32
H index
101
i10 index
5440
Citations
George Kapetanios : Citation Profile
King's College London (80% share) | RESEARCH PRODUCTION: 125 Articles 310 Papers 1 Chapters RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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25 years (1999 - 2024). Relations with other researchers
Works with:
Authors registered in RePEc who have co-authored more than one work in the last five years with George Kapetanios. | Is cited by:
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Main data
Where George Kapetanios has published?
Recent works citing George Kapetanios (2024 and 2023)
| Year | Title of citing document | |
|---|---|---|
| 2023 | Forecasting Net Charge-Off Rates of Large U.S. Bank Holding Companies using Macroeconomic Latent Factors. (2023). Son, Jisoo ; Kim, Hyeongwoo. In: Auburn Economics Working Paper Series. RePEc:abn:wpaper:auwp2023-02. Full description at Econpapers || Download paper | |
| 2023 | Regresiones SUR Espaciales. Análisis espacio-temporal del empleo sectorial en Argentina. (2023). Herrera-Gómez, Marcos ; Pablo, Fernandez. In: Asociación Argentina de Economía Política: Working Papers. RePEc:aep:anales:4660. Full description at Econpapers || Download paper | |
| 2023 | . Full description at Econpapers || Download paper | |
| 2023 | Predictive properties of forecast combination, ensemble methods, and Bayesian predictive synthesis. (2019). McAlinn, Kenichiro ; Takanashi, Kosaku. In: Papers. RePEc:arx:papers:1911.08662. Full description at Econpapers || Download paper | |
| 2023 | Time-Varying Parameters as Ridge Regressions. (2020). Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2009.00401. Full description at Econpapers || Download paper | |
| 2023 | Optimal Portfolio Using Factor Graphical Lasso. (2020). Seregina, Ekaterina ; Lee, Tae-Hwy. In: Papers. RePEc:arx:papers:2011.00435. Full description at Econpapers || Download paper | |
| 2023 | Predicting Inflation with Neural Networks. (2021). Paranhos, Livia. In: Papers. RePEc:arx:papers:2104.03757. Full description at Econpapers || Download paper | |
| 2023 | Inferential Theory for Granular Instrumental Variables in High Dimensions. (2022). Lee, Tae Hwy ; Banafti, Saman. In: Papers. RePEc:arx:papers:2201.06605. Full description at Econpapers || Download paper | |
| 2023 | Dynamic Heterogeneous Distribution Regression Panel Models, with an Application to Labor Income Processes. (2022). Vella, Francis ; Fernandez-Val, Ivan ; Liao, Yuan ; Gao, Wayne Yuan. In: Papers. RePEc:arx:papers:2202.04154. Full description at Econpapers || Download paper | |
| 2023 | Should Bank Stress Tests Be Fair?. (2022). Li, Mike ; Glasserman, Paul. In: Papers. RePEc:arx:papers:2207.13319. Full description at Econpapers || Download paper | |
| 2024 | Multidimensional Interactive Fixed-Effects. (2022). Freeman, Hugo. In: Papers. RePEc:arx:papers:2209.11691. Full description at Econpapers || Download paper | |
| 2024 | Reservoir Computing for Macroeconomic Forecasting with Mixed Frequency Data. (2022). Ortega, Juan-Pablo ; van Huellen, Sophie ; Hirt, Marcel ; Grigoryeva, Lyudmila ; Dellaportas, Petros ; Ballarin, Giovanni. In: Papers. RePEc:arx:papers:2211.00363. Full description at Econpapers || Download paper | |
| 2023 | Cointegration with Occasionally Binding Constraints. (2022). Mavroeidis, Sophocles ; Wycherley, Sam ; Duffy, James A. In: Papers. RePEc:arx:papers:2211.09604. Full description at Econpapers || Download paper | |
| 2023 | Bayesian Forecasting in the 21st Century: A Modern Review. (2022). Koop, Gary ; Huber, Florian ; Loaiza-Maya, Ruben ; Maneesoonthorn, Worapree ; Frazier, David T ; Martin, Gael M ; Panagiotelis, Anastasios ; Nibbering, Didier ; Maheu, John . In: Papers. RePEc:arx:papers:2212.03471. Full description at Econpapers || Download paper | |
| 2023 | Inference for Large Panel Data with Many Covariates. (2023). Zou, Jiacheng ; Pelger, Markus. In: Papers. RePEc:arx:papers:2301.00292. Full description at Econpapers || Download paper | |
| 2023 | A Machine Learning Approach to Measuring Climate Adaptation. (2023). Vilgalys, Max. In: Papers. RePEc:arx:papers:2302.01236. Full description at Econpapers || Download paper | |
| 2023 | Estimation and Inference in Threshold Predictive Regression Models with Locally Explosive Regressors. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2305.00860. Full description at Econpapers || Download paper | |
| 2024 | Does Principal Component Analysis Preserve the Sparsity in Sparse Weak Factor Models?. (2023). Zhang, Yonghui ; Wei, Jie. In: Papers. RePEc:arx:papers:2305.05934. Full description at Econpapers || Download paper | |
| 2023 | Nowcasting with signature methods. (2023). Mantoan, Giulia ; Malpass, Will ; Lui, Silvia ; Cohen, Samuel N ; Yang, Lingyi ; Small, Emma ; Scott, Craig ; Reeves, Andrew ; Nesheim, Lars. In: Papers. RePEc:arx:papers:2305.10256. Full description at Econpapers || Download paper | |
| 2024 | Latent Factor Analysis in Short Panels. (2023). Scaillet, Olivier ; Gagliardini, Patrick ; Fortin, Alain-Philippe. In: Papers. RePEc:arx:papers:2306.14004. Full description at Econpapers || Download paper | |
| 2023 | High Dimensional Time Series Regression Models: Applications to Statistical Learning Methods. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2308.16192. Full description at Econpapers || Download paper | |
| 2023 | Specification testing with grouped fixed effects. (2023). Valentini, Francesco ; Pionati, Alessandro ; Pigini, Claudia. In: Papers. RePEc:arx:papers:2310.01950. Full description at Econpapers || Download paper | |
| 2023 | Estimation of market efficiency process within time-varying autoregressive models by extended Kalman filtering approach. (2023). Kulikov, Gennady ; Kulikova, Maria. In: Papers. RePEc:arx:papers:2310.04125. Full description at Econpapers || Download paper | |
| 2023 | BVARs and Stochastic Volatility. (2023). Chan, Joshua. In: Papers. RePEc:arx:papers:2310.14438. Full description at Econpapers || Download paper | |
| 2023 | Optimal Estimation Methodologies for Panel Data Regression Models. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2311.03471. Full description at Econpapers || Download paper | |
| 2024 | From Reactive to Proactive Volatility Modeling with Hemisphere Neural Networks. (2023). Frenette, Mikael ; Coulombe, Philippe Goulet ; Klieber, Karin. In: Papers. RePEc:arx:papers:2311.16333. Full description at Econpapers || Download paper | |
| 2024 | Structural Analysis of Vector Autoregressive Models. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2312.06402. Full description at Econpapers || Download paper | |
| 2023 | . Full description at Econpapers || Download paper | |
| 2023 | Application of Artificial Intelligence and Machine Learning in the Conduct of Monetary Policy by Central Banks. (2023). Georgieva, Sonya. In: Economic Studies journal. RePEc:bas:econst:y:2023:i:8:p:177-199. Full description at Econpapers || Download paper | |
| 2023 | Turning Words into Numbers: Measuring News Media Coverage of Shortages. (2023). Houle, Stephanie ; Chen, Lin. In: Discussion Papers. RePEc:bca:bocadp:23-8. Full description at Econpapers || Download paper | |
| 2023 | Energy price shocks and inflation in the euro area. (2023). Tagliabracci, Alex ; delle Monache, Davide ; Corsello, Francesco ; Conflitti, Cristina ; Busetti, Fabio ; Neri, Stefano. In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_792_23. Full description at Econpapers || Download paper | |
| 2023 | Utiliser la presse pour construire un nouvel indicateur de perception d’inflation en France. (2023). Pierre-Antoine, Robert ; Annabelle, De Gaye ; Alexandre, Dhenin ; Julien, Denes ; Jean-Charles, Bricongne ; Olivier, De Bandt. In: Working papers. RePEc:bfr:banfra:921. Full description at Econpapers || Download paper | |
| 2023 | Data science in central banking: applications and tools. (2023). Committee, Irving Fisher. In: IFC Bulletins. RePEc:bis:bisifb:59. Full description at Econpapers || Download paper | |
| 2024 | Forecasting Inflation in Russia Using Gradient Boosting and Neural Networks. (2024). Dzhunkeev, Urmat. In: Russian Journal of Money and Finance. RePEc:bkr:journl:v:83:y:2024:i:1:p:53-76. Full description at Econpapers || Download paper | |
| 2024 | . Full description at Econpapers || Download paper | |
| 2024 | KNOWLEDGE SPILLOVERS AND OUTPUT PER WORKER: AN INDUSTRYâ€LEVEL ANALYSIS FOR OECD COUNTRIES. (2018). Bournakis, Ioannis ; Mallick, Sushanta ; Christopoulos, Dimitris. In: Economic Inquiry. RePEc:bla:ecinqu:v:56:y:2018:i:2:p:1028-1046. Full description at Econpapers || Download paper | |
| 2023 | Monitoring Financial Conditions and Downside Risk to Economic Activity in Australia. (2023). Hartigan, Luke ; Wright, Michelle. In: The Economic Record. RePEc:bla:ecorec:v:99:y:2023:i:325:p:253-287. Full description at Econpapers || Download paper | |
| 2023 | Towards Better Banking Crisis Prediction: Could an Automatic Variable Selection Process Improve the Performance?. (2023). Liu, Xianglong. In: The Economic Record. RePEc:bla:ecorec:v:99:y:2023:i:325:p:288-312. Full description at Econpapers || Download paper | |
| 2023 | Measuring inflation expectations in interwar Britain. (2023). Lennard, Jason ; Solomou, Solomos ; Meinecke, Finn. In: Economic History Review. RePEc:bla:ehsrev:v:76:y:2023:i:3:p:844-870. Full description at Econpapers || Download paper | |
| 2023 | . Full description at Econpapers || Download paper | |
| 2023 | BAYESIAN STATE SPACE MODELS IN MACROECONOMETRICS. (2023). Strachan, Rodney. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:37:y:2023:i:1:p:58-75. Full description at Econpapers || Download paper | |
| 2023 | Interbank money market concerns and actors’ strategies—A systematic review of 21st century literature. (2023). Dugdale, Julie ; Reaidy, Paul J ; Madies, Philippe ; Alaeddini, Morteza. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:37:y:2023:i:2:p:573-654. Full description at Econpapers || Download paper | |
| 2023 | Directed graphs and variable selection in large vector autoregressive models. (2023). Kascha, Christian ; Bruggemann, Ralf ; Bertsche, Dominik. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:44:y:2023:i:2:p:223-246. Full description at Econpapers || Download paper | |
| 2023 | . Full description at Econpapers || Download paper | |
| 2023 | Variable Screening and Model Averaging for Expectile Regressions. (2023). Wang, Siwei ; Tu, Yundong. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:85:y:2023:i:3:p:574-598. Full description at Econpapers || Download paper | |
| 2023 | Every crisis does matter: Comparing the databases of financial crisis events. (2023). Širaňová, Mária ; Zelenak, Karol ; Siranova, Maria. In: Review of International Economics. RePEc:bla:reviec:v:31:y:2023:i:2:p:652-686. Full description at Econpapers || Download paper | |
| 2024 | Drivers of COVID-19 in U.S. counties: A wave-level analysis. (2024). Otero, Jesus ; HENRY, MIGUEL ; Garcia-Suaza, Andres ; Baum, Christopher. In: Boston College Working Papers in Economics. RePEc:boc:bocoec:1067. Full description at Econpapers || Download paper | |
| 2023 | Unwinding quantitative easing: state dependency and household heterogeneity. (2023). Cantore, Cristiano ; Meichtry, Pascal. In: Bank of England working papers. RePEc:boe:boeewp:1030. Full description at Econpapers || Download paper | |
| 2023 | Electricity Intensity Convergence in the OECD Countries. (2023). Gallo, Lior. In: Bank of Israel Working Papers. RePEc:boi:wpaper:2023.10. Full description at Econpapers || Download paper | |
| 2023 | Augmenting the Realized-GARCH: the role of signed-jumps, attenuation-biases and long-memory effects. (2023). Papantonis, Ioannis ; Orestis, Agapitos ; Elias, Tzavalis ; Ioannis, Papantonis ; Leonidas, Rompolis. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:27:y:2023:i:2:p:171-198:n:8. Full description at Econpapers || Download paper | |
| 2023 | The Role of Pricing Errors in Linear Asset Pricing Models with Strong, Semi-strong, and Latent Factors. (2023). Smith, R P ; Pesaran, M H. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2317. Full description at Econpapers || Download paper | |
| 2023 | UK Monetary Policy in An Estimated DSGE Model with State-Dependent Price and Wage Contracts. (2023). Minford, Patrick ; Meenagh, David ; Mai, Vo Phuong ; Chen, Haixia. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2023/22. Full description at Econpapers || Download paper | |
| 2023 | UK monetary and fiscal policy since the Great Recession- an evaluation. (2023). Minford, A. Patrick ; Wang, Ziqing ; Meenagh, David ; Mai, Vo Phuong. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2023/9. Full description at Econpapers || Download paper | |
| 2023 | . Full description at Econpapers || Download paper | |
| 2023 | Model Averaging with Ridge Regularization. (2023). Skolkova, Alena. In: CERGE-EI Working Papers. RePEc:cer:papers:wp758. Full description at Econpapers || Download paper | |
| 2023 | Economic Growth and Pollutant Emissions: New Panel Evidence from the Union for the Mediterranean Countries. (2023). Belaid, Fateh ; Rault, Christophe ; ben Abdeljelil, Mouna. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10201. Full description at Econpapers || Download paper | |
| 2023 | The Role of Pricing Errors in Linear Asset Pricing Models with Strong, Semi-Strong, and Latent Factors. (2023). Pesaran, Mohammad ; Smith, Ron P. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10282. Full description at Econpapers || Download paper | |
| 2023 | Goodness-of-fit test in high-dimensional linear sparse models. (2023). van Bellegem, Sebastien ; Sauvenier, Mathieu. In: LIDAM Discussion Papers CORE. RePEc:cor:louvco:2023008. Full description at Econpapers || Download paper | |
| 2023 | The inefficiency of Quantitative Easing in the Euro Area. (2023). Michail, Nektarios ; Louka, Kyriaki G. In: Working Papers. RePEc:cyb:wpaper:2023-3. Full description at Econpapers || Download paper | |
| 2023 | Nowcasting GDP using tone-adjusted time varying news topics: Evidence from the financial press. (2023). de Winter, Jasper ; van Dijk, Dorinth. In: Working Papers. RePEc:dnb:dnbwpp:766. Full description at Econpapers || Download paper | |
| 2023 | Per Capita Income Convergence and Divergence of Selected OECD Countries to and from the US: A Reappraisal for the period 1900-2018. (2023). Konya, Laszlo. In: Applied Econometrics and International Development. RePEc:eaa:aeinde:v:23:y:2023:i:1_2. Full description at Econpapers || Download paper | |
| 2023 | ARE SHOCKS TO ELECTRICITY CONSUMPTION PERMANENT OR TRANSITORY? EVIDENCE FROM A PANEL STATIONARITY TEST WITH GRADUAL STRUCTURAL BREAKS FOR 25 OECD COUNTRIES. (2023). Kara, Murat S ; Husein, Jamal G. In: Applied Econometrics and International Development. RePEc:eaa:aeinde:v:23:y:2023:i:1_3. Full description at Econpapers || Download paper | |
| 2024 | Nowcasting consumer price inflation using high-frequency scanner data: evidence from Germany. (2024). Menz, Jan-Oliver ; Wieland, Elisabeth ; Schnorrenberger, Richard ; Carstensen, Kai ; Beck, Gunter W. In: Working Paper Series. RePEc:ecb:ecbwps:20242930. Full description at Econpapers || Download paper | |
| 2023 | Monetary policy and the term structure of inflation expectations with information frictions. (2023). McNeil, James. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:146:y:2023:i:c:s0165188922002913. Full description at Econpapers || Download paper | |
| 2023 | Measuring the trend real interest rate in a data-rich environment. (2023). Fu, Bowen. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:147:y:2023:i:c:s016518892300012x. Full description at Econpapers || Download paper | |
| 2024 | Dynamic industry uncertainty networks and the business cycle. (2024). faff, robert ; Baruník, Jozef ; Bevilacqua, Mattia. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:159:y:2024:i:c:s0165188923001999. Full description at Econpapers || Download paper | |
| 2023 | Quantile spillovers and connectedness analysis between oil and African stock markets. (2023). Kang, Sang Hoon ; Vo, Xuan Vinh ; Mensi, Walid. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:78:y:2023:i:c:p:60-83. Full description at Econpapers || Download paper | |
| 2023 | Revisiting economic growth and CO2 emissions nexus in Taiwan using a mixed-frequency VAR model. (2023). Wu, Cheng-Feng ; Wang, Mei-Chih ; Chen, Sheng-Tung ; Hsu, Chen-Min ; Chang, Tsangyao. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:79:y:2023:i:c:p:319-342. Full description at Econpapers || Download paper | |
| 2024 | Regional heterogeneity and the provincial Phillips curve in China. (2024). Tochkov, Kiril ; El-Shagi, Makram. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:81:y:2024:i:c:p:1036-1044. Full description at Econpapers || Download paper | |
| More than 100 citations found, this list is not complete... |
Works by George Kapetanios:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2014 | Estimation and Forecasting in Vector Autoregressive Moving Average Models for Rich Datasets In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 6 |
| 2018 | Estimation and forecasting in vector autoregressive moving average models for rich datasets.(2018) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | article | |
| 2024 | On Robust Inference in Time Series Regression In: Papers. [Full Text][Citation analysis] | paper | 1 |
| 2024 | On Robust Inference in Time Series Regression.(2024) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 2022 | On Robust Inference in Time Series Regression.(2022) In: PIER Working Paper Archive. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 2023 | High Dimensional Generalised Penalised Least Squares In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2022 | A New Test for Market Efficiency and Uncovered Interest Parity In: Papers. [Full Text][Citation analysis] | paper | 1 |
| 2023 | A new test for market efficiency and uncovered interest parity.(2023) In: Journal of International Money and Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | article | |
| 2022 | A New Test for Market Efficiency and Uncovered Interest Parity.(2022) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 2022 | A New Test forMarket Efficiency and Uncovered Interest Parity.(2022) In: PIER Working Paper Archive. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 2023 | Deep Neural Network Estimation in Panel Data Models In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2023 | Deep Neural Network Estimation in Panel Data Models.(2023) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2018 | Big Data Econometrics: Now Casting and Early Estimates In: BAFFI CAREFIN Working Papers. [Full Text][Citation analysis] | paper | 4 |
| 2019 | Testing for Correlated Factor Loadings in Cross Sectionally Dependent Panels In: SERIES. [Full Text][Citation analysis] | paper | 2 |
| 2019 | Estimation and Inference for Multi-dimensional Heterogeneous Panel Datasets with Hierarchical Multi-factor Error Structure In: SERIES. [Full Text][Citation analysis] | paper | 7 |
| 2021 | Estimation and inference for multi-dimensional heterogeneous panel datasets with hierarchical multi-factor error structure.(2021) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | article | |
| 2017 | Large time-varying parameter VARs: a non-parametric approach In: Temi di discussione (Economic working papers). [Full Text][Citation analysis] | paper | 7 |
| 2016 | Large Time-Varying Parameter VARs: A Non-Parametric Approach.(2016) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | paper | |
| 2007 | Testing for Neglected Nonlinearity in Long-Memory Models In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 37 |
| 2005 | Testing for Neglected Nonlinearity in Long Memory Models.(2005) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 37 | paper | |
| 2008 | Forecasting Using Bayesian and Information-Theoretic Model Averaging: An Application to U.K. Inflation In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 53 |
| 2005 | Forecasting using Bayesian and information theoretic model averaging: an application to UK inflation.(2005) In: Bank of England working papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 53 | paper | |
| 2007 | Forecasting using Bayesian and information theoretic model averaging: an application to UK inflation.(2007) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 53 | paper | |
| 2006 | Forecasting using Bayesian and Information Theoretic Model Averaging: An Application to UK Inflation.(2006) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 53 | paper | |
| 2010 | A Testing Procedure for Determining the Number of Factors in Approximate Factor Models With Large Datasets In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 110 |
| 2005 | A Testing Procedure for Determining the Number of Factors in Approximate Factor Models with Large Datasets.(2005) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 110 | paper | |
| 2011 | ELUSIVE PERSISTENCE: WAGE AND PRICE RIGIDITIES, THE NEW KEYNESIAN PHILLIPS CURVE AND INFLATION DYNAMICS In: Journal of Economic Surveys. [Citation analysis] | article | 13 |
| 2001 | Model Selection in Threshold Models In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 46 |
| 1999 | Model Selection in Threshold Models.(1999) In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 46 | paper | |
| 2003 | Pure Significance Tests of the Unit Root Hypothesis Against Nonlinear Alternatives In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 3 |
| 2005 | Estimating the Rank of the Spectral Density Matrix In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 2 |
| 2004 | Estimating the rank of the spectral density matrix.(2004) In: Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
| 2007 | Testing for Neglected Nonlinearity in Cointegrating Relationships* In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 2 |
| 2004 | Testing for Neglected Nonlinearity in Cointegrating Relationships.(2004) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
| 2009 | A parametric estimation method for dynamic factor models of large dimensions In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 75 |
| 2006 | A Parametric Estimation Method for Dynamic Factor Models of Large Dimensions.(2006) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 75 | paper | |
| 2018 | Inference on Multivariate Heteroscedastic Time Varying Random Coefficient Models In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 30 |
| 2015 | Inference on Multivariate Heteroscedastic Time Varying Random Coefficient Models.(2015) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 30 | paper | |
| 2019 | A Generalised Fractional Differencing Bootstrap for Long Memory Processes In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 6 |
| 2019 | A Generalised Fractional Differencing Bootstrap for Long Memory Processes.(2019) In: Essex Finance Centre Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | paper | |
| 2021 | 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 In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 0 |
| 2013 | Robust Forecast Methods and Monitoring during Structural Change In: Manchester School. [Full Text][Citation analysis] | article | 7 |
| 2007 | Measuring Conditional Persistence in Nonlinear Time Series* In: Oxford Bulletin of Economics and Statistics. [Full Text][Citation analysis] | article | 4 |
| 2008 | Nonlinear Alternatives to Unit Root Tests and Public Finances Sustainability: Some Evidence from Latin American and Caribbean Countries* In: Oxford Bulletin of Economics and Statistics. [Full Text][Citation analysis] | article | 28 |
| 2013 | Model Selection Criteria for Factor-Augmented Regressions-super- In: Oxford Bulletin of Economics and Statistics. [Full Text][Citation analysis] | article | 10 |
| 2009 | Multivariate methods for monitoring structural change In: Bank of England working papers. [Full Text][Citation analysis] | paper | 10 |
| 2010 | Multivariate Methods for Monitoring Structural Change.(2010) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 10 | paper | |
| 2013 | MULTIVARIATE METHODS FOR MONITORING STRUCTURAL CHANGE.(2013) In: Journal of Applied Econometrics. [Citation analysis] This paper has nother version. Agregated cites: 10 | article | |
| 2010 | Forecasting in the presence of recent structural change In: Bank of England working papers. [Full Text][Citation analysis] | paper | 9 |
| 2011 | Forecasting in the presence of recent structural change.(2011) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 9 | paper | |
| 2011 | Forecasting in the presence of recent structural change.(2011) In: CAMA Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 9 | paper | |
| 2011 | Evolving UK and US macroeconomic dynamics through the lens of a model of deterministic structural change In: Bank of England working papers. [Full Text][Citation analysis] | paper | 1 |
| 2014 | Evolving UK and US macroeconomic dynamics through the lens of a model of deterministic structural change.(2014) In: Empirical Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | article | |
| 2012 | Assessing the economy-wide effects of quantitative easing In: Bank of England working papers. [Full Text][Citation analysis] | paper | 229 |
| 2014 | Adaptive forecasting in the presence of recent and ongoing structural change In: Bank of England working papers. [Full Text][Citation analysis] | paper | 47 |
| 2013 | Adaptive forecasting in the presence of recent and ongoing structural change.(2013) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 47 | article | |
| 2012 | Adaptive Forcasting in the Presence of Recent and Ongoing Structural Change.(2012) In: CAMA Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 47 | paper | |
| 2012 | Adaptive Forecasting in the Presence of Recent and Ongoing Structural Change.(2012) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 47 | paper | |
| 2014 | Generalised density forecast combinations In: Bank of England working papers. [Full Text][Citation analysis] | paper | 57 |
| 2015 | Generalised density forecast combinations.(2015) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 57 | article | |
| 2014 | Generalised Density Forecast Combinations.(2014) In: CAMA Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 57 | paper | |
| 2014 | Estimating time-varying DSGE models using minimum distance methods In: Bank of England working papers. [Full Text][Citation analysis] | paper | 12 |
| 2015 | Estimating Time-Varying DSGE Models Using Minimum Distance Methods.(2015) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 12 | paper | |
| 2015 | Unconventional monetary policies and the macroeconomy: the impact of the United Kingdoms QE2 and Funding for Lending Scheme In: Bank of England working papers. [Full Text][Citation analysis] | paper | 30 |
| 2017 | A time varying parameter structural model of the UK economy In: Bank of England working papers. [Full Text][Citation analysis] | paper | 12 |
| 2019 | A time-varying parameter structural model of the UK economy.(2019) In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 12 | article | |
| 2017 | Common correlated effect cross-sectional dependence corrections for non-linear conditional mean panel models In: Bank of England working papers. [Full Text][Citation analysis] | paper | 0 |
| 2017 | A UK financial conditions index using targeted data reduction: forecasting and structural identification In: Bank of England working papers. [Full Text][Citation analysis] | paper | 13 |
| 2018 | A UK financial conditions index using targeted data reduction: Forecasting and structural identification.(2018) In: Econometrics and Statistics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 13 | article | |
| 2017 | A UK financial conditions index using targeted data reduction: forecasting and structural identification.(2017) In: CAMA Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 13 | paper | |
| 2017 | A UK financial conditions index using targeted data reduction: forecasting and structural identification.(2017) In: Essex Finance Centre Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 13 | paper | |
| 2018 | A new approach for detecting shifts in forecast accuracy In: Bank of England working papers. [Full Text][Citation analysis] | paper | 1 |
| 2018 | A New Approach for Detecting Shifts in Forecast Accuracy.(2018) In: Cardiff Economics Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 2019 | A new approach for detecting shifts in forecast accuracy.(2019) In: International Journal of Forecasting. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | article | |
| 2019 | Time-varying cointegration and the UK great ratios In: Bank of England working papers. [Full Text][Citation analysis] | paper | 0 |
| 2018 | Time varying cointegration and the UK great ratios.(2018) In: CAMA Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2018 | Time varying cointegration and the UK Great Ratios.(2018) In: Essex Finance Centre Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2020 | Making text count: economic forecasting using newspaper text In: Bank of England working papers. [Full Text][Citation analysis] | paper | 49 |
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| 2021 | Forecasting UK GDP growth with large survey panels In: Bank of England working papers. [Full Text][Citation analysis] | paper | 1 |
| 2003 | Rational expectations and fixed-event forecasts: an application to UK inflation In: Bank of England working papers. [Full Text][Citation analysis] | paper | 17 |
| 2005 | Rational expectations and fixed-event forecasts: An application to UK inflation.(2005) In: Empirical Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 17 | article | |
| 2003 | Import prices and exchange rate pass-through: theory and evidence from the United Kingdom In: Bank of England working papers. [Full Text][Citation analysis] | paper | 40 |
| 2004 | Forecasting with measurement errors in dynamic models In: Bank of England working papers. [Full Text][Citation analysis] | paper | 12 |
| 2003 | Forecasting with measurement errors in dynamic models.(2003) In: Royal Economic Society Annual Conference 2003. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 12 | paper | |
| 2005 | Forecasting with measurement errors in dynamic models.(2005) In: International Journal of Forecasting. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 12 | article | |
| 2004 | Forecasting with Measurement Errors in Dynamic Models.(2004) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 12 | paper | |
| 2004 | Estimating time-variation in measurement error from data revisions; an application to forecasting in dynamic models In: Bank of England working papers. [Full Text][Citation analysis] | paper | 4 |
| 2004 | Estimating Time-Variation in Measurement Error from Data Revisions: An Application to Forecasting in Dynamic Models.(2004) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
| 2006 | The yen real exchange rate may be stationary after all: evidence from non-linear unit root tests In: Bank of England working papers. [Full Text][Citation analysis] | paper | 16 |
| 2003 | The Yen Real Exchange Rate May Be Stationary after All: Evidence from Nonlinear Unit-Root Tests.(2003) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 16 | paper | |
| 2007 | Forecast combination and the Bank of England’s suite of statistical forecasting models In: Bank of England working papers. [Full Text][Citation analysis] | paper | 73 |
| 2008 | Forecast combination and the Bank of Englands suite of statistical forecasting models.(2008) In: Economic Modelling. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 73 | article | |
| 2007 | A state space approach to extracting the signal from uncertain data In: Bank of England working papers. [Full Text][Citation analysis] | paper | 32 |
| 2009 | A State Space Approach to Extracting the Signal from Uncertain Data.(2009) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 32 | paper | |
| 2009 | A State Space Approach to Extracting the Signal From Uncertain Data.(2009) In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 32 | article | |
| 2016 | On the estimation of short memory components in long memory time series models In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] | article | 0 |
| 2003 | Bootstrap Neural Network Cointegration Tests Against Nonlinear Alternative Hypotheses In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] | article | 1 |
| 2003 | Erratum In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] | article | 0 |
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| 2003 | Non-nested Models and the likelihood Ratio Statistic: A Comparison of Simulation and Bootstrap-based Tests In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] | paper | 1 |
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| 2005 | Alternative Approaches to Estimation and Inference in Large Multifactor Panels: Small Sample Results with an Application to Modelling of Asset Returns In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] | paper | 29 |
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| 2011 | Panels with non-stationary multifactor error structures.(2011) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 526 | article | |
| 2010 | Panels with nonstationary multifactor error structures.(2010) In: Post-Print. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 526 | paper | |
| 2006 | Panels with Nonstationary Multifactor Error Structures.(2006) In: IZA Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 526 | paper | |
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| 2012 | Exponent of Cross-sectional Dependence: Estimation and Inference In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] | paper | 66 |
| 2012 | Exponent of Cross-sectional Dependence: Estimation and Inference.(2012) In: CESifo Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 66 | paper | |
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| 2016 | Big Data Analytics: A New Perspective In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] | paper | 4 |
| 2016 | Big Data Analytics: A New Perspective.(2016) In: CESifo Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
| 2016 | Big data analytics: a new perspective.(2016) In: Globalization Institute Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
| 2016 | A One-Covariate at a Time, Multiple Testing Approach to Variable Selection in High-Dimensional Linear Regression Models In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] | paper | 28 |
| 2016 | A one-covariate at a time, multiple testing approach to variable selection in high-dimensional linear regression models.(2016) In: Globalization Institute Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 28 | paper | |
| 2018 | A One Covariate at a Time, Multiple Testing Approach to Variable Selection in High‐Dimensional Linear Regression Models.(2018) In: Econometrica. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 28 | article | |
| 1999 | Threshold Models for Trended Time Series In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] | paper | 14 |
| 2003 | Threshold models for trended time series.(2003) In: Empirical Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 14 | article | |
| 2018 | Exponent of Cross-sectional Dependence for Residuals In: CESifo Working Paper Series. [Full Text][Citation analysis] | paper | 11 |
| 2018 | Exponent of cross-sectional dependence for residuals.(2018) In: Monash Econometrics and Business Statistics Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 11 | paper | |
| 2019 | Exponent of Cross-sectional Dependence for Residuals.(2019) In: Sankhya B: The Indian Journal of Statistics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 11 | article | |
| 2018 | A Residual-based Threshold Method for Detection of Units that are Too Big to Fail in Large Factor Models In: CESifo Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
| 2020 | Measurement of Factor Strenght: Theory and Practice In: CESifo Working Paper Series. [Full Text][Citation analysis] | paper | 11 |
| 2020 | Measurement of Factor Strength: Theory and Practice.(2020) In: Monash Econometrics and Business Statistics Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 11 | paper | |
| 2021 | Measurement of factor strength: Theory and practice.(2021) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 11 | article | |
| 2015 | Factor based identification-robust inference in IV regressions In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 2015 | Structural Analysis with Multivariate Autoregressive Index Models In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 26 |
| 2016 | Structural analysis with Multivariate Autoregressive Index models.(2016) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 26 | article | |
| 2020 | A Similarity-based Approach for Macroeconomic Forecasting In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 9 |
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| 2021 | Time-varying instrumental variable estimation.(2021) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | article | |
| 2020 | Time-Varying Instrumental Variable Estimation.(2020) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | paper | |
| 2006 | Impulse Response Functions from Structural Dynamic Factor Models: A Monte Carlo Evaluation In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 2 |
| 2006 | Impulse Response Functions from Structural Dynamic Factor Models:A Monte Carlo Evaluation.(2006) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
| 2008 | Forecasting Exchange Rates with a Large Bayesian VAR In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 147 |
| 2009 | Forecasting exchange rates with a large Bayesian VAR.(2009) In: International Journal of Forecasting. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 147 | article | |
| 2008 | Forecasting Exchange Rates with a Large Bayesian VAR.(2008) In: Economics Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 147 | paper | |
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| 2009 | Forecasting Large Datasets with Bayesian Reduced Rank Multivariate Models.(2009) In: Economics Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 73 | paper | |
| 2011 | Forecasting large datasets with Bayesian reduced rank multivariate models.(2011) In: Journal of Applied Econometrics. [Citation analysis] This paper has nother version. Agregated cites: 73 | article | |
| 2010 | Factor-GMM Estimation with Large Sets of Possibly Weak Instruments In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 68 |
| 2010 | Factor-GMM estimation with large sets of possibly weak instruments.(2010) In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 68 | article | |
| 2006 | Factor-GMM Estimation with Large Sets of Possibly Weak Instruments.(2006) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 68 | paper | |
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| 2010 | Forecasting Government Bond Yields with Large Bayesian VARs.(2010) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 9 | paper | |
| 2020 | State-level wage Phillips curves In: Working Papers. [Full Text][Citation analysis] | paper | 11 |
| 2021 | State-level wage Phillips curves.(2021) In: Econometrics and Statistics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 11 | article | |
| 2020 | State-level wage Phillips curves.(2020) In: CAMA Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 11 | paper | |
| 2018 | State-level wage Phillips curves.(2018) In: Essex Finance Centre Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 11 | paper | |
| 2004 | THE ASYMPTOTIC DISTRIBUTION OF THE COINTEGRATION RANK ESTIMATOR UNDER THE AKAIKE INFORMATION CRITERION In: Econometric Theory. [Full Text][Citation analysis] | article | 15 |
| 2006 | TESTING FOR COINTEGRATION IN NONLINEAR SMOOTH TRANSITION ERROR CORRECTION MODELS In: Econometric Theory. [Full Text][Citation analysis] | article | 109 |
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| 2021 | ESTIMATION OF TIME-VARYING COVARIANCE MATRICES FOR LARGE DATASETS In: Econometric Theory. [Full Text][Citation analysis] | article | 1 |
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| 2008 | A Review of Forecasting Techniques for Large Data Sets.(2008) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 16 | paper | |
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| 2005 | Forecasting euro area inflation using dynamic factor measures of underlying inflation.(2005) In: Journal of Forecasting. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 27 | article | |
| 2008 | Statistical tests and estimators of the rank of a matrix and their applications in econometric modelling In: Working Paper Series. [Full Text][Citation analysis] | paper | 18 |
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| 2011 | Are more data always better for factor analysis? Results for the euro area, the six largest euro area countries and the UK.(2011) In: Journal of Forecasting. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 48 | article | |
| 2015 | An automatic leading indicator, variable reduction and variable selection methods using small and large datasets: Forecasting the industrial production growth for euro area economies In: Working Paper Series. [Full Text][Citation analysis] | paper | 1 |
| 2002 | Estimation and Inference in a Non-Linear State Space Model: Durable Consumption In: Royal Economic Society Annual Conference 2002. [Full Text][Citation analysis] | paper | 0 |
| 2008 | A bootstrap procedure for panel data sets with many cross-sectional units In: Econometrics Journal. [Full Text][Citation analysis] | article | 87 |
| 2004 | A Bootstrap Procedure for Panel Datasets with Many Cross-Sectional Units.(2004) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 87 | paper | |
| 2001 | An automatic leading indicator of economic activity: forecasting GDP growth for European countries In: Econometrics Journal. [Citation analysis] | article | 77 |
| 1999 | An Automatic Leading Indicator of Economic Activity: Forecasting GDP Growth for European Countries.(1999) In: National Institute of Economic and Social Research (NIESR) Discussion Papers. [Citation analysis] This paper has nother version. Agregated cites: 77 | paper | |
| 2003 | A radial basis function artificial neural network test for neglected nonlinearity In: Econometrics Journal. [Full Text][Citation analysis] | article | 7 |
| 2006 | Unit root tests in three-regime SETAR models In: Econometrics Journal. [Full Text][Citation analysis] | article | 76 |
| 2003 | Unit Root Tests in Three-Regime SETAR Models.(2003) In: Edinburgh School of Economics Discussion Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 76 | paper | |
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| 2005 | Cluster Analysis of Panel Datasets using Non-Standard Optimisation of Information Criteria.(2005) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
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| 2004 | A Stochastic Variance Factor Model for Large Datasets and an Application to S&P Data.(2004) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 12 | paper | |
| 2008 | GLS detrending-based unit root tests in nonlinear STAR and SETAR models In: Economics Letters. [Full Text][Citation analysis] | article | 27 |
| 2010 | Cross-sectional averaging and instrumental variable estimation with many weak instruments In: Economics Letters. [Full Text][Citation analysis] | article | 1 |
| 2008 | Cross-sectional Averaging and Instrumental Variable Estimation with Many Weak Instruments.(2008) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
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| 2015 | A new approach to multi-step forecasting using dynamic stochastic general equilibrium models In: Economics Letters. [Full Text][Citation analysis] | article | 1 |
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| 2018 | Time-varying Lasso In: Economics Letters. [Full Text][Citation analysis] | article | 0 |
| 2020 | Time-varying cointegration with an application to the UK Great Ratios In: Economics Letters. [Full Text][Citation analysis] | article | 2 |
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| 1999 | A Radial Basis Function Artificial Neural Network Test for ARCH.(1999) In: National Institute of Economic and Social Research (NIESR) Discussion Papers. [Citation analysis] This paper has nother version. Agregated cites: 16 | paper | |
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| 2000 | Incorporating lag order selection uncertainty in parameter inference for AR models.(2000) In: National Institute of Economic and Social Research (NIESR) Discussion Papers. [Citation analysis] This paper has nother version. Agregated cites: 6 | paper | |
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| 2004 | Nonlinear Autoregressive Models and Long Memory.(2004) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
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| 2006 | Forecasting Using Predictive Likelihood Model Averaging.(2006) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 24 | paper | |
| 2007 | Estimating deterministically time-varying variances in regression models In: Economics Letters. [Full Text][Citation analysis] | article | 9 |
| 2005 | Estimating Deterministically Time-Varying Variances in Regression Models.(2005) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 9 | paper | |
| 2003 | Testing for a unit root in the nonlinear STAR framework In: Journal of Econometrics. [Full Text][Citation analysis] | article | 875 |
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| 2003 | Testing for ARCH in the Presence of Nonlinearity of Unknown Form in the Conditional Mean.(2003) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 24 | paper | |
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| 2014 | Inference on stochastic time-varying coefficient models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 56 |
| 2014 | A nonlinear panel data model of cross-sectional dependence In: Journal of Econometrics. [Full Text][Citation analysis] | article | 14 |
| 2012 | A Nonlinear Panel Data Model of Cross-Sectional Dependence.(2012) In: Discussion Papers in Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 14 | paper | |
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| 2009 | Forecasting financial crises and contagion in Asia using dynamic factor analysis In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 27 |
| 2008 | Forecasting Financial Crises and Contagion in Asia using Dynamic Factor Analysis.(2008) In: Center for Economic Research (RECent). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 27 | paper | |
| 2005 | Forecasting Financial Crises and Contagion in Asia Using Dynamic Factor Analysis.(2005) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 27 | paper | |
| 2006 | Forecasting Financial Crises and Contagion in Asia using Dynamic Factor Analysis.(2006) In: Computing in Economics and Finance 2006. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 27 | paper | |
| 2014 | Bandwidth selection by cross-validation for forecasting long memory financial time series In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 4 |
| 2014 | Level shifts in stock returns driven by large shocks In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 6 |
| 2016 | Comparing logit-based early warning systems: Does the duration of systemic banking crises matter? In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 28 |
| 2016 | Credit market freedom and cost efficiency in US state banking In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 18 |
| 2016 | A time varying DSGE model with financial frictions In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 15 |
| 2015 | A Time Varying DSGE Model with Financial Frictions.(2015) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 15 | paper | |
| 2019 | Jumps in option prices and their determinants: Real-time evidence from the E-mini S&P 500 options market In: Journal of Financial Markets. [Full Text][Citation analysis] | article | 7 |
| 2014 | Jumps in Option Prices and Their Determinants: Real-time Evidence from the E-mini S&P 500 Option Market.(2014) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | paper | |
| 2009 | A real time evaluation of Bank of England forecasts of inflation and growth In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 54 |
| 2012 | Prediction from ARFIMA models: Comparisons between MLE and semiparametric estimation procedures In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 8 |
| 2019 | A comprehensive evaluation of macroeconomic forecasting methods In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 31 |
| 2024 | Forecasting in factor augmented regressions under structural change In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 0 |
| 2009 | Testing for strict stationarity in financial variables In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 6 |
| 2009 | Getting PPP right: Identifying mean-reverting real exchange rates in panels In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 139 |
| 2004 | Getting PPP Right: Identifying Mean Reverting Real Exchange Rates in Panels.(2004) In: Money Macro and Finance (MMF) Research Group Conference 2004. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 139 | paper | |
| 2004 | Getting PPP Right: Identifying Mean-Reverting Real Exchange Rates in Panels.(2004) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 139 | paper | |
| 2008 | Getting PPP Right: Identifying Mean-Reverting Real Exchange Rates in Panels.(2008) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 139 | paper | |
| 2012 | Forecasting government bond yields with large Bayesian vector autoregressions In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 56 |
| 2017 | Liquidity creation through efficient M&As: A viable solution for vulnerable banking systems? Evidence from a stress test under a panel VAR methodology In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 10 |
| 2021 | Unconventional monetary policies and the macroeconomy: The impact of the UKs QE2 and funding for lending scheme In: The Quarterly Review of Economics and Finance. [Full Text][Citation analysis] | article | 5 |
| 2022 | Stock returns predictability with unstable predictors In: CAMA Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2022 | Stock returns predictability with unstable predictors.(2022) In: Essex Finance Centre Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
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| 2022 | Choosing between persistent and stationary volatility In: Essex Finance Centre Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2023 | Forecasting Value-at-Risk using deep neural network quantile regression In: Essex Finance Centre Working Papers. [Full Text][Citation analysis] | paper | 4 |
| 2009 | Model selection criteria for factor-augmented regressions In: Staff Reports. [Full Text][Citation analysis] | paper | 7 |
| 2009 | Parsimonious estimation with many instruments In: Staff Reports. [Full Text][Citation analysis] | paper | 4 |
| 2022 | Hierarchical Time-Varying Estimation of Asset Pricing Models In: JRFM. [Full Text][Citation analysis] | article | 1 |
| 2006 | The Role of Search Frictions and Bargaining for Inflation Dynamics In: Working Papers. [Full Text][Citation analysis] | paper | 4 |
| 2015 | A Shrinkage Instrumental Variable Estimator for Large Datasets In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2008 | A Shrinkage Instrumental Variable Estimator for Large Datasets.(2008) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2015 | A SHRINKAGE INSTRUMENTAL VARIABLE ESTIMATOR FOR LARGE DATASETS.(2015) In: L'Actualité Economique. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 2007 | Dynamic factor extraction of cross-sectional dependence in panel unit root tests In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 5 |
| 2004 | Dynamic Factor Extraction of Cross-Sectional Dependence in Panel Unit Root Tests.(2004) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | paper | |
| 2010 | Estimating time variation in measurement error from data revisions: an application to backcasting and forecasting in dynamic models In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 3 |
| 2004 | Testing for nonlinear cointegration between stock prices and dividends In: Money Macro and Finance (MMF) Research Group Conference 2003. [Full Text][Citation analysis] | paper | 0 |
| 2005 | How Puzzling is the PPP Puzzle? An Alternative Half-Life Measure of convergence to PPP In: Money Macro and Finance (MMF) Research Group Conference 2005. [Full Text][Citation analysis] | paper | 12 |
| 2004 | How Puzzling is the PPP Puzzle? An Alternative Half-Life Measure of Convergence to PPP.(2004) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 12 | paper | |
| 2007 | A State Space Approach To The Policymakers Data Uncertainty Problem In: Money Macro and Finance (MMF) Research Group Conference 2006. [Full Text][Citation analysis] | paper | 2 |
| 2023 | Mean Group Instrumental Variable Estimation of Time-Varying Large Heterogeneous Panels with Endogenous Regressors In: Monash Econometrics and Business Statistics Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2018 | Big Data & Macroeconomic Nowcasting: Methodological Review In: Economic Statistics Centre of Excellence (ESCoE) Discussion Papers. [Full Text][Citation analysis] | paper | 13 |
| 2021 | UK Economic Conditions during the Pandemic: Assessing the Economy using ONS Faster Indicators In: Economic Statistics Centre of Excellence (ESCoE) Discussion Papers. [Full Text][Citation analysis] | paper | 1 |
| 2022 | Real Time Indicators During the COVID-19 Pandemic Individual Predictors & Selection In: Economic Statistics Centre of Excellence (ESCoE) Technical Reports. [Full Text][Citation analysis] | paper | 1 |
| 2022 | An Evaluation Framework for Targeted Indicators Aggregates vs. Disaggregates In: Economic Statistics Centre of Excellence (ESCoE) Technical Reports. [Full Text][Citation analysis] | paper | 0 |
| 2022 | A Quality Assessment Framework for Maintaining & Publishing New Indicators In: Economic Statistics Centre of Excellence (ESCoE) Technical Reports. [Full Text][Citation analysis] | paper | 0 |
| 1999 | Tests of Rank in Reduced Rank Regression Models In: National Institute of Economic and Social Research (NIESR) Discussion Papers. [Citation analysis] | paper | 3 |
| 1999 | A Test of M Structural Breaks Under the Unit Root Hypothesis In: National Institute of Economic and Social Research (NIESR) Discussion Papers. [Citation analysis] | paper | 4 |
| 1999 | The Forecasting Performance of the OECD Composite Leading Indicators for France, Germany, Italy In: National Institute of Economic and Social Research (NIESR) Discussion Papers. [Citation analysis] | paper | 5 |
| 2000 | Model Selection Uncertainty and Dynamic Models In: National Institute of Economic and Social Research (NIESR) Discussion Papers. [Citation analysis] | paper | 2 |
| 2000 | Information Criteria, Model Selection Uncertainty and the Determination of Cointegration Rank In: National Institute of Economic and Social Research (NIESR) Discussion Papers. [Citation analysis] | paper | 1 |
| 2000 | Cointegrating VAR models with endogenous I(0) variables: theoretical extensions and an application to UK monetary policy In: National Institute of Economic and Social Research (NIESR) Discussion Papers. [Citation analysis] | paper | 2 |
| 2000 | Inward investment and technical progress in the United Kingdom manufacturing sector In: National Institute of Economic and Social Research (NIESR) Discussion Papers. [Citation analysis] | paper | 7 |
| 2000 | Evaluating macroeconomic models of the business cycle In: National Institute of Economic and Social Research (NIESR) Discussion Papers. [Citation analysis] | paper | 0 |
| 2002 | Factor Analysis Using Subspace Factor Models: Some Theoretical Results and an Application to UK Inflation Forecasting In: Working Papers. [Full Text][Citation analysis] | paper | 4 |
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| 2002 | Testing for Structural Breaks in Nonlinear Dynamic Models Using Artificial Neural Network Approximations In: Working Papers. [Full Text][Citation analysis] | paper | 3 |
| 2002 | Modelling Core Inflation for the UK Using a New Dynamic Factor Estimation Method and a Large Disaggregated Price Index Dataset In: Working Papers. [Full Text][Citation analysis] | paper | 3 |
| 2002 | GLS Detrending for Nonlinear Unit Root Tests In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2002 | Testing for Neglected Nonlinearity in Long Memory Models In: Working Papers. [Full Text][Citation analysis] | paper | 2 |
| 2002 | A Note on Covariance Stationarity Conditions for Dynamic Random Coefficient Models In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2003 | A New Nonparametric Test of Cointegration Rank In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
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| 2003 | An Investigation of Current Account Solvency in Latin America Using Non Linear Stationarity Tests In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
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| 2003 | Using Extraneous Information and GMM to Estimate Threshold Parameters in TAR Models In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2003 | Determining the Stationarity Properties of Individual Series in Panel Datasets In: Working Papers. [Full Text][Citation analysis] | paper | 9 |
| 2003 | Testing for Cointegration in Nonlinear STAR Error Correction Models In: Working Papers. [Full Text][Citation analysis] | paper | 12 |
| 2003 | A Dynamic Factor Analysis of Financial Contagion in Asia In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2003 | Determining the Poolability of Individual Series in Panel Datasets In: Working Papers. [Full Text][Citation analysis] | paper | 13 |
| 2003 | Testing for Nonstationary Long Memory against Nonlinear Ergodic Models In: Working Papers. [Full Text][Citation analysis] | paper | 5 |
| 2004 | A Bootstrap Invariance Principle for Highly Nonstationary Long Memory Processes In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
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| 2004 | The Impact of Large Structural Shocks on Economic Relationships: Evidence from Oil Price Shocks In: Working Papers. [Full Text][Citation analysis] | paper | 2 |
| 2004 | A New Method for Determining the Number of Factors in Factor Models with Large Datasets In: Working Papers. [Full Text][Citation analysis] | paper | 20 |
| 2004 | On Testing for Diagonality of Large Dimensional Covariance Matrices In: Working Papers. [Full Text][Citation analysis] | paper | 3 |
| 2005 | Variable Selection using Non-Standard Optimisation of Information Criteria In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2005 | Cluster Analysis of Panel Choosing the Optimal Set of Instruments from Large Instrument Setsusing Non-Standard Optimisation of Information Criteria In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2005 | Nonlinear Modelling of Autoregressive Structural Breaks in a US Diffusion Index Dataset In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2005 | Tests for Deterministic Parametric Structural Change in Regression Models In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2005 | Statistical Tests of the Rank of a Matrix and Their Applications in Econometric Modelling In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2006 | Sieve Bootstrap for Strongly Dependent Stationary Processes In: Working Papers. [Full Text][Citation analysis] | paper | 4 |
| 2006 | Stochastic Volatility Driven by Large Shocks In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2006 | Nonlinear Models with Strongly Dependent Processes and Applications to Forward Premia and Real Exchange Rates In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2007 | Semiparametric Sieve-Type GLS Inference in Regressions with Long-Range Dependence In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2007 | Boosting Estimation of RBF Neural Networks for Dependent Data In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2007 | Testing the Martingale Difference Hypothesis Using Neural Network Approximations In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2007 | Testing for Strict Stationarity In: Working Papers. [Full Text][Citation analysis] | paper | 2 |
| 2007 | A Test for Serial Dependence Using Neural Networks In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2007 | Forecasting Large Datasets with Reduced Rank Multivariate Models In: Working Papers. [Full Text][Citation analysis] | paper | 2 |
| 2007 | The Elusive Persistence: Wage and Price Rigidities, the Phillips Curve, and Inflation Dynamics In: Working Papers. [Full Text][Citation analysis] | paper | 7 |
| 2008 | Forecasting with Dynamic Models using Shrinkage-based Estimation In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2010 | A Nonlinear Panel Model of Cross-sectional Dependence In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2011 | Block Bootstrap and Long Memory In: Working Papers. [Full Text][Citation analysis] | paper | 3 |
| 2015 | A Bayesian Local Likelihood Method for Modelling Parameter Time Variation in DSGE Models In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2019 | Hierarchical Time Varying Estimation of a Multi Factor Asset Pricing Model In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2022 | Expansionary and contractionary fiscal multipliers in the U.S. In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2002 | Unit Root Tests in Three-Regime SETAR Models In: Working Papers. [Full Text][Citation analysis] | paper | 46 |
| 2002 | Factor Analysis Using Subspace Factor Models: Some Theoretical Results and an Application to UK Inflation Forecasting In: Working Papers. [Full Text][Citation analysis] | paper | 5 |
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| 2002 | Bootstrap Statistical Tests of Rank Determination for System Identification In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2002 | Unit Root Testing against the Alternative Hypothesis of up to m Structural Breaks In: Working Papers. [Full Text][Citation analysis] | paper | 49 |
| 2002 | Testing for Structural Breaks in Nonlinear Dynamic Models Using Artificial Neural Network Approximations In: Working Papers. [Full Text][Citation analysis] | paper | 3 |
| 2002 | Modelling Core Inflation for the UK Using a New Dynamic Factor Estimation Method and a Large Disaggregated Price Index Dataset In: Working Papers. [Full Text][Citation analysis] | paper | 17 |
| 2002 | GLS Detrending for Nonlinear Unit Root Tests In: Working Papers. [Full Text][Citation analysis] | paper | 2 |
| 2002 | Testing for Neglected Nonlinearity in Long Memory Models In: Working Papers. [Full Text][Citation analysis] | paper | 17 |
| 2002 | Measuring Conditional Persistence in Time Series In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2002 | A Note on Covariance Stationarity Conditions for Dynamic Random Coefficient Models In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2003 | A New Nonparametric Test of Cointegration Rank In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2003 | A Note on Joint Estimation of Common Cycles and Common Trends in Nonstationary Multivariate Systems In: Working Papers. [Full Text][Citation analysis] | paper | 2 |
| 2003 | The Yen Real Exchange Rate May Be Stationary after All: Evidence from Nonlinear Unit-Root Tests In: Working Papers. [Full Text][Citation analysis] | paper | 25 |
| 2003 | An Investigation of Current Account Solvency in Latin America Using Non Linear Stationarity Tests In: Working Papers. [Full Text][Citation analysis] | paper | 19 |
| 2003 | A Nonlinear Approach to Public Finance Sustainability in Latin America In: Working Papers. [Full Text][Citation analysis] | paper | 4 |
| 2003 | A Comparison of Estimation Methods for Dynamic Factor Models of Large Dimensions In: Working Papers. [Full Text][Citation analysis] | paper | 26 |
| 2003 | Non-Nested Models and the Likelihood Ratio Statistic: A Comparison of Simulation and Bootstrap Based Tests In: Working Papers. [Full Text][Citation analysis] | paper | 2 |
| 2003 | Using Extraneous Information and GMM to Estimate Threshold Parameters in TAR Models In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2003 | Determining the Stationarity Properties of Individual Series in Panel Datasets In: Working Papers. [Full Text][Citation analysis] | paper | 9 |
| 2003 | Testing for ARCH in the Presence of Nonlinearity of Unknown Form in the Conditional Mean In: Working Papers. [Full Text][Citation analysis] | paper | 2 |
| 2003 | Testing for Cointegration in Nonlinear STAR Error Correction Models In: Working Papers. [Full Text][Citation analysis] | paper | 12 |
| 2003 | A Dynamic Factor Analysis of Financial Contagion in Asia In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2003 | Determining the Poolability of Individual Series in Panel Datasets In: Working Papers. [Full Text][Citation analysis] | paper | 13 |
| 2003 | Testing for Nonstationary Long Memory against Nonlinear Ergodic Models In: Working Papers. [Full Text][Citation analysis] | paper | 5 |
| 2004 | A Stochastic Variance Factor Model for Large Datasets and an Application to S&P Data In: Working Papers. [Full Text][Citation analysis] | paper | 3 |
| 2004 | A Bootstrap Invariance Principle for Highly Nonstationary Long Memory Processes In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2004 | Testing for Neglected Nonlinearity in Cointegrating Relationships In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2004 | Dynamic Factor Extraction of Cross-Sectional Dependence in Panel Unit Root Tests In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2004 | Testing for Exogeneity in Nonlinear Threshold Models In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2004 | Nonlinear Autoregressive Models and Long Memory In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2004 | Getting PPP Right: Identifying Mean-Reverting Real Exchange Rates in Panels In: Working Papers. [Full Text][Citation analysis] | paper | 8 |
| 2004 | Estimating Time-Variation in Measurement Error from Data Revisions: An Application to Forecasting in Dynamic Models In: Working Papers. [Full Text][Citation analysis] | paper | 5 |
| 2004 | Forecasting with Measurement Errors in Dynamic Models In: Working Papers. [Full Text][Citation analysis] | paper | 5 |
| 2004 | How Puzzling is the PPP Puzzle? An Alternative Half-Life Measure of Convergence to PPP In: Working Papers. [Full Text][Citation analysis] | paper | 9 |
| 2004 | A Bootstrap Procedure for Panel Datasets with Many Cross-Sectional Units In: Working Papers. [Full Text][Citation analysis] | paper | 2 |
| 2004 | The Impact of Large Structural Shocks on Economic Relationships: Evidence from Oil Price Shocks In: Working Papers. [Full Text][Citation analysis] | paper | 3 |
| 2004 | A New Method for Determining the Number of Factors in Factor Models with Large Datasets In: Working Papers. [Full Text][Citation analysis] | paper | 19 |
| 2004 | On Testing for Diagonality of Large Dimensional Covariance Matrices In: Working Papers. [Full Text][Citation analysis] | paper | 3 |
| 2005 | Testing for Neglected Nonlinearity in Long Memory Models In: Working Papers. [Full Text][Citation analysis] | paper | 4 |
| 2005 | Variable Selection using Non-Standard Optimisation of Information Criteria In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2005 | Choosing the Optimal Set of Instruments from Large Instrument Sets In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2005 | Cluster Analysis of Panel Datasets using Non-Standard Optimisation of Information Criteria In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2005 | Alternative Approaches to Estimation and Inference in Large Multifactor Panels: Small Sample Results with an Application to Modelling of Asset Returns In: Working Papers. [Full Text][Citation analysis] | paper | 28 |
| 2005 | Nonlinear Modelling of Autoregressive Structural Breaks in a US Diffusion Index Dataset In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2005 | Forecasting Financial Crises and Contagion in Asia Using Dynamic Factor Analysis In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2005 | Tests for Deterministic Parametric Structural Change in Regression Models In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2005 | Estimating Deterministically Time-Varying Variances in Regression Models In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2005 | Statistical Tests of the Rank of a Matrix and Their Applications in Econometric Modelling In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2005 | A Testing Procedure for Determining the Number of Factors in Approximate Factor Models with Large Datasets In: Working Papers. [Full Text][Citation analysis] | paper | 5 |
| 2006 | Sieve Bootstrap for Strongly Dependent Stationary Processes In: Working Papers. [Full Text][Citation analysis] | paper | 4 |
| 2006 | Forecasting using Bayesian and Information Theoretic Model Averaging: An Application to UK Inflation In: Working Papers. [Full Text][Citation analysis] | paper | 3 |
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| 2006 | Stochastic Volatility Driven by Large Shocks In: Working Papers. [Full Text][Citation analysis] | paper | 2 |
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| 2006 | Nonlinear Models with Strongly Dependent Processes and Applications to Forward Premia and Real Exchange Rates In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2006 | Factor-GMM Estimation with Large Sets of Possibly Weak Instruments In: Working Papers. [Full Text][Citation analysis] | paper | 12 |
| 2007 | Semiparametric Sieve-Type GLS Inference in Regressions with Long-Range Dependence In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2007 | Boosting Estimation of RBF Neural Networks for Dependent Data In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2007 | Testing the Martingale Difference Hypothesis Using Neural Network Approximations In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2007 | Testing for Strict Stationarity In: Working Papers. [Full Text][Citation analysis] | paper | 2 |
| 2007 | A Test for Serial Dependence Using Neural Networks In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2007 | Forecasting Large Datasets with Reduced Rank Multivariate Models In: Working Papers. [Full Text][Citation analysis] | paper | 2 |
| 2007 | The Elusive Persistence: Wage and Price Rigidities, the Phillips Curve, and Inflation Dynamics In: Working Papers. [Full Text][Citation analysis] | paper | 3 |
| 2008 | Revisiting Useful Approaches to Data-Rich Macroeconomic Forecasting In: Working Papers. [Full Text][Citation analysis] | paper | 31 |
| 2008 | A Review of Forecasting Techniques for Large Data Sets In: Working Papers. [Full Text][Citation analysis] | paper | 17 |
| 2008 | A Shrinkage Instrumental Variable Estimator for Large Datasets In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2008 | Cross-sectional Averaging and Instrumental Variable Estimation with Many Weak Instruments In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2008 | Getting PPP Right: Identifying Mean-Reverting Real Exchange Rates in Panels In: Working Papers. [Full Text][Citation analysis] | paper | 3 |
| 2008 | Forecasting Exchange Rates with a Large Bayesian VAR In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2008 | Forecasting with Dynamic Models using Shrinkage-based Estimation In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2009 | A State Space Approach to Extracting the Signal from Uncertain Data In: Working Papers. [Full Text][Citation analysis] | paper | 13 |
| 2010 | Multivariate Methods for Monitoring Structural Change In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2010 | Forecasting Government Bond Yields with Large Bayesian VARs In: Working Papers. [Full Text][Citation analysis] | paper | 6 |
| 2010 | A Nonlinear Panel Model of Cross-sectional Dependence In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2011 | Block Bootstrap and Long Memory In: Working Papers. [Full Text][Citation analysis] | paper | 3 |
| 2012 | Adaptive Forecasting in the Presence of Recent and Ongoing Structural Change In: Working Papers. [Full Text][Citation analysis] | paper | 2 |
| 2014 | Jumps in Option Prices and Their Determinants: Real-time Evidence from the E-mini S&P 500 Option Market In: Working Papers. [Full Text][Citation analysis] | paper | 5 |
| 2015 | Inference on Multivariate Heteroscedastic Time Varying Random Coefficient Models In: Working Papers. [Full Text][Citation analysis] | paper | 5 |
| 2015 | Estimating Time-Varying DSGE Models Using Minimum Distance Methods In: Working Papers. [Full Text][Citation analysis] | paper | 2 |
| 2015 | A Time Varying DSGE Model with Financial Frictions In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2015 | A Bayesian Local Likelihood Method for Modelling Parameter Time Variation in DSGE Models In: Working Papers. [Full Text][Citation analysis] | paper | 2 |
| 2008 | Breaks in DSGE models In: 2008 Meeting Papers. [Full Text][Citation analysis] | paper | 1 |
| 2015 | Inference for Impulse Response Coefficients From Multivariate Fractionally Integrated Processes In: Working Paper series. [Full Text][Citation analysis] | paper | 1 |
| 2017 | Inference for impulse response coefficients from multivariate fractionally integrated processes.(2017) In: Econometric Reviews. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | article | |
| 2003 | Structural Breaks in Inflation Dynamics In: Computing in Economics and Finance 2003. [Citation analysis] | paper | 20 |
| 2023 | Testing for correlation between the regressors and factor loadings in heterogeneous panels with interactive effects In: Empirical Economics. [Full Text][Citation analysis] | article | 1 |
| 2020 | Correction to: Exponent of Cross-sectional Dependence for Residuals In: Sankhya B: The Indian Journal of Statistics. [Full Text][Citation analysis] | article | 0 |
| 2011 | Testing the Null Hypothesis of Nonstationary Long Memory Against the Alternative Hypothesis of a Nonlinear Ergodic Model In: Econometric Reviews. [Full Text][Citation analysis] | article | 9 |
| 2016 | Semiparametric Sieve-Type Generalized Least Squares Inference In: Econometric Reviews. [Full Text][Citation analysis] | article | 1 |
| 2018 | Resuscitating real interest rate parity: new evidence from panels In: The European Journal of Finance. [Full Text][Citation analysis] | article | 3 |
| 2024 | An LM Test for the Conditional Independence between Regressors and Factor Loadings in Panel Data Models with Interactive Effects In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 0 |
| 2013 | Estimation and inference for impulse response functions from univariate strongly persistent processes In: Econometrics Journal. [Full Text][Citation analysis] | article | 7 |
| 2016 | Estimating the Dynamics and Persistence of Financial Networks, with an Application to the Sterling Money Market In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 21 |
| 2013 | A Nonlinear Panel Data Model of Cross-Sectional Dependence In: EMF Research Papers. [Full Text][Citation analysis] | paper | 3 |
| 2013 | Generalised Density Forecast Combinations In: EMF Research Papers. [Full Text][Citation analysis] | paper | 4 |
| 2016 | A comprehensive evaluation of macroeconomic forecasting methods In: EMF Research Papers. [Full Text][Citation analysis] | paper | 1 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated November, 3 2024. Contact: CitEc Team