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Working Papers

From Queen Mary University of London, School of Economics and Finance
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524: The Impact of Large Structural Shocks on Economic Relationships: Evidence from Oil Price Shocks Downloads
George Kapetanios
523: A Bootstrap Procedure for Panel Datasets with Many Cross-Sectional Units Downloads
George Kapetanios
522: How Puzzling is the PPP Puzzle? An Alternative Half-Life Measure of Convergence to PPP Downloads
Georgios Chortareas and George Kapetanios
521: Forecasting with Measurement Errors in Dynamic Models Downloads
Richard Harrison and George Kapetanios
520: Estimating Time-Variation in Measurement Error from Data Revisions: An Application to Forecasting in Dynamic Models Downloads
George Kapetanios
519: Modelling the Yield Curve: A Two Components Approach Downloads
John Hatgioannides, Menelaos Karanasos and Marika Karanassou
518: Inflation Persistence Revisited Downloads
Marika Karanassou and Dennis J. Snower
517: Getting PPP Right: Identifying Mean-Reverting Real Exchange Rates in Panels Downloads
Georgios Chortareas and George Kapetanios
516: Nonlinear Autoregressive Models and Long Memory Downloads
George Kapetanios
515: Testing for Exogeneity in Nonlinear Threshold Models Downloads
George Kapetanios
514: A Bayesian Analysis of Unit Roots and Structural Breaks in the Level and the Error Variance of Autoregressive Models Downloads
Loukia Meligkotsidou, Elias Tzavalis and Ioannis D. Vrontos
513: Price Taking Equilibrium in Club Economies with Multiple Memberships and Unbounded Club Sizes Downloads
Nizar Allouch and Myrna Wooders
512: Arbitrage, Equilibrium, and Nonsatiation Downloads
Nizar Allouch, Cuong Le Van and Frank H. Page, Jr.
511: Is the Currency Risk Priced in Equity Markets? Downloads
Francesco Giurda and Elias Tzavalis
510: Can the Composition of Capital Constrain Potential Output? A Gap Approach Downloads
J.M. Albala-Bertrand
509: Dynamic Factor Extraction of Cross-Sectional Dependence in Panel Unit Root Tests Downloads
George Kapetanios
508: Testing for Neglected Nonlinearity in Cointegrating Relationships Downloads
Andrew Blake and George Kapetanios
507: A Bootstrap Invariance Principle for Highly Nonstationary Long Memory Processes Downloads
George Kapetanios
506: A Stochastic Variance Factor Model for Large Datasets and an Application to S&P Data Downloads
Andrea Cipollini and George Kapetanios
505: Detection of Structural Breaks in Linear Dynamic Panel Data Models Downloads
Stefan De Wachter and Elias Tzavalis
504: Child Labor and the Labor Supply of Other Household Members: Evidence from 1920 America Downloads
Marco Manacorda
503: An Economical Approach to Estimate a Benchmark Capital Stock. An Optimal Consistency Method Downloads
J.M. Albala-Bertrand
502: On the Behavior of Proposers in Ultimatum Games Downloads
Thomas Brenner and Nicolaas Vriend
501: Natural or Unnatural Monopolies in UK Telecommunications? Downloads
Lisa Correa
500: Testing for Nonstationary Long Memory against Nonlinear Ergodic Models Downloads
George Kapetanios and Yongcheol Shin
499: Determining the Poolability of Individual Series in Panel Datasets Downloads
George Kapetanios
498: A Dynamic Factor Analysis of Financial Contagion in Asia Downloads
Andrea Cipollini and George Kapetanios
497: Testing for Cointegration in Nonlinear STAR Error Correction Models Downloads
George Kapetanios, Yongcheol Shin and Andy Snell
496: Testing for ARCH in the Presence of Nonlinearity of Unknown Form in the Conditional Mean Downloads
Andrew Blake and George Kapetanios
495: Determining the Stationarity Properties of Individual Series in Panel Datasets Downloads
George Kapetanios
494: Using Extraneous Information and GMM to Estimate Threshold Parameters in TAR Models Downloads
George Kapetanios
493: Unemployment in the European Union: Institutions, Prices, and Growth Downloads
Marika Karanassou, Hector Sala and Dennis J. Snower
492: The Economic Impact of Telecommunications Diffusion on UK Productivity Growth Downloads
Lisa Correa
491: Inflation Forecast Targeting in an Overlapping Generations Model Downloads
Gerhard Sorger
490: Non-Nested Models and the Likelihood Ratio Statistic: A Comparison of Simulation and Bootstrap Based Tests Downloads
George Kapetanios and Melvyn Weeks
489: A Comparison of Estimation Methods for Dynamic Factor Models of Large Dimensions Downloads
George Kapetanios and Massimiliano Marcellino
488: Pricing American Options under Stochastic Volatility: A New Method Using Chebyshev Polynomials to Approximate the Early Exercise Boundary Downloads
Elias Tzavalis and Shijun Wang
487: Schelling's Spatial Proximity Model of Segregation Revisited Downloads
Romans Pancs and Nicolaas Vriend
486: A Nonlinear Approach to Public Finance Sustainability in Latin America Downloads
Georgios Chortareas, George Kapetanios and Merih Uctum
485: An Investigation of Current Account Solvency in Latin America Using Non Linear Stationarity Tests Downloads
Georgios Chortareas, George Kapetanios and Merih Uctum
484: The Yen Real Exchange Rate May Be Stationary after All: Evidence from Nonlinear Unit-Root Tests Downloads
Georgios Chortareas and George Kapetanios
483: A Note on Joint Estimation of Common Cycles and Common Trends in Nonstationary Multivariate Systems Downloads
George Kapetanios
482: A New Nonparametric Test of Cointegration Rank Downloads
George Kapetanios
481: Network Formation and Social Coordination Downloads
Sanjeev Goyal and Fernando Vega-Redondo
480: Unemployment in the European Union: A Dynamic Reappraisal Downloads
Marika Karanassou, Hector Sala and Dennis J. Snower
479: A Reappraisal of the Inflation-Unemployment Tradeoff Downloads
Marika Karanassou, Hector Sala and Dennis J. Snower
478: An Anatomy of the Phillips Curve Downloads
Marika Karanassou and Dennis J. Snower
477: Long-Run Inflation-Unemployment Dynamics: The Spanish Phillips Curve and Economic Policy Downloads
Marika Karanassou, Hector Sala and Dennis J. Snower
476: Unemployment Invariance Downloads
Marika Karanassou and Dennis J. Snower
475: A Note on Covariance Stationarity Conditions for Dynamic Random Coefficient Models Downloads
George Kapetanios
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