Details about George Kapetanios
Access statistics for papers by George Kapetanios.
Last updated 2023-08-05. Update your information in the RePEc Author Service.
Short-id: pka15
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Working Papers
2023
- Deep Neural Network Estimation in Panel Data Models
Papers, arXiv.org 
Also in Working Papers, Federal Reserve Bank of Cleveland (2023)
- Forecasting Value-at-Risk using deep neural network quantile regression
Essex Finance Centre Working Papers, University of Essex, Essex Business School View citations (1)
- High Dimensional Generalised Penalised Least Squares
Papers, arXiv.org
- On Robust Inference in Time Series Regression
Papers, arXiv.org View citations (3)
Also in PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2022) View citations (2)
2022
- A New Test for Market Efficiency and Uncovered Interest Parity
NBER Working Papers, National Bureau of Economic Research, Inc 
Also in Papers, arXiv.org (2022)  PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2022) 
See also Journal Article in Journal of International Money and Finance (2023)
- A Quality Assessment Framework for Maintaining & Publishing New Indicators
Economic Statistics Centre of Excellence (ESCoE) Technical Reports, Economic Statistics Centre of Excellence (ESCoE)
- An Evaluation Framework for Targeted Indicators Aggregates vs. Disaggregates
Economic Statistics Centre of Excellence (ESCoE) Technical Reports, Economic Statistics Centre of Excellence (ESCoE) View citations (1)
- Choosing between persistent and stationary volatility
Essex Finance Centre Working Papers, University of Essex, Essex Business School
- Expansionary and contractionary fiscal multipliers in the U.S
Working Papers, Queen Mary University of London, School of Economics and Finance
- Forecasting UK inflation bottom up
Bank of England working papers, Bank of England View citations (5)
- Real Time Indicators During the COVID-19 Pandemic Individual Predictors & Selection
Economic Statistics Centre of Excellence (ESCoE) Technical Reports, Economic Statistics Centre of Excellence (ESCoE) View citations (1)
- Stock returns predictability with unstable predictors
CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University View citations (1)
Also in Essex Finance Centre Working Papers, University of Essex, Essex Business School (2022)
2021
- Forecasting UK GDP growth with large survey panels
Bank of England working papers, Bank of England View citations (1)
- UK Economic Conditions during the Pandemic: Assessing the Economy using ONS Faster Indicators
Economic Statistics Centre of Excellence (ESCoE) Discussion Papers, Economic Statistics Centre of Excellence (ESCoE) View citations (4)
2020
- A Similarity-based Approach for Macroeconomic Forecasting
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (7)
See also Journal Article in Journal of the Royal Statistical Society Series A (2020)
- Estimation of time-varying covariance matrices for large datasets
Working Papers, Queen Mary University of London, School of Economics and Finance 
See also Journal Article in Econometric Theory (2021)
- Making text count: economic forecasting using newspaper text
Bank of England working papers, Bank of England View citations (33)
See also Journal Article in Journal of Applied Econometrics (2022)
- Measurement of Factor Strenght: Theory and Practice
CESifo Working Paper Series, CESifo View citations (2)
Also in Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics (2020) View citations (2)
See also Journal Article in Journal of Applied Econometrics (2021)
- State-level wage Phillips curves
CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University View citations (1)
Also in Essex Finance Centre Working Papers, University of Essex, Essex Business School (2018) 
See also Journal Article in Econometrics and Statistics (2021)
- Time-Varying Instrumental Variable Estimation
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (1)
Also in Working Papers, Queen Mary University of London, School of Economics and Finance (2020) View citations (1)
See also Journal Article in Journal of Econometrics (2021)
2019
- A Generalised Fractional Differencing Bootstrap for Long Memory Processes
Essex Finance Centre Working Papers, University of Essex, Essex Business School View citations (4)
See also Journal Article in Journal of Time Series Analysis (2019)
- Estimation and Inference for Multi-dimensional Heterogeneous Panel Datasets with Hierarchical Multi-factor Error Structure
SERIES, Dipartimento di Economia e Finanza - Università degli Studi di Bari "Aldo Moro" 
See also Journal Article in Journal of Econometrics (2021)
- Hierarchical Time Varying Estimation of a Multi Factor Asset Pricing Model
Working Papers, Queen Mary University of London, School of Economics and Finance
- Testing for Correlated Factor Loadings in Cross Sectionally Dependent Panels
SERIES, Dipartimento di Economia e Finanza - Università degli Studi di Bari "Aldo Moro" View citations (1)
- Time-varying cointegration and the UK great ratios
Bank of England working papers, Bank of England View citations (1)
Also in Essex Finance Centre Working Papers, University of Essex, Essex Business School (2018)  CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2018)
2018
- A New Approach for Detecting Shifts in Forecast Accuracy
Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section 
Also in Bank of England working papers, Bank of England (2018) 
See also Journal Article in International Journal of Forecasting (2019)
- A Residual-based Threshold Method for Detection of Units that are Too Big to Fail in Large Factor Models
CESifo Working Paper Series, CESifo
- Big Data & Macroeconomic Nowcasting: Methodological Review
Economic Statistics Centre of Excellence (ESCoE) Discussion Papers, Economic Statistics Centre of Excellence (ESCoE) View citations (12)
- Big Data Econometrics: Now Casting and Early Estimates
BAFFI CAREFIN Working Papers, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy View citations (4)
- Exponent of Cross-sectional Dependence for Residuals
CESifo Working Paper Series, CESifo 
Also in Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics (2018) 
See also Journal Article in Sankhya B: The Indian Journal of Statistics (2019)
2017
- A UK financial conditions index using targeted data reduction: forecasting and structural identification
Essex Finance Centre Working Papers, University of Essex, Essex Business School View citations (1)
Also in Bank of England working papers, Bank of England (2017) View citations (3) CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2017) View citations (3)
See also Journal Article in Econometrics and Statistics (2018)
- A time varying parameter structural model of the UK economy
Bank of England working papers, Bank of England View citations (4)
See also Journal Article in Journal of Economic Dynamics and Control (2019)
- Common correlated effect cross-sectional dependence corrections for non-linear conditional mean panel models
Bank of England working papers, Bank of England
- Large time-varying parameter VARs: a non-parametric approach
Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area 
Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2016) View citations (8)
See also Journal Article in Journal of Applied Econometrics (2019)
2016
- A One-Covariate at a Time, Multiple Testing Approach to Variable Selection in High-Dimensional Linear Regression Models
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (1)
Also in Globalization Institute Working Papers, Federal Reserve Bank of Dallas (2016) View citations (4)
See also Journal Article in Econometrica (2018)
- A comprehensive evaluation of macroeconomic forecasting methods
EMF Research Papers, Economic Modelling and Forecasting Group View citations (1)
See also Journal Article in International Journal of Forecasting (2019)
- Big Data Analytics: A New Perspective
CESifo Working Paper Series, CESifo View citations (4)
Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2016) View citations (4) Globalization Institute Working Papers, Federal Reserve Bank of Dallas (2016) View citations (1)
2015
- A Bayesian Local Likelihood Method for Modelling Parameter Time Variation in DSGE Models
Working Papers, Queen Mary University of London, School of Economics and Finance View citations (1)
- A Shrinkage Instrumental Variable Estimator for Large Datasets
Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University 
Also in Working Papers, Queen Mary University of London, School of Economics and Finance (2008) 
See also Journal Article in L'Actualité Economique (2015)
- A Time Varying DSGE Model with Financial Frictions
Working Papers, Queen Mary University of London, School of Economics and Finance 
See also Journal Article in Journal of Empirical Finance (2016)
- An automatic leading indicator, variable reduction and variable selection methods using small and large datasets: Forecasting the industrial production growth for euro area economies
Working Paper Series, European Central Bank View citations (2)
- Estimating Time-Varying DSGE Models Using Minimum Distance Methods
Working Papers, Queen Mary University of London, School of Economics and Finance 
Also in Bank of England working papers, Bank of England (2014) View citations (14)
- Factor based identification-robust inference in IV regressions
CEPR Discussion Papers, C.E.P.R. Discussion Papers
- Inference for Impulse Response Coefficients From Multivariate Fractionally Integrated Processes
Working Paper series, Rimini Centre for Economic Analysis 
See also Journal Article in Econometric Reviews (2017)
- Inference on Multivariate Heteroscedastic Time Varying Random Coefficient Models
Working Papers, Queen Mary University of London, School of Economics and Finance View citations (7)
See also Journal Article in Journal of Time Series Analysis (2018)
- Structural Analysis with Multivariate Autoregressive Index Models
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (4)
See also Journal Article in Journal of Econometrics (2016)
- Unconventional monetary policies and the macroeconomy: the impact of the United Kingdom's QE2 and Funding for Lending Scheme
Bank of England working papers, Bank of England View citations (29)
2014
- Adaptive forecasting in the presence of recent and ongoing structural change
Bank of England working papers, Bank of England 
Also in Working Papers, Queen Mary University of London, School of Economics and Finance (2012) View citations (2) CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2012) View citations (2)
See also Journal Article in Journal of Econometrics (2013)
- Estimation and Forecasting in Vector Autoregressive Moving Average Models for Rich Datasets
CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (4)
See also Journal Article in Journal of Econometrics (2018)
- Generalised Density Forecast Combinations
CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University View citations (10)
Also in EMF Research Papers, Economic Modelling and Forecasting Group (2013) View citations (4) Bank of England working papers, Bank of England (2014) View citations (4)
See also Journal Article in Journal of Econometrics (2015)
- Jumps in Option Prices and Their Determinants: Real-time Evidence from the E-mini S&P 500 Option Market
Working Papers, Queen Mary University of London, School of Economics and Finance 
See also Journal Article in Journal of Financial Markets (2019)
2013
- A Nonlinear Panel Data Model of Cross-Sectional Dependence
EMF Research Papers, Economic Modelling and Forecasting Group View citations (5)
Also in Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester (2012) View citations (1)
See also Journal Article in Journal of Econometrics (2014)
2012
- Assessing the economy-wide effects of quantitative easing
Bank of England working papers, Bank of England View citations (221)
See also Journal Article in Economic Journal (2012)
- Exponent of Cross-sectional Dependence: Estimation and Inference
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (69)
Also in CESifo Working Paper Series, CESifo (2012) View citations (27) IZA Discussion Papers, Institute of Labor Economics (IZA) (2012) View citations (27)
See also Journal Article in Journal of Applied Econometrics (2016)
2011
- Block Bootstrap and Long Memory
Working Papers, Queen Mary University of London, School of Economics and Finance View citations (3)
- Evolving UK and US macroeconomic dynamics through the lens of a model of deterministic structural change
Bank of England working papers, Bank of England 
See also Journal Article in Empirical Economics (2014)
- Forecasting in the presence of recent structural change
CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University View citations (2)
Also in Bank of England working papers, Bank of England (2010) View citations (15)
2010
- A Nonlinear Panel Model of Cross-sectional Dependence
Working Papers, Queen Mary University of London, School of Economics and Finance
- Factor-GMM Estimation with Large Sets of Possibly Weak Instruments
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (64)
Also in Working Papers, Queen Mary University of London, School of Economics and Finance (2006) View citations (12)
See also Journal Article in Computational Statistics & Data Analysis (2010)
- Forecasting Government Bond Yields with Large Bayesian VARs
Working Papers, Queen Mary University of London, School of Economics and Finance View citations (6)
Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2010) View citations (10)
- Multivariate Methods for Monitoring Structural Change
Working Papers, Queen Mary University of London, School of Economics and Finance 
Also in Bank of England working papers, Bank of England (2009) View citations (2)
See also Journal Article in Journal of Applied Econometrics (2013)
- Panels with nonstationary multifactor error structures
Post-Print, HAL View citations (15)
Also in IZA Discussion Papers, Institute of Labor Economics (IZA) (2006) View citations (48) Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2006) View citations (29) CESifo Working Paper Series, CESifo (2006) View citations (27) Working Papers, Queen Mary University of London, School of Economics and Finance (2006) View citations (25)
See also Journal Article in Journal of Econometrics (2011)
2009
- A State Space Approach to Extracting the Signal from Uncertain Data
Working Papers, Queen Mary University of London, School of Economics and Finance View citations (9)
Also in Bank of England working papers, Bank of England (2007) View citations (9)
See also Journal Article in Journal of Business & Economic Statistics (2009)
- Are more data always better for factor analysis? Results for the euro area, the six largest euro area countries and the UK
Working Paper Series, European Central Bank View citations (15)
See also Journal Article in Journal of Forecasting (2011)
- Forecasting Large Datasets with Bayesian Reduced Rank Multivariate Models
Economics Working Papers, European University Institute View citations (5)
Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2009) View citations (5)
See also Journal Article in Journal of Applied Econometrics (2011)
- Model selection criteria for factor-augmented regressions
Staff Reports, Federal Reserve Bank of New York View citations (7)
- Parsimonious estimation with many instruments
Staff Reports, Federal Reserve Bank of New York View citations (4)
2008
- A Review of Forecasting Techniques for Large Data Sets
Working Papers, Queen Mary University of London, School of Economics and Finance View citations (13)
See also Journal Article in National Institute Economic Review (2008)
- Breaks in DSGE models
2008 Meeting Papers, Society for Economic Dynamics View citations (1)
- Cross-sectional Averaging and Instrumental Variable Estimation with Many Weak Instruments
Working Papers, Queen Mary University of London, School of Economics and Finance 
See also Journal Article in Economics Letters (2010)
- Forecasting Exchange Rates with a Large Bayesian VAR
Working Papers, Queen Mary University of London, School of Economics and Finance 
Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2008) View citations (4) Economics Working Papers, European University Institute (2008) 
See also Journal Article in International Journal of Forecasting (2009)
- Forecasting Financial Crises and Contagion in Asia using Dynamic Factor Analysis
Center for Economic Research (RECent), University of Modena and Reggio E., Dept. of Economics "Marco Biagi" View citations (4)
Also in Working Papers, Queen Mary University of London, School of Economics and Finance (2005)  Computing in Economics and Finance 2006, Society for Computational Economics (2006) View citations (1)
See also Journal Article in Journal of Empirical Finance (2009)
- Forecasting with Dynamic Models using Shrinkage-based Estimation
Working Papers, Queen Mary University of London, School of Economics and Finance View citations (2)
- Getting PPP Right: Identifying Mean-Reverting Real Exchange Rates in Panels
Working Papers, Queen Mary University of London, School of Economics and Finance View citations (2)
Also in Working Papers, Queen Mary University of London, School of Economics and Finance (2004) View citations (14) Money Macro and Finance (MMF) Research Group Conference 2004, Money Macro and Finance Research Group (2004) View citations (10)
See also Journal Article in Journal of Banking & Finance (2009)
- Revisiting Useful Approaches to Data-Rich Macroeconomic Forecasting
Working Papers, Queen Mary University of London, School of Economics and Finance View citations (29)
Also in Staff Reports, Federal Reserve Bank of New York (2008) View citations (32)
See also Journal Article in Computational Statistics & Data Analysis (2016)
- Statistical tests and estimators of the rank of a matrix and their applications in econometric modelling
Working Paper Series, European Central Bank View citations (6)
See also Journal Article in Econometric Reviews (2009)
2007
- A State Space Approach To The Policymaker's Data Uncertainty Problem
Money Macro and Finance (MMF) Research Group Conference 2006, Money Macro and Finance Research Group View citations (2)
- A Test for Serial Dependence Using Neural Networks
Working Papers, Queen Mary University of London, School of Economics and Finance
- Boosting Estimation of RBF Neural Networks for Dependent Data
Working Papers, Queen Mary University of London, School of Economics and Finance View citations (2)
- Forecast combination and the Bank of England’s suite of statistical forecasting models
Bank of England working papers, Bank of England View citations (32)
See also Journal Article in Economic Modelling (2008)
- Forecasting Large Datasets with Reduced Rank Multivariate Models
Working Papers, Queen Mary University of London, School of Economics and Finance View citations (4)
- Semiparametric Sieve-Type GLS Inference in Regressions with Long-Range Dependence
Working Papers, Queen Mary University of London, School of Economics and Finance
- Testing for Strict Stationarity
Working Papers, Queen Mary University of London, School of Economics and Finance View citations (3)
- Testing the Martingale Difference Hypothesis Using Neural Network Approximations
Working Papers, Queen Mary University of London, School of Economics and Finance View citations (1)
- The Elusive Persistence: Wage and Price Rigidities, the Phillips Curve, and Inflation Dynamics
Working Papers, Queen Mary University of London, School of Economics and Finance View citations (7)
2006
- A Parametric Estimation Method for Dynamic Factor Models of Large Dimensions
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (45)
See also Journal Article in Journal of Time Series Analysis (2009)
- Forecasting Using Predictive Likelihood Model Averaging
Working Papers, Queen Mary University of London, School of Economics and Finance View citations (29)
See also Journal Article in Economics Letters (2006)
- Forecasting using Bayesian and Information Theoretic Model Averaging: An Application to UK Inflation
Working Papers, Queen Mary University of London, School of Economics and Finance 
Also in Bank of England working papers, Bank of England (2005) View citations (17)
See also Journal Article in Journal of Business & Economic Statistics (2008)
- Impulse Response Functions from Structural Dynamic Factor Models: A Monte Carlo Evaluation
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (4)
Also in Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University (2006) View citations (4)
- Nonlinear Models with Strongly Dependent Processes and Applications to Forward Premia and Real Exchange Rates
Working Papers, Queen Mary University of London, School of Economics and Finance View citations (1)
- Sieve Bootstrap for Strongly Dependent Stationary Processes
Working Papers, Queen Mary University of London, School of Economics and Finance View citations (6)
- Stochastic Volatility Driven by Large Shocks
Working Papers, Queen Mary University of London, School of Economics and Finance View citations (1)
- The Role of Search Frictions and Bargaining for Inflation Dynamics
Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations (4)
- The yen real exchange rate may be stationary after all: evidence from non-linear unit root tests
Bank of England working papers, Bank of England View citations (10)
Also in Working Papers, Queen Mary University of London, School of Economics and Finance (2003) View citations (7)
See also Journal Article in Oxford Bulletin of Economics and Statistics (2004)
2005
- A Testing Procedure for Determining the Number of Factors in Approximate Factor Models with Large Datasets
Working Papers, Queen Mary University of London, School of Economics and Finance View citations (5)
See also Journal Article in Journal of Business & Economic Statistics (2010)
- Alternative Approaches to Estimation and Inference in Large Multifactor Panels: Small Sample Results with an Application to Modelling of Asset Returns
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (29)
Also in Working Papers, Queen Mary University of London, School of Economics and Finance (2005) View citations (29) CESifo Working Paper Series, CESifo (2005) View citations (30)
- Cluster Analysis of Panel Choosing the Optimal Set of Instruments from Large Instrument Setsusing Non-Standard Optimisation of Information Criteria
Working Papers, Queen Mary University of London, School of Economics and Finance
- Cluster Analysis of Panel Datasets using Non-Standard Optimisation of Information Criteria
Working Papers, Queen Mary University of London, School of Economics and Finance 
See also Journal Article in Journal of Economic Dynamics and Control (2006)
- Estimating Deterministically Time-Varying Variances in Regression Models
Working Papers, Queen Mary University of London, School of Economics and Finance View citations (2)
See also Journal Article in Economics Letters (2007)
- How Puzzling is the PPP Puzzle? An Alternative Half-Life Measure of convergence to PPP
Money Macro and Finance (MMF) Research Group Conference 2005, Money Macro and Finance Research Group View citations (1)
Also in Working Papers, Queen Mary University of London, School of Economics and Finance (2004) View citations (12)
See also Journal Article in Journal of Applied Econometrics (2013)
- Making a match: Combining theory and evidence in policy-oriented macroeconomic modelling
CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University View citations (3)
Also in Computing in Economics and Finance 2005, Society for Computational Economics (2005) View citations (1)
See also Journal Article in Journal of Econometrics (2007)
- Nonlinear Modelling of Autoregressive Structural Breaks in a US Diffusion Index Dataset
Working Papers, Queen Mary University of London, School of Economics and Finance View citations (1)
- Statistical Tests of the Rank of a Matrix and Their Applications in Econometric Modelling
Working Papers, Queen Mary University of London, School of Economics and Finance
- Testing for Neglected Nonlinearity in Long Memory Models
Working Papers, Queen Mary University of London, School of Economics and Finance View citations (4)
See also Journal Article in Journal of Business & Economic Statistics (2007)
- Tests for Deterministic Parametric Structural Change in Regression Models
Working Papers, Queen Mary University of London, School of Economics and Finance
- Variable Selection using Non-Standard Optimisation of Information Criteria
Working Papers, Queen Mary University of London, School of Economics and Finance View citations (3)
2004
- A Bootstrap Invariance Principle for Highly Nonstationary Long Memory Processes
Working Papers, Queen Mary University of London, School of Economics and Finance View citations (3)
- A Bootstrap Procedure for Panel Datasets with Many Cross-Sectional Units
Working Papers, Queen Mary University of London, School of Economics and Finance View citations (2)
See also Journal Article in Econometrics Journal (2008)
- A New Method for Determining the Number of Factors in Factor Models with Large Datasets
Working Papers, Queen Mary University of London, School of Economics and Finance View citations (22)
- A Stochastic Variance Factor Model for Large Datasets and an Application to S&P Data
Working Papers, Queen Mary University of London, School of Economics and Finance View citations (3)
See also Journal Article in Economics Letters (2008)
- Dynamic Factor Extraction of Cross-Sectional Dependence in Panel Unit Root Tests
Working Papers, Queen Mary University of London, School of Economics and Finance View citations (1)
See also Journal Article in Journal of Applied Econometrics (2007)
- Estimating Time-Variation in Measurement Error from Data Revisions: An Application to Forecasting in Dynamic Models
Working Papers, Queen Mary University of London, School of Economics and Finance View citations (8)
Also in Bank of England working papers, Bank of England (2004) View citations (8)
- Estimating the rank of the spectral density matrix
Working Paper Series, European Central Bank 
See also Journal Article in Journal of Time Series Analysis (2005)
- Forecasting euro area inflation using dynamic factor measures of underlying inflation
Working Paper Series, European Central Bank View citations (7)
See also Journal Article in Journal of Forecasting (2005)
- Forecasting with Measurement Errors in Dynamic Models
Working Papers, Queen Mary University of London, School of Economics and Finance View citations (5)
Also in Royal Economic Society Annual Conference 2003, Royal Economic Society (2003) View citations (5) Bank of England working papers, Bank of England (2004) View citations (5)
See also Journal Article in International Journal of Forecasting (2005)
- Nonlinear Autoregressive Models and Long Memory
Working Papers, Queen Mary University of London, School of Economics and Finance 
See also Journal Article in Economics Letters (2006)
- On Testing for Diagonality of Large Dimensional Covariance Matrices
Working Papers, Queen Mary University of London, School of Economics and Finance View citations (3)
- Testing for Exogeneity in Nonlinear Threshold Models
Working Papers, Queen Mary University of London, School of Economics and Finance View citations (1)
- Testing for Neglected Nonlinearity in Cointegrating Relationships
Working Papers, Queen Mary University of London, School of Economics and Finance 
See also Journal Article in Journal of Time Series Analysis (2007)
- Testing for nonlinear cointegration between stock prices and dividends
Money Macro and Finance (MMF) Research Group Conference 2003, Money Macro and Finance Research Group
- The Impact of Large Structural Shocks on Economic Relationships: Evidence from Oil Price Shocks
Working Papers, Queen Mary University of London, School of Economics and Finance View citations (10)
2003
- A Comparison of Estimation Methods for Dynamic Factor Models of Large Dimensions
Working Papers, Queen Mary University of London, School of Economics and Finance View citations (35)
- A Dynamic Factor Analysis of Financial Contagion in Asia
Working Papers, Queen Mary University of London, School of Economics and Finance View citations (1)
- A New Nonparametric Test of Cointegration Rank
Working Papers, Queen Mary University of London, School of Economics and Finance View citations (2)
- A Nonlinear Approach to Public Finance Sustainability in Latin America
Working Papers, Queen Mary University of London, School of Economics and Finance
- 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 View citations (2)
- 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 View citations (1)
- Determining the Poolability of Individual Series in Panel Datasets
Working Papers, Queen Mary University of London, School of Economics and Finance View citations (18)
- Determining the Stationarity Properties of Individual Series in Panel Datasets
Working Papers, Queen Mary University of London, School of Economics and Finance View citations (15)
- GLS Detrending-Based Unit Root Tests in Nonlinear STAR and SETAR Frameworks
Edinburgh School of Economics Discussion Paper Series, Edinburgh School of Economics, University of Edinburgh View citations (2)
- Import prices and exchange rate pass-through: theory and evidence from the United Kingdom
Bank of England working papers, Bank of England View citations (40)
- 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 View citations (2)
Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2003) View citations (2)
- Rational expectations and fixed-event forecasts: an application to UK inflation
Bank of England working papers, Bank of England View citations (12)
See also Journal Article in Empirical Economics (2005)
- Structural Breaks in Inflation Dynamics
Computing in Economics and Finance 2003, Society for Computational Economics View citations (20)
- Testing for ARCH in the Presence of Nonlinearity of Unknown Form in the Conditional Mean
Working Papers, Queen Mary University of London, School of Economics and Finance View citations (1)
See also Journal Article in Journal of Econometrics (2007)
- Testing for Cointegration in Nonlinear STAR Error Correction Models
Working Papers, Queen Mary University of London, School of Economics and Finance View citations (12)
- Testing for Nonstationary Long Memory against Nonlinear Ergodic Models
Working Papers, Queen Mary University of London, School of Economics and Finance View citations (6)
- Unit Root Tests in Three-Regime SETAR Models
Edinburgh School of Economics Discussion Paper Series, Edinburgh School of Economics, University of Edinburgh View citations (7)
Also in Working Papers, Queen Mary University of London, School of Economics and Finance (2002) View citations (17)
See also Journal Article in Econometrics Journal (2006)
- Using Extraneous Information and GMM to Estimate Threshold Parameters in TAR Models
Working Papers, Queen Mary University of London, School of Economics and Finance View citations (1)
2002
- A Note on Covariance Stationarity Conditions for Dynamic Random Coefficient Models
Working Papers, Queen Mary University of London, School of Economics and Finance
- 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 
See also Journal Article in Economics Letters (2003)
- Bootstrap Statistical Tests of Rank Determination for System Identification
Working Papers, Queen Mary University of London, School of Economics and Finance
- Estimation and Inference in a Non-Linear State Space Model: Durable Consumption
Royal Economic Society Annual Conference 2002, Royal Economic Society
- 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 View citations (6)
- GLS Detrending for Nonlinear Unit Root Tests
Working Papers, Queen Mary University of London, School of Economics and Finance View citations (1)
- Measuring Conditional Persistence in Time Series
Working Papers, Queen Mary University of London, School of Economics and Finance View citations (2)
- 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 View citations (4)
- 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 View citations (3)
- 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 View citations (8)
See also Journal Article in Journal of Time Series Analysis (2005)
2001
- Spectral based methods to identify common trends and common cycles
Working Paper Series, European Central Bank View citations (10)
- Testing the rank of the Hankel matrix: a statistical approach
Working Paper Series, European Central Bank View citations (19)
2000
- Cointegrating VAR models with endogenous I(0) variables: theoretical extensions and an application to UK monetary policy
National Institute of Economic and Social Research (NIESR) Discussion Papers, National Institute of Economic and Social Research View citations (2)
- Evaluating macroeconomic models of the business cycle
National Institute of Economic and Social Research (NIESR) Discussion Papers, National Institute of Economic and Social Research
- Incorporating lag order selection uncertainty in parameter inference for AR models
National Institute of Economic and Social Research (NIESR) Discussion Papers, National Institute of Economic and Social Research View citations (5)
See also Journal Article in Economics Letters (2001)
- Information Criteria, Model Selection Uncertainty and the Determination of Cointegration Rank
National Institute of Economic and Social Research (NIESR) Discussion Papers, National Institute of Economic and Social Research View citations (1)
- Inward investment and technical progress in the United Kingdom manufacturing sector
National Institute of Economic and Social Research (NIESR) Discussion Papers, National Institute of Economic and Social Research View citations (3)
- Model Selection Uncertainty and Dynamic Models
National Institute of Economic and Social Research (NIESR) Discussion Papers, National Institute of Economic and Social Research View citations (2)
- Testing for a Linear Unit Root against Nonlinear Threshold Stationarity
Edinburgh School of Economics Discussion Paper Series, Edinburgh School of Economics, University of Edinburgh View citations (2)
- Testing for a Unit Root against Nonlinear STAR Models
Edinburgh School of Economics Discussion Paper Series, Edinburgh School of Economics, University of Edinburgh View citations (3)
Also in National Institute of Economic and Social Research (NIESR) Discussion Papers, National Institute of Economic and Social Research (2000) View citations (115)
1999
- A Radial Basis Function Artificial Neural Network Test for ARCH
National Institute of Economic and Social Research (NIESR) Discussion Papers, National Institute of Economic and Social Research View citations (14)
See also Journal Article in Economics Letters (2000)
- A Test of M Structural Breaks Under the Unit Root Hypothesis
National Institute of Economic and Social Research (NIESR) Discussion Papers, National Institute of Economic and Social Research View citations (4)
- An Automatic Leading Indicator of Economic Activity: Forecasting GDP Growth for European Countries
National Institute of Economic and Social Research (NIESR) Discussion Papers, National Institute of Economic and Social Research View citations (19)
See also Journal Article in Econometrics Journal (2001)
- Model Selection in Threshold Models
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (31)
See also Journal Article in Journal of Time Series Analysis (2001)
- Tests of Rank in Reduced Rank Regression Models
National Institute of Economic and Social Research (NIESR) Discussion Papers, National Institute of Economic and Social Research View citations (8)
- The Forecasting Performance of the OECD Composite Leading Indicators for France, Germany, Italy
National Institute of Economic and Social Research (NIESR) Discussion Papers, National Institute of Economic and Social Research View citations (5)
- Threshold Models for Trended Time Series
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (16)
See also Journal Article in Empirical Economics (2003)
Journal Articles
2023
- A new test for market efficiency and uncovered interest parity
Journal of International Money and Finance, 2023, 130, (C) 
See also Working Paper (2022)
- Testing for correlation between the regressors and factor loadings in heterogeneous panels with interactive effects
Empirical Economics, 2023, 64, (6), 2611-2659 View citations (1)
2022
- Hierarchical Time-Varying Estimation of Asset Pricing Models
JRFM, 2022, 15, (1), 1-26 View citations (1)
- How did consumers react to the COVID‐19 pandemic over time?
Oxford Bulletin of Economics and Statistics, 2022, 84, (5), 961-993
- Investigating the predictive ability of ONS big data‐based indicators
Journal of Forecasting, 2022, 41, (2), 252-258
- Making text count: Economic forecasting using newspaper text
Journal of Applied Econometrics, 2022, 37, (5), 896-919 View citations (4)
See also Working Paper (2020)
2021
- Common correlated effect cross‐sectional dependence corrections for nonlinear conditional mean panel models
Journal of Applied Econometrics, 2021, 36, (1), 125-150 View citations (1)
- Corrigendum to “A Generalised Fractional Differencing Bootstrap for Long Memory Processes” Journal of Time Series Analysis 40: 467‐492 (2019) DOI: 10.1111/jtsa.12460
Journal of Time Series Analysis, 2021, 42, (4), 492-492
- Detection of units with pervasive effects in large panel data models
Journal of Econometrics, 2021, 221, (2), 510-541 View citations (1)
- ESTIMATION OF TIME-VARYING COVARIANCE MATRICES FOR LARGE DATASETS
Econometric Theory, 2021, 37, (6), 1100-1134 View citations (2)
See also Working Paper (2020)
- Estimation and inference for multi-dimensional heterogeneous panel datasets with hierarchical multi-factor error structure
Journal of Econometrics, 2021, 220, (2), 504-531 View citations (7)
See also Working Paper (2019)
- Kernel-based Volatility Generalised Least Squares
Econometrics and Statistics, 2021, 20, (C), 2-11
- Measurement of factor strength: Theory and practice
Journal of Applied Econometrics, 2021, 36, (5), 587-613 View citations (6)
See also Working Paper (2020)
- State-level wage Phillips curves
Econometrics and Statistics, 2021, 18, (C), 1-11 View citations (1)
See also Working Paper (2020)
- Time-varying instrumental variable estimation
Journal of Econometrics, 2021, 224, (2), 394-415 View citations (2)
See also Working Paper (2020)
- Unconventional monetary policies and the macroeconomy: The impact of the UK's QE2 and funding for lending scheme
The Quarterly Review of Economics and Finance, 2021, 80, (C), 721-736 View citations (4)
2020
- A similarity‐based approach for macroeconomic forecasting
Journal of the Royal Statistical Society Series A, 2020, 183, (3), 801-827 View citations (3)
See also Working Paper (2020)
- Correction to: Exponent of Cross-sectional Dependence for Residuals
Sankhya B: The Indian Journal of Statistics, 2020, 82, (2), 380-380
- Time-varying cointegration with an application to the UK Great Ratios
Economics Letters, 2020, 193, (C) View citations (2)
2019
- A Generalised Fractional Differencing Bootstrap for Long Memory Processes
Journal of Time Series Analysis, 2019, 40, (4), 467-492 View citations (4)
See also Working Paper (2019)
- A comprehensive evaluation of macroeconomic forecasting methods
International Journal of Forecasting, 2019, 35, (4), 1226-1239 View citations (28)
See also Working Paper (2016)
- A new approach for detecting shifts in forecast accuracy
International Journal of Forecasting, 2019, 35, (4), 1596-1612 View citations (1)
See also Working Paper (2018)
- A time-varying parameter structural model of the UK economy
Journal of Economic Dynamics and Control, 2019, 106, (C), - View citations (6)
See also Working Paper (2017)
- Exponent of Cross-sectional Dependence for Residuals
Sankhya B: The Indian Journal of Statistics, 2019, 81, (1), 46-102 View citations (10)
See also Working Paper (2018)
- Jumps in option prices and their determinants: Real-time evidence from the E-mini S&P 500 options market
Journal of Financial Markets, 2019, 46, (C) View citations (5)
See also Working Paper (2014)
- Large time‐varying parameter VARs: A nonparametric approach
Journal of Applied Econometrics, 2019, 34, (7), 1027-1049 View citations (12)
See also Working Paper (2017)
2018
- A One Covariate at a Time, Multiple Testing Approach to Variable Selection in High‐Dimensional Linear Regression Models
Econometrica, 2018, 86, (4), 1479-1512 View citations (31)
See also Working Paper (2016)
- A UK financial conditions index using targeted data reduction: Forecasting and structural identification
Econometrics and Statistics, 2018, 7, (C), 1-17 View citations (9)
See also Working Paper (2017)
- Estimation and forecasting in vector autoregressive moving average models for rich datasets
Journal of Econometrics, 2018, 202, (1), 75-91 View citations (1)
See also Working Paper (2014)
- Inference on Multivariate Heteroscedastic Time Varying Random Coefficient Models
Journal of Time Series Analysis, 2018, 39, (2), 129-149 View citations (32)
See also Working Paper (2015)
- Resuscitating real interest rate parity: new evidence from panels
The European Journal of Finance, 2018, 24, (14), 1176-1189 View citations (3)
- Time-varying Lasso
Economics Letters, 2018, 169, (C), 1-6
2017
- Inference for impulse response coefficients from multivariate fractionally integrated processes
Econometric Reviews, 2017, 36, (1-3), 60-84 View citations (1)
See also Working Paper (2015)
- Liquidity creation through efficient M&As: A viable solution for vulnerable banking systems? Evidence from a stress test under a panel VAR methodology
Journal of Banking & Finance, 2017, 83, (C), 36-56 View citations (11)
2016
- A new summary measure of inflation expectations
Economics Letters, 2016, 149, (C), 83-85 View citations (6)
- A time varying DSGE model with financial frictions
Journal of Empirical Finance, 2016, 38, (PB), 690-716 View citations (19)
See also Working Paper (2015)
- Comparing logit-based early warning systems: Does the duration of systemic banking crises matter?
Journal of Empirical Finance, 2016, 37, (C), 104-116 View citations (25)
- Credit market freedom and cost efficiency in US state banking
Journal of Empirical Finance, 2016, 37, (C), 173-185 View citations (17)
- Estimating the Dynamics and Persistence of Financial Networks, with an Application to the Sterling Money Market
Journal of Applied Econometrics, 2016, 31, (1), 58-84 View citations (27)
- Exponent of Cross‐Sectional Dependence: Estimation and Inference
Journal of Applied Econometrics, 2016, 31, (6), 929-960 View citations (67)
See also Working Paper (2012)
- Forecasting inflation and GDP growth using heuristic optimisation of information criteria and variable reduction methods
Computational Statistics & Data Analysis, 2016, 100, (C), 369-382 View citations (19)
- On the estimation of short memory components in long memory time series models
Studies in Nonlinear Dynamics & Econometrics, 2016, 20, (4), 365-375
- Revisiting useful approaches to data-rich macroeconomic forecasting
Computational Statistics & Data Analysis, 2016, 100, (C), 221-239 View citations (42)
See also Working Paper (2008)
- Semiparametric Sieve-Type Generalized Least Squares Inference
Econometric Reviews, 2016, 35, (6), 951-985 View citations (1)
- Structural analysis with Multivariate Autoregressive Index models
Journal of Econometrics, 2016, 192, (2), 332-348 View citations (21)
See also Working Paper (2015)
2015
- A SHRINKAGE INSTRUMENTAL VARIABLE ESTIMATOR FOR LARGE DATASETS
L'Actualité Economique, 2015, 91, (1-2), 67-87 
See also Working Paper (2015)
- A new approach to multi-step forecasting using dynamic stochastic general equilibrium models
Economics Letters, 2015, 136, (C), 237-242 View citations (1)
- Generalised density forecast combinations
Journal of Econometrics, 2015, 188, (1), 150-165 View citations (41)
See also Working Paper (2014)
- Shifts in volatility driven by large stock market shocks
Journal of Economic Dynamics and Control, 2015, 55, (C), 130-147 View citations (17)
2014
- A nonlinear panel data model of cross-sectional dependence
Journal of Econometrics, 2014, 179, (2), 134-157 View citations (16)
See also Working Paper (2013)
- Bandwidth selection by cross-validation for forecasting long memory financial time series
Journal of Empirical Finance, 2014, 29, (C), 129-143 View citations (5)
- Evolving UK and US macroeconomic dynamics through the lens of a model of deterministic structural change
Empirical Economics, 2014, 47, (1), 305-345 View citations (3)
See also Working Paper (2011)
- Inference on stochastic time-varying coefficient models
Journal of Econometrics, 2014, 179, (1), 46-65 View citations (63)
- Level shifts in stock returns driven by large shocks
Journal of Empirical Finance, 2014, 29, (C), 41-51 View citations (7)
- Modified information criteria and selection of long memory time series models
Computational Statistics & Data Analysis, 2014, 76, (C), 116-131 View citations (2)
2013
- A factor approach to realized volatility forecasting in the presence of finite jumps and cross-sectional correlation in pricing errors
Economics Letters, 2013, 120, (2), 224-228 View citations (5)
- Adaptive forecasting in the presence of recent and ongoing structural change
Journal of Econometrics, 2013, 177, (2), 153-170 View citations (56)
See also Working Paper (2014)
- Estimation and inference for impulse response functions from univariate strongly persistent processes
Econometrics Journal, 2013, 16, (3), 373-399 View citations (8)
- HOW PUZZLING IS THE PPP PUZZLE? AN ALTERNATIVE HALF‐LIFE MEASURE OF CONVERGENCE TO PPP
Journal of Applied Econometrics, 2013, 28, (3), 435-457 View citations (6)
See also Working Paper (2005)
- MULTIVARIATE METHODS FOR MONITORING STRUCTURAL CHANGE
Journal of Applied Econometrics, 2013, 28, (2), 250-274 View citations (13)
See also Working Paper (2010)
- Model Selection Criteria for Factor-Augmented Regressions-super-
Oxford Bulletin of Economics and Statistics, 2013, 75, (1), 37-63 View citations (14)
- Robust Forecast Methods and Monitoring during Structural Change
Manchester School, 2013, 81, 3-27 View citations (7)
2012
- Assessing the Economy‐wide Effects of Quantitative Easing
Economic Journal, 2012, 122, (564), F316-F347 View citations (183)
See also Working Paper (2012)
- Forecasting government bond yields with large Bayesian vector autoregressions
Journal of Banking & Finance, 2012, 36, (7), 2026-2047 View citations (53)
- Prediction from ARFIMA models: Comparisons between MLE and semiparametric estimation procedures
International Journal of Forecasting, 2012, 28, (1), 46-53 View citations (8)
2011
- Are more data always better for factor analysis? Results for the euro area, the six largest euro area countries and the UK
Journal of Forecasting, 2011, 30, (8), 736-752 View citations (36)
See also Working Paper (2009)
- ELUSIVE PERSISTENCE: WAGE AND PRICE RIGIDITIES, THE NEW KEYNESIAN PHILLIPS CURVE AND INFLATION DYNAMICS
Journal of Economic Surveys, 2011, 25, (4), 737-768 View citations (13)
- Forecasting large datasets with Bayesian reduced rank multivariate models
Journal of Applied Econometrics, 2011, 26, (5), 735-761 View citations (72)
See also Working Paper (2009)
- Panels with non-stationary multifactor error structures
Journal of Econometrics, 2011, 160, (2), 326-348 View citations (422)
See also Working Paper (2010)
- Testing the Null Hypothesis of Nonstationary Long Memory Against the Alternative Hypothesis of a Nonlinear Ergodic Model
Econometric Reviews, 2011, 30, (6), 620-645 View citations (9)
2010
- A Testing Procedure for Determining the Number of Factors in Approximate Factor Models With Large Datasets
Journal of Business & Economic Statistics, 2010, 28, (3), 397-409 View citations (106)
See also Working Paper (2005)
- Cross-sectional averaging and instrumental variable estimation with many weak instruments
Economics Letters, 2010, 108, (1), 36-39 View citations (1)
See also Working Paper (2008)
- Estimating time variation in measurement error from data revisions: an application to backcasting and forecasting in dynamic models
Journal of Applied Econometrics, 2010, 25, (5), 869-893 View citations (3)
- Factor-GMM estimation with large sets of possibly weak instruments
Computational Statistics & Data Analysis, 2010, 54, (11), 2655-2675 View citations (69)
See also Working Paper (2010)
- Modeling structural breaks in economic relationships using large shocks
Journal of Economic Dynamics and Control, 2010, 34, (3), 417-436 View citations (34)
- TESTING FOR EXOGENEITY IN THRESHOLD MODELS
Econometric Theory, 2010, 26, (1), 231-259 View citations (10)
- TESTS OF THE MARTINGALE DIFFERENCE HYPOTHESIS USING BOOSTING AND RBF NEURAL NETWORK APPROXIMATIONS
Econometric Theory, 2010, 26, (5), 1363-1397 View citations (4)
- The Fifth Special Issue on Computational Econometrics
Computational Statistics & Data Analysis, 2010, 54, (11), 2359-2359
2009
- A State Space Approach to Extracting the Signal From Uncertain Data
Journal of Business & Economic Statistics, 2009, 30, (2), 173-180 View citations (29)
See also Working Paper (2009)
- A parametric estimation method for dynamic factor models of large dimensions
Journal of Time Series Analysis, 2009, 30, (2), 208-238 View citations (33)
See also Working Paper (2006)
- A real time evaluation of Bank of England forecasts of inflation and growth
International Journal of Forecasting, 2009, 25, (1), 74-80 View citations (56)
- Financial Econometrics and Realized Volatility/Vast Data
Economics Bulletin, 2009, 29, (2), A14
- Forecasting exchange rates with a large Bayesian VAR
International Journal of Forecasting, 2009, 25, (2), 400-417 View citations (146)
See also Working Paper (2008)
- Forecasting financial crises and contagion in Asia using dynamic factor analysis
Journal of Empirical Finance, 2009, 16, (2), 188-200 View citations (23)
See also Working Paper (2008)
- Getting PPP right: Identifying mean-reverting real exchange rates in panels
Journal of Banking & Finance, 2009, 33, (2), 390-404 View citations (125)
See also Working Paper (2008)
- Statistical Tests and Estimators of the Rank of a Matrix and Their Applications in Econometric Modelling
Econometric Reviews, 2009, 28, (6), 581-611 View citations (14)
See also Working Paper (2008)
- Testing for strict stationarity in financial variables
Journal of Banking & Finance, 2009, 33, (12), 2346-2362 View citations (8)
2008
- A bootstrap procedure for panel data sets with many cross-sectional units
Econometrics Journal, 2008, 11, (2), 377-395 View citations (80)
See also Working Paper (2004)
- A review of forecasting techniques for large datasets
National Institute Economic Review, 2008, 203, (1), 109-115 View citations (7)
Also in National Institute Economic Review, 2008, 203, 109-115 (2008) View citations (1)
See also Working Paper (2008)
- A stochastic variance factor model for large datasets and an application to S&P data
Economics Letters, 2008, 100, (1), 130-134 View citations (8)
See also Working Paper (2004)
- Bootstrap-based tests for deterministic time-varying coefficients in regression models
Computational Statistics & Data Analysis, 2008, 53, (2), 534-545 View citations (3)
- Forecast combination and the Bank of England's suite of statistical forecasting models
Economic Modelling, 2008, 25, (4), 772-792 View citations (50)
See also Working Paper (2007)
- Forecasting Using Bayesian and Information-Theoretic Model Averaging: An Application to U.K. Inflation
Journal of Business & Economic Statistics, 2008, 26, 33-41 View citations (41)
See also Working Paper (2006)
- GLS detrending-based unit root tests in nonlinear STAR and SETAR models
Economics Letters, 2008, 100, (3), 377-380 View citations (25)
- Nonlinear Alternatives to Unit Root Tests and Public Finances Sustainability: Some Evidence from Latin American and Caribbean Countries*
Oxford Bulletin of Economics and Statistics, 2008, 70, (5), 645-663 View citations (25)
- Nonlinear models for strongly dependent processes with financial applications
Journal of Econometrics, 2008, 147, (1), 60-71 View citations (19)
2007
- Dynamic factor extraction of cross-sectional dependence in panel unit root tests
Journal of Applied Econometrics, 2007, 22, (2), 313-338 View citations (7)
See also Working Paper (2004)
- Estimating deterministically time-varying variances in regression models
Economics Letters, 2007, 97, (2), 97-104 View citations (20)
See also Working Paper (2005)
- Making a match: Combining theory and evidence in policy-oriented macroeconomic modeling
Journal of Econometrics, 2007, 136, (2), 565-594 View citations (21)
See also Working Paper (2005)
- Measuring Conditional Persistence in Nonlinear Time Series*
Oxford Bulletin of Economics and Statistics, 2007, 69, (3), 363-386 View citations (3)
- Testing for ARCH in the presence of nonlinearity of unknown form in the conditional mean
Journal of Econometrics, 2007, 137, (2), 472-488 View citations (23)
See also Working Paper (2003)
- Testing for Neglected Nonlinearity in Cointegrating Relationships*
Journal of Time Series Analysis, 2007, 28, (6), 807-826 View citations (2)
See also Working Paper (2004)
- Testing for Neglected Nonlinearity in Long-Memory Models
Journal of Business & Economic Statistics, 2007, 25, 447-461 View citations (34)
See also Working Paper (2005)
- Variable selection in regression models using nonstandard optimisation of information criteria
Computational Statistics & Data Analysis, 2007, 52, (1), 4-15 View citations (20)
2006
- Choosing the optimal set of instruments from large instrument sets
Computational Statistics & Data Analysis, 2006, 51, (2), 612-620 View citations (5)
- Cluster analysis of panel data sets using non-standard optimisation of information criteria
Journal of Economic Dynamics and Control, 2006, 30, (8), 1389-1408 View citations (2)
See also Working Paper (2005)
- Forecasting using predictive likelihood model averaging
Economics Letters, 2006, 91, (3), 373-379 View citations (29)
See also Working Paper (2006)
- Nonlinear autoregressive models and long memory
Economics Letters, 2006, 91, (3), 360-368 
See also Working Paper (2004)
- TESTING FOR COINTEGRATION IN NONLINEAR SMOOTH TRANSITION ERROR CORRECTION MODELS
Econometric Theory, 2006, 22, (2), 279-303 View citations (108)
- Unit root tests in three-regime SETAR models
Econometrics Journal, 2006, 9, (2), 252-278 View citations (57)
See also Working Paper (2003)
2005
- Estimating the Rank of the Spectral Density Matrix
Journal of Time Series Analysis, 2005, 26, (1), 37-48 View citations (3)
See also Working Paper (2004)
- Forecasting euro area inflation using dynamic factor measures of underlying inflation
Journal of Forecasting, 2005, 24, (7), 491-503 View citations (19)
See also Working Paper (2004)
- Forecasting with measurement errors in dynamic models
International Journal of Forecasting, 2005, 21, (3), 595-607 View citations (13)
See also Working Paper (2004)
- Rational expectations and fixed-event forecasts: An application to UK inflation
Empirical Economics, 2005, 30, (3), 539-553 View citations (12)
See also Working Paper (2003)
- Unit‐root testing against the alternative hypothesis of up to m structural breaks
Journal of Time Series Analysis, 2005, 26, (1), 123-133 View citations (119)
See also Working Paper (2002)
2004
- A note on modelling core inflation for the UK using a new dynamic factor estimation method and a large disaggregated price index dataset
Economics Letters, 2004, 85, (1), 63-69 View citations (22)
- An Investigation of Current Account Solvency in Latin America Using Non Linear Nonstationarity Tests
Studies in Nonlinear Dynamics & Econometrics, 2004, 8, (1), 1-19 View citations (37)
- THE ASYMPTOTIC DISTRIBUTION OF THE COINTEGRATION RANK ESTIMATOR UNDER THE AKAIKE INFORMATION CRITERION
Econometric Theory, 2004, 20, (4), 735-742 View citations (15)
- The Yen Real Exchange Rate may be Stationary after all: Evidence from Non‐linear Unit‐root Tests
Oxford Bulletin of Economics and Statistics, 2004, 66, (1), 113-131 View citations (46)
See also Working Paper (2006)
2003
- A note on an iterative least-squares estimation method for ARMA and VARMA models
Economics Letters, 2003, 79, (3), 305-312 View citations (10)
See also Working Paper (2002)
- A radial basis function artificial neural network test for neglected nonlinearity
Econometrics Journal, 2003, 6, (2), 357-373 View citations (9)
- Bootstrap Neural Network Cointegration Tests Against Nonlinear Alternative Hypotheses
Studies in Nonlinear Dynamics & Econometrics, 2003, 7, (2), 1-16 View citations (1)
- Erratum
Studies in Nonlinear Dynamics & Econometrics, 2003, 7, (2), 1-4
- Pure Significance Tests of the Unit Root Hypothesis Against Nonlinear Alternatives
Journal of Time Series Analysis, 2003, 24, (3), 253-267 View citations (5)
- Testing for a unit root in the nonlinear STAR framework
Journal of Econometrics, 2003, 112, (2), 359-379 View citations (872)
- Threshold models for trended time series
Empirical Economics, 2003, 28, (4), 687-707 View citations (14)
See also Working Paper (1999)
2002
- Nonlinear mean reversion in real exchange rates
Economics Letters, 2002, 77, (3), 411-417 View citations (53)
2001
- An automatic leading indicator of economic activity: forecasting GDP growth for European countries
Econometrics Journal, 2001, 4, (1), 37 View citations (78)
See also Working Paper (1999)
- Incorporating lag order selection uncertainty in parameter inference for AR models
Economics Letters, 2001, 72, (2), 137-144 View citations (3)
See also Working Paper (2000)
- Model Selection in Threshold Models
Journal of Time Series Analysis, 2001, 22, (6), 733-754 View citations (50)
See also Working Paper (1999)
2000
- A radial basis function artificial neural network test for ARCH
Economics Letters, 2000, 69, (1), 15-23 View citations (11)
See also Working Paper (1999)
- Small sample properties of the conditional least squares estimator in SETAR models
Economics Letters, 2000, 69, (3), 267-276 View citations (29)
Chapters
2006
- Nonlinear Modelling of Autoregressive Structural Breaks in Some US Macroeconomic Series
A chapter in Nonlinear Time Series Analysis of Business Cycles, 2006, pp 175-198
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