Access Statistics for George Kapetanios

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Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Bayesian Local Likelihood Method for Modelling Parameter Time Variation in DSGE Models 0 0 1 3 1 6 10 47
A Bootstrap Invariance Principle for Highly Nonstationary Long Memory Processes 0 0 0 2 0 0 2 8
A Bootstrap Procedure for Panel Datasets with Many Cross-Sectional Units 1 1 5 12 1 1 9 26
A Comparison of Estimation Methods for Dynamic Factor Models of Large Dimensions 0 0 0 3 0 0 1 19
A Dynamic Factor Analysis of Financial Contagion in Asia 0 0 0 0 0 0 0 6
A Generalised Fractional Differencing Bootstrap for Long Memory Processes 1 1 1 25 1 1 1 28
A New Approach for Detecting Shifts in Forecast Accuracy 0 0 0 53 0 0 1 82
A New Method for Determining the Number of Factors in Factor Models with Large Datasets 1 1 2 6 1 1 2 20
A New Nonparametric Test of Cointegration Rank 0 0 0 0 0 0 0 7
A New Test for Market Efficiency and Uncovered Interest Parity 0 1 20 20 0 1 14 14
A Nonlinear Approach to Public Finance Sustainability in Latin America 0 0 0 2 0 0 1 18
A Nonlinear Panel Data Model of Cross-Sectional Dependence 0 1 2 21 0 1 8 77
A Nonlinear Panel Data Model of Cross-Sectional Dependence 0 0 0 130 0 0 1 278
A Nonlinear Panel Model of Cross-sectional Dependence 0 0 0 1 0 0 0 10
A Note on Covariance Stationarity Conditions for Dynamic Random Coefficient Models 0 0 0 0 0 0 0 1
A Note on Joint Estimation of Common Cycles and Common Trends in Nonstationary Multivariate Systems 0 0 0 0 0 0 0 4
A Note on an Iterative Least Squares Estimation Method for ARMA and VARMA Models 0 0 0 2 0 0 0 13
A One-Covariate at a Time, Multiple Testing Approach to Variable Selection in High-Dimensional Linear Regression Models 0 1 2 46 0 1 2 66
A Parametric Estimation Method for Dynamic Factor Models of Large Dimensions 0 0 1 188 0 0 2 610
A Radial Basis Function Artificial Neural Network Test for ARCH 0 0 0 104 0 0 0 1,047
A Residual-based Threshold Method for Detection of Units that are Too Big to Fail in Large Factor Models 0 0 1 28 0 0 1 65
A Review of Forecasting Techniques for Large Data Sets 0 0 0 1 0 0 0 11
A Shrinkage Instrumental Variable Estimator for Large Datasets 0 1 1 6 0 1 2 36
A Shrinkage Instrumental Variable Estimator for Large Datasets 0 0 0 3 0 0 1 16
A Similarity-based Approach for Macroeconomic Forecasting 0 1 3 60 0 2 10 92
A State Space Approach To The Policymaker's Data Uncertainty Problem 0 0 0 65 0 1 2 179
A State Space Approach to Extracting the Signal from Uncertain Data 0 0 1 5 2 4 11 42
A Stochastic Variance Factor Model for Large Datasets and an Application to S&P Data 0 0 1 1 0 0 1 7
A Test for Serial Dependence Using Neural Networks 0 0 0 2 0 0 2 14
A Test of M Structural Breaks Under the Unit Root Hypothesis 0 0 0 63 0 0 12 364
A Testing Procedure for Determining the Number of Factors in Approximate Factor Models with Large Datasets 0 0 2 6 1 1 5 19
A Time Varying DSGE Model with Financial Frictions 0 0 1 8 0 0 1 35
A UK financial conditions index using targeted data reduction: forecasting and structural identification 0 0 0 29 0 1 3 54
A UK financial conditions index using targeted data reduction: forecasting and structural identification 0 1 2 23 1 8 21 81
A UK financial conditions index using targeted data reduction: forecasting and structural identification 0 0 0 34 2 7 15 92
A comprehensive evaluation of macroeconomic forecasting methods 1 1 5 222 3 8 31 475
A new approach for detecting shifts in forecast accuracy 0 0 2 74 0 0 3 92
A one-covariate at a time, multiple testing approach to variable selection in high-dimensional linear regression models 0 0 1 59 1 1 9 163
A state space approach to extracting the signal from uncertain data 0 0 0 71 1 4 19 278
A time varying parameter structural model of the UK economy 0 0 0 119 0 0 1 127
Adaptive Forcasting in the Presence of Recent and Ongoing Structural Change 0 0 0 33 0 0 0 156
Adaptive Forecasting in the Presence of Recent and Ongoing Structural Change 0 0 0 0 0 1 2 17
Adaptive forecasting in the presence of recent and ongoing structural change 0 0 0 58 0 0 2 117
Alternative Approaches to Estimation and Inference in Large Multifactor Panels: Small Sample Results with an Application to Modelling of Asset Returns 0 0 0 1 0 1 1 18
Alternative Approaches to Estimation and Inference in Large Multifactor Panels: Small Sample Results with an Application to Modelling of Asset Returns 0 0 0 157 0 0 1 495
Alternative Approaches to Estimation and Inference in Large Multifactor Panels: Small Sample Results with an Application to Modelling of Asset Returns 0 0 0 133 0 1 3 305
An Automatic Leading Indicator of Economic Activity: Forecasting GDP Growth for European Countries 0 0 0 282 0 2 5 1,591
An Investigation of Current Account Solvency in Latin America Using Non Linear Stationarity Tests 0 1 1 2 0 1 1 10
An automatic leading indicator, variable reduction and variable selection methods using small and large datasets: Forecasting the industrial production growth for euro area economies 0 1 2 31 0 1 5 43
Are more data always better for factor analysis? Results for the euro area, the six largest euro area countries and the UK 0 0 1 112 0 0 3 263
Assessing the economy-wide effects of quantitative easing 2 3 10 497 3 8 29 1,303
Big Data & Macroeconomic Nowcasting: Methodological Review 0 3 22 250 3 12 57 433
Big Data Analytics: A New Perspective 0 0 0 35 0 0 0 93
Big Data Analytics: A New Perspective 0 0 0 23 0 0 1 90
Big Data Econometrics: Now Casting and Early Estimates 1 3 8 192 2 6 18 242
Big data analytics: a new perspective 0 0 0 217 0 0 2 284
Block Bootstrap and Long Memory 0 0 1 3 0 0 3 18
Boosting Estimation of RBF Neural Networks for Dependent Data 0 0 0 1 0 0 0 10
Bootstrap Statistical Tests of Rank Determination for System Identification 0 0 1 1 1 2 3 8
Breaks in DSGE models 0 0 0 44 0 0 0 107
Cluster Analysis of Panel Choosing the Optimal Set of Instruments from Large Instrument Setsusing Non-Standard Optimisation of Information Criteria 0 0 0 0 0 0 0 9
Cluster Analysis of Panel Datasets using Non-Standard Optimisation of Information Criteria 0 0 0 7 0 0 0 13
Cointegrating VAR models with endogenous I(0) variables: theoretical extensions and an application to UK monetary policy 0 0 0 166 1 1 1 654
Common correlated effect cross-sectional dependence corrections for non-linear conditional mean panel models 1 1 1 66 1 1 3 127
Cross-sectional Averaging and Instrumental Variable Estimation with Many Weak Instruments 0 0 1 6 0 0 2 22
Determining the Poolability of Individual Series in Panel Datasets 0 0 1 2 0 1 7 26
Determining the Stationarity Properties of Individual Series in Panel Datasets 0 0 0 0 0 0 1 6
Dynamic Factor Extraction of Cross-Sectional Dependence in Panel Unit Root Tests 0 0 0 0 0 0 0 9
Estimating Deterministically Time-Varying Variances in Regression Models 0 0 0 0 0 0 1 8
Estimating Time-Variation in Measurement Error from Data Revisions: An Application to Forecasting in Dynamic Models 0 0 0 1 0 0 0 12
Estimating Time-Varying DSGE Models Using Minimum Distance Methods 0 0 1 10 0 0 2 67
Estimating the rank of the spectral density matrix 0 0 0 129 0 0 2 430
Estimating time-variation in measurement error from data revisions; an application to forecasting in dynamic models 0 0 0 52 0 0 0 252
Estimating time-varying DSGE models using minimum distance methods 0 0 0 119 0 1 3 163
Estimation and Forecasting in Vector Autoregressive Moving Average Models for Rich Datasets 0 0 0 159 0 0 0 155
Estimation and Inference for Multi-dimensional Heterogeneous Panel Datasets with Hierarchical Multi-factor Error Structure 0 0 0 84 0 0 1 128
Estimation and Inference in a Non-Linear State Space Model: Durable Consumption 0 0 0 193 0 0 0 448
Evaluating macroeconomic models of the business cycle 0 0 0 69 0 0 0 232
Evolving UK and US macroeconomic dynamics through the lens of a model of deterministic structural change 0 0 0 52 0 0 1 129
Exponent of Cross-sectional Dependence for Residuals 0 0 0 33 0 0 2 73
Exponent of Cross-sectional Dependence: Estimation and Inference 0 1 7 73 0 3 15 225
Exponent of Cross-sectional Dependence: Estimation and Inference 0 0 1 148 0 1 2 309
Exponent of Cross-sectional Dependence: Estimation and Inference 0 1 1 52 1 2 5 214
Exponent of cross-sectional dependence for residuals 0 0 0 10 0 1 1 41
Factor Analysis Using Subspace Factor Models: Some Theoretical Results and an Application to UK Inflation Forecasting 0 0 0 1 0 0 0 8
Factor based identification-robust inference in IV regressions 0 0 1 46 0 0 2 88
Factor-GMM Estimation with Large Sets of Possibly Weak Instruments 0 0 0 23 1 1 4 99
Factor-GMM Estimation with Large Sets of Possibly Weak Instruments 0 0 0 2 0 0 0 16
Forecast combination and the Bank of England’s suite of statistical forecasting models 0 1 3 325 0 4 13 933
Forecasting Exchange Rates with a Large Bayesian VAR 0 1 1 72 2 3 3 260
Forecasting Exchange Rates with a Large Bayesian VAR 0 0 0 10 1 1 1 28
Forecasting Exchange Rates with a Large Bayesian VAR 0 0 0 172 1 2 2 409
Forecasting Financial Crises and Contagion in Asia Using Dynamic Factor Analysis 0 0 2 2 0 0 3 18
Forecasting Financial Crises and Contagion in Asia using Dynamic Factor Analysis 0 0 1 227 0 1 3 503
Forecasting Financial Crises and Contagion in Asia using Dynamic Factor Analysis 0 0 1 203 0 0 1 519
Forecasting Government Bond Yields with Large Bayesian VARs 0 0 0 36 0 1 3 135
Forecasting Government Bond Yields with Large Bayesian VARs 0 0 0 7 1 1 2 28
Forecasting Large Datasets with Bayesian Reduced Rank Multivariate Models 0 0 0 62 1 1 2 208
Forecasting Large Datasets with Bayesian Reduced Rank Multivariate Models 0 0 0 144 0 0 2 305
Forecasting Large Datasets with Reduced Rank Multivariate Models 0 0 0 0 0 0 0 9
Forecasting UK GDP growth with large survey panels 0 0 2 37 1 2 10 44
Forecasting UK inflation bottom up 1 3 14 81 4 21 95 309
Forecasting Using Predictive Likelihood Model Averaging 0 0 0 1 0 0 4 17
Forecasting euro area inflation using dynamic factor measures of underlying inflation 1 1 2 103 1 1 2 255
Forecasting in the presence of recent structural change 0 0 11 166 1 2 26 307
Forecasting in the presence of recent structural change 0 0 0 77 0 0 0 148
Forecasting using Bayesian and Information Theoretic Model Averaging: An Application to UK Inflation 0 0 1 3 0 0 3 30
Forecasting using Bayesian and information theoretic model averaging: an application to UK inflation 0 0 0 137 0 0 3 376
Forecasting with Dynamic Models using Shrinkage-based Estimation 0 0 0 1 0 0 1 13
Forecasting with Measurement Errors in Dynamic Models 0 0 0 0 0 0 0 18
Forecasting with measurement errors in dynamic models 0 0 0 143 0 0 1 497
Forecasting with measurement errors in dynamic models 0 0 0 116 0 0 0 411
GLS Detrending for Nonlinear Unit Root Tests 0 0 1 1 0 0 1 5
GLS Detrending-Based Unit Root Tests in Nonlinear STAR and SETAR Frameworks 0 0 0 272 1 1 3 759
Generalised Density Forecast Combinations 0 0 0 119 0 0 0 177
Generalised Density Forecast Combinations 0 0 0 3 0 0 1 35
Generalised density forecast combinations 0 0 1 42 0 0 1 97
Getting PPP Right: Identifying Mean Reverting Real Exchange Rates in Panels 0 0 0 58 0 0 1 219
Getting PPP Right: Identifying Mean-Reverting Real Exchange Rates in Panels 0 1 2 7 1 2 4 29
Getting PPP Right: Identifying Mean-Reverting Real Exchange Rates in Panels 0 0 0 1 0 0 1 19
Hierarchical Time Varying Estimation of a Multi Factor Asset Pricing Model 1 1 1 44 1 1 4 69
How Puzzling is the PPP Puzzle? An Alternative Half-Life Measure of Convergence to PPP 0 0 0 1 0 0 2 23
How Puzzling is the PPP Puzzle? An Alternative Half-Life Measure of convergence to PPP 0 0 1 123 0 0 1 391
Import prices and exchange rate pass-through: theory and evidence from the United Kingdom 0 1 2 779 0 1 2 2,079
Impulse Response Functions from Structural Dynamic Factor Models: A Monte Carlo Evaluation 0 0 0 144 0 0 0 528
Impulse Response Functions from Structural Dynamic Factor Models:A Monte Carlo Evaluation 0 0 3 345 0 1 6 1,040
Incorporating lag order selection uncertainty in parameter inference for AR models 0 0 0 48 0 0 0 322
Inference for Impulse Response Coefficients From Multivariate Fractionally Integrated Processes 0 0 0 39 0 0 0 32
Inference on Multivariate Heteroscedastic Time Varying Random Coefficient Models 0 0 0 2 0 1 1 9
Information Criteria, Model Selection Uncertainty and the Determination of Cointegration Rank 0 0 0 64 0 0 2 440
Inward investment and technical progress in the United Kingdom manufacturing sector 0 0 0 105 0 0 1 335
Jumps in Option Prices and Their Determinants: Real-time Evidence from the E-mini S&P 500 Option Market 0 0 1 6 0 1 3 30
Large Time-Varying Parameter VARs: A Non-Parametric Approach 0 0 4 84 0 0 10 117
Large time-varying parameter VARs: a non-parametric approach 0 0 5 117 5 7 21 167
Making a match: Combining theory and evidence in policy-oriented macroeconomic modelling 0 0 0 91 0 1 3 186
Making a match: combining theory and evidence in policy-oriented macroeconomic modelling 0 0 0 129 0 3 3 420
Making text count: economic forecasting using newspaper text 1 4 16 96 5 9 44 191
Measurement of Factor Strenght: Theory and Practice 0 0 0 42 0 0 5 102
Measurement of Factor Strength: Theory and Practice 0 0 2 30 0 0 4 58
Model Selection Uncertainty and Dynamic Models 0 0 0 55 0 0 2 262
Model Selection in Threshold Models 0 1 1 691 0 1 2 2,301
Model selection criteria for factor-augmented regressions 0 0 0 100 1 2 2 387
Modelling Core Inflation for the UK Using a New Dynamic Factor Estimation Method and a Large Disaggregated Price Index Dataset 0 0 1 4 0 0 2 14
Multivariate Methods for Monitoring Structural Change 0 0 0 1 0 0 4 30
Multivariate methods for monitoring structural change 0 0 1 55 0 0 1 145
Non-Nested Models and the Likelihood Ratio Statistic: A Comparison of Simulation and Bootstrap Based Tests 0 2 2 2 0 4 14 23
Non-nested Models and the likelihood Ratio Statistic: A Comparison of Simulation and Bootstrap-based Tests 0 0 0 399 0 0 0 1,422
Nonlinear Autoregressive Models and Long Memory 0 0 0 1 0 0 0 10
Nonlinear Modelling of Autoregressive Structural Breaks in a US Diffusion Index Dataset 0 0 2 2 0 0 4 14
Nonlinear Models with Strongly Dependent Processes and Applications to Forward Premia and Real Exchange Rates 0 0 0 0 0 0 0 11
On Testing for Diagonality of Large Dimensional Covariance Matrices 0 0 0 0 0 0 0 5
Panels with Nonstationary Multifactor Error Structures 0 0 0 78 0 0 0 307
Panels with Nonstationary Multifactor Error Structures 0 0 0 232 0 0 0 638
Panels with Nonstationary Multifactor Error Structures 0 0 0 0 0 0 1 26
Panels with Nonstationary Multifactor Error Structures 0 0 0 52 0 1 3 219
Panels with nonstationary multifactor error structures 0 0 2 16 0 0 6 93
Parsimonious estimation with many instruments 0 0 0 30 0 0 0 88
Rational expectations and fixed-event forecasts: an application to UK inflation 0 0 0 149 0 0 0 581
Revisiting Useful Approaches to Data-Rich Macroeconomic Forecasting 0 0 0 1 0 0 5 20
Revisiting useful approaches to data-rich macroeconomic forecasting 0 0 0 145 1 1 1 339
Semiparametric Sieve-Type GLS Inference in Regressions with Long-Range Dependence 0 0 0 3 0 0 0 11
Sieve Bootstrap for Strongly Dependent Stationary Processes 0 0 1 2 1 1 3 16
Spectral based methods to identify common trends and common cycles 0 0 0 181 0 0 0 571
State-level wage Phillips curves 0 0 1 20 0 0 1 45
State-level wage Phillips curves 0 0 0 8 0 1 2 27
Statistical Tests of the Rank of a Matrix and Their Applications in Econometric Modelling 0 0 0 0 0 0 0 15
Statistical tests and estimators of the rank of a matrix and their applications in econometric modelling 0 0 0 66 0 0 0 133
Stochastic Volatility Driven by Large Shocks 0 0 0 1 0 0 2 16
Structural Analysis with Multivariate Autoregressive Index Models 0 0 1 84 0 0 6 116
Structural Breaks in Inflation Dynamics 0 0 0 0 1 1 1 484
Testing for ARCH in the Presence of Nonlinearity of Unknown Form in the Conditional Mean 0 0 0 0 0 0 0 5
Testing for Cointegration in Nonlinear STAR Error Correction Models 0 0 1 2 0 1 5 23
Testing for Correlated Factor Loadings in Cross Sectionally Dependent Panels 0 0 0 51 2 6 25 95
Testing for Exogeneity in Nonlinear Threshold Models 0 0 0 0 0 0 0 3
Testing for Neglected Nonlinearity in Cointegrating Relationships 0 0 0 1 0 0 1 7
Testing for Neglected Nonlinearity in Long Memory Models 0 0 0 0 0 0 0 6
Testing for Nonstationary Long Memory against Nonlinear Ergodic Models 0 0 0 0 0 0 0 2
Testing for Strict Stationarity 0 0 1 3 1 1 6 18
Testing for Structural Breaks in Nonlinear Dynamic Models Using Artificial Neural Network Approximations 0 0 0 1 0 0 1 12
Testing for a Linear Unit Root against Nonlinear Threshold Stationarity 0 0 0 109 0 0 0 319
Testing for a Unit Root against Nonlinear STAR Models 0 0 0 159 0 0 0 319
Testing for a Unit Root against Nonlinear STAR Models 0 0 0 182 1 2 6 643
Testing for nonlinear cointegration between stock prices and dividends 0 0 0 192 0 0 0 424
Testing the Martingale Difference Hypothesis Using Neural Network Approximations 0 0 0 1 0 0 0 6
Testing the rank of the Hankel matrix: a statistical approach 0 0 0 108 0 1 2 595
Tests for Deterministic Parametric Structural Change in Regression Models 0 0 0 1 0 0 0 5
Tests of Rank in Reduced Rank Regression Models 0 0 0 61 0 0 0 600
The Elusive Persistence: Wage and Price Rigidities, the Phillips Curve, and Inflation Dynamics 0 0 0 1 0 0 0 7
The Forecasting Performance of the OECD Composite Leading Indicators for France, Germany, Italy 0 0 0 183 1 2 4 1,029
The Impact of Large Structural Shocks on Economic Relationships: Evidence from Oil Price Shocks 0 0 1 4 0 0 2 11
The Role of Search Frictions and Bargaining for Inflation Dynamics 0 0 0 40 0 0 1 170
The Yen Real Exchange Rate May Be Stationary after All: Evidence from Nonlinear Unit-Root Tests 0 0 0 2 0 0 3 41
The yen real exchange rate may be stationary after all: evidence from non-linear unit root tests 0 0 0 167 0 0 0 726
Threshold Models for Trended Time Series 0 0 0 843 0 0 1 2,460
Time varying cointegration and the UK Great Ratios 0 0 1 29 1 1 2 42
Time varying cointegration and the UK great ratios 0 1 1 35 0 1 3 67
Time-Varying Instrumental Variable Estimation 0 0 1 48 0 1 6 60
Time-Varying Instrumental Variable Estimation 0 3 7 39 0 4 13 93
Time-varying cointegration and the UK great ratios 0 0 2 30 1 1 9 45
Unconventional monetary policies and the macroeconomy: the impact of the United Kingdom's QE2 and Funding for Lending Scheme 0 0 6 120 2 3 13 284
Unit Root Testing against the Alternative Hypothesis of up to m Structural Breaks 0 0 0 6 0 0 1 14
Unit Root Tests in Three-Regime SETAR Models 0 0 0 239 0 0 5 656
Unit Root Tests in Three-Regime SETAR Models 0 0 0 0 0 0 0 14
Using Extraneous Information and GMM to Estimate Threshold Parameters in TAR Models 0 0 0 0 0 0 1 9
Variable Selection using Non-Standard Optimisation of Information Criteria 0 0 0 3 0 0 2 10
Total Working Papers 12 44 224 15,027 67 201 873 45,037
82 registered items for which data could not be found


Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Generalised Fractional Differencing Bootstrap for Long Memory Processes 0 0 0 4 1 1 4 17
A One Covariate at a Time, Multiple Testing Approach to Variable Selection in High‐Dimensional Linear Regression Models 0 0 3 28 1 1 11 104
A SHRINKAGE INSTRUMENTAL VARIABLE ESTIMATOR FOR LARGE DATASETS 0 0 0 1 0 0 2 46
A State Space Approach to Extracting the Signal From Uncertain Data 0 0 0 12 0 0 2 58
A Testing Procedure for Determining the Number of Factors in Approximate Factor Models With Large Datasets 0 1 3 54 0 1 8 150
A UK financial conditions index using targeted data reduction: Forecasting and structural identification 0 0 0 24 1 6 13 127
A bootstrap procedure for panel data sets with many cross-sectional units 0 0 0 237 2 4 26 781
A comprehensive evaluation of macroeconomic forecasting methods 1 2 6 22 2 6 22 90
A factor approach to realized volatility forecasting in the presence of finite jumps and cross-sectional correlation in pricing errors 0 0 0 22 0 0 0 65
A new approach for detecting shifts in forecast accuracy 0 1 1 2 0 1 3 22
A new approach to multi-step forecasting using dynamic stochastic general equilibrium models 0 0 1 15 0 1 7 64
A new summary measure of inflation expectations 0 0 2 33 0 0 7 73
A nonlinear panel data model of cross-sectional dependence 0 1 4 86 0 2 8 238
A note on an iterative least-squares estimation method for ARMA and VARMA models 0 0 0 54 0 0 2 124
A note on modelling core inflation for the UK using a new dynamic factor estimation method and a large disaggregated price index dataset 0 0 0 45 0 0 0 114
A parametric estimation method for dynamic factor models of large dimensions 0 0 0 63 0 0 0 148
A radial basis function artificial neural network test for ARCH 0 0 0 27 0 0 0 143
A radial basis function artificial neural network test for neglected nonlinearity 0 0 0 219 0 0 1 1,245
A real time evaluation of Bank of England forecasts of inflation and growth 1 1 3 89 1 1 6 251
A review of forecasting techniques for large datasets 0 0 0 1 0 0 1 2
A similarity‐based approach for macroeconomic forecasting 1 3 7 24 1 5 18 76
A stochastic variance factor model for large datasets and an application to S&P data 0 0 0 32 0 0 1 107
A time varying DSGE model with financial frictions 0 1 5 37 0 2 12 135
A time-varying parameter structural model of the UK economy 0 0 2 15 0 0 7 62
Adaptive forecasting in the presence of recent and ongoing structural change 0 2 5 86 0 5 14 329
An Investigation of Current Account Solvency in Latin America Using Non Linear Nonstationarity Tests 0 0 1 97 0 1 3 292
An automatic leading indicator of economic activity: forecasting GDP growth for European countries 0 0 0 51 0 1 5 1,396
Are more data always better for factor analysis? Results for the euro area, the six largest euro area countries and the UK 0 0 3 40 0 0 4 112
Assessing the Economy‐wide Effects of Quantitative Easing 3 7 16 410 8 16 42 1,250
Bandwidth selection by cross-validation for forecasting long memory financial time series 0 1 2 6 0 1 3 33
Bootstrap Neural Network Cointegration Tests Against Nonlinear Alternative Hypotheses 0 0 1 140 0 0 1 366
Bootstrap-based tests for deterministic time-varying coefficients in regression models 0 0 1 22 0 0 3 65
Choosing the optimal set of instruments from large instrument sets 0 0 0 4 0 0 1 38
Cluster analysis of panel data sets using non-standard optimisation of information criteria 0 0 1 210 0 1 4 582
Common correlated effect cross‐sectional dependence corrections for nonlinear conditional mean panel models 0 1 2 10 0 2 3 27
Comparing logit-based early warning systems: Does the duration of systemic banking crises matter? 1 1 3 44 1 1 8 158
Correction to: Exponent of Cross-sectional Dependence for Residuals 0 0 0 1 0 0 0 6
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 0 0 0 0 0 0 1 8
Credit market freedom and cost efficiency in US state banking 0 0 0 15 1 1 6 94
Cross-sectional averaging and instrumental variable estimation with many weak instruments 0 0 0 33 0 0 0 95
Detection of units with pervasive effects in large panel data models 0 0 0 3 0 1 4 21
Dynamic factor extraction of cross-sectional dependence in panel unit root tests 0 0 0 88 0 1 4 300
ELUSIVE PERSISTENCE: WAGE AND PRICE RIGIDITIES, THE NEW KEYNESIAN PHILLIPS CURVE AND INFLATION DYNAMICS 0 0 0 0 1 2 3 149
ESTIMATION OF TIME-VARYING COVARIANCE MATRICES FOR LARGE DATASETS 0 0 0 2 1 2 2 7
Erratum 0 0 0 6 0 0 0 98
Estimating deterministically time-varying variances in regression models 0 0 0 8 0 0 2 38
Estimating the Dynamics and Persistence of Financial Networks, with an Application to the Sterling Money Market 0 0 0 15 0 0 0 52
Estimating the Rank of the Spectral Density Matrix 0 0 0 23 0 0 0 95
Estimating time variation in measurement error from data revisions: an application to backcasting and forecasting in dynamic models 0 0 0 58 0 0 2 321
Estimation and forecasting in vector autoregressive moving average models for rich datasets 0 0 0 18 0 0 10 98
Estimation and inference for impulse response functions from univariate strongly persistent processes 0 0 0 2 0 0 0 27
Estimation and inference for multi-dimensional heterogeneous panel datasets with hierarchical multi-factor error structure 0 0 1 10 0 1 10 30
Evolving UK and US macroeconomic dynamics through the lens of a model of deterministic structural change 0 0 0 3 1 1 1 19
Exponent of Cross-sectional Dependence for Residuals 0 1 2 9 0 2 5 36
Exponent of Cross‐Sectional Dependence: Estimation and Inference 0 0 2 29 0 0 4 134
Factor-GMM estimation with large sets of possibly weak instruments 2 2 3 95 3 5 11 218
Financial Econometrics and Realized Volatility/Vast Data 0 0 2 7 0 0 3 25
Forecast combination and the Bank of England's suite of statistical forecasting models 0 0 2 89 1 1 4 230
Forecasting Using Bayesian and Information-Theoretic Model Averaging: An Application to U.K. Inflation 0 0 2 88 3 4 10 276
Forecasting euro area inflation using dynamic factor measures of underlying inflation 0 0 0 17 0 0 0 107
Forecasting exchange rates with a large Bayesian VAR 0 1 5 275 2 6 16 763
Forecasting financial crises and contagion in Asia using dynamic factor analysis 0 1 2 122 0 2 3 344
Forecasting government bond yields with large Bayesian vector autoregressions 1 4 11 131 2 9 24 333
Forecasting inflation and GDP growth using heuristic optimisation of information criteria and variable reduction methods 0 0 1 22 1 1 4 65
Forecasting large datasets with Bayesian reduced rank multivariate models 0 0 0 0 0 0 2 141
Forecasting using predictive likelihood model averaging 0 0 1 45 0 2 4 159
Forecasting with measurement errors in dynamic models 0 0 0 35 0 0 0 122
GLS detrending-based unit root tests in nonlinear STAR and SETAR models 0 1 3 53 1 2 6 131
Generalised density forecast combinations 0 0 1 47 0 1 5 132
Getting PPP right: Identifying mean-reverting real exchange rates in panels 0 0 2 181 0 2 12 639
HOW PUZZLING IS THE PPP PUZZLE? AN ALTERNATIVE HALF‐LIFE MEASURE OF CONVERGENCE TO PPP 0 0 0 0 0 0 0 94
Incorporating lag order selection uncertainty in parameter inference for AR models 0 0 0 10 0 2 2 37
Inference for impulse response coefficients from multivariate fractionally integrated processes 0 0 0 1 0 0 0 18
Inference on Multivariate Heteroscedastic Time Varying Random Coefficient Models 0 0 0 3 0 0 1 10
Inference on stochastic time-varying coefficient models 4 5 15 167 4 9 28 374
Jumps in option prices and their determinants: Real-time evidence from the E-mini S&P 500 options market 0 0 0 1 0 0 4 21
Kernel-based Volatility Generalised Least Squares 0 0 3 9 0 0 10 23
Large time‐varying parameter VARs: A nonparametric approach 1 1 4 13 2 4 14 60
Level shifts in stock returns driven by large shocks 0 0 0 11 0 0 1 53
Liquidity creation through efficient M&As: A viable solution for vulnerable banking systems? Evidence from a stress test under a panel VAR methodology 0 0 3 18 0 0 11 99
MULTIVARIATE METHODS FOR MONITORING STRUCTURAL CHANGE 0 0 0 0 0 0 2 52
Making a match: Combining theory and evidence in policy-oriented macroeconomic modeling 0 6 7 181 0 17 20 457
Measurement of factor strength: Theory and practice 0 0 1 2 0 1 8 21
Measuring Conditional Persistence in Nonlinear Time Series* 0 0 0 11 0 0 0 44
Model Selection Criteria for Factor-Augmented Regressions-super- 0 0 0 11 0 0 0 47
Model Selection in Threshold Models 0 0 2 2 0 0 3 9
Modeling structural breaks in economic relationships using large shocks 0 0 0 66 1 1 3 214
Modified information criteria and selection of long memory time series models 1 1 1 8 1 1 1 31
Nonlinear Alternatives to Unit Root Tests and Public Finances Sustainability: Some Evidence from Latin American and Caribbean Countries* 0 0 0 40 0 0 0 117
Nonlinear autoregressive models and long memory 0 0 0 12 0 0 0 37
Nonlinear mean reversion in real exchange rates 0 0 0 62 0 0 2 164
Nonlinear models for strongly dependent processes with financial applications 0 0 0 40 0 0 0 125
On the estimation of short memory components in long memory time series models 0 0 0 18 0 0 1 60
Panels with non-stationary multifactor error structures 1 3 13 244 2 5 36 673
Prediction from ARFIMA models: Comparisons between MLE and semiparametric estimation procedures 0 0 1 14 0 1 3 54
Pure Significance Tests of the Unit Root Hypothesis Against Nonlinear Alternatives 0 0 2 43 0 0 2 236
Rational expectations and fixed-event forecasts: An application to UK inflation 0 0 0 44 0 0 0 151
Resuscitating real interest rate parity: new evidence from panels 0 0 0 4 0 0 1 21
Revisiting useful approaches to data-rich macroeconomic forecasting 0 1 1 34 0 1 3 96
Robust Forecast Methods and Monitoring during Structural Change 0 0 0 20 0 0 0 105
Semiparametric Sieve-Type Generalized Least Squares Inference 0 0 1 3 0 0 1 21
Shifts in volatility driven by large stock market shocks 0 0 0 8 0 0 1 76
Small sample properties of the conditional least squares estimator in SETAR models 0 0 0 50 0 0 0 179
State-level wage Phillips curves 0 0 2 4 0 3 5 16
Statistical Tests and Estimators of the Rank of a Matrix and Their Applications in Econometric Modelling 0 0 0 14 1 1 2 63
Structural analysis with Multivariate Autoregressive Index models 0 0 1 43 2 2 6 194
TESTING FOR COINTEGRATION IN NONLINEAR SMOOTH TRANSITION ERROR CORRECTION MODELS 0 0 1 130 0 2 3 300
TESTING FOR EXOGENEITY IN THRESHOLD MODELS 0 0 2 21 1 1 5 64
TESTS OF THE MARTINGALE DIFFERENCE HYPOTHESIS USING BOOSTING AND RBF NEURAL NETWORK APPROXIMATIONS 0 0 0 18 0 0 0 68
THE ASYMPTOTIC DISTRIBUTION OF THE COINTEGRATION RANK ESTIMATOR UNDER THE AKAIKE INFORMATION CRITERION 0 0 0 11 0 0 1 56
Testing for ARCH in the presence of nonlinearity of unknown form in the conditional mean 0 0 0 21 1 1 2 76
Testing for Neglected Nonlinearity in Cointegrating Relationships* 0 0 0 15 0 0 0 51
Testing for Neglected Nonlinearity in Long-Memory Models 0 0 0 12 1 1 1 38
Testing for a unit root in the nonlinear STAR framework 2 9 31 816 7 18 60 1,845
Testing for strict stationarity in financial variables 0 0 1 31 0 0 2 124
Testing the Null Hypothesis of Nonstationary Long Memory Against the Alternative Hypothesis of a Nonlinear Ergodic Model 0 0 0 36 0 0 0 136
The Fifth Special Issue on Computational Econometrics 0 0 0 32 0 0 1 121
The Yen Real Exchange Rate may be Stationary after all: Evidence from Non‐linear Unit‐root Tests 0 0 1 87 1 1 2 425
Threshold models for trended time series 0 0 0 22 0 1 2 76
Time-varying Lasso 0 1 8 73 2 5 21 167
Time-varying cointegration with an application to the UK Great Ratios 0 0 1 7 0 0 5 27
Time-varying instrumental variable estimation 0 1 8 12 0 6 21 43
Unconventional monetary policies and the macroeconomy: The impact of the UK's QE2 and funding for lending scheme 2 4 12 19 2 10 29 69
Unit root tests in three-regime SETAR models 0 0 0 52 0 0 0 341
Unit‐root testing against the alternative hypothesis of up to m structural breaks 0 1 4 79 1 5 14 227
Variable selection in regression models using nonstandard optimisation of information criteria 0 0 1 52 0 0 1 140
Total Journal Articles 21 65 239 6,553 64 204 751 22,649


Statistics updated 2023-05-07