Forecasting, 2014, 30, (3), 589-612 View citations (46)
   See also Working Paper Forecasting with Factor-augmented Error Correction Models, CEPR Discussion Papers (2010) View citations (7) (2010)

2013

6. Editorial Introduction to Special Issue on Large Data Sets
   Oxford Bulletin of Economics and Statistics, 2013, 75, (1), 1-5
7. How Do Anticipated Changes to Short-Term Market Rates Influence Banks' Retail Interest Rates? Evidence from the Four Major Euro Area Economies
   Journal of Money, Credit and Banking, 2013, 45, (7), 1375-1414 View citations (28)
   See also Working Paper How do anticipated changes to short-term market rates influence banks' retail interest rates? Evidence from the four major euro area economies, Working papers (2012) View citations (4) (2012)

2012

8. Coffee Market Liberalisation and the Implications for Producers in Brazil, Guatemala and India*
   The World Bank Economic Review, 2012, 26, (3), 514-538 View citations (8)

2008

9. Measuring Long-Run Exchange Rate Pass-Through
   Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), 2008, 2, 1-36 View citations (26)
   See also Working Paper Measuring Long-Run Exchange Rate Pass-Through, Working papers (2007) View citations (14) (2007)
10. The long-run Phillips curve and non-stationary inflation
    Journal of Macroeconomics, 2008, 30, (4), 1792-1815 View citations (25)
    See also Working Paper The Long-Run Phillips Curve and Non-Stationary Inflation, Economics Working Papers (2006) View citations (2) (2006)

2007

11. Inflation, relative price variability and the markup: Evidence from the United States and the United Kingdom
    Economic Modelling, 2007, 24, (1), 82-100 View citations (9)

2006

12. A markup model for forecasting inflation for the euro area
    Journal of Forecasting, 2006, 25, (7), 495-511 View citations (6)
13. A re-interpretation of the linear quadratic model when inventories and sales are polynomially cointegrated
    Journal of Applied Econometrics, 2006, 21, (8), 1249-1264 View citations (5)
    See also Working Paper A Re-interpretation of the Linear-Quadratic Model When Inventories and Sales are Polynomially Cointegrated, Economics Working Papers (2003) View citations (1) (2003)
14. Are there any reliable leading indicators for US inflation and GDP growth?
    International Journal of Forecasting, 2006, 22, (1), 137-151 View citations (105)
    See also Working Paper Are There Any Reliable Leading Indicators for U.S. Inflation and GDP Growth?, Working Papers (2003) View citations (8) (2003)
15. Frontiers in Time Series Analysis: Introduction
    Oxford Bulletin of Economics and Statistics, 2006, 68, (s1), 679-682

2005

16. Inflation and measures of the markup
    Journal of Macroeconomics, 2005, 27, (2), 289-306 View citations (32)
    See also Working Paper Inflation and Measures of the Markup, Dundee Discussion Papers in Economics (2002) View citations (5) (2002)
17. Leading Indicators for Euro‐area Inflation and GDP Growth*
    Oxford Bulletin of Economics and Statistics, 2005, 67, (s1), 785-813 View citations (71)
    See also Working Paper Leading Indicators for Euro Area Inflation and GDP Growth, CEPR Discussion Papers (2003) View citations (47) (2003)
18. Modelling structural breaks, long memory and stock market volatility: an overview
    Journal of Econometrics, 2005, 129, (1-2), 1-34 View citations (100)
19. Testing for PPP: Should we use panel methods?
    Empirical Economics, 2005, 30, (1), 77-91 View citations (230)
    See also Working Paper Testing for PPP: Should We Use Panel Methods?, Royal Economic Society Annual Conference 2002 (2002) View citations (9) (2002)

2004

20. A reinvestigation of the markup and the business cycle
    Economic Modelling, 2004, 21, (2), 267-284 View citations (19)
21. Some cautions on the use of panel methods for integrated series of macroeconomic data
    Econometrics Journal, 2004, 7, (2), 322-340 View citations (306)
    See also Working Paper Some Cautions on the Use of Panel Methods for Integrated Series of Macro-economic Data, Economics Working Papers (2000) View citations (27) (2000)

2001

22. An I(2) analysis of inflation and the markup
    Journal of Applied Econometrics, 2001, 16, (3), 221-240 View citations (80)
    See also Working Paper An I(2) Analysis of Inflation and the Markup, Dundee Discussion Papers in Economics (2000) (2000)
23. Industry structure and the dynamics of price adjustment
    Applied Economics, 2001, 33, (15), 1889-1901 View citations (11)
    See also Working Paper Industry Structure and the Dynamics of Price Adjstment, Dundee Discussion Papers in Economics (2000) (2000)

1998

24. Error‐correction Mechanism Tests for Cointegration in a Single‐equation Framework
    Journal of Time Series Analysis, 1998, 19, (3), 267-283 View citations (375)

1996

25. The Econometric Analysis of Economic Policy
    Oxford Bulletin of Economics and Statistics, 1996, 58, (4), 573-600 View citations (32)
    See also Working Paper The Econometric Analysis of Economic Policy, Economics Working Papers (1996) View citations (24) (1996)

1992

26. Recursive and Sequential Tests of the Unit-Root and Trend-Break Hypotheses: Theory and International Evidence
    Journal of Business & Economic Statistics, 1992, 10, (3), 271-87 View citations (601)
    See also Working Paper Recursive and Sequential Tests of the Unit Root and Trend Break Hypothesis: Theory and International Evidence, NBER Working Papers (1990) View citations (7) (1990)
27. Testing Integration and Cointegration: An Overview
    Oxford Bulletin of Economics and Statistics, 1992, 54, (3), 225-55 View citations (27)

1991

28. Estimating Intertemporal Quadratic Adjustment Cost Models with Integrated Series
    International Economic Review, 1991, 32, (4), 919-36 View citations (24)
    See also Working Paper Estimating Intertemporal Quadratic Adjustment Cost Models with Integrated Series, Economics Series Working Papers (1991) View citations (23) (1991)

1990

29. Dynamic Specification and Linear Transformations of the Autoregressive-Distributed Lag Model
    Oxford Bulletin of Economics and Statistics, 1990, 52, (1), 95-104 View citations (20)
30. Moral Hazard, Limited Liability and Taxation: A Principal-Agent Model
    Oxford Economic Papers, 1990, 42, (1), 46-60 View citations (12)
31. Orthogonality tests with de-trended data: Interpreting Monte-Carlo results using Nagar expansions
    Economics Letters, 1990, 32, (1), 19-24

1989

32. Efficiency in Hierarchies: Implementing the First-Best Solution by Sequential Actions
    RAND Journal of Economics, 1989, 20, (4), 637-645 View citations (3)

1988

33. Tests of the Life Cycle-Permanent Income Hypothesis in the Presence of Random Walks: Asymptotic Theory and Small-Sample Interpretations
    Oxford Economic Papers, 1988, 40, (4), 610-33 View citations (4)

1987

34. Do we reject rational expectations models too often?: Interpreting evidence using Nagar expansions
    Economics Letters, 1987, 24, (1), 27-32
35. Rejections of orthogonality in rational expectations models: Further Monte Carlo results for an extended set of regressors
    Economics Letters, 1987, 25, (3), 243-247

1986

36. Exploring Equilibrium Relationships in Econometrics through Static Models: Some Monte Carlo Evidence
    Oxford Bulletin of Economics and Statistics, 1986, 48, (3), 253-77 View citations (323)

Books

1993

1. Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data
   OUP Catalogue, Oxford University Press View citations (696)

Edited books

2010

1. The Central and Eastern European Countries and the European Union
   Cambridge Books, Cambridge University Press

2006

2. The Central and Eastern European Countries and the European Union
   Cambridge Books, Cambridge University Press View citations (24)

Chapters

2016

1. An Overview of the Factor-augmented Error-Correction Model
   A chapter in Dynamic Factor Models, 2016, vol. 35, pp 3-41 View citations (6)
   See also Working Paper An Overview of the Factor-augmented Error-Correction Model, Department of Economics, University of Birmingham (2015) (2015)

Editor

1. Oxford Bulletin of Economics and Statistics
   Department of Economics, University of Oxford
2. Oxford Economic Papers
   Oxford University Press