Details about George Kapetanios

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Workplace:	Business School, King's College London, (more information at EDIRC) Bank of England, (more information at EDIRC)

Access statistics for papers by George Kapetanios.

Last updated 2024-12-09. Update your information in the RePEc Author Service.

Short-id: pka15

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Working Papers

2024

1. Heterogeneous Grouping Structures in Panel Data
   Papers, arXiv.org
2. Investor behavior and multiscale cross-correlations: Unveiling regime shifts in global financial markets
   Papers, arXiv.org
3. On Robust Inference in Time Series Regression
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (1)
   Also in PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2022) View citations (2)
   Papers, arXiv.org (2024) View citations (4)
4. Regression Modelling under General Heterogeneity
   Working Papers, Queen Mary University of London, School of Economics and Finance View citations (1)

2023

5. Deep Neural Network Estimation in Panel Data Models
   Working Papers, Federal Reserve Bank of Cleveland
   Also in Papers, arXiv.org (2023)
6. Forecasting Value-at-Risk using deep neural network quantile regression
   Essex Finance Centre Working Papers, University of Essex, Essex Business School View citations (5)
   See also Journal Article Forecasting Value-at-Risk Using Deep Neural Network Quantile Regression*, Journal of Financial Econometrics, Oxford University Press (2024) (2024)
7. High Dimensional Generalised Penalised Least Squares
   Papers, arXiv.org
8. Mean Group Instrumental Variable Estimation of Time-Varying Large Heterogeneous Panels with Endogenous Regressors
   Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
9. Time Varying Three Pass Regression Filter
   CEPR Discussion Papers, C.E.P.R. Discussion Papers

2022

10. A New Test for Market Efficiency and Uncovered Interest Parity
    Papers, arXiv.org
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2022)
    PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2022)
    See also Journal Article A new test for market efficiency and uncovered interest parity, Journal of International Money and Finance, Elsevier (2023) View citations (1) (2023)
11. A Quality Assessment Framework for Maintaining & Publishing New Indicators
    Economic Statistics Centre of Excellence (ESCoE) Technical Reports, Economic Statistics Centre of Excellence (ESCoE)
12. 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)
13. Choosing between persistent and stationary volatility
    Essex Finance Centre Working Papers, University of Essex, Essex Business School
14. Expansionary and contractionary fiscal multipliers in the U.S
    Working Papers, Queen Mary University of London, School of Economics and Finance View citations (1)
15. Forecasting UK inflation bottom up
    Bank of England working papers, Bank of England View citations (6)
    See also Journal Article Forecasting UK inflation bottom up, International Journal of Forecasting, Elsevier (2024) View citations (1) (2024)
16. 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)
17. 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

18. Forecasting UK GDP growth with large survey panels
    Bank of England working papers, Bank of England View citations (1)
19. 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

20. A Similarity-based Approach for Macroeconomic Forecasting
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (10)
    See also Journal Article A similarity‐based approach for macroeconomic forecasting, Journal of the Royal Statistical Society Series A, Royal Statistical Society (2020) View citations (4) (2020)
21. 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 ESTIMATION OF TIME-VARYING COVARIANCE MATRICES FOR LARGE DATASETS, Econometric Theory, Cambridge University Press (2021) View citations (2) (2021)
22. Making text count: economic forecasting using newspaper text
    Bank of England working papers, Bank of England View citations (38)
    See also Journal Article Making text count: Economic forecasting using newspaper text, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2022) View citations (17) (2022)
23. Measurement of Factor Strenght: Theory and Practice
    CESifo Working Paper Series, CESifo View citations (3)
    Also in Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics (2020) View citations (3)
    See also Journal Article Measurement of factor strength: Theory and practice, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2021) View citations (10) (2021)
24. State-level wage Phillips curves
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University View citations (2)
    Also in Working Papers, Department of Economics, City University London (2020) View citations (9)
    Essex Finance Centre Working Papers, University of Essex, Essex Business School (2018)
    See also Journal Article State-level wage Phillips curves, Econometrics and Statistics, Elsevier (2021) View citations (2) (2021)
25. Time-Varying Instrumental Variable Estimation
    Working Papers, Queen Mary University of London, School of Economics and Finance View citations (1)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2020) View citations (1)
    See also Journal Article Time-varying instrumental variable estimation, Journal of Econometrics, Elsevier (2021) View citations (7) (2021)

2019

26. 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 A Generalised Fractional Differencing Bootstrap for Long Memory Processes, Journal of Time Series Analysis, Wiley Blackwell (2019) View citations (6) (2019)
27. 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 Estimation and inference for multi-dimensional heterogeneous panel datasets with hierarchical multi-factor error structure, Journal of Econometrics, Elsevier (2021) View citations (8) (2021)
28. Hierarchical Time Varying Estimation of a Multi Factor Asset Pricing Model
    Working Papers, Queen Mary University of London, School of Economics and Finance
29. 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 (2)
30. Time-varying cointegration and the UK great ratios
    Bank of England working papers, Bank of England View citations (1)
    Also in CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2018)
    Essex Finance Centre Working Papers, University of Essex, Essex Business School (2018)

2018

31. 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 A new approach for detecting shifts in forecast accuracy, International Journal of Forecasting, Elsevier (2019) View citations (1) (2019)
32. A Residual-based Threshold Method for Detection of Units that are Too Big to Fail in Large Factor Models
    CESifo Working Paper Series, CESifo
33. Big Data & Macroeconomic Nowcasting: Methodological Review
    Economic Statistics Centre of Excellence (ESCoE) Discussion Papers, Economic Statistics Centre of Excellence (ESCoE) View citations (15)
34. 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 (5)
35. 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 Exponent of Cross-sectional Dependence for Residuals, Sankhya B: The Indian Journal of Statistics, Springer (2019) View citations (15) (2019)

2017

36. 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 CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2017) View citations (3)
    Bank of England working papers, Bank of England (2017) View citations (3)
    See also Journal Article A UK financial conditions index using targeted data reduction: Forecasting and structural identification, Econometrics and Statistics, Elsevier (2018) View citations (12) (2018)
37. 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 A time-varying parameter structural model of the UK economy, Journal of Economic Dynamics and Control, Elsevier (2019) View citations (8) (2019)
38. Common correlated effect cross-sectional dependence corrections for non-linear conditional mean panel models
    Bank of England working papers, Bank of England
39. 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 (7)
    See also Journal Article Large time‐varying parameter VARs: A nonparametric approach, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2019) View citations (18) (2019)

2016

40. 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 A One Covariate at a Time, Multiple Testing Approach to Variable Selection in High‐Dimensional Linear Regression Models, Econometrica, Econometric Society (2018) View citations (39) (2018)
41. Big Data Analytics: A New Perspective
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (4)
    Also in Globalization Institute Working Papers, Federal Reserve Bank of Dallas (2016) View citations (1)
    CESifo Working Paper Series, CESifo (2016) View citations (4)

2015

42. 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)
43. 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 A SHRINKAGE INSTRUMENTAL VARIABLE ESTIMATOR FOR LARGE DATASETS, L'Actualité Economique, Société Canadienne de Science Economique (2015) (2015)
44. A Time Varying DSGE Model with Financial Frictions
    Working Papers, Queen Mary University of London, School of Economics and Finance
    See also Journal Article A time varying DSGE model with financial frictions, Journal of Empirical Finance, Elsevier (2016) View citations (21) (2016)
45. 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)
46. 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)
47. Factor based identification-robust inference in IV regressions
    CEPR Discussion Papers, C.E.P.R. Discussion Papers
48. Inference for Impulse Response Coefficients From Multivariate Fractionally Integrated Processes
    Working Paper series, Rimini Centre for Economic Analysis
    See also Journal Article Inference for impulse response coefficients from multivariate fractionally integrated processes, Econometric Reviews, Taylor & Francis Journals (2017) View citations (1) (2017)
49. 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 Inference on Multivariate Heteroscedastic Time Varying Random Coefficient Models, Journal of Time Series Analysis, Wiley Blackwell (2018) View citations (37) (2018)
50. Structural Analysis with Multivariate Autoregressive Index Models
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (4)
    See also Journal Article Structural analysis with Multivariate Autoregressive Index models, Journal of Econometrics, Elsevier (2016) View citations (24) (2016)
51. 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 (31)

2014

52. 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 Adaptive forecasting in the presence of recent and ongoing structural change, Journal of Econometrics, Elsevier (2013) View citations (59) (2013)
53. 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 Estimation and forecasting in vector autoregressive moving average models for rich datasets, Journal of Econometrics, Elsevier (2018) View citations (4) (2018)
54. 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 Bank of England working papers, Bank of England (2014) View citations (4)
    See also Journal Article Generalised density forecast combinations, Journal of Econometrics, Elsevier (2015) View citations (52) (2015)
55. 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 Jumps in option prices and their determinants: Real-time evidence from the E-mini S&P 500 options market, Journal of Financial Markets, Elsevier (2019) View citations (7) (2019)

2012

56. A Nonlinear Panel Data Model of Cross-Sectional Dependence
    Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester View citations (1)
    See also Journal Article A nonlinear panel data model of cross-sectional dependence, Journal of Econometrics, Elsevier (2014) View citations (19) (2014)
57. Assessing the economy-wide effects of quantitative easing
    Bank of England working papers, Bank of England View citations (237)
    See also Journal Article Assessing the Economy‐wide Effects of Quantitative Easing, Economic Journal, Royal Economic Society (2012) View citations (197) (2012)
58. Exponent of Cross-sectional Dependence: Estimation and Inference
    IZA Discussion Papers, Institute of Labor Economics (IZA) View citations (27)
    Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2012) View citations (69)
    CESifo Working Paper Series, CESifo (2012) View citations (27)
    See also Journal Article Exponent of Cross‐Sectional Dependence: Estimation and Inference, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2016) View citations (74) (2016)

2011

59. Block Bootstrap and Long Memory
    Working Papers, Queen Mary University of London, School of Economics and Finance View citations (4)
60. 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 Evolving UK and US macroeconomic dynamics through the lens of a model of deterministic structural change, Empirical Economics, Springer (2014) View citations (4) (2014)
61. 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)
    Working Papers, Department of Economics, City University London (2011) View citations (7)

2010

62. A Nonlinear Panel Model of Cross-sectional Dependence
    Working Papers, Queen Mary University of London, School of Economics and Finance
63. Factor-GMM Estimation with Large Sets of Possibly Weak Instruments
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (65)
    Also in Working Papers, Queen Mary University of London, School of Economics and Finance (2006) View citations (12)
    See also Journal Article Factor-GMM estimation with large sets of possibly weak instruments, Computational Statistics & Data Analysis, Elsevier (2010) View citations (70) (2010)
64. Forecasting Government Bond Yields with Large Bayesian VARs
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (10)
    Also in Working Papers, Queen Mary University of London, School of Economics and Finance (2010) View citations (6)
65. 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 MULTIVARIATE METHODS FOR MONITORING STRUCTURAL CHANGE, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2013) View citations (13) (2013)
66. Panels with nonstationary multifactor error structures
    Post-Print, HAL View citations (15)
    Also in Working Papers, Queen Mary University of London, School of Economics and Finance (2006) View citations (26)
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2006) View citations (30)
    CESifo Working Paper Series, CESifo (2006) View citations (28)
    IZA Discussion Papers, Institute of Labor Economics (IZA) (2006) View citations (49)
    See also Journal Article Panels with non-stationary multifactor error structures, Journal of Econometrics, Elsevier (2011) View citations (489) (2011)

2009

67. 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 (8)
    Also in Bank of England working papers, Bank of England (2007) View citations (9)
    See also Journal Article A State Space Approach to Extracting the Signal From Uncertain Data, Journal of Business & Economic Statistics, Taylor & Francis Journals (2009) View citations (27) (2009)
68. 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 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, John Wiley & Sons, Ltd. (2011) View citations (38) (2011)
69. Forecasting Large Datasets with Bayesian Reduced Rank Multivariate Models
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (5)
    Also in Economics Working Papers, European University Institute (2009) View citations (5)
    See also Journal Article Forecasting large datasets with Bayesian reduced rank multivariate models, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2011) View citations (76) (2011)
70. Model selection criteria for factor-augmented regressions
    Staff Reports, Federal Reserve Bank of New York View citations (7)
71. Parsimonious estimation with many instruments
    Staff Reports, Federal Reserve Bank of New York View citations (4)

2008

72. A Review of Forecasting Techniques for Large Data Sets
    Working Papers, Queen Mary University of London, School of Economics and Finance View citations (15)
    See also Journal Article A review of forecasting techniques for large datasets, National Institute Economic Review, National Institute of Economic and Social Research (2008) View citations (3) (2008)
73. Breaks in DSGE models
    2008 Meeting Papers, Society for Economic Dynamics View citations (1)
74. 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 Cross-sectional averaging and instrumental variable estimation with many weak instruments, Economics Letters, Elsevier (2010) View citations (1) (2010)
75. Forecasting Exchange Rates with a Large Bayesian VAR
    Working Papers, Queen Mary University of London, School of Economics and Finance
    Also in Economics Working Papers, European University Institute (2008)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2008) View citations (4)
    See also Journal Article Forecasting exchange rates with a large Bayesian VAR, International Journal of Forecasting, Elsevier (2009) View citations (160) (2009)
76. 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 Computing in Economics and Finance 2006, Society for Computational Economics (2006) View citations (1)
    Working Papers, Queen Mary University of London, School of Economics and Finance (2005)
    See also Journal Article Forecasting financial crises and contagion in Asia using dynamic factor analysis, Journal of Empirical Finance, Elsevier (2009) View citations (25) (2009)
77. Forecasting with Dynamic Models using Shrinkage-based Estimation
    Working Papers, Queen Mary University of London, School of Economics and Finance View citations (2)
78. 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 Money Macro and Finance (MMF) Research Group Conference 2004, Money Macro and Finance Research Group (2004) View citations (10)
    Working Papers, Queen Mary University of London, School of Economics and Finance (2004) View citations (14)
    See also Journal Article Getting PPP right: Identifying mean-reverting real exchange rates in panels, Journal of Banking & Finance, Elsevier (2009) View citations (137) (2009)
79. 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 (42)
    See also Journal Article Revisiting useful approaches to data-rich macroeconomic forecasting, Computational Statistics & Data Analysis, Elsevier (2016) View citations (49) (2016)
80. 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 Statistical Tests and Estimators of the Rank of a Matrix and Their Applications in Econometric Modelling, Econometric Reviews, Taylor & Francis Journals (2009) View citations (15) (2009)

2007

81. 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)
82. A Test for Serial Dependence Using Neural Networks
    Working Papers, Queen Mary University of London, School of Economics and Finance
83. Boosting Estimation of RBF Neural Networks for Dependent Data
    Working Papers, Queen Mary University of London, School of Economics and Finance View citations (2)
84. 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 Forecast combination and the Bank of England's suite of statistical forecasting models, Economic Modelling, Elsevier (2008) View citations (53) (2008)
85. Forecasting Large Datasets with Reduced Rank Multivariate Models
    Working Papers, Queen Mary University of London, School of Economics and Finance View citations (4)
86. Forecasting using Bayesian and information theoretic model averaging: an application to UK inflation
    Working Papers, Department of Economics, City University London View citations (11)
    Also in Bank of England working papers, Bank of England (2005) View citations (17)
    Working Papers, Queen Mary University of London, School of Economics and Finance (2006)
    See also Journal Article Forecasting Using Bayesian and Information-Theoretic Model Averaging: An Application to U.K. Inflation, Journal of Business & Economic Statistics, American Statistical Association (2008) View citations (44) (2008)
87. Semiparametric Sieve-Type GLS Inference in Regressions with Long-Range Dependence
    Working Papers, Queen Mary University of London, School of Economics and Finance
88. Testing for Strict Stationarity
    Working Papers, Queen Mary University of London, School of Economics and Finance View citations (3)
89. Testing the Martingale Difference Hypothesis Using Neural Network Approximations
    Working Papers, Queen Mary University of London, School of Economics and Finance View citations (1)
90. 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

91. 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 A parametric estimation method for dynamic factor models of large dimensions, Journal of Time Series Analysis, Wiley Blackwell (2009) View citations (33) (2009)
92. Forecasting Using Predictive Likelihood Model Averaging
    Working Papers, Queen Mary University of London, School of Economics and Finance View citations (32)
    See also Journal Article Forecasting using predictive likelihood model averaging, Economics Letters, Elsevier (2006) View citations (30) (2006)
93. 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)
94. 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)
95. Sieve Bootstrap for Strongly Dependent Stationary Processes
    Working Papers, Queen Mary University of London, School of Economics and Finance View citations (6)
96. Stochastic Volatility Driven by Large Shocks
    Working Papers, Queen Mary University of London, School of Economics and Finance View citations (1)
97. The Role of Search Frictions and Bargaining for Inflation Dynamics
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations (4)
98. 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 The Yen Real Exchange Rate may be Stationary after all: Evidence from Non‐linear Unit‐root Tests, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2004) View citations (46) (2004)

2005

99. 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 A Testing Procedure for Determining the Number of Factors in Approximate Factor Models With Large Datasets, Journal of Business & Economic Statistics, American Statistical Association (2010) View citations (117) (2010)
100. Alternative Approaches to Estimation and Inference in Large Multifactor Panels: Small Sample Results with an Application to Modelling of Asset Returns
     Working Papers, Queen Mary University of London, School of Economics and Finance View citations (30)
     Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2005) View citations (30)
     CESifo Working Paper Series, CESifo (2005) View citations (31)
101. 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
102. 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 Cluster analysis of panel data sets using non-standard optimisation of information criteria, Journal of Economic Dynamics and Control, Elsevier (2006) View citations (2) (2006)
103. 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 Estimating deterministically time-varying variances in regression models, Economics Letters, Elsevier (2007) View citations (19) (2007)
104. 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 (13)
     See also Journal Article HOW PUZZLING IS THE PPP PUZZLE? AN ALTERNATIVE HALF‐LIFE MEASURE OF CONVERGENCE TO PPP, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2013) View citations (6) (2013)
105. 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 Making a match: Combining theory and evidence in policy-oriented macroeconomic modeling, Journal of Econometrics, Elsevier (2007) View citations (23) (2007)
106. 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)
107. 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
108. 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 Testing for Neglected Nonlinearity in Long-Memory Models, Journal of Business & Economic Statistics, American Statistical Association (2007) View citations (35) (2007)
109. Tests for Deterministic Parametric Structural Change in Regression Models
     Working Papers, Queen Mary University of London, School of Economics and Finance
110. 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

111. 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)
112. 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 A bootstrap procedure for panel data sets with many cross-sectional units, Econometrics Journal, Royal Economic Society (2008) View citations (90) (2008)
113. 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)
114. 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 A stochastic variance factor model for large datasets and an application to S&P data, Economics Letters, Elsevier (2008) View citations (11) (2008)
115. 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 Dynamic factor extraction of cross-sectional dependence in panel unit root tests, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2007) View citations (7) (2007)
116. 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)
117. Estimating the rank of the spectral density matrix
     Working Paper Series, European Central Bank
     See also Journal Article Estimating the Rank of the Spectral Density Matrix, Journal of Time Series Analysis, Wiley Blackwell (2005) View citations (3) (2005)
118. Forecasting euro area inflation using dynamic factor measures of underlying inflation
     Working Paper Series, European Central Bank View citations (7)
     See also Journal Article Forecasting euro area inflation using dynamic factor measures of underlying inflation, Journal of Forecasting, John Wiley & Sons, Ltd. (2005) View citations (20) (2005)
119. Forecasting with Measurement Errors in Dynamic Models
     Working Papers, Queen Mary University of London, School of Economics and Finance View citations (5)
     Also in Bank of England working papers, Bank of England (2004) View citations (5)
     Royal Economic Society Annual Conference 2003, Royal Economic Society (2003) View citations (5)
     See also Journal Article Forecasting with measurement errors in dynamic models, International Journal of Forecasting, Elsevier (2005) View citations (13) (2005)
120. Nonlinear Autoregressive Models and Long Memory
     Working Papers, Queen Mary University of London, School of Economics and Finance
     See also Journal Article Nonlinear autoregressive models and long memory, Economics Letters, Elsevier (2006) (2006)
121. On Testing for Diagonality of Large Dimensional Covariance Matrices
     Working Papers, Queen Mary University of London, School of Economics and Finance View citations (3)
122. Testing for Exogeneity in Nonlinear Threshold Models
     Working Papers, Queen Mary University of London, School of Economics and Finance View citations (1)
123. Testing for Neglected Nonlinearity in Cointegrating Relationships
     Working Papers, Queen Mary University of London, School of Economics and Finance
     See also Journal Article Testing for Neglected Nonlinearity in Cointegrating Relationships*, Journal of Time Series Analysis, Wiley Blackwell (2007) View citations (2) (2007)
124. Testing for nonlinear cointegration between stock prices and dividends
     Money Macro and Finance (MMF) Research Group Conference 2003, Money Macro and Finance Research Group
125. 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

126. 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)
127. A Dynamic Factor Analysis of Financial Contagion in Asia
     Working Papers, Queen Mary University of London, School of Economics and Finance View citations (1)
128. A New Nonparametric Test of Cointegration Rank
     Working Papers, Queen Mary University of London, School of Economics and Finance View citations (2)
129. A Nonlinear Approach to Public Finance Sustainability in Latin America
     Working Papers, Queen Mary University of London, School of Economics and Finance
130. 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)
131. 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)
132. Determining the Poolability of Individual Series in Panel Datasets
     Working Papers, Queen Mary University of London, School of Economics and Finance View citations (19)
133. 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)
134. 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)
135. 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)
136. 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)
137. 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 Rational expectations and fixed-event forecasts: An application to UK inflation, Empirical Economics, Springer (2005) View citations (13) (2005)
138. Structural Breaks in Inflation Dynamics
     Computing in Economics and Finance 2003, Society for Computational Economics View citations (20)
139. 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 Testing for ARCH in the presence of nonlinearity of unknown form in the conditional mean, Journal of Econometrics, Elsevier (2007) View citations (23) (2007)
140. Testing for Cointegration in Nonlinear STAR Error Correction Models
     Working Papers, Queen Mary University of London, School of Economics and Finance View citations (12)
141. Testing for Nonstationary Long Memory against Nonlinear Ergodic Models
     Working Papers, Queen Mary University of London, School of Economics and Finance View citations (7)
142. 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 Unit root tests in three-regime SETAR models, Econometrics Journal, Royal Economic Society (2006) View citations (58) (2006)
143. 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

144. A Note on Covariance Stationarity Conditions for Dynamic Random Coefficient Models
     Working Papers, Queen Mary University of London, School of Economics and Finance
145. 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 A note on an iterative least-squares estimation method for ARMA and VARMA models, Economics Letters, Elsevier (2003) View citations (11) (2003)
146. Bootstrap Statistical Tests of Rank Determination for System Identification
     Working Papers, Queen Mary University of London, School of Economics and Finance
147. Estimation and Inference in a Non-Linear State Space Model: Durable Consumption
     Royal Economic Society Annual Conference 2002, Royal Economic Society
148. 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)
149. GLS Detrending for Nonlinear Unit Root Tests
     Working Papers, Queen Mary University of London, School of Economics and Finance View citations (1)
150. Measuring Conditional Persistence in Time Series
     Working Papers, Queen Mary University of London, School of Economics and Finance View citations (2)
151. 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)
152. 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)
153. 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 Unit‐root testing against the alternative hypothesis of up to m structural breaks, Journal of Time Series Analysis, Wiley Blackwell (2005) View citations (128) (2005)

2001

154. Spectral based methods to identify common trends and common cycles
     Working Paper Series, European Central Bank View citations (10)
155. Testing the rank of the Hankel matrix: a statistical approach
     Working Paper Series, European Central Bank View citations (19)

2000

156. 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)
157. Evaluating macroeconomic models of the business cycle
     National Institute of Economic and Social Research (NIESR) Discussion Papers, National Institute of Economic and Social Research
158. 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 Incorporating lag order selection uncertainty in parameter inference for AR models, Economics Letters, Elsevier (2001) View citations (3) (2001)
159. 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)
160. 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)
161. 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)
162. 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)
163. Testing for a Unit Root against Nonlinear STAR Models
     National Institute of Economic and Social Research (NIESR) Discussion Papers, National Institute of Economic and Social Research View citations (113)
     Also in Edinburgh School of Economics Discussion Paper Series, Edinburgh School of Economics, University of Edinburgh (2000) View citations (3)

1999

164. 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 A radial basis function artificial neural network test for ARCH, Economics Letters, Elsevier (2000) View citations (11) (2000)
165. 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)
166. 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 An automatic leading indicator of economic activity: forecasting GDP growth for European countries, Econometrics Journal, Royal Economic Society (2001) View citations (81) (2001)
167. Model Selection in Threshold Models
     Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (31)
     See also Journal Article Model Selection in Threshold Models, Journal of Time Series Analysis, Wiley Blackwell (2001) View citations (49) (2001)
168. 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)
169. 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)
170. Threshold Models for Trended Time Series
     Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (16)
     See also Journal Article Threshold models for trended time series, Empirical Economics, Springer (2003) View citations (14) (2003)

Journal Articles

2024

1. An LM Test for the Conditional Independence between Regressors and Factor Loadings in Panel Data Models with Interactive Effects
   Journal of Business & Economic Statistics, 2024, 42, (2), 743-761
2. Forecasting UK inflation bottom up
   International Journal of Forecasting, 2024, 40, (4), 1521-1538 View citations (1)
   See also Working Paper Forecasting UK inflation bottom up, Bank of England working papers (2022) View citations (6) (2022)
3. Forecasting Value-at-Risk Using Deep Neural Network Quantile Regression*
   Journal of Financial Econometrics, 2024, 22, (3), 636-669
   See also Working Paper Forecasting Value-at-Risk using deep neural network quantile regression, Essex Finance Centre Working Papers (2023) View citations (5) (2023)
4. Forecasting in factor augmented regressions under structural change
   International Journal of Forecasting, 2024, 40, (1), 62-76 View citations (1)

2023

5. A new test for market efficiency and uncovered interest parity
   Journal of International Money and Finance, 2023, 130, (C) View citations (1)
   See also Working Paper A New Test for Market Efficiency and Uncovered Interest Parity, Papers (2022) (2022)
6. Testing for correlation between the regressors and factor loadings in heterogeneous panels with interactive effects
   Empirical Economics, 2023, 64, (6), 2611-2659 View citations (2)

2022

7. Hierarchical Time-Varying Estimation of Asset Pricing Models
   JRFM, 2022, 15, (1), 1-26 View citations (1)
8. How did consumers react to the COVID‐19 pandemic over time?
   Oxford Bulletin of Economics and Statistics, 2022, 84, (5), 961-993
9. Investigating the predictive ability of ONS big data‐based indicators
   Journal of Forecasting, 2022, 41, (2), 252-258 View citations (1)
10. Making text count: Economic forecasting using newspaper text
    Journal of Applied Econometrics, 2022, 37, (5), 896-919 View citations (17)
    See also Working Paper Making text count: economic forecasting using newspaper text, Bank of England working papers (2020) View citations (38) (2020)

2021

11. 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)
12. 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
13. Detection of units with pervasive effects in large panel data models
    Journal of Econometrics, 2021, 221, (2), 510-541 View citations (2)
14. ESTIMATION OF TIME-VARYING COVARIANCE MATRICES FOR LARGE DATASETS
    Econometric Theory, 2021, 37, (6), 1100-1134 View citations (2)
    See also Working Paper Estimation of time-varying covariance matrices for large datasets, Working Papers (2020) (2020)
15. 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 (8)
    See also Working Paper Estimation and Inference for Multi-dimensional Heterogeneous Panel Datasets with Hierarchical Multi-factor Error Structure, SERIES (2019) (2019)
16. Kernel-based Volatility Generalised Least Squares
    Econometrics and Statistics, 2021, 20, (C), 2-11
17. Measurement of factor strength: Theory and practice
    Journal of Applied Econometrics, 2021, 36, (5), 587-613 View citations (10)
    See also Working Paper Measurement of Factor Strenght: Theory and Practice, CESifo Working Paper Series (2020) View citations (3) (2020)
18. State-level wage Phillips curves
    Econometrics and Statistics, 2021, 18, (C), 1-11 View citations (2)
    See also Working Paper State-level wage Phillips curves, CAMA Working Papers (2020) View citations (2) (2020)
19. Time-varying instrumental variable estimation
    Journal of Econometrics, 2021, 224, (2), 394-415 View citations (7)
    See also Working Paper Time-Varying Instrumental Variable Estimation, Working Papers (2020) View citations (1) (2020)
20. 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 (8)

2020

21. A similarity‐based approach for macroeconomic forecasting
    Journal of the Royal Statistical Society Series A, 2020, 183, (3), 801-827 View citations (4)
    See also Working Paper A Similarity-based Approach for Macroeconomic Forecasting, CEPR Discussion Papers (2020) View citations (10) (2020)
22. Correction to: Exponent of Cross-sectional Dependence for Residuals
    Sankhya B: The Indian Journal of Statistics, 2020, 82, (2), 380-380
23. Time-varying cointegration with an application to the UK Great Ratios
    Economics Letters, 2020, 193, (C) View citations (3)

2019

24. A Generalised Fractional Differencing Bootstrap for Long Memory Processes
    Journal of Time Series Analysis, 2019, 40, (4), 467-492 View citations (6)
    See also Working Paper A Generalised Fractional Differencing Bootstrap for Long Memory Processes, Essex Finance Centre Working Papers (2019) View citations (4) (2019)
25. A comprehensive evaluation of macroeconomic forecasting methods
    International Journal of Forecasting, 2019, 35, (4), 1226-1239 View citations (35)
26. 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 A New Approach for Detecting Shifts in Forecast Accuracy, Cardiff Economics Working Papers (2018) (2018)
27. A time-varying parameter structural model of the UK economy
    Journal of Economic Dynamics and Control, 2019, 106, (C), - View citations (8)
    See also Working Paper A time varying parameter structural model of the UK economy, Bank of England working papers (2017) View citations (4) (2017)
28. Exponent of Cross-sectional Dependence for Residuals
    Sankhya B: The Indian Journal of Statistics, 2019, 81, (1), 46-102 View citations (15)
    See also Working Paper Exponent of Cross-sectional Dependence for Residuals, CESifo Working Paper Series (2018) (2018)
29. 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 (7)
    See also Working Paper Jumps in Option Prices and Their Determinants: Real-time Evidence from the E-mini S&P 500 Option Market, Working Papers (2014) (2014)
30. Large time‐varying parameter VARs: A nonparametric approach
    Journal of Applied Econometrics, 2019, 34, (7), 1027-1049 View citations (18)
    See also Working Paper Large time-varying parameter VARs: a non-parametric approach, Temi di discussione (Economic working papers) (2017) (2017)

2018

31. 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 (39)
    See also Working Paper A One-Covariate at a Time, Multiple Testing Approach to Variable Selection in High-Dimensional Linear Regression Models, Cambridge Working Papers in Economics (2016) View citations (1) (2016)
32. A UK financial conditions index using targeted data reduction: Forecasting and structural identification
    Econometrics and Statistics, 2018, 7, (C), 1-17 View citations (12)
    See also Working Paper A UK financial conditions index using targeted data reduction: forecasting and structural identification, Essex Finance Centre Working Papers (2017) View citations (1) (2017)
33. Estimation and forecasting in vector autoregressive moving average models for rich datasets
    Journal of Econometrics, 2018, 202, (1), 75-91 View citations (4)
    See also Working Paper Estimation and Forecasting in Vector Autoregressive Moving Average Models for Rich Datasets, CREATES Research Papers (2014) View citations (4) (2014)
34. Inference on Multivariate Heteroscedastic Time Varying Random Coefficient Models
    Journal of Time Series Analysis, 2018, 39, (2), 129-149 View citations (37)
    See also Working Paper Inference on Multivariate Heteroscedastic Time Varying Random Coefficient Models, Working Papers (2015) View citations (7) (2015)
35. Resuscitating real interest rate parity: new evidence from panels
    The European Journal of Finance, 2018, 24, (14), 1176-1189 View citations (3)
36. Time-varying Lasso
    Economics Letters, 2018, 169, (C), 1-6

2017

37. 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 Inference for Impulse Response Coefficients From Multivariate Fractionally Integrated Processes, Working Paper series (2015) (2015)
38. 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

39. A new summary measure of inflation expectations
    Economics Letters, 2016, 149, (C), 83-85 View citations (6)
40. A time varying DSGE model with financial frictions
    Journal of Empirical Finance, 2016, 38, (PB), 690-716 View citations (21)
    See also Working Paper A Time Varying DSGE Model with Financial Frictions, Working Papers (2015) (2015)
41. 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 (29)
42. Credit market freedom and cost efficiency in US state banking
    Journal of Empirical Finance, 2016, 37, (C), 173-185 View citations (21)
43. 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 (29)
44. Exponent of Cross‐Sectional Dependence: Estimation and Inference
    Journal of Applied Econometrics, 2016, 31, (6), 929-960 View citations (74)
    See also Working Paper Exponent of Cross-sectional Dependence: Estimation and Inference, IZA Discussion Papers (2012) View citations (27) (2012)
45. Factor‐Based Identification‐Robust Interference in IV Regressions
    Journal of Applied Econometrics, 2016, 31, (5), 821-842 View citations (2)
46. 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)
47. On the estimation of short memory components in long memory time series models
    Studies in Nonlinear Dynamics & Econometrics, 2016, 20, (4), 365-375
48. Revisiting useful approaches to data-rich macroeconomic forecasting
    Computational Statistics & Data Analysis, 2016, 100, (C), 221-239 View citations (49)
    See also Working Paper Revisiting Useful Approaches to Data-Rich Macroeconomic Forecasting, Working Papers (2008) View citations (29) (2008)
49. Semiparametric Sieve-Type Generalized Least Squares Inference
    Econometric Reviews, 2016, 35, (6), 951-985 View citations (1)
50. Structural analysis with Multivariate Autoregressive Index models
    Journal of Econometrics, 2016, 192, (2), 332-348 View citations (24)
    See also Working Paper Structural Analysis with Multivariate Autoregressive Index Models, CEPR Discussion Papers (2015) View citations (4) (2015)

2015

51. A SHRINKAGE INSTRUMENTAL VARIABLE ESTIMATOR FOR LARGE DATASETS
    L'Actualité Economique, 2015, 91, (1-2), 67-87
    See also Working Paper A Shrinkage Instrumental Variable Estimator for Large Datasets, Working Papers (2015) (2015)
52. A new approach to multi-step forecasting using dynamic stochastic general equilibrium models
    Economics Letters, 2015, 136, (C), 237-242 View citations (1)
53. Generalised density forecast combinations
    Journal of Econometrics, 2015, 188, (1), 150-165 View citations (52)
    See also Working Paper Generalised Density Forecast Combinations, CAMA Working Papers (2014) View citations (10) (2014)
54. Shifts in volatility driven by large stock market shocks
    Journal of Economic Dynamics and Control, 2015, 55, (C), 130-147 View citations (26)

2014

55. A nonlinear panel data model of cross-sectional dependence
    Journal of Econometrics, 2014, 179, (2), 134-157 View citations (19)
    See also Working Paper A Nonlinear Panel Data Model of Cross-Sectional Dependence, Discussion Papers in Economics (2012) View citations (1) (2012)
56. Bandwidth selection by cross-validation for forecasting long memory financial time series
    Journal of Empirical Finance, 2014, 29, (C), 129-143 View citations (5)
57. 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 (4)
    See also Working Paper Evolving UK and US macroeconomic dynamics through the lens of a model of deterministic structural change, Bank of England working papers (2011) (2011)
58. Inference on stochastic time-varying coefficient models
    Journal of Econometrics, 2014, 179, (1), 46-65 View citations (71)
59. Level shifts in stock returns driven by large shocks
    Journal of Empirical Finance, 2014, 29, (C), 41-51 View citations (7)
60. Modified information criteria and selection of long memory time series models
    Computational Statistics & Data Analysis, 2014, 76, (C), 116-131 View citations (2)

2013

61. 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 (6)
62. Adaptive forecasting in the presence of recent and ongoing structural change
    Journal of Econometrics, 2013, 177, (2), 153-170 View citations (59)
    See also Working Paper Adaptive forecasting in the presence of recent and ongoing structural change, Bank of England working papers (2014) (2014)
63. Estimation and inference for impulse response functions from univariate strongly persistent processes
    Econometrics Journal, 2013, 16, (3), 373-399 View citations (10)
64. 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 How Puzzling is the PPP Puzzle? An Alternative Half-Life Measure of convergence to PPP, Money Macro and Finance (MMF) Research Group Conference 2005 (2005) View citations (1) (2005)
65. MULTIVARIATE METHODS FOR MONITORING STRUCTURAL CHANGE
    Journal of Applied Econometrics, 2013, 28, (2), 250-274 View citations (13)
    See also Working Paper Multivariate Methods for Monitoring Structural Change, Working Papers (2010) (2010)
66. Model Selection Criteria for Factor-Augmented Regressions-super-
    Oxford Bulletin of Economics and Statistics, 2013, 75, (1), 37-63 View citations (15)
67. Robust Forecast Methods and Monitoring during Structural Change
    Manchester School, 2013, 81, 3-27 View citations (7)

2012

68. Assessing the Economy‐wide Effects of Quantitative Easing
    Economic Journal, 2012, 122, (564), F316-F347 View citations (197)
    See also Working Paper Assessing the economy-wide effects of quantitative easing, Bank of England working papers (2012) View citations (237) (2012)
69. Forecasting government bond yields with large Bayesian vector autoregressions
    Journal of Banking & Finance, 2012, 36, (7), 2026-2047 View citations (59)
70. Prediction from ARFIMA models: Comparisons between MLE and semiparametric estimation procedures
    International Journal of Forecasting, 2012, 28, (1), 46-53 View citations (8)

2011

71. 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 (38)
    See also Working Paper 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 (2009) View citations (15) (2009)
72. 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)
73. Forecasting large datasets with Bayesian reduced rank multivariate models
    Journal of Applied Econometrics, 2011, 26, (5), 735-761 View citations (76)
    See also Working Paper Forecasting Large Datasets with Bayesian Reduced Rank Multivariate Models, CEPR Discussion Papers (2009) View citations (5) (2009)
74. Panels with non-stationary multifactor error structures
    Journal of Econometrics, 2011, 160, (2), 326-348 View citations (489)
    See also Working Paper Panels with nonstationary multifactor error structures, Post-Print (2010) View citations (15) (2010)
75. 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

76. 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 (117)
    See also Working Paper A Testing Procedure for Determining the Number of Factors in Approximate Factor Models with Large Datasets, Working Papers (2005) View citations (5) (2005)
77. 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 Cross-sectional Averaging and Instrumental Variable Estimation with Many Weak Instruments, Working Papers (2008) (2008)
78. 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)
79. Factor-GMM estimation with large sets of possibly weak instruments
    Computational Statistics & Data Analysis, 2010, 54, (11), 2655-2675 View citations (70)
    See also Working Paper Factor-GMM Estimation with Large Sets of Possibly Weak Instruments, CEPR Discussion Papers (2010) View citations (65) (2010)
80. Modeling structural breaks in economic relationships using large shocks
    Journal of Economic Dynamics and Control, 2010, 34, (3), 417-436 View citations (37)
81. TESTING FOR EXOGENEITY IN THRESHOLD MODELS
    Econometric Theory, 2010, 26, (1), 231-259 View citations (11)
82. TESTS OF THE MARTINGALE DIFFERENCE HYPOTHESIS USING BOOSTING AND RBF NEURAL NETWORK APPROXIMATIONS
    Econometric Theory, 2010, 26, (5), 1363-1397 View citations (5)
83. The Fifth Special Issue on Computational Econometrics
    Computational Statistics & Data Analysis, 2010, 54, (11), 2359-2359

2009

84. A State Space Approach to Extracting the Signal From Uncertain Data
    Journal of Business & Economic Statistics, 2009, 30, (2), 173-180 View citations (27)
    See also Working Paper A State Space Approach to Extracting the Signal from Uncertain Data, Working Papers (2009) View citations (8) (2009)
85. 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 A Parametric Estimation Method for Dynamic Factor Models of Large Dimensions, CEPR Discussion Papers (2006) View citations (45) (2006)
86. 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)
87. Financial Econometrics and Realized Volatility/Vast Data
    Economics Bulletin, 2009, 29, (2), A14
88. Forecasting exchange rates with a large Bayesian VAR
    International Journal of Forecasting, 2009, 25, (2), 400-417 View citations (160)
    See also Working Paper Forecasting Exchange Rates with a Large Bayesian VAR, Working Papers (2008) (2008)
89. Forecasting financial crises and contagion in Asia using dynamic factor analysis
    Journal of Empirical Finance, 2009, 16, (2), 188-200 View citations (25)
    See also Working Paper Forecasting Financial Crises and Contagion in Asia using Dynamic Factor Analysis, Center for Economic Research (RECent) (2008) View citations (4) (2008)
90. Getting PPP right: Identifying mean-reverting real exchange rates in panels
    Journal of Banking & Finance, 2009, 33, (2), 390-404 View citations (137)
    See also Working Paper Getting PPP Right: Identifying Mean-Reverting Real Exchange Rates in Panels, Working Papers (2008) View citations (2) (2008)
91. 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 (15)
    See also Working Paper Statistical tests and estimators of the rank of a matrix and their applications in econometric modelling, Working Paper Series (2008) View citations (6) (2008)
92. Testing for strict stationarity in financial variables
    Journal of Banking & Finance, 2009, 33, (12), 2346-2362 View citations (8)

2008

93. A bootstrap procedure for panel data sets with many cross-sectional units
    Econometrics Journal, 2008, 11, (2), 377-395 View citations (90)
    See also Working Paper A Bootstrap Procedure for Panel Datasets with Many Cross-Sectional Units, Working Papers (2004) View citations (2) (2004)
94. A review of forecasting techniques for large datasets
    National Institute Economic Review, 2008, 203, 109-115 View citations (3)
    Also in National Institute Economic Review, 2008, 203, (1), 109-115 (2008) View citations (9)
    See also Working Paper A Review of Forecasting Techniques for Large Data Sets, Working Papers (2008) View citations (15) (2008)
95. A stochastic variance factor model for large datasets and an application to S&P data
    Economics Letters, 2008, 100, (1), 130-134 View citations (11)
    See also Working Paper A Stochastic Variance Factor Model for Large Datasets and an Application to S&P Data, Working Papers (2004) View citations (3) (2004)
96. Bootstrap-based tests for deterministic time-varying coefficients in regression models
    Computational Statistics & Data Analysis, 2008, 53, (2), 534-545 View citations (4)
97. Forecast combination and the Bank of England's suite of statistical forecasting models
    Economic Modelling, 2008, 25, (4), 772-792 View citations (53)
    See also Working Paper Forecast combination and the Bank of England’s suite of statistical forecasting models, Bank of England working papers (2007) View citations (32) (2007)
98. 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 (44)
    See also Working Paper Forecasting using Bayesian and information theoretic model averaging: an application to UK inflation, Working Papers (2007) View citations (11) (2007)
99. GLS detrending-based unit root tests in nonlinear STAR and SETAR models
    Economics Letters, 2008, 100, (3), 377-380 View citations (32)
100. 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 (28)
101. Nonlinear models for strongly dependent processes with financial applications
     Journal of Econometrics, 2008, 147, (1), 60-71 View citations (21)

2007

102. 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 Dynamic Factor Extraction of Cross-Sectional Dependence in Panel Unit Root Tests, Working Papers (2004) View citations (1) (2004)
103. Estimating deterministically time-varying variances in regression models
     Economics Letters, 2007, 97, (2), 97-104 View citations (19)
     See also Working Paper Estimating Deterministically Time-Varying Variances in Regression Models, Working Papers (2005) View citations (2) (2005)
104. Making a match: Combining theory and evidence in policy-oriented macroeconomic modeling
     Journal of Econometrics, 2007, 136, (2), 565-594 View citations (23)
     See also Working Paper Making a match: Combining theory and evidence in policy-oriented macroeconomic modelling, CAMA Working Papers (2005) View citations (3) (2005)
105. Measuring Conditional Persistence in Nonlinear Time Series*
     Oxford Bulletin of Economics and Statistics, 2007, 69, (3), 363-386 View citations (4)
106. 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 Testing for ARCH in the Presence of Nonlinearity of Unknown Form in the Conditional Mean, Working Papers (2003) View citations (1) (2003)
107. Testing for Neglected Nonlinearity in Cointegrating Relationships*
     Journal of Time Series Analysis, 2007, 28, (6), 807-826 View citations (2)
     See also Working Paper Testing for Neglected Nonlinearity in Cointegrating Relationships, Working Papers (2004) (2004)
108. Testing for Neglected Nonlinearity in Long-Memory Models
     Journal of Business & Economic Statistics, 2007, 25, 447-461 View citations (35)
     See also Working Paper Testing for Neglected Nonlinearity in Long Memory Models, Working Papers (2005) View citations (4) (2005)
109. Variable selection in regression models using nonstandard optimisation of information criteria
     Computational Statistics & Data Analysis, 2007, 52, (1), 4-15 View citations (20)

2006

110. Choosing the optimal set of instruments from large instrument sets
     Computational Statistics & Data Analysis, 2006, 51, (2), 612-620 View citations (5)
111. 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 Cluster Analysis of Panel Datasets using Non-Standard Optimisation of Information Criteria, Working Papers (2005) (2005)
112. Forecasting using predictive likelihood model averaging
     Economics Letters, 2006, 91, (3), 373-379 View citations (30)
     See also Working Paper Forecasting Using Predictive Likelihood Model Averaging, Working Papers (2006) View citations (32) (2006)
113. Nonlinear autoregressive models and long memory
     Economics Letters, 2006, 91, (3), 360-368
     See also Working Paper Nonlinear Autoregressive Models and Long Memory, Working Papers (2004) (2004)
114. TESTING FOR COINTEGRATION IN NONLINEAR SMOOTH TRANSITION ERROR CORRECTION MODELS
     Econometric Theory, 2006, 22, (2), 279-303 View citations (111)
115. Unit root tests in three-regime SETAR models
     Econometrics Journal, 2006, 9, (2), 252-278 View citations (58)
     See also Working Paper Unit Root Tests in Three-Regime SETAR Models, Edinburgh School of Economics Discussion Paper Series (2003) View citations (7) (2003)

2005

116. 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 Estimating the rank of the spectral density matrix, Working Paper Series (2004) (2004)
117. Forecasting euro area inflation using dynamic factor measures of underlying inflation
     Journal of Forecasting, 2005, 24, (7), 491-503 View citations (20)
     See also Working Paper Forecasting euro area inflation using dynamic factor measures of underlying inflation, Working Paper Series (2004) View citations (7) (2004)
118. Forecasting with measurement errors in dynamic models
     International Journal of Forecasting, 2005, 21, (3), 595-607 View citations (13)
     See also Working Paper Forecasting with Measurement Errors in Dynamic Models, Working Papers (2004) View citations (5) (2004)
119. Rational expectations and fixed-event forecasts: An application to UK inflation
     Empirical Economics, 2005, 30, (3), 539-553 View citations (13)
     See also Working Paper Rational expectations and fixed-event forecasts: an application to UK inflation, Bank of England working papers (2003) View citations (12) (2003)
120. 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 (128)
     See also Working Paper Unit Root Testing against the Alternative Hypothesis of up to m Structural Breaks, Working Papers (2002) View citations (8) (2002)

2004

121. 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 (25)
122. An Investigation of Current Account Solvency in Latin America Using Non Linear Nonstationarity Tests
     Studies in Nonlinear Dynamics & Econometrics, 2004, 8, (1), 19 View citations (38)
123. THE ASYMPTOTIC DISTRIBUTION OF THE COINTEGRATION RANK ESTIMATOR UNDER THE AKAIKE INFORMATION CRITERION
     Econometric Theory, 2004, 20, (4), 735-742 View citations (15)
124. 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 The yen real exchange rate may be stationary after all: evidence from non-linear unit root tests, Bank of England working papers (2006) View citations (10) (2006)

2003

125. A note on an iterative least-squares estimation method for ARMA and VARMA models
     Economics Letters, 2003, 79, (3), 305-312 View citations (11)
     See also Working Paper A Note on an Iterative Least Squares Estimation Method for ARMA and VARMA Models, Working Papers (2002) (2002)
126. A radial basis function artificial neural network test for neglected nonlinearity
     Econometrics Journal, 2003, 6, (2), 357-373 View citations (9)
127. Bootstrap Neural Network Cointegration Tests Against Nonlinear Alternative Hypotheses
     Studies in Nonlinear Dynamics & Econometrics, 2003, 7, (2), 16 View citations (1)
128. Erratum
     Studies in Nonlinear Dynamics & Econometrics, 2003, 7, (2), 4
129. Pure Significance Tests of the Unit Root Hypothesis Against Nonlinear Alternatives
     Journal of Time Series Analysis, 2003, 24, (3), 253-267 View citations (5)
130. Testing for a unit root in the nonlinear STAR framework
     Journal of Econometrics, 2003, 112, (2), 359-379 View citations (909)
131. Threshold models for trended time series
     Empirical Economics, 2003, 28, (4), 687-707 View citations (14)
     See also Working Paper Threshold Models for Trended Time Series, Cambridge Working Papers in Economics (1999) View citations (16) (1999)

2002

132. Nonlinear mean reversion in real exchange rates
     Economics Letters, 2002, 77, (3), 411-417 View citations (57)

2001

133. An automatic leading indicator of economic activity: forecasting GDP growth for European countries
     Econometrics Journal, 2001, 4, (1), 37 View citations (81)
     See also Working Paper An Automatic Leading Indicator of Economic Activity: Forecasting GDP Growth for European Countries, National Institute of Economic and Social Research (NIESR) Discussion Papers (1999) View citations (19) (1999)
134. 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 Incorporating lag order selection uncertainty in parameter inference for AR models, National Institute of Economic and Social Research (NIESR) Discussion Papers (2000) View citations (5) (2000)
135. Model Selection in Threshold Models
     Journal of Time Series Analysis, 2001, 22, (6), 733-754 View citations (49)
     See also Working Paper Model Selection in Threshold Models, Cambridge Working Papers in Economics (1999) View citations (31) (1999)

2000

136. A radial basis function artificial neural network test for ARCH
     Economics Letters, 2000, 69, (1), 15-23 View citations (11)
     See also Working Paper A Radial Basis Function Artificial Neural Network Test for ARCH, National Institute of Economic and Social Research (NIESR) Discussion Papers (1999) View citations (14) (1999)
137. Small sample properties of the conditional least squares estimator in SETAR models
     Economics Letters, 2000, 69, (3), 267-276 View citations (29)

Chapters

2006

1. 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