Working Papers

From Queen Mary University of London, School of Economics and Finance
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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

519: Modelling the Yield Curve: A Two Components Approach

John Hatgioannides, Menelaos Karanasos and Marika Karanassou

518: Inflation Persistence Revisited

Marika Karanassou and Dennis J. Snower

517: Getting PPP Right: Identifying Mean-Reverting Real Exchange Rates in Panels

Georgios Chortareas and George Kapetanios

516: Nonlinear Autoregressive Models and Long Memory

George Kapetanios

515: Testing for Exogeneity in Nonlinear Threshold Models

George Kapetanios

514: A Bayesian Analysis of Unit Roots and Structural Breaks in the Level and the Error Variance of Autoregressive Models

Loukia Meligkotsidou, Elias Tzavalis and Ioannis D. Vrontos

513: Price Taking Equilibrium in Club Economies with Multiple Memberships and Unbounded Club Sizes

Nizar Allouch and Myrna Wooders

512: Arbitrage, Equilibrium, and Nonsatiation

Nizar Allouch, Cuong Le Van and Frank H. Page, Jr.

511: Is the Currency Risk Priced in Equity Markets?

Francesco Giurda and Elias Tzavalis

510: Can the Composition of Capital Constrain Potential Output? A Gap Approach

J.M. Albala-Bertrand

509: Dynamic Factor Extraction of Cross-Sectional Dependence in Panel Unit Root Tests

George Kapetanios

508: Testing for Neglected Nonlinearity in Cointegrating Relationships

Andrew Blake and George Kapetanios

507: A Bootstrap Invariance Principle for Highly Nonstationary Long Memory Processes

George Kapetanios

506: A Stochastic Variance Factor Model for Large Datasets and an Application to S&P Data

Andrea Cipollini and George Kapetanios

505: Detection of Structural Breaks in Linear Dynamic Panel Data Models

Stefan De Wachter and Elias Tzavalis

504: Child Labor and the Labor Supply of Other Household Members: Evidence from 1920 America

Marco Manacorda

503: An Economical Approach to Estimate a Benchmark Capital Stock. An Optimal Consistency Method

J.M. Albala-Bertrand

502: On the Behavior of Proposers in Ultimatum Games

Thomas Brenner and Nicolaas Vriend

501: Natural or Unnatural Monopolies in UK Telecommunications?

Lisa Correa

500: Testing for Nonstationary Long Memory against Nonlinear Ergodic Models

George Kapetanios and Yongcheol Shin

499: Determining the Poolability of Individual Series in Panel Datasets

George Kapetanios

498: A Dynamic Factor Analysis of Financial Contagion in Asia

Andrea Cipollini and George Kapetanios

497: Testing for Cointegration in Nonlinear STAR Error Correction Models

George Kapetanios, Yongcheol Shin and Andy Snell

496: Testing for ARCH in the Presence of Nonlinearity of Unknown Form in the Conditional Mean

Andrew Blake and George Kapetanios

495: Determining the Stationarity Properties of Individual Series in Panel Datasets

George Kapetanios

494: Using Extraneous Information and GMM to Estimate Threshold Parameters in TAR Models

George Kapetanios

493: Unemployment in the European Union: Institutions, Prices, and Growth

Marika Karanassou, Hector Sala and Dennis J. Snower

492: The Economic Impact of Telecommunications Diffusion on UK Productivity Growth

Lisa Correa

491: Inflation Forecast Targeting in an Overlapping Generations Model

Gerhard Sorger

490: Non-Nested Models and the Likelihood Ratio Statistic: A Comparison of Simulation and Bootstrap Based Tests

George Kapetanios and Melvyn Weeks

489: A Comparison of Estimation Methods for Dynamic Factor Models of Large Dimensions

George Kapetanios and Massimiliano Marcellino

488: Pricing American Options under Stochastic Volatility: A New Method Using Chebyshev Polynomials to Approximate the Early Exercise Boundary

Elias Tzavalis and Shijun Wang