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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 2021-07-07. Update your information in the RePEc Author Service.

Short-id: pka15


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Working Papers

2021

  1. Forecasting UK GDP growth with large survey panels
    Bank of England working papers, Bank of England Downloads
  2. Forecasting UK inflation bottom up
    Bank of England working papers, Bank of England

2020

  1. A Similarity-based Approach for Macroeconomic Forecasting
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (5)
    See also Journal Article in Journal of the Royal Statistical Society Series A (2020)
  2. Making text count: economic forecasting using newspaper text
    Bank of England working papers, Bank of England Downloads View citations (11)
  3. Measurement of Factor Strenght: Theory and Practice
    CESifo Working Paper Series, CESifo Downloads View citations (1)
    Also in Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics (2020) Downloads View citations (1)
  4. State-level wage Phillips curves
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University Downloads
    Also in Working Papers, Department of Economics, City University London (2020) Downloads View citations (8)
    Essex Finance Centre Working Papers, University of Essex, Essex Business School (2018) Downloads

    See also Journal Article in Econometrics and Statistics (2021)
  5. Time-Varying Instrumental Variable Estimation
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads
    Also in Working Papers, Queen Mary University of London, School of Economics and Finance (2020) Downloads

2019

  1. A Generalised Fractional Differencing Bootstrap for Long Memory Processes
    Essex Finance Centre Working Papers, University of Essex, Essex Business School Downloads View citations (2)
    See also Journal Article in Journal of Time Series Analysis (2019)
  2. 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" Downloads
    See also Journal Article in Journal of Econometrics (2021)
  3. Hierarchical Time Varying Estimation of a Multi Factor Asset Pricing Model
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads
  4. Testing for Correlated Factor Loadings in Cross Sectionally Dependent Panels
    SERIES, Dipartimento di Economia e Finanza - Università degli Studi di Bari "Aldo Moro" Downloads
  5. Time-varying cointegration and the UK great ratios
    Bank of England working papers, Bank of England Downloads View citations (1)
    Also in Essex Finance Centre Working Papers, University of Essex, Essex Business School (2018) Downloads
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2018) Downloads

2018

  1. A New Approach for Detecting Shifts in Forecast Accuracy
    Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section Downloads
    Also in Bank of England working papers, Bank of England (2018) Downloads

    See also Journal Article in International Journal of Forecasting (2019)
  2. A Residual-based Threshold Method for Detection of Units that are Too Big to Fail in Large Factor Models
    CESifo Working Paper Series, CESifo Downloads
  3. Big Data & Macroeconomic Nowcasting: Methodological Review
    Economic Statistics Centre of Excellence (ESCoE) Discussion Papers, Economic Statistics Centre of Excellence (ESCoE) Downloads View citations (4)
  4. 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 Downloads View citations (1)
  5. Exponent of Cross-sectional Dependence for Residuals
    CESifo Working Paper Series, CESifo Downloads
    Also in Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics (2018) Downloads

    See also Journal Article in Sankhya B: The Indian Journal of Statistics (2019)

2017

  1. A UK financial conditions index using targeted data reduction: forecasting and structural identification
    Bank of England working papers, Bank of England Downloads View citations (1)
    Also in Essex Finance Centre Working Papers, University of Essex, Essex Business School (2017) Downloads View citations (1)
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2017) Downloads View citations (1)

    See also Journal Article in Econometrics and Statistics (2018)
  2. A time varying parameter structural model of the UK economy
    Bank of England working papers, Bank of England Downloads View citations (3)
    See also Journal Article in Journal of Economic Dynamics and Control (2019)
  3. Common correlated effect cross-sectional dependence corrections for non-linear conditional mean panel models
    Bank of England working papers, Bank of England Downloads
    See also Journal Article in Journal of Applied Econometrics (2021)
  4. Large time-varying parameter VARs: a non-parametric approach
    Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area Downloads
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2016) Downloads View citations (8)

    See also Journal Article in Journal of Applied Econometrics (2019)

2016

  1. 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 Downloads
    Also in Globalization Institute Working Papers, Federal Reserve Bank of Dallas (2016) Downloads View citations (4)

    See also Journal Article in Econometrica (2018)
  2. A comprehensive evaluation of macroeconomic forecasting methods
    EMF Research Papers, Economic Modelling and Forecasting Group Downloads View citations (1)
    See also Journal Article in International Journal of Forecasting (2019)
  3. Big Data Analytics: A New Perspective
    CESifo Working Paper Series, CESifo Downloads
    Also in Globalization Institute Working Papers, Federal Reserve Bank of Dallas (2016) Downloads View citations (1)
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2016) Downloads

2015

  1. 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 Downloads View citations (1)
    Also in Working Papers, Queen Mary University of London, School of Economics and Finance (2015) Downloads View citations (4)
  2. A Shrinkage Instrumental Variable Estimator for Large Datasets
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University Downloads
    Also in Working Papers, Queen Mary University of London, School of Economics and Finance (2008) Downloads
    Working Papers, Queen Mary University of London, School of Economics and Finance (2008) Downloads

    See also Journal Article in L'Actualité Economique (2015)
  3. A Time Varying DSGE Model with Financial Frictions
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads
    Also in Working Papers, Queen Mary University of London, School of Economics and Finance (2015) Downloads

    See also Journal Article in Journal of Empirical Finance (2016)
  4. 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 Downloads
  5. Estimating Time-Varying DSGE Models Using Minimum Distance Methods
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads View citations (4)
    Also in Working Papers, Queen Mary University of London, School of Economics and Finance (2015) Downloads
    Bank of England working papers, Bank of England (2014) Downloads View citations (6)
  6. Factor based identification-robust inference in IV regressions
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads
  7. Inference for Impulse Response Coefficients From Multivariate Fractionally Integrated Processes
    Working Paper series, Rimini Centre for Economic Analysis Downloads
    See also Journal Article in Econometric Reviews (2017)
  8. Inference on Multivariate Heteroscedastic Time Varying Random Coefficient Models
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads View citations (3)
    Also in Working Papers, Queen Mary University of London, School of Economics and Finance (2015) Downloads

    See also Journal Article in Journal of Time Series Analysis (2018)
  9. Structural Analysis with Multivariate Autoregressive Index Models
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (1)
    See also Journal Article in Journal of Econometrics (2016)
  10. 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 Downloads View citations (27)

2014

  1. Adaptive forecasting in the presence of recent and ongoing structural change
    Bank of England working papers, Bank of England Downloads
    Also in CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2012) Downloads
    Working Papers, Queen Mary University of London, School of Economics and Finance (2012) Downloads View citations (2)
    Working Papers, Queen Mary University of London, School of Economics and Finance (2012) Downloads View citations (1)

    See also Journal Article in Journal of Econometrics (2013)
  2. Estimation and Forecasting in Vector Autoregressive Moving Average Models for Rich Datasets
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (1)
    See also Journal Article in Journal of Econometrics (2018)
  3. Generalised Density Forecast Combinations
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University Downloads View citations (10)
    Also in EMF Research Papers, Economic Modelling and Forecasting Group (2013) Downloads View citations (4)
    Bank of England working papers, Bank of England (2014) Downloads View citations (3)

    See also Journal Article in Journal of Econometrics (2015)
  4. 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 Downloads
    Also in Working Papers, Queen Mary University of London, School of Economics and Finance (2014) Downloads View citations (3)

    See also Journal Article in Journal of Financial Markets (2019)

2013

  1. A Nonlinear Panel Data Model of Cross-Sectional Dependence
    EMF Research Papers, Economic Modelling and Forecasting Group Downloads View citations (5)
    Also in Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester (2012) Downloads View citations (1)

    See also Journal Article in Journal of Econometrics (2014)

2012

  1. Assessing the economy-wide effects of quantitative easing
    Bank of England working papers, Bank of England Downloads View citations (175)
    See also Journal Article in Economic Journal (2012)
  2. Exponent of Cross-sectional Dependence: Estimation and Inference
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge Downloads View citations (66)
    Also in CESifo Working Paper Series, CESifo (2012) Downloads View citations (8)
    IZA Discussion Papers, Institute of Labor Economics (IZA) (2012) Downloads View citations (8)

    See also Journal Article in Journal of Applied Econometrics (2016)

2011

  1. Block Bootstrap and Long Memory
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads View citations (3)
    Also in Working Papers, Queen Mary University of London, School of Economics and Finance (2011) Downloads View citations (1)
  2. Evolving UK and US macroeconomic dynamics through the lens of a model of deterministic structural change
    Bank of England working papers, Bank of England Downloads
    See also Journal Article in Empirical Economics (2014)
  3. 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 Downloads View citations (2)
    Also in Bank of England working papers, Bank of England (2010) Downloads View citations (11)
    Working Papers, Department of Economics, City University London (2011) Downloads View citations (7)

2010

  1. A Nonlinear Panel Model of Cross-sectional Dependence
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads
    Also in Working Papers, Queen Mary University of London, School of Economics and Finance (2010) Downloads
  2. Factor-GMM Estimation with Large Sets of Possibly Weak Instruments
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (42)
    Also in Working Papers, Queen Mary University of London, School of Economics and Finance (2006) Downloads View citations (11)
    Working Papers, Queen Mary University of London, School of Economics and Finance (2006) Downloads View citations (2)

    See also Journal Article in Computational Statistics & Data Analysis (2010)
  3. Forecasting Government Bond Yields with Large Bayesian VARs
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (6)
    Also in Working Papers, Queen Mary University of London, School of Economics and Finance (2010) Downloads View citations (1)
    Working Papers, Queen Mary University of London, School of Economics and Finance (2010) Downloads View citations (3)
  4. Multivariate Methods for Monitoring Structural Change
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads
    Also in Bank of England working papers, Bank of England (2009) Downloads
    Working Papers, Queen Mary University of London, School of Economics and Finance (2010) Downloads View citations (1)

    See also Journal Article in Journal of Applied Econometrics (2013)
  5. Panels with nonstationary multifactor error structures
    Post-Print, HAL Downloads View citations (14)
    Also in CESifo Working Paper Series, CESifo (2006) Downloads View citations (16)
    Working Papers, Queen Mary University of London, School of Economics and Finance (2006) Downloads View citations (18)
    IZA Discussion Papers, Institute of Labor Economics (IZA) (2006) Downloads View citations (42)
    Working Papers, Queen Mary University of London, School of Economics and Finance (2006) Downloads
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2006) Downloads View citations (19)

    See also Journal Article in Journal of Econometrics (2011)

2009

  1. A State Space Approach to Extracting the Signal from Uncertain Data
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads View citations (10)
    Also in Bank of England working papers, Bank of England (2007) Downloads View citations (7)
    Working Papers, Queen Mary University of London, School of Economics and Finance (2009) Downloads View citations (3)

    See also Journal Article in Journal of Business & Economic Statistics (2009)
  2. 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 Downloads View citations (14)
    See also Journal Article in Journal of Forecasting (2011)
  3. Forecasting Large Datasets with Bayesian Reduced Rank Multivariate Models
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (5)
    Also in Economics Working Papers, European University Institute (2009) Downloads View citations (5)

    See also Journal Article in Journal of Applied Econometrics (2011)
  4. Model selection criteria for factor-augmented regressions
    Staff Reports, Federal Reserve Bank of New York Downloads View citations (7)
  5. Parsimonious estimation with many instruments
    Staff Reports, Federal Reserve Bank of New York Downloads View citations (4)

2008

  1. A Review of Forecasting Techniques for Large Data Sets
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads View citations (14)
    Also in Working Papers, Queen Mary University of London, School of Economics and Finance (2008) Downloads View citations (2)
  2. Breaks in DSGE models
    2008 Meeting Papers, Society for Economic Dynamics Downloads View citations (1)
  3. Cross-sectional Averaging and Instrumental Variable Estimation with Many Weak Instruments
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads
    Also in Working Papers, Queen Mary University of London, School of Economics and Finance (2008) Downloads

    See also Journal Article in Economics Letters (2010)
  4. Forecasting Exchange Rates with a Large Bayesian VAR
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads
    Also in Economics Working Papers, European University Institute (2008) Downloads
    Working Papers, Queen Mary University of London, School of Economics and Finance (2008) Downloads
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2008) Downloads View citations (4)

    See also Journal Article in International Journal of Forecasting (2009)
  5. 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" Downloads View citations (4)
    Also in Working Papers, Queen Mary University of London, School of Economics and Finance (2005) Downloads View citations (1)
    Working Papers, Queen Mary University of London, School of Economics and Finance (2005) Downloads
    Computing in Economics and Finance 2006, Society for Computational Economics (2006) Downloads View citations (1)

    See also Journal Article in Journal of Empirical Finance (2009)
  6. Forecasting with Dynamic Models using Shrinkage-based Estimation
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads View citations (2)
    Also in Working Papers, Queen Mary University of London, School of Economics and Finance (2008) Downloads
  7. Getting PPP Right: Identifying Mean-Reverting Real Exchange Rates in Panels
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads
    Also in Money Macro and Finance (MMF) Research Group Conference 2004, Money Macro and Finance Research Group (2004) Downloads View citations (6)
    Working Papers, Queen Mary University of London, School of Economics and Finance (2008) Downloads View citations (4)
    Working Papers, Queen Mary University of London, School of Economics and Finance (2004) Downloads View citations (8)
    Working Papers, Queen Mary University of London, School of Economics and Finance (2004) Downloads View citations (6)

    See also Journal Article in Journal of Banking & Finance (2009)
  8. Revisiting Useful Approaches to Data-Rich Macroeconomic Forecasting
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads View citations (4)
    Also in Working Papers, Queen Mary University of London, School of Economics and Finance (2008) Downloads View citations (21)
    Staff Reports, Federal Reserve Bank of New York (2008) Downloads View citations (32)

    See also Journal Article in Computational Statistics & Data Analysis (2016)
  9. Statistical tests and estimators of the rank of a matrix and their applications in econometric modelling
    Working Paper Series, European Central Bank Downloads View citations (3)
    See also Journal Article in Econometric Reviews (2009)

2007

  1. 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 Downloads View citations (2)
  2. A Test for Serial Dependence Using Neural Networks
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads
    Also in Working Papers, Queen Mary University of London, School of Economics and Finance (2007) Downloads
  3. Boosting Estimation of RBF Neural Networks for Dependent Data
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads View citations (2)
    Also in Working Papers, Queen Mary University of London, School of Economics and Finance (2007) Downloads
  4. Forecast combination and the Bank of England’s suite of statistical forecasting models
    Bank of England working papers, Bank of England Downloads View citations (28)
    See also Journal Article in Economic Modelling (2008)
  5. Forecasting Large Datasets with Reduced Rank Multivariate Models
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads View citations (4)
    Also in Working Papers, Queen Mary University of London, School of Economics and Finance (2007) Downloads View citations (1)
  6. Forecasting using Bayesian and information theoretic model averaging: an application to UK inflation
    Working Papers, Department of Economics, City University London Downloads View citations (11)
    Also in Working Papers, Queen Mary University of London, School of Economics and Finance (2006) Downloads
    Working Papers, Queen Mary University of London, School of Economics and Finance (2006) Downloads View citations (4)
    Bank of England working papers, Bank of England (2005) Downloads View citations (12)

    See also Journal Article in Journal of Business & Economic Statistics (2008)
  7. Semiparametric Sieve-Type GLS Inference in Regressions with Long-Range Dependence
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads
    Also in Working Papers, Queen Mary University of London, School of Economics and Finance (2007) Downloads
  8. Testing for Strict Stationarity
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads View citations (1)
    Also in Working Papers, Queen Mary University of London, School of Economics and Finance (2007) Downloads View citations (2)
  9. Testing the Martingale Difference Hypothesis Using Neural Network Approximations
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads View citations (1)
    Also in Working Papers, Queen Mary University of London, School of Economics and Finance (2007) Downloads
  10. 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 Downloads View citations (3)
    Also in Working Papers, Queen Mary University of London, School of Economics and Finance (2007) Downloads

2006

  1. A Parametric Estimation Method for Dynamic Factor Models of Large Dimensions
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (33)
    See also Journal Article in Journal of Time Series Analysis (2009)
  2. Forecasting Using Predictive Likelihood Model Averaging
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads View citations (5)
    Also in Working Papers, Queen Mary University of London, School of Economics and Finance (2006) Downloads View citations (20)

    See also Journal Article in Economics Letters (2006)
  3. Impulse Response Functions from Structural Dynamic Factor Models: A Monte Carlo Evaluation
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (3)
    Also in Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University (2006) Downloads View citations (1)
  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 Downloads View citations (1)
    Also in Working Papers, Queen Mary University of London, School of Economics and Finance (2006) Downloads
  5. Sieve Bootstrap for Strongly Dependent Stationary Processes
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads View citations (4)
    Also in Working Papers, Queen Mary University of London, School of Economics and Finance (2006) Downloads View citations (4)
  6. Stochastic Volatility Driven by Large Shocks
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads View citations (2)
    Also in Working Papers, Queen Mary University of London, School of Economics and Finance (2006) Downloads
  7. The Role of Search Frictions and Bargaining for Inflation Dynamics
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University Downloads View citations (4)
  8. 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 Downloads View citations (9)
    Also in Working Papers, Queen Mary University of London, School of Economics and Finance (2003) Downloads View citations (28)
    Working Papers, Queen Mary University of London, School of Economics and Finance (2003) Downloads View citations (3)

    See also Journal Article in Oxford Bulletin of Economics and Statistics (2004)

2005

  1. 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 Downloads
    Also in Working Papers, Queen Mary University of London, School of Economics and Finance (2005) Downloads View citations (1)

    See also Journal Article in Journal of Business & Economic Statistics (2010)
  2. 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 Downloads View citations (18)
    Also in Working Papers, Queen Mary University of London, School of Economics and Finance (2005) Downloads View citations (6)
    CESifo Working Paper Series, CESifo (2005) Downloads View citations (18)
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2005) Downloads View citations (15)
  3. Choosing the Optimal Set of Instruments from Large Instrument Sets
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads
    See also Journal Article in Computational Statistics & Data Analysis (2006)
  4. 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 Downloads
  5. Cluster Analysis of Panel Datasets using Non-Standard Optimisation of Information Criteria
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads
    Also in Working Papers, Queen Mary University of London, School of Economics and Finance (2005) Downloads

    See also Journal Article in Journal of Economic Dynamics and Control (2006)
  6. Estimating Deterministically Time-Varying Variances in Regression Models
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads View citations (1)
    Also in Working Papers, Queen Mary University of London, School of Economics and Finance (2005) Downloads View citations (1)

    See also Journal Article in Economics Letters (2007)
  7. 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 Downloads
    Also in Working Papers, Queen Mary University of London, School of Economics and Finance (2004) Downloads View citations (5)
    Working Papers, Queen Mary University of London, School of Economics and Finance (2004) Downloads View citations (7)

    See also Journal Article in Journal of Applied Econometrics (2013)
  8. 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 Downloads
    Also in Computing in Economics and Finance 2005, Society for Computational Economics (2005) Downloads View citations (1)

    See also Journal Article in Journal of Econometrics (2007)
  9. Nonlinear Modelling of Autoregressive Structural Breaks in a US Diffusion Index Dataset
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads View citations (1)
    Also in Working Papers, Queen Mary University of London, School of Economics and Finance (2005) Downloads
  10. 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 Downloads
    Also in Working Papers, Queen Mary University of London, School of Economics and Finance (2005) Downloads
  11. Testing for Neglected Nonlinearity in Long Memory Models
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads View citations (2)
    Also in Working Papers, Queen Mary University of London, School of Economics and Finance (2005) Downloads View citations (1)
    Working Papers, Queen Mary University of London, School of Economics and Finance (2002) Downloads View citations (19)

    See also Journal Article in Journal of Business & Economic Statistics (2007)
  12. Tests for Deterministic Parametric Structural Change in Regression Models
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads
    Also in Working Papers, Queen Mary University of London, School of Economics and Finance (2005) Downloads
  13. Variable Selection using Non-Standard Optimisation of Information Criteria
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads
    Also in Working Papers, Queen Mary University of London, School of Economics and Finance (2005) Downloads View citations (3)

2004

  1. A Bootstrap Invariance Principle for Highly Nonstationary Long Memory Processes
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads
    Also in Working Papers, Queen Mary University of London, School of Economics and Finance (2004) Downloads
  2. A Bootstrap Procedure for Panel Datasets with Many Cross-Sectional Units
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads
    Also in Working Papers, Queen Mary University of London, School of Economics and Finance (2004) Downloads

    See also Journal Article in Econometrics Journal (2008)
  3. 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 Downloads View citations (13)
    Also in Working Papers, Queen Mary University of London, School of Economics and Finance (2004) Downloads View citations (6)
  4. 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 Downloads View citations (4)
    Also in Working Papers, Queen Mary University of London, School of Economics and Finance (2004) Downloads View citations (1)

    See also Journal Article in Economics Letters (2008)
  5. Dynamic Factor Extraction of Cross-Sectional Dependence in Panel Unit Root Tests
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads View citations (1)
    Also in Working Papers, Queen Mary University of London, School of Economics and Finance (2004) Downloads

    See also Journal Article in Journal of Applied Econometrics (2007)
  6. 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 Downloads View citations (1)
    Also in Bank of England working papers, Bank of England (2004) Downloads View citations (2)
    Working Papers, Queen Mary University of London, School of Economics and Finance (2004) Downloads View citations (7)
  7. Estimating the rank of the spectral density matrix
    Working Paper Series, European Central Bank Downloads
    See also Journal Article in Journal of Time Series Analysis (2005)
  8. Forecasting euro area inflation using dynamic factor measures of underlying inflation
    Working Paper Series, European Central Bank Downloads View citations (6)
    See also Journal Article in Journal of Forecasting (2005)
  9. Forecasting with Measurement Errors in Dynamic Models
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads View citations (7)
    Also in Royal Economic Society Annual Conference 2003, Royal Economic Society (2003) Downloads View citations (5)
    Working Papers, Queen Mary University of London, School of Economics and Finance (2004) Downloads
    Bank of England working papers, Bank of England (2004) Downloads

    See also Journal Article in International Journal of Forecasting (2005)
  10. Nonlinear Autoregressive Models and Long Memory
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads
    Also in Working Papers, Queen Mary University of London, School of Economics and Finance (2004) Downloads

    See also Journal Article in Economics Letters (2006)
  11. On Testing for Diagonality of Large Dimensional Covariance Matrices
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads
    Also in Working Papers, Queen Mary University of London, School of Economics and Finance (2004) Downloads View citations (1)
  12. Testing for Exogeneity in Nonlinear Threshold Models
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads View citations (1)
    Also in Working Papers, Queen Mary University of London, School of Economics and Finance (2004) Downloads
  13. Testing for Neglected Nonlinearity in Cointegrating Relationships
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads
    Also in Working Papers, Queen Mary University of London, School of Economics and Finance (2004) Downloads

    See also Journal Article in Journal of Time Series Analysis (2007)
  14. Testing for nonlinear cointegration between stock prices and dividends
    Money Macro and Finance (MMF) Research Group Conference 2003, Money Macro and Finance Research Group Downloads
  15. 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 Downloads View citations (4)
    Also in Working Papers, Queen Mary University of London, School of Economics and Finance (2004) Downloads View citations (7)

2003

  1. A Comparison of Estimation Methods for Dynamic Factor Models of Large Dimensions
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads View citations (42)
    Also in Working Papers, Queen Mary University of London, School of Economics and Finance (2003) Downloads View citations (9)
  2. A Dynamic Factor Analysis of Financial Contagion in Asia
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads View citations (2)
    Also in Working Papers, Queen Mary University of London, School of Economics and Finance (2003) Downloads
  3. A New Nonparametric Test of Cointegration Rank
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads View citations (2)
    Also in Working Papers, Queen Mary University of London, School of Economics and Finance (2003) Downloads View citations (1)
  4. A Nonlinear Approach to Public Finance Sustainability in Latin America
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads View citations (4)
    Also in Working Papers, Queen Mary University of London, School of Economics and Finance (2003) Downloads
  5. A Note on Joint Estimation of Common Cycles and Common Trends in Nonstationary Multivariate Systems
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads
    Also in Working Papers, Queen Mary University of London, School of Economics and Finance (2003) Downloads View citations (2)
  6. An Investigation of Current Account Solvency in Latin America Using Non Linear Stationarity Tests
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads View citations (19)
    Also in Working Papers, Queen Mary University of London, School of Economics and Finance (2003) Downloads View citations (1)
  7. Determining the Poolability of Individual Series in Panel Datasets
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads View citations (8)
    Also in Working Papers, Queen Mary University of London, School of Economics and Finance (2003) Downloads View citations (3)
  8. Determining the Stationarity Properties of Individual Series in Panel Datasets
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads View citations (2)
    Also in Working Papers, Queen Mary University of London, School of Economics and Finance (2003) Downloads View citations (6)
  9. 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 Downloads View citations (2)
  10. Import prices and exchange rate pass-through: theory and evidence from the United Kingdom
    Bank of England working papers, Bank of England Downloads View citations (37)
  11. Non-Nested Models and the Likelihood Ratio Statistic: A Comparison of Simulation and Bootstrap Based Tests
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads View citations (2)
    Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2003) Downloads
    Working Papers, Queen Mary University of London, School of Economics and Finance (2003) Downloads
  12. Rational expectations and fixed-event forecasts: an application to UK inflation
    Bank of England working papers, Bank of England Downloads View citations (12)
    See also Journal Article in Empirical Economics (2005)
  13. Structural Breaks in Inflation Dynamics
    Computing in Economics and Finance 2003, Society for Computational Economics View citations (17)
  14. 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 Downloads View citations (1)
    Also in Working Papers, Queen Mary University of London, School of Economics and Finance (2003) Downloads

    See also Journal Article in Journal of Econometrics (2007)
  15. Testing for Cointegration in Nonlinear STAR Error Correction Models
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads View citations (12)
    Also in Working Papers, Queen Mary University of London, School of Economics and Finance (2003) Downloads View citations (3)
  16. Testing for Nonstationary Long Memory against Nonlinear Ergodic Models
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads View citations (4)
    Also in Working Papers, Queen Mary University of London, School of Economics and Finance (2003) Downloads
  17. Unit Root Tests in Three-Regime SETAR Models
    Edinburgh School of Economics Discussion Paper Series, Edinburgh School of Economics, University of Edinburgh Downloads View citations (2)
    Also in Working Papers, Queen Mary University of London, School of Economics and Finance (2002) Downloads View citations (1)
    Working Papers, Queen Mary University of London, School of Economics and Finance (2002) Downloads View citations (49)

    See also Journal Article in Econometrics Journal (2006)
  18. Using Extraneous Information and GMM to Estimate Threshold Parameters in TAR Models
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads
    Also in Working Papers, Queen Mary University of London, School of Economics and Finance (2003) Downloads

2002

  1. A Note on Covariance Stationarity Conditions for Dynamic Random Coefficient Models
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads
    Also in Working Papers, Queen Mary University of London, School of Economics and Finance (2002) Downloads
  2. A Note on an Iterative Least Squares Estimation Method for ARMA and VARMA Models
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads
    Also in Working Papers, Queen Mary University of London, School of Economics and Finance (2002) Downloads View citations (7)

    See also Journal Article in Economics Letters (2003)
  3. Bootstrap Statistical Tests of Rank Determination for System Identification
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads
    Also in Working Papers, Queen Mary University of London, School of Economics and Finance (2002) Downloads
  4. Estimation and Inference in a Non-Linear State Space Model: Durable Consumption
    Royal Economic Society Annual Conference 2002, Royal Economic Society Downloads
  5. Factor Analysis Using Subspace Factor Models: Some Theoretical Results and an Application to UK Inflation Forecasting
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads View citations (2)
    Also in Working Papers, Queen Mary University of London, School of Economics and Finance (2002) Downloads View citations (6)
  6. GLS Detrending for Nonlinear Unit Root Tests
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads View citations (3)
    Also in Working Papers, Queen Mary University of London, School of Economics and Finance (2002) Downloads
  7. Measuring Conditional Persistence in Time Series
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads View citations (2)
  8. Modelling Core Inflation for the UK Using a New Dynamic Factor Estimation Method and a Large Disaggregated Price Index Dataset
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads View citations (23)
    Also in Working Papers, Queen Mary University of London, School of Economics and Finance (2002) Downloads
  9. Testing for Structural Breaks in Nonlinear Dynamic Models Using Artificial Neural Network Approximations
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads View citations (1)
    Also in Working Papers, Queen Mary University of London, School of Economics and Finance (2002) Downloads View citations (2)
  10. Unit Root Testing against the Alternative Hypothesis of up to m Structural Breaks
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads View citations (1)
    Also in Working Papers, Queen Mary University of London, School of Economics and Finance (2002) Downloads View citations (50)

    See also Journal Article in Journal of Time Series Analysis (2005)

2001

  1. Spectral based methods to identify common trends and common cycles
    Working Paper Series, European Central Bank Downloads View citations (5)
  2. Testing the rank of the Hankel matrix: a statistical approach
    Working Paper Series, European Central Bank Downloads View citations (15)

2000

  1. 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 (1)
  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
  3. 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)
  4. 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)
  5. 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 (2)
  6. 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 (1)
  7. Testing for a Linear Unit Root against Nonlinear Threshold Stationarity
    Edinburgh School of Economics Discussion Paper Series, Edinburgh School of Economics, University of Edinburgh Downloads View citations (2)
  8. 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 (115)
    Also in Edinburgh School of Economics Discussion Paper Series, Edinburgh School of Economics, University of Edinburgh (2000) Downloads View citations (2)

1999

  1. 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 (15)
    See also Journal Article in Economics Letters (2000)
  2. 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 (1)
  3. 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 (18)
    See also Journal Article in Econometrics Journal (2001)
  4. Model Selection in Threshold Models
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge Downloads View citations (30)
    See also Journal Article in Journal of Time Series Analysis (2001)
  5. 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)
  6. 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)
  7. Threshold Models for Trended Time Series
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge Downloads View citations (16)
    See also Journal Article in Empirical Economics (2003)

Journal Articles

2021

  1. Common correlated effect cross‐sectional dependence corrections for nonlinear conditional mean panel models
    Journal of Applied Econometrics, 2021, 36, (1), 125-150 Downloads
    See also Working Paper (2017)
  2. 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 Downloads
  3. Detection of units with pervasive effects in large panel data models
    Journal of Econometrics, 2021, 221, (2), 510-541 Downloads
  4. Estimation and inference for multi-dimensional heterogeneous panel datasets with hierarchical multi-factor error structure
    Journal of Econometrics, 2021, 220, (2), 504-531 Downloads
    See also Working Paper (2019)
  5. State-level wage Phillips curves
    Econometrics and Statistics, 2021, 18, (C), 1-11 Downloads
    See also Working Paper (2020)
  6. 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 Downloads

2020

  1. A similarity‐based approach for macroeconomic forecasting
    Journal of the Royal Statistical Society Series A, 2020, 183, (3), 801-827 Downloads View citations (1)
    See also Working Paper (2020)
  2. Correction to: Exponent of Cross-sectional Dependence for Residuals
    Sankhya B: The Indian Journal of Statistics, 2020, 82, (2), 380-380 Downloads
  3. Time-varying cointegration with an application to the UK Great Ratios
    Economics Letters, 2020, 193, (C) Downloads

2019

  1. A Generalised Fractional Differencing Bootstrap for Long Memory Processes
    Journal of Time Series Analysis, 2019, 40, (4), 467-492 Downloads View citations (2)
    See also Working Paper (2019)
  2. A comprehensive evaluation of macroeconomic forecasting methods
    International Journal of Forecasting, 2019, 35, (4), 1226-1239 Downloads View citations (14)
    See also Working Paper (2016)
  3. A new approach for detecting shifts in forecast accuracy
    International Journal of Forecasting, 2019, 35, (4), 1596-1612 Downloads
    See also Working Paper (2018)
  4. A time-varying parameter structural model of the UK economy
    Journal of Economic Dynamics and Control, 2019, 106, (C), - Downloads
    See also Working Paper (2017)
  5. Exponent of Cross-sectional Dependence for Residuals
    Sankhya B: The Indian Journal of Statistics, 2019, 81, (1), 46-102 Downloads View citations (3)
    See also Working Paper (2018)
  6. 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) Downloads View citations (2)
    See also Working Paper (2014)
  7. Large time‐varying parameter VARs: A nonparametric approach
    Journal of Applied Econometrics, 2019, 34, (7), 1027-1049 Downloads View citations (5)
    See also Working Paper (2017)

2018

  1. A One Covariate at a Time, Multiple Testing Approach to Variable Selection in High‐Dimensional Linear Regression Models
    Econometrica, 2018, 86, (4), 1479-1512 Downloads View citations (19)
    See also Working Paper (2016)
  2. A UK financial conditions index using targeted data reduction: Forecasting and structural identification
    Econometrics and Statistics, 2018, 7, (C), 1-17 Downloads View citations (3)
    See also Working Paper (2017)
  3. Estimation and forecasting in vector autoregressive moving average models for rich datasets
    Journal of Econometrics, 2018, 202, (1), 75-91 Downloads
    See also Working Paper (2014)
  4. Inference on Multivariate Heteroscedastic Time Varying Random Coefficient Models
    Journal of Time Series Analysis, 2018, 39, (2), 129-149 Downloads View citations (13)
    See also Working Paper (2015)
  5. Resuscitating real interest rate parity: new evidence from panels
    The European Journal of Finance, 2018, 24, (14), 1176-1189 Downloads View citations (1)
  6. Time-varying Lasso
    Economics Letters, 2018, 169, (C), 1-6 Downloads

2017

  1. Inference for impulse response coefficients from multivariate fractionally integrated processes
    Econometric Reviews, 2017, 36, (1-3), 60-84 Downloads View citations (1)
    See also Working Paper (2015)
  2. 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 Downloads View citations (5)

2016

  1. A new summary measure of inflation expectations
    Economics Letters, 2016, 149, (C), 83-85 Downloads View citations (2)
  2. A time varying DSGE model with financial frictions
    Journal of Empirical Finance, 2016, 38, (PB), 690-716 Downloads View citations (17)
    See also Working Paper (2015)
  3. Comparing logit-based early warning systems: Does the duration of systemic banking crises matter?
    Journal of Empirical Finance, 2016, 37, (C), 104-116 Downloads View citations (17)
  4. Credit market freedom and cost efficiency in US state banking
    Journal of Empirical Finance, 2016, 37, (C), 173-185 Downloads View citations (10)
  5. 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 Downloads View citations (24)
  6. Exponent of Cross‐Sectional Dependence: Estimation and Inference
    Journal of Applied Econometrics, 2016, 31, (6), 929-960 Downloads View citations (37)
    See also Working Paper (2012)
  7. Forecasting inflation and GDP growth using heuristic optimisation of information criteria and variable reduction methods
    Computational Statistics & Data Analysis, 2016, 100, (C), 369-382 Downloads View citations (13)
  8. On the estimation of short memory components in long memory time series models
    Studies in Nonlinear Dynamics & Econometrics, 2016, 20, (4), 365-375 Downloads
  9. Revisiting useful approaches to data-rich macroeconomic forecasting
    Computational Statistics & Data Analysis, 2016, 100, (C), 221-239 Downloads View citations (30)
    See also Working Paper (2008)
  10. Semiparametric Sieve-Type Generalized Least Squares Inference
    Econometric Reviews, 2016, 35, (6), 951-985 Downloads View citations (1)
  11. Structural analysis with Multivariate Autoregressive Index models
    Journal of Econometrics, 2016, 192, (2), 332-348 Downloads View citations (14)
    See also Working Paper (2015)

2015

  1. A SHRINKAGE INSTRUMENTAL VARIABLE ESTIMATOR FOR LARGE DATASETS
    L'Actualité Economique, 2015, 91, (1-2), 67-87 Downloads
    See also Working Paper (2015)
  2. A new approach to multi-step forecasting using dynamic stochastic general equilibrium models
    Economics Letters, 2015, 136, (C), 237-242 Downloads
  3. Generalised density forecast combinations
    Journal of Econometrics, 2015, 188, (1), 150-165 Downloads View citations (34)
    See also Working Paper (2014)
  4. Shifts in volatility driven by large stock market shocks
    Journal of Economic Dynamics and Control, 2015, 55, (C), 130-147 Downloads View citations (7)

2014

  1. A nonlinear panel data model of cross-sectional dependence
    Journal of Econometrics, 2014, 179, (2), 134-157 Downloads View citations (12)
    See also Working Paper (2013)
  2. Bandwidth selection by cross-validation for forecasting long memory financial time series
    Journal of Empirical Finance, 2014, 29, (C), 129-143 Downloads View citations (5)
  3. Evolving UK and US macroeconomic dynamics through the lens of a model of deterministic structural change
    Empirical Economics, 2014, 47, (1), 305-345 Downloads
    See also Working Paper (2011)
  4. Inference on stochastic time-varying coefficient models
    Journal of Econometrics, 2014, 179, (1), 46-65 Downloads View citations (37)
  5. Level shifts in stock returns driven by large shocks
    Journal of Empirical Finance, 2014, 29, (C), 41-51 Downloads View citations (6)
  6. Modified information criteria and selection of long memory time series models
    Computational Statistics & Data Analysis, 2014, 76, (C), 116-131 Downloads View citations (2)

2013

  1. 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 Downloads View citations (5)
  2. Adaptive forecasting in the presence of recent and ongoing structural change
    Journal of Econometrics, 2013, 177, (2), 153-170 Downloads View citations (48)
    See also Working Paper (2014)
  3. Estimation and inference for impulse response functions from univariate strongly persistent processes
    Econometrics Journal, 2013, 16, (3), 373-399 Downloads View citations (7)
  4. 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 (5)
    See also Working Paper (2005)
  5. MULTIVARIATE METHODS FOR MONITORING STRUCTURAL CHANGE
    Journal of Applied Econometrics, 2013, 28, (2), 250-274 View citations (12)
    See also Working Paper (2010)
  6. Model Selection Criteria for Factor-Augmented Regressions-super-
    Oxford Bulletin of Economics and Statistics, 2013, 75, (1), 37-63 Downloads View citations (14)
  7. Robust Forecast Methods and Monitoring during Structural Change
    Manchester School, 2013, 81, 3-27 Downloads View citations (6)

2012

  1. Assessing the Economy‐wide Effects of Quantitative Easing
    Economic Journal, 2012, 122, (564), F316-F347 Downloads View citations (153)
    See also Working Paper (2012)
  2. Forecasting government bond yields with large Bayesian vector autoregressions
    Journal of Banking & Finance, 2012, 36, (7), 2026-2047 Downloads View citations (37)
  3. Prediction from ARFIMA models: Comparisons between MLE and semiparametric estimation procedures
    International Journal of Forecasting, 2012, 28, (1), 46-53 Downloads View citations (8)

2011

  1. 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 Downloads View citations (27)
    See also Working Paper (2009)
  2. 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 (9)
  3. Forecasting large datasets with Bayesian reduced rank multivariate models
    Journal of Applied Econometrics, 2011, 26, (5), 735-761 View citations (63)
    See also Working Paper (2009)
  4. Panels with non-stationary multifactor error structures
    Journal of Econometrics, 2011, 160, (2), 326-348 Downloads View citations (328)
    See also Working Paper (2010)
  5. Testing the Null Hypothesis of Nonstationary Long Memory Against the Alternative Hypothesis of a Nonlinear Ergodic Model
    Econometric Reviews, 2011, 30, (6), 620-645 Downloads View citations (7)

2010

  1. 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 Downloads View citations (82)
    See also Working Paper (2005)
  2. Cross-sectional averaging and instrumental variable estimation with many weak instruments
    Economics Letters, 2010, 108, (1), 36-39 Downloads View citations (1)
    See also Working Paper (2008)
  3. 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 Downloads View citations (3)
  4. Factor-GMM estimation with large sets of possibly weak instruments
    Computational Statistics & Data Analysis, 2010, 54, (11), 2655-2675 Downloads View citations (46)
    See also Working Paper (2010)
  5. Modeling structural breaks in economic relationships using large shocks
    Journal of Economic Dynamics and Control, 2010, 34, (3), 417-436 Downloads View citations (27)
  6. TESTING FOR EXOGENEITY IN THRESHOLD MODELS
    Econometric Theory, 2010, 26, (1), 231-259 Downloads View citations (8)
  7. TESTS OF THE MARTINGALE DIFFERENCE HYPOTHESIS USING BOOSTING AND RBF NEURAL NETWORK APPROXIMATIONS
    Econometric Theory, 2010, 26, (5), 1363-1397 Downloads View citations (2)
  8. The Fifth Special Issue on Computational Econometrics
    Computational Statistics & Data Analysis, 2010, 54, (11), 2359-2359 Downloads

2009

  1. A State Space Approach to Extracting the Signal From Uncertain Data
    Journal of Business & Economic Statistics, 2009, 30, (2), 173-180 Downloads View citations (28)
    See also Working Paper (2009)
  2. A parametric estimation method for dynamic factor models of large dimensions
    Journal of Time Series Analysis, 2009, 30, (2), 208-238 Downloads View citations (31)
    See also Working Paper (2006)
  3. A real time evaluation of Bank of England forecasts of inflation and growth
    International Journal of Forecasting, 2009, 25, (1), 74-80 Downloads View citations (46)
  4. Financial Econometrics and Realized Volatility/Vast Data
    Economics Bulletin, 2009, 29, (2), A14 Downloads
  5. Forecasting exchange rates with a large Bayesian VAR
    International Journal of Forecasting, 2009, 25, (2), 400-417 Downloads View citations (110)
    See also Working Paper (2008)
  6. Forecasting financial crises and contagion in Asia using dynamic factor analysis
    Journal of Empirical Finance, 2009, 16, (2), 188-200 Downloads View citations (15)
    See also Working Paper (2008)
  7. Getting PPP right: Identifying mean-reverting real exchange rates in panels
    Journal of Banking & Finance, 2009, 33, (2), 390-404 Downloads View citations (111)
    See also Working Paper (2008)
  8. Statistical Tests and Estimators of the Rank of a Matrix and Their Applications in Econometric Modelling
    Econometric Reviews, 2009, 28, (6), 581-611 Downloads View citations (9)
    See also Working Paper (2008)
  9. Testing for strict stationarity in financial variables
    Journal of Banking & Finance, 2009, 33, (12), 2346-2362 Downloads View citations (6)

2008

  1. A bootstrap procedure for panel data sets with many cross-sectional units
    Econometrics Journal, 2008, 11, (2), 377-395 View citations (54)
    See also Working Paper (2004)
  2. A stochastic variance factor model for large datasets and an application to S&P data
    Economics Letters, 2008, 100, (1), 130-134 Downloads View citations (8)
    See also Working Paper (2004)
  3. Bootstrap-based tests for deterministic time-varying coefficients in regression models
    Computational Statistics & Data Analysis, 2008, 53, (2), 534-545 Downloads View citations (3)
  4. Forecast combination and the Bank of England's suite of statistical forecasting models
    Economic Modelling, 2008, 25, (4), 772-792 Downloads View citations (36)
    See also Working Paper (2007)
  5. Forecasting Using Bayesian and Information-Theoretic Model Averaging: An Application to U.K. Inflation
    Journal of Business & Economic Statistics, 2008, 26, 33-41 Downloads View citations (34)
    See also Working Paper (2007)
  6. GLS detrending-based unit root tests in nonlinear STAR and SETAR models
    Economics Letters, 2008, 100, (3), 377-380 Downloads View citations (19)
  7. 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 Downloads View citations (24)
  8. Nonlinear models for strongly dependent processes with financial applications
    Journal of Econometrics, 2008, 147, (1), 60-71 Downloads View citations (17)

2007

  1. Dynamic factor extraction of cross-sectional dependence in panel unit root tests
    Journal of Applied Econometrics, 2007, 22, (2), 313-338 Downloads View citations (4)
    See also Working Paper (2004)
  2. Estimating deterministically time-varying variances in regression models
    Economics Letters, 2007, 97, (2), 97-104 Downloads View citations (19)
    See also Working Paper (2005)
  3. Making a match: Combining theory and evidence in policy-oriented macroeconomic modeling
    Journal of Econometrics, 2007, 136, (2), 565-594 Downloads View citations (16)
    See also Working Paper (2005)
  4. Measuring Conditional Persistence in Nonlinear Time Series*
    Oxford Bulletin of Economics and Statistics, 2007, 69, (3), 363-386 Downloads View citations (2)
  5. Testing for ARCH in the presence of nonlinearity of unknown form in the conditional mean
    Journal of Econometrics, 2007, 137, (2), 472-488 Downloads View citations (18)
    See also Working Paper (2003)
  6. Testing for Neglected Nonlinearity in Cointegrating Relationships*
    Journal of Time Series Analysis, 2007, 28, (6), 807-826 Downloads View citations (2)
    See also Working Paper (2004)
  7. Testing for Neglected Nonlinearity in Long-Memory Models
    Journal of Business & Economic Statistics, 2007, 25, 447-461 Downloads View citations (31)
    See also Working Paper (2005)
  8. Variable selection in regression models using nonstandard optimisation of information criteria
    Computational Statistics & Data Analysis, 2007, 52, (1), 4-15 Downloads View citations (16)

2006

  1. Choosing the optimal set of instruments from large instrument sets
    Computational Statistics & Data Analysis, 2006, 51, (2), 612-620 Downloads View citations (5)
    See also Working Paper (2005)
  2. Cluster analysis of panel data sets using non-standard optimisation of information criteria
    Journal of Economic Dynamics and Control, 2006, 30, (8), 1389-1408 Downloads View citations (2)
    See also Working Paper (2005)
  3. Forecasting using predictive likelihood model averaging
    Economics Letters, 2006, 91, (3), 373-379 Downloads View citations (27)
    See also Working Paper (2006)
  4. Nonlinear autoregressive models and long memory
    Economics Letters, 2006, 91, (3), 360-368 Downloads
    See also Working Paper (2004)
  5. TESTING FOR COINTEGRATION IN NONLINEAR SMOOTH TRANSITION ERROR CORRECTION MODELS
    Econometric Theory, 2006, 22, (2), 279-303 Downloads View citations (89)
  6. Unit root tests in three-regime SETAR models
    Econometrics Journal, 2006, 9, (2), 252-278 View citations (50)
    See also Working Paper (2003)

2005

  1. Estimating the Rank of the Spectral Density Matrix
    Journal of Time Series Analysis, 2005, 26, (1), 37-48 Downloads View citations (3)
    See also Working Paper (2004)
  2. Forecasting euro area inflation using dynamic factor measures of underlying inflation
    Journal of Forecasting, 2005, 24, (7), 491-503 Downloads View citations (16)
    See also Working Paper (2004)
  3. Forecasting with measurement errors in dynamic models
    International Journal of Forecasting, 2005, 21, (3), 595-607 Downloads View citations (9)
    See also Working Paper (2004)
  4. Rational expectations and fixed-event forecasts: An application to UK inflation
    Empirical Economics, 2005, 30, (3), 539-553 Downloads View citations (11)
    See also Working Paper (2003)
  5. Unit‐root testing against the alternative hypothesis of up to m structural breaks
    Journal of Time Series Analysis, 2005, 26, (1), 123-133 Downloads View citations (96)
    See also Working Paper (2002)

2004

  1. 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 Downloads View citations (20)
  2. An Investigation of Current Account Solvency in Latin America Using Non Linear Nonstationarity Tests
    Studies in Nonlinear Dynamics & Econometrics, 2004, 8, (1), 1-19 Downloads View citations (29)
  3. THE ASYMPTOTIC DISTRIBUTION OF THE COINTEGRATION RANK ESTIMATOR UNDER THE AKAIKE INFORMATION CRITERION
    Econometric Theory, 2004, 20, (4), 735-742 Downloads View citations (9)
  4. 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 Downloads View citations (23)
    See also Working Paper (2006)

2003

  1. A note on an iterative least-squares estimation method for ARMA and VARMA models
    Economics Letters, 2003, 79, (3), 305-312 Downloads View citations (7)
    See also Working Paper (2002)
  2. A radial basis function artificial neural network test for neglected nonlinearity
    Econometrics Journal, 2003, 6, (2), 357-373 View citations (5)
  3. Bootstrap Neural Network Cointegration Tests Against Nonlinear Alternative Hypotheses
    Studies in Nonlinear Dynamics & Econometrics, 2003, 7, (2), 1-16 Downloads View citations (1)
  4. Erratum
    Studies in Nonlinear Dynamics & Econometrics, 2003, 7, (2), 1-4 Downloads
  5. Pure Significance Tests of the Unit Root Hypothesis Against Nonlinear Alternatives
    Journal of Time Series Analysis, 2003, 24, (3), 253-267 Downloads View citations (5)
  6. Testing for a unit root in the nonlinear STAR framework
    Journal of Econometrics, 2003, 112, (2), 359-379 Downloads View citations (750)
  7. Threshold models for trended time series
    Empirical Economics, 2003, 28, (4), 687-707 Downloads View citations (8)
    See also Working Paper (1999)

2002

  1. Nonlinear mean reversion in real exchange rates
    Economics Letters, 2002, 77, (3), 411-417 Downloads View citations (48)

2001

  1. An automatic leading indicator of economic activity: forecasting GDP growth for European countries
    Econometrics Journal, 2001, 4, (1), 37 View citations (52)
    See also Working Paper (1999)
  2. Incorporating lag order selection uncertainty in parameter inference for AR models
    Economics Letters, 2001, 72, (2), 137-144 Downloads View citations (3)
    See also Working Paper (2000)
  3. Model Selection in Threshold Models
    Journal of Time Series Analysis, 2001, 22, (6), 733-754 Downloads View citations (8)
    See also Working Paper (1999)

2000

  1. A radial basis function artificial neural network test for ARCH
    Economics Letters, 2000, 69, (1), 15-23 Downloads View citations (5)
    See also Working Paper (1999)
  2. Small sample properties of the conditional least squares estimator in SETAR models
    Economics Letters, 2000, 69, (3), 267-276 Downloads View citations (28)
 
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