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Details about George Kapetanios

E-mail:
Workplace:School of Management and Business, King's College, (more information at EDIRC)
Bank of England, (more information at EDIRC)

Access statistics for papers by George Kapetanios.

Last updated 2016-10-31. Update your information in the RePEc Author Service.

Short-id: pka15


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Working Papers

2016

  1. A one-covariate at a time, multiple testing approach to variable selection in high-dimensional linear regression models
    Globalization and Monetary Policy Institute Working Paper, Federal Reserve Bank of Dallas Downloads

2015

  1. Revisiting useful approaches to data-rich macroeconomic forecasting
    Staff Reports, Federal Reserve Bank of New York Downloads View citations (20)

2003

  1. A Comparison of Estimation Methods for Dynamic Factor Models of Large Dimensions
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads View citations (32)
  2. A New Nonparametric Test of Cointegration Rank
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads View citations (1)
  3. A Nonlinear Approach to Public Finance Sustainability in Latin America
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads View citations (1)
  4. A Note on Joint Estimation of Common Cycles and Common Trends in Nonstationary Multivariate Systems
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads View citations (2)
  5. An Investigation of Current Account Solvency in Latin America Using Non Linear Stationarity Tests
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads View citations (15)
  6. Import prices and exchange rate pass-through: theory and evidence from the United Kingdom
    Bank of England working papers, Bank of England Downloads View citations (19)
  7. Non-Nested Models and the Likelihood Ratio Statistic: A Comparison of Simulation and Bootstrap Based Tests
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads
    Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2003) Downloads
  8. Rational expectations and fixed-event forecasts: an application to UK inflation
    Bank of England working papers, Bank of England Downloads View citations (8)
  9. The Yen Real Exchange Rate May Be Stationary after All: Evidence from Nonlinear Unit-Root Tests
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads View citations (19)

2002

  1. A Note on Covariance Stationarity Conditions for Dynamic Random Coefficient Models
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads
  2. A Note on an Iterative Least Squares Estimation Method for ARMA and VARMA Models
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads View citations (3)
  3. Bootstrap Statistical Tests of Rank Determination for System Identification
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads
  4. Credibility of the Russian Stabilisation Programme in 1995-98
    NIESR Discussion Papers, National Institute of Economic and Social Research View citations (18)
  5. Estimation and Inference in a Non-Linear State Space Model: Durable Consumption
    Royal Economic Society Annual Conference 2002, Royal Economic Society Downloads
  6. Factor Analysis Using Subspace Factor Models: Some Theoretical Results and an Application to UK Inflation Forecasting
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads View citations (4)
  7. GLS Detrending for Nonlinear Unit Root Tests
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads View citations (3)
  8. Measuring Conditional Persistence in Time Series
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads View citations (2)
  9. Modelling Core Inflation for the UK Using a New Dynamic Factor Estimation Method and a Large Disaggregated Price Index Dataset
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads View citations (13)
  10. Testing for Neglected Nonlinearity in Long Memory Models
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads View citations (10)
  11. Testing for Structural Breaks in Nonlinear Dynamic Models Using Artificial Neural Network Approximations
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads View citations (1)
  12. Unit Root Testing against the Alternative Hypothesis of up to m Structural Breaks
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads View citations (23)
  13. Unit Root Tests in Three-Regime SETAR Models
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads View citations (35)

2001

  1. A Comparison of Personal Sector Saving Rates in the UK, US and Italy
    NIESR Discussion Papers, National Institute of Economic and Social Research View citations (8)
  2. A Timeless Perspective on Optimality in Forward-Looking Rational Expectations Models
    NIESR Discussion Papers, National Institute of Economic and Social Research Downloads View citations (10)
  3. Balance of payments prospects in EMU
    NIESR Discussion Papers, National Institute of Economic and Social Research Downloads View citations (113)
  4. Openness, integration and transition: prospects and policies for economies in transition
    NIESR Discussion Papers, National Institute of Economic and Social Research Downloads View citations (1)
  5. Some evidence on financial factors in the determination of aggregate business investment for the G7
    NIESR Discussion Papers, National Institute of Economic and Social Research Downloads View citations (5)
  6. The effect of tuition fees on students' demands and expectations: evidence from case studies of four
    NIESR Discussion Papers, National Institute of Economic and Social Research View citations (1)

2000

  1. Evaluating macroeconomic models of the business cycle
    NIESR Discussion Papers, National Institute of Economic and Social Research View citations (1)
  2. Inward investment and technical progress in the United Kingdom manufacturing sector
    NIESR Discussion Papers, National Institute of Economic and Social Research Downloads View citations (4)
  3. Pay settlements in Britain
    NIESR Discussion Papers, National Institute of Economic and Social Research Downloads View citations (1)

1999

  1. Model Selection in Threshold Models
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge Downloads View citations (22)
  2. Threshold Models for Trended Time Series
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge Downloads View citations (10)

Journal Articles

2001

  1. An automatic leading indicator of economic activity: forecasting GDP growth for European countries
    Econometrics Journal, 2001, 4, (1), 37 View citations (37)
 
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