Working Papers

From Queen Mary University of London, School of Economics and Finance
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569: Panels with Nonstationary Multifactor Error Structures

George Kapetanios, Mohammad Pesaran and Takashi Yamagata

568: Stochastic Volatility Driven by Large Shocks

George Kapetanios and Elias Tzavalis

567: Forecasting Using Predictive Likelihood Model Averaging

George Kapetanios, Vincent Labhard and Simon Price

566: Forecasting using Bayesian and Information Theoretic Model Averaging: An Application to UK Inflation

George Kapetanios, Vincent Labhard and Simon Price

565: Measuring Regional Market Integration by Dynamic Factor Error Correction Model (DF-ECM) Approach - The Case of Developing Asia

Duo Qin, Marie Anne Cagas, Geoffrey Ducanes, Nedelyn Magtibay-Ramos and Pilipinas F. Quising

564: Macroeconomic Effects of Fiscal Policies: Empirical Evidence from Bangladesh, China, Indonesia and the Philippines

Geoffrey Ducanes, Marie Anne Cagas, Duo Qin, Pilipinas Quising and Mohammad Razzaque

563: Uncovered Set Choice Rule

Michele Lombardi

562: Choosing Monetary Sequences: Theory and Experimental Evidence

Paola Manzini, Marco Mariotti and Luigi Mittone

561: Two-stage Boundedly Rational Choice Procedures: Theory and Experimental Evidence

Paola Manzini and Marco Mariotti

560: GMM Estimation and Inference in Dynamic Panel Data Models with Persistent Data

Hugo Kruiniger

559: Productivity, Exporting and the Learning-by-Exporting Hypothesis: Direct Evidence from UK Firms

Gustavo Crespi, Chiara Criscuolo and Jonathan Haskel

558: Information Technology, Organisational Change and Productivity Growth: Evidence from UK Firms

Gustavo Crespi, Chiara Criscuolo and Jonathan Haskel

557: VAR Modelling Approach and Cowles Commission Heritage

Duo Qin

556: Anonymous Price Taking Equilibrium in Tiebout Economies with Unbounded Club Sizes

Nizar Allouch, John Conley and Myrna Wooders

555: Walras and Dividends Equilibrium with Possibly Satiated Consumers

Nizar Allouch and Cuong Le Van

554: Forecasting Inflation and GDP growth: Comparison of Automatic Leading Indicator (ALI) Method with Macro Econometric Structural Models (MESMs)

Duo Qin, Marie Anne Cagas, Geoffrey Ducanes, Nedelyn Magtibay-Ramos and Pilipinas Quising

553: A Macroeconometric Model of the Chinese Economy

Duo Qin, Marie Anne Cagas, Geoffrey Ducanes, Xinhua He, Rui Liu, Shiguo Liu and Nedelyn Magtibay-Ramos

552: Sieve Bootstrap for Strongly Dependent Stationary Processes

George Kapetanios and Zacharias Psaradakis

551: A Testing Procedure for Determining the Number of Factors in Approximate Factor Models with Large Datasets

George Kapetanios

550: Panel Data Unit Roots Tests: The Role of Serial Correlation and the Time Dimension

Stefan De Wachter, Richard Harris and Elias Tzavalis

549: Segregation in Networks

Giorgio Fagiolo, Marco Valente and Nicolaas Vriend

548: Income Disparity and Economic Growth: Evidence from China

Duo Qin, Marie Anne Cagas, Geoffrey Ducanes, Xinhua He, Rui Liu and Shiguo Liu

547: Estimates of Foreign Exchange Risk Premia: A Pricing Kernel Approach

Lorenzo Cappiello and Nikolaos Panigirtzoglou

546: Balanced Growth with a Network of Ideas

Christian Ghiglino

545: How Much Does Investment Drive Economic Growth in China?

Duo Qin, Marie Anne Cagas, Pilipinas Quising and Xin-Hua He

544: The First Fifty Years of Modern Econometrics

Christopher L. Gilbert and Duo Qin

543: Do Asymmetric and Nonlinear Adjustments Explain the Forward Premium Anomaly?

Richard T. Baillie and Rehim Kilic

542: ACE Models of Endogenous Interactions

Nicolaas Vriend

541: Statistical Tests of the Rank of a Matrix and Their Applications in Econometric Modelling

Gonzalo Camba-Mendez and George Kapetanios

540: Estimating Deterministically Time-Varying Variances in Regression Models

George Kapetanios

539: Tests for Deterministic Parametric Structural Change in Regression Models

George Kapetanios

538: Forecasting Financial Crises and Contagion in Asia Using Dynamic Factor Analysis

Andrea Cipollini and George Kapetanios

537: Nonlinear Modelling of Autoregressive Structural Breaks in a US Diffusion Index Dataset

George Kapetanios and Elias Tzavalis

536: Alternative Approaches to Estimation and Inference in Large Multifactor Panels: Small Sample Results with an Application to Modelling of Asset Returns

George Kapetanios and Mohammad Pesaran

535: Cluster Analysis of Panel Datasets using Non-Standard Optimisation of Information Criteria

George Kapetanios

534: Cluster Analysis of Panel Choosing the Optimal Set of Instruments from Large Instrument Setsusing Non-Standard Optimisation of Information Criteria

George Kapetanios

533: Variable Selection using Non-Standard Optimisation of Information Criteria

George Kapetanios

532: The Employment Effects of the October 2003 Increase in the National Minimum Wage

Richard Dickens and Mirko Draca

531: On the Non-emptiness of the Fuzzy Core

Nizar Allouch and Arkadi Predtetchinski

530: Econometric Methods of Signal Extraction

Stephen Pollock

529: Orthogonality Conditions for Non-Dyadic Wavelet Analysis

Stephen Pollock and Iolanda Lo Cascio

528: Testing for Neglected Nonlinearity in Long Memory Models

Richard T. Baillie and George Kapetanios

527: Empirical Assessment of Sustainability and Feasibility of Government Debt: The Philippines Case

Duo Qin, Marie Anne Cagas, Geoffrey Ducanes, Nedelyn Magtibay-Ramos and Pilipinas F. Quising

526: On Testing for Diagonality of Large Dimensional Covariance Matrices

George Kapetanios

525: A New Method for Determining the Number of Factors in Factor Models with Large Datasets

George Kapetanios

524: The Impact of Large Structural Shocks on Economic Relationships: Evidence from Oil Price Shocks

George Kapetanios

523: A Bootstrap Procedure for Panel Datasets with Many Cross-Sectional Units

George Kapetanios

522: How Puzzling is the PPP Puzzle? An Alternative Half-Life Measure of Convergence to PPP

Georgios Chortareas and George Kapetanios

521: Forecasting with Measurement Errors in Dynamic Models

Richard Harrison and George Kapetanios

520: Estimating Time-Variation in Measurement Error from Data Revisions: An Application to Forecasting in Dynamic Models

George Kapetanios