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 0 3 2 2 4 61
A Bootstrap Invariance Principle for Highly Nonstationary Long Memory Processes 0 0 1 3 1 1 3 13
A Bootstrap Procedure for Panel Datasets with Many Cross-Sectional Units 1 1 7 23 1 2 13 44
A Comparison of Estimation Methods for Dynamic Factor Models of Large Dimensions 0 0 0 4 0 1 4 26
A Dynamic Factor Analysis of Financial Contagion in Asia 0 0 0 1 0 0 0 8
A Generalised Fractional Differencing Bootstrap for Long Memory Processes 0 0 0 25 0 0 0 28
A New Approach for Detecting Shifts in Forecast Accuracy 0 0 0 53 0 0 2 86
A New Method for Determining the Number of Factors in Factor Models with Large Datasets 0 0 4 11 0 0 6 28
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 0 1 24 0 28 30 50
A New Test for Market Efficiency and Uncovered Interest Parity 0 0 0 10 0 1 2 19
A New Test forMarket Efficiency and Uncovered Interest Parity 0 0 0 8 0 1 3 27
A Nonlinear Approach to Public Finance Sustainability in Latin America 0 0 0 2 0 0 2 21
A Nonlinear Panel Data Model of Cross-Sectional Dependence 0 0 1 132 1 1 2 281
A Nonlinear Panel Model of Cross-sectional Dependence 0 0 1 2 1 1 3 14
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 3 0 0 1 19
A One-Covariate at a Time, Multiple Testing Approach to Variable Selection in High-Dimensional Linear Regression Models 0 0 0 47 1 1 4 73
A Parametric Estimation Method for Dynamic Factor Models of Large Dimensions 0 0 0 188 3 3 4 618
A Quality Assessment Framework for Maintaining & Publishing New Indicators 0 0 0 3 0 0 3 10
A Radial Basis Function Artificial Neural Network Test for ARCH 0 0 0 104 0 0 1 1,049
A Residual-based Threshold Method for Detection of Units that are Too Big to Fail in Large Factor Models 0 0 0 29 0 0 1 68
A Review of Forecasting Techniques for Large Data Sets 0 0 0 2 0 0 0 12
A Shrinkage Instrumental Variable Estimator for Large Datasets 0 0 0 7 1 1 2 39
A Shrinkage Instrumental Variable Estimator for Large Datasets 0 0 0 3 0 0 1 17
A Similarity-based Approach for Macroeconomic Forecasting 0 0 1 61 1 3 8 101
A State Space Approach To The Policymaker's Data Uncertainty Problem 0 0 0 65 0 0 0 180
A State Space Approach to Extracting the Signal from Uncertain Data 0 0 0 5 0 0 1 47
A Stochastic Variance Factor Model for Large Datasets and an Application to S&P Data 0 0 0 1 0 0 1 8
A Test for Serial Dependence Using Neural Networks 0 0 1 4 0 0 4 22
A Test of M Structural Breaks Under the Unit Root Hypothesis 0 0 0 63 0 0 0 365
A Testing Procedure for Determining the Number of Factors in Approximate Factor Models with Large Datasets 0 0 3 12 1 1 5 28
A Time Varying DSGE Model with Financial Frictions 0 0 0 8 1 2 3 40
A UK financial conditions index using targeted data reduction: forecasting and structural identification 0 1 1 31 0 2 3 62
A UK financial conditions index using targeted data reduction: forecasting and structural identification 0 0 0 34 0 0 1 97
A UK financial conditions index using targeted data reduction: forecasting and structural identification 0 0 0 24 1 1 4 93
A new approach for detecting shifts in forecast accuracy 0 0 0 74 0 1 3 95
A one-covariate at a time, multiple testing approach to variable selection in high-dimensional linear regression models 0 0 0 59 1 1 5 169
A state space approach to extracting the signal from uncertain data 0 0 1 72 0 0 1 284
A time varying parameter structural model of the UK economy 0 0 1 120 0 0 5 132
Adaptive Forcasting in the Presence of Recent and Ongoing Structural Change 0 0 0 33 0 0 0 157
Adaptive Forecasting in the Presence of Recent and Ongoing Structural Change 0 0 0 0 1 2 3 21
Adaptive forecasting in the presence of recent and ongoing structural change 0 0 0 60 0 0 2 123
Alternative Approaches to Estimation and Inference in Large Multifactor Panels: Small Sample Results with an Application to Modelling of Asset Returns 0 0 1 135 0 0 2 309
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 1 1 496
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 0 2 20
An Automatic Leading Indicator of Economic Activity: Forecasting GDP Growth for European Countries 0 0 0 282 1 2 8 1,606
An Evaluation Framework for Targeted Indicators Aggregates vs. Disaggregates 0 0 0 6 0 0 1 8
An Investigation of Current Account Solvency in Latin America Using Non Linear Stationarity Tests 0 1 2 4 0 1 2 13
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 0 0 31 0 0 0 44
Are more data always better for factor analysis? Results for the euro area, the six largest euro area countries and the UK 0 0 0 112 0 0 1 264
Assessing the economy-wide effects of quantitative easing 0 2 6 504 1 5 16 1,333
Big Data & Macroeconomic Nowcasting: Methodological Review 0 5 15 284 4 10 43 513
Big Data Analytics: A New Perspective 0 0 0 23 0 1 1 91
Big Data Analytics: A New Perspective 0 0 0 35 0 0 2 96
Big Data Econometrics: Now Casting and Early Estimates 0 0 4 203 1 1 14 270
Big data analytics: a new perspective 0 0 1 219 0 0 4 290
Block Bootstrap and Long Memory 0 0 1 5 1 1 3 22
Boosting Estimation of RBF Neural Networks for Dependent Data 0 0 0 1 0 2 5 15
Bootstrap Statistical Tests of Rank Determination for System Identification 0 0 0 1 0 1 1 9
Breaks in DSGE models 0 0 0 45 0 0 1 110
Choosing between persistent and stationary volatility 0 0 1 57 0 2 5 89
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 0 0 0 654
Common correlated effect cross-sectional dependence corrections for non-linear conditional mean panel models 0 0 1 70 0 0 4 137
Cross-sectional Averaging and Instrumental Variable Estimation with Many Weak Instruments 0 0 0 6 0 1 2 26
Deep Neural Network Estimation in Panel Data Models 0 0 0 26 1 3 12 30
Deep Neural Network Estimation in Panel Data Models 0 2 2 6 0 3 7 19
Determining the Poolability of Individual Series in Panel Datasets 0 0 0 4 0 0 1 29
Determining the Stationarity Properties of Individual Series in Panel Datasets 0 0 0 0 0 1 1 7
Dynamic Factor Extraction of Cross-Sectional Dependence in Panel Unit Root Tests 0 0 0 0 0 0 0 10
Estimating Deterministically Time-Varying Variances in Regression Models 0 0 0 0 1 1 2 10
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 0 10 1 1 1 68
Estimating the rank of the spectral density matrix 0 0 0 129 1 1 2 432
Estimating time-variation in measurement error from data revisions; an application to forecasting in dynamic models 0 0 0 52 0 1 2 255
Estimating time-varying DSGE models using minimum distance methods 0 0 0 119 0 0 0 163
Estimation and Forecasting in Vector Autoregressive Moving Average Models for Rich Datasets 0 0 0 159 0 2 2 158
Estimation and Inference for Multi-dimensional Heterogeneous Panel Datasets with Hierarchical Multi-factor Error Structure 0 0 1 85 0 0 1 131
Estimation and Inference in a Non-Linear State Space Model: Durable Consumption 0 0 0 193 0 0 0 448
Estimation of time-varying covariance matrices for large datasets 0 0 1 1 0 0 4 7
Evaluating macroeconomic models of the business cycle 0 0 0 69 0 0 0 234
Evolving UK and US macroeconomic dynamics through the lens of a model of deterministic structural change 0 0 0 52 0 0 1 130
Expansionary and contractionary fiscal multipliers in the U.S 0 0 1 6 1 1 4 7
Exponent of Cross-sectional Dependence for Residuals 0 0 0 34 1 1 2 79
Exponent of Cross-sectional Dependence: Estimation and Inference 0 0 0 74 0 0 0 227
Exponent of Cross-sectional Dependence: Estimation and Inference 0 0 0 148 1 1 2 313
Exponent of Cross-sectional Dependence: Estimation and Inference 0 0 1 54 1 1 5 222
Exponent of cross-sectional dependence for residuals 0 0 0 11 0 0 2 46
Factor Analysis Using Subspace Factor Models: Some Theoretical Results and an Application to UK Inflation Forecasting 0 0 0 1 0 1 1 11
Factor based identification-robust inference in IV regressions 0 0 0 47 1 1 3 92
Factor-GMM Estimation with Large Sets of Possibly Weak Instruments 0 0 0 3 1 1 2 22
Factor-GMM Estimation with Large Sets of Possibly Weak Instruments 0 0 0 23 0 2 5 108
Forecast combination and the Bank of England’s suite of statistical forecasting models 0 0 3 328 3 4 10 947
Forecasting Exchange Rates with a Large Bayesian VAR 0 0 1 173 1 1 6 415
Forecasting Exchange Rates with a Large Bayesian VAR 0 0 2 74 0 0 4 266
Forecasting Exchange Rates with a Large Bayesian VAR 0 0 0 10 0 0 8 36
Forecasting Financial Crises and Contagion in Asia Using Dynamic Factor Analysis 0 0 0 2 0 1 1 19
Forecasting Financial Crises and Contagion in Asia using Dynamic Factor Analysis 0 0 0 227 0 0 0 503
Forecasting Financial Crises and Contagion in Asia using Dynamic Factor Analysis 0 0 0 203 1 1 2 521
Forecasting Government Bond Yields with Large Bayesian VARs 0 0 0 36 0 0 2 138
Forecasting Government Bond Yields with Large Bayesian VARs 0 0 0 9 0 1 3 42
Forecasting Large Datasets with Bayesian Reduced Rank Multivariate Models 0 0 0 62 1 1 2 210
Forecasting Large Datasets with Bayesian Reduced Rank Multivariate Models 0 0 0 144 0 0 2 308
Forecasting Large Datasets with Reduced Rank Multivariate Models 0 0 0 0 0 0 1 10
Forecasting UK GDP growth with large survey panels 0 0 2 40 3 4 11 61
Forecasting UK inflation bottom up 1 2 16 111 3 7 49 408
Forecasting Using Predictive Likelihood Model Averaging 0 0 0 1 0 0 1 18
Forecasting Value-at-Risk using deep neural network quantile regression 0 0 4 64 3 6 21 68
Forecasting euro area inflation using dynamic factor measures of underlying inflation 0 0 0 103 1 1 2 259
Forecasting in the presence of recent structural change 0 0 0 31 0 1 2 112
Forecasting in the presence of recent structural change 1 1 3 173 4 5 15 331
Forecasting in the presence of recent structural change 0 0 0 78 0 1 1 151
Forecasting using Bayesian and Information Theoretic Model Averaging: An Application to UK Inflation 0 0 0 3 1 1 2 33
Forecasting using Bayesian and information theoretic model averaging: an application to UK inflation 0 0 0 16 0 0 2 55
Forecasting using Bayesian and information theoretic model averaging: an application to UK inflation 0 0 0 137 1 1 4 382
Forecasting with Dynamic Models using Shrinkage-based Estimation 0 1 2 3 0 1 2 17
Forecasting with Measurement Errors in Dynamic Models 0 0 0 0 0 0 0 18
Forecasting with measurement errors in dynamic models 0 0 0 116 0 0 0 412
Forecasting with measurement errors in dynamic models 0 0 0 143 0 0 1 499
GLS Detrending for Nonlinear Unit Root Tests 0 0 0 1 0 0 0 6
GLS Detrending-Based Unit Root Tests in Nonlinear STAR and SETAR Frameworks 0 0 0 272 2 2 3 763
Generalised Density Forecast Combinations 0 0 0 119 0 0 0 179
Generalised density forecast combinations 0 0 1 44 0 1 3 102
Getting PPP Right: Identifying Mean Reverting Real Exchange Rates in Panels 0 0 0 59 0 0 1 221
Getting PPP Right: Identifying Mean-Reverting Real Exchange Rates in Panels 0 0 0 1 0 0 1 21
Getting PPP Right: Identifying Mean-Reverting Real Exchange Rates in Panels 0 0 0 8 0 0 0 31
Heterogeneous Grouping Structures in Panel Data 0 1 10 10 3 10 17 17
Hierarchical Time Varying Estimation of a Multi Factor Asset Pricing Model 0 0 0 44 0 0 0 69
High Dimensional Generalised Penalised Least Squares 0 0 1 28 0 0 5 45
How Puzzling is the PPP Puzzle? An Alternative Half-Life Measure of Convergence to PPP 0 0 0 1 1 1 1 25
How Puzzling is the PPP Puzzle? An Alternative Half-Life Measure of convergence to PPP 0 0 0 124 0 0 3 399
Import prices and exchange rate pass-through: theory and evidence from the United Kingdom 0 1 2 782 0 1 5 2,085
Impulse Response Functions from Structural Dynamic Factor Models: A Monte Carlo Evaluation 0 0 0 144 1 1 1 529
Impulse Response Functions from Structural Dynamic Factor Models:A Monte Carlo Evaluation 0 0 0 348 0 0 2 1,050
Incorporating lag order selection uncertainty in parameter inference for AR models 0 0 0 48 1 1 1 323
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 1 1 1 13
Information Criteria, Model Selection Uncertainty and the Determination of Cointegration Rank 0 0 0 64 0 0 4 445
Investor behavior and multiscale cross-correlations: Unveiling regime shifts in global financial markets 0 1 6 6 0 3 5 5
Inward investment and technical progress in the United Kingdom manufacturing sector 0 0 0 105 1 2 2 337
Jumps in Option Prices and Their Determinants: Real-time Evidence from the E-mini S&P 500 Option Market 0 0 1 8 0 0 4 39
Large Time-Varying Parameter VARs: A Non-Parametric Approach 0 0 1 85 1 2 5 123
Large time-varying parameter VARs: a non-parametric approach 0 0 0 121 1 3 9 182
Making a match: Combining theory and evidence in policy-oriented macroeconomic modelling 0 0 0 91 0 0 3 190
Making a match: combining theory and evidence in policy-oriented macroeconomic modelling 0 0 1 130 0 0 3 425
Making text count: economic forecasting using newspaper text 1 2 5 104 2 3 11 220
Mean Group Instrumental Variable Estimation of Time-Varying Large Heterogeneous Panels with Endogenous Regressors 0 0 2 17 1 2 9 18
Measurement of Factor Strenght: Theory and Practice 0 0 1 43 1 1 4 106
Measurement of Factor Strength: Theory and Practice 0 0 0 30 0 0 1 59
Measuring Conditional Persistence in Time Series 0 0 0 0 0 0 0 8
Model Selection Uncertainty and Dynamic Models 0 0 0 55 0 0 0 264
Model Selection in Threshold Models 0 0 1 692 0 0 2 2,303
Model selection criteria for factor-augmented regressions 0 0 3 105 0 0 9 405
Modelling Core Inflation for the UK Using a New Dynamic Factor Estimation Method and a Large Disaggregated Price Index Dataset 0 0 0 4 0 0 1 17
Multivariate Methods for Monitoring Structural Change 0 0 0 1 0 0 2 33
Multivariate methods for monitoring structural change 0 0 0 55 1 1 1 148
Non-Nested Models and the Likelihood Ratio Statistic: A Comparison of Simulation and Bootstrap Based Tests 0 0 0 2 0 0 2 29
Non-nested Models and the likelihood Ratio Statistic: A Comparison of Simulation and Bootstrap-based Tests 0 0 1 400 0 0 1 1,426
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 0 2 1 1 1 17
Nonlinear Models with Strongly Dependent Processes and Applications to Forward Premia and Real Exchange Rates 0 0 0 0 0 0 0 11
On Robust Inference in Time Series Regression 1 1 2 124 2 4 9 42
On Robust Inference in Time Series Regression 0 0 2 20 1 2 10 44
On Robust Inference in Time Series Regression 1 1 4 4 2 28 37 37
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 0 233 0 0 0 640
Panels with Nonstationary Multifactor Error Structures 0 0 0 78 0 0 1 309
Panels with Nonstationary Multifactor Error Structures 0 0 0 0 0 0 0 27
Panels with Nonstationary Multifactor Error Structures 0 0 0 52 0 0 1 221
Panels with nonstationary multifactor error structures 0 0 1 17 1 1 5 98
Parsimonious estimation with many instruments 0 0 0 30 1 1 1 89
Rational expectations and fixed-event forecasts: an application to UK inflation 0 0 1 150 1 1 4 585
Real Time Indicators During the COVID-19 Pandemic Individual Predictors & Selection 0 0 0 14 0 0 3 19
Regression Modelling under General Heterogeneity 0 25 33 33 0 11 22 22
Revisiting Useful Approaches to Data-Rich Macroeconomic Forecasting 0 0 0 1 0 0 2 23
Revisiting useful approaches to data-rich macroeconomic forecasting 0 1 1 146 0 1 1 342
Semiparametric Sieve-Type GLS Inference in Regressions with Long-Range Dependence 0 0 0 3 0 0 0 13
Sieve Bootstrap for Strongly Dependent Stationary Processes 0 0 0 2 1 1 2 18
Spectral based methods to identify common trends and common cycles 0 0 0 181 1 1 1 573
State-level wage Phillips curves 0 0 0 20 1 2 2 47
State-level wage Phillips curves 0 0 0 8 0 0 0 28
State-level wage Phillips curves 0 0 0 3 0 0 0 12
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 1 1 2 135
Stochastic Volatility Driven by Large Shocks 0 0 0 2 0 0 0 18
Stock returns predictability with unstable predictors 0 0 2 11 1 1 4 14
Stock returns predictability with unstable predictors 0 0 0 74 0 1 2 54
Structural Analysis with Multivariate Autoregressive Index Models 0 1 3 87 0 1 3 120
Structural Breaks in Inflation Dynamics 0 0 0 0 1 1 2 491
Testing for ARCH in the Presence of Nonlinearity of Unknown Form in the Conditional Mean 0 0 0 0 1 1 2 7
Testing for Cointegration in Nonlinear STAR Error Correction Models 0 0 0 3 0 0 0 26
Testing for Correlated Factor Loadings in Cross Sectionally Dependent Panels 0 0 2 53 0 0 2 102
Testing for Exogeneity in Nonlinear Threshold Models 0 0 0 0 1 1 1 4
Testing for Neglected Nonlinearity in Cointegrating Relationships 0 0 0 1 0 0 0 8
Testing for Neglected Nonlinearity in Long Memory Models 0 0 0 0 0 0 1 7
Testing for Nonstationary Long Memory against Nonlinear Ergodic Models 0 0 0 0 2 2 2 4
Testing for Strict Stationarity 0 0 0 3 2 2 4 24
Testing for Structural Breaks in Nonlinear Dynamic Models Using Artificial Neural Network Approximations 0 1 1 3 0 1 3 18
Testing for a Linear Unit Root against Nonlinear Threshold Stationarity 0 0 0 109 1 1 1 320
Testing for a Unit Root against Nonlinear STAR Models 0 0 0 160 0 0 0 320
Testing for a Unit Root against Nonlinear STAR Models 0 0 0 182 0 1 1 645
Testing for nonlinear cointegration between stock prices and dividends 0 0 0 192 0 0 1 425
Testing the Martingale Difference Hypothesis Using Neural Network Approximations 0 0 0 1 1 2 2 10
Testing the rank of the Hankel matrix: a statistical approach 0 0 0 108 1 1 1 597
Tests for Deterministic Parametric Structural Change in Regression Models 0 0 0 1 0 1 1 6
Tests of Rank in Reduced Rank Regression Models 0 0 0 61 0 0 0 602
The Elusive Persistence: Wage and Price Rigidities, the Phillips Curve, and Inflation Dynamics 0 0 2 5 1 1 4 14
The Forecasting Performance of the OECD Composite Leading Indicators for France, Germany, Italy 0 0 0 183 1 1 2 1,032
The Impact of Large Structural Shocks on Economic Relationships: Evidence from Oil Price Shocks 0 0 0 4 1 1 3 14
The Role of Search Frictions and Bargaining for Inflation Dynamics 0 0 0 41 0 0 2 175
The Yen Real Exchange Rate May Be Stationary after All: Evidence from Nonlinear Unit-Root Tests 0 0 0 2 0 0 0 41
The yen real exchange rate may be stationary after all: evidence from non-linear unit root tests 0 0 0 167 0 0 1 729
Threshold Models for Trended Time Series 0 0 0 843 0 0 0 2,463
Time Varying Three Pass Regression Filter 0 2 4 4 1 4 7 7
Time varying cointegration and the UK Great Ratios 0 0 0 30 0 0 0 44
Time varying cointegration and the UK great ratios 0 0 1 36 0 0 4 75
Time-Varying Instrumental Variable Estimation 0 1 1 50 1 6 7 70
Time-Varying Instrumental Variable Estimation 0 0 0 40 0 0 2 97
Time-varying cointegration and the UK great ratios 0 0 0 30 1 4 4 49
UK Economic Conditions during the Pandemic: Assessing the Economy using ONS Faster Indicators 0 0 1 1 1 1 4 16
Unconventional monetary policies and the macroeconomy: the impact of the United Kingdom's QE2 and Funding for Lending Scheme 0 0 0 124 2 3 4 295
Unit Root Testing against the Alternative Hypothesis of up to m Structural Breaks 0 0 1 7 1 2 4 19
Unit Root Tests in Three-Regime SETAR Models 0 0 0 0 0 0 0 15
Unit Root Tests in Three-Regime SETAR Models 0 0 0 240 0 0 0 658
Using Extraneous Information and GMM to Estimate Threshold Parameters in TAR Models 0 0 0 0 0 0 1 10
Variable Selection using Non-Standard Optimisation of Information Criteria 0 0 0 3 1 2 2 13
Total Working Papers 6 54 192 15,602 109 275 784 46,325
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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 5 2 2 2 20
A One Covariate at a Time, Multiple Testing Approach to Variable Selection in High‐Dimensional Linear Regression Models 1 1 1 30 1 2 5 112
A SHRINKAGE INSTRUMENTAL VARIABLE ESTIMATOR FOR LARGE DATASETS 0 0 0 1 0 0 0 47
A State Space Approach to Extracting the Signal From Uncertain Data 0 1 2 14 1 2 4 65
A Testing Procedure for Determining the Number of Factors in Approximate Factor Models With Large Datasets 0 0 4 61 1 1 6 164
A UK financial conditions index using targeted data reduction: Forecasting and structural identification 0 1 1 25 0 1 2 135
A bootstrap procedure for panel data sets with many cross-sectional units 0 0 0 237 1 3 16 806
A comprehensive evaluation of macroeconomic forecasting methods 0 0 3 34 0 1 16 136
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 2 3 69
A new approach for detecting shifts in forecast accuracy 0 0 0 4 1 1 4 29
A new approach to multi-step forecasting using dynamic stochastic general equilibrium models 0 0 1 16 0 1 5 73
A new summary measure of inflation expectations 0 0 0 34 1 1 1 75
A new test for market efficiency and uncovered interest parity 0 0 0 1 0 0 2 7
A nonlinear panel data model of cross-sectional dependence 0 0 2 90 0 0 4 247
A note on an iterative least-squares estimation method for ARMA and VARMA models 0 0 1 56 0 0 1 131
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 2 51 0 0 2 121
A parametric estimation method for dynamic factor models of large dimensions 0 0 0 64 1 1 2 152
A radial basis function artificial neural network test for ARCH 0 0 1 28 0 0 1 144
A radial basis function artificial neural network test for neglected nonlinearity 0 0 0 219 1 1 1 1,246
A real time evaluation of Bank of England forecasts of inflation and growth 0 0 0 90 0 1 3 256
A review of forecasting techniques for large datasets 0 0 0 30 0 1 2 74
A review of forecasting techniques for large datasets 0 0 0 1 1 1 1 5
A similarity‐based approach for macroeconomic forecasting 0 0 0 28 0 1 6 101
A stochastic variance factor model for large datasets and an application to S&P data 0 0 1 33 1 1 2 111
A time varying DSGE model with financial frictions 0 0 2 44 0 0 7 153
A time-varying parameter structural model of the UK economy 0 0 2 17 0 0 4 68
Adaptive forecasting in the presence of recent and ongoing structural change 0 1 3 94 1 3 15 357
An Investigation of Current Account Solvency in Latin America Using Non Linear Nonstationarity Tests 0 0 0 97 0 1 1 295
An LM Test for the Conditional Independence between Regressors and Factor Loadings in Panel Data Models with Interactive Effects 0 0 0 0 1 1 2 2
An automatic leading indicator of economic activity: forecasting GDP growth for European countries 0 0 0 51 0 1 4 1,403
Are more data always better for factor analysis? Results for the euro area, the six largest euro area countries and the UK 0 0 0 40 0 0 2 115
Assessing the Economy‐wide Effects of Quantitative Easing 0 0 5 419 0 4 30 1,300
Bandwidth selection by cross-validation for forecasting long memory financial time series 0 0 1 8 1 1 3 37
Bootstrap Neural Network Cointegration Tests Against Nonlinear Alternative Hypotheses 0 0 0 140 0 0 0 366
Bootstrap-based tests for deterministic time-varying coefficients in regression models 0 0 0 22 0 0 3 69
Choosing the optimal set of instruments from large instrument sets 0 0 0 4 0 0 1 40
Cluster analysis of panel data sets using non-standard optimisation of information criteria 0 1 1 211 0 2 3 585
Common correlated effect cross‐sectional dependence corrections for nonlinear conditional mean panel models 0 1 1 13 0 1 2 34
Comparing logit-based early warning systems: Does the duration of systemic banking crises matter? 0 0 1 45 0 2 8 175
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 1 1 1 10
Credit market freedom and cost efficiency in US state banking 0 0 0 15 0 0 3 98
Cross-sectional averaging and instrumental variable estimation with many weak instruments 0 0 0 33 0 1 1 97
Detection of units with pervasive effects in large panel data models 0 0 0 3 0 0 2 25
Dynamic factor extraction of cross-sectional dependence in panel unit root tests 0 0 0 88 0 0 0 300
ELUSIVE PERSISTENCE: WAGE AND PRICE RIGIDITIES, THE NEW KEYNESIAN PHILLIPS CURVE AND INFLATION DYNAMICS 0 0 0 0 1 1 3 156
ESTIMATION OF TIME-VARYING COVARIANCE MATRICES FOR LARGE DATASETS 0 0 0 3 0 0 0 8
Erratum 0 0 0 6 0 0 0 98
Estimating deterministically time-varying variances in regression models 0 0 0 8 0 0 0 40
Estimating the Dynamics and Persistence of Financial Networks, with an Application to the Sterling Money Market 0 1 1 18 0 1 1 56
Estimating the Rank of the Spectral Density Matrix 0 0 0 23 0 0 1 96
Estimating time variation in measurement error from data revisions: an application to backcasting and forecasting in dynamic models 0 0 0 58 0 0 1 324
Estimation and forecasting in vector autoregressive moving average models for rich datasets 0 0 0 19 0 1 5 110
Estimation and inference for impulse response functions from univariate strongly persistent processes 0 0 1 5 0 0 2 31
Estimation and inference for multi-dimensional heterogeneous panel datasets with hierarchical multi-factor error structure 0 0 1 13 1 2 8 41
Evolving UK and US macroeconomic dynamics through the lens of a model of deterministic structural change 0 1 2 6 1 2 4 24
Exponent of Cross-sectional Dependence for Residuals 0 0 1 10 0 0 4 45
Exponent of Cross‐Sectional Dependence: Estimation and Inference 0 0 0 30 1 1 4 144
Factor-GMM estimation with large sets of possibly weak instruments 1 2 6 104 2 4 10 234
Factor‐Based Identification‐Robust Interference in IV Regressions 0 0 0 10 0 0 0 37
Financial Econometrics and Realized Volatility/Vast Data 0 0 0 7 0 0 1 26
Forecast combination and the Bank of England's suite of statistical forecasting models 0 0 1 95 1 1 8 246
Forecasting UK inflation bottom up 0 0 1 1 1 6 9 9
Forecasting Using Bayesian and Information-Theoretic Model Averaging: An Application to U.K. Inflation 0 0 1 89 0 0 1 285
Forecasting Value-at-Risk Using Deep Neural Network Quantile Regression* 1 1 2 2 1 4 9 9
Forecasting euro area inflation using dynamic factor measures of underlying inflation 0 0 0 18 0 0 1 110
Forecasting exchange rates with a large Bayesian VAR 0 2 6 286 0 2 10 782
Forecasting financial crises and contagion in Asia using dynamic factor analysis 0 0 0 122 0 0 1 345
Forecasting government bond yields with large Bayesian vector autoregressions 0 0 3 138 0 0 9 348
Forecasting in factor augmented regressions under structural change 0 0 1 2 0 1 3 4
Forecasting inflation and GDP growth using heuristic optimisation of information criteria and variable reduction methods 0 0 0 23 0 1 4 71
Forecasting large datasets with Bayesian reduced rank multivariate models 0 0 0 0 0 0 1 144
Forecasting using predictive likelihood model averaging 0 0 2 47 0 0 2 162
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 0 0 54 0 0 2 134
Generalised density forecast combinations 0 0 0 48 0 1 2 138
Getting PPP right: Identifying mean-reverting real exchange rates in panels 0 0 2 185 1 1 6 652
HOW PUZZLING IS THE PPP PUZZLE? AN ALTERNATIVE HALF‐LIFE MEASURE OF CONVERGENCE TO PPP 0 0 0 0 0 2 2 98
Hierarchical Time-Varying Estimation of Asset Pricing Models 0 0 0 1 0 1 1 2
How did consumers react to the COVID‐19 pandemic over time? 0 0 3 7 0 1 8 25
Incorporating lag order selection uncertainty in parameter inference for AR models 0 0 0 10 0 0 0 37
Inference for impulse response coefficients from multivariate fractionally integrated processes 0 0 0 1 0 0 0 19
Inference on Multivariate Heteroscedastic Time Varying Random Coefficient Models 0 0 0 4 1 2 2 15
Inference on stochastic time-varying coefficient models 0 0 4 175 0 0 5 384
Investigating the predictive ability of ONS big data‐based indicators 0 0 0 3 0 1 1 6
Jumps in option prices and their determinants: Real-time evidence from the E-mini S&P 500 options market 0 0 0 1 0 1 2 25
Kernel-based Volatility Generalised Least Squares 0 0 0 10 0 1 1 26
Large time‐varying parameter VARs: A nonparametric approach 1 1 2 17 2 2 6 81
Level shifts in stock returns driven by large shocks 0 0 0 11 0 0 0 54
Liquidity creation through efficient M&As: A viable solution for vulnerable banking systems? Evidence from a stress test under a panel VAR methodology 0 1 1 21 0 2 7 110
MULTIVARIATE METHODS FOR MONITORING STRUCTURAL CHANGE 0 0 0 0 0 0 1 53
Making a match: Combining theory and evidence in policy-oriented macroeconomic modeling 0 0 2 183 1 2 6 463
Making text count: Economic forecasting using newspaper text 1 2 12 23 5 6 29 68
Measurement of factor strength: Theory and practice 0 0 1 4 0 0 4 30
Measuring Conditional Persistence in Nonlinear Time Series* 0 0 0 11 1 1 1 45
Model Selection Criteria for Factor-Augmented Regressions-super- 0 0 1 12 0 0 1 48
Model Selection in Threshold Models 0 0 0 2 0 0 0 9
Modeling structural breaks in economic relationships using large shocks 0 0 1 67 0 0 2 219
Modified information criteria and selection of long memory time series models 0 0 0 8 0 0 4 35
Nonlinear Alternatives to Unit Root Tests and Public Finances Sustainability: Some Evidence from Latin American and Caribbean Countries* 0 0 0 40 0 0 1 120
Nonlinear autoregressive models and long memory 0 0 1 13 0 0 3 40
Nonlinear mean reversion in real exchange rates 0 0 1 64 0 0 1 167
Nonlinear models for strongly dependent processes with financial applications 0 0 0 40 0 0 1 128
On the estimation of short memory components in long memory time series models 0 0 0 18 0 0 1 62
Panels with non-stationary multifactor error structures 1 1 10 266 2 5 29 726
Prediction from ARFIMA models: Comparisons between MLE and semiparametric estimation procedures 0 0 0 14 0 1 1 58
Pure Significance Tests of the Unit Root Hypothesis Against Nonlinear Alternatives 0 0 0 43 0 0 0 237
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 1 2 2 23
Revisiting useful approaches to data-rich macroeconomic forecasting 0 0 2 36 1 2 9 106
Robust Forecast Methods and Monitoring during Structural Change 0 0 0 20 2 2 3 110
Semiparametric Sieve-Type Generalized Least Squares Inference 0 0 0 3 0 2 2 23
Shifts in volatility driven by large stock market shocks 0 0 0 8 1 2 4 82
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 0 5 3 4 5 22
Statistical Tests and Estimators of the Rank of a Matrix and Their Applications in Econometric Modelling 0 0 0 14 0 0 0 63
Structural analysis with Multivariate Autoregressive Index models 0 0 0 43 2 2 4 199
TESTING FOR COINTEGRATION IN NONLINEAR SMOOTH TRANSITION ERROR CORRECTION MODELS 0 0 0 130 1 1 2 306
TESTING FOR EXOGENEITY IN THRESHOLD MODELS 0 0 0 21 0 0 0 65
TESTS OF THE MARTINGALE DIFFERENCE HYPOTHESIS USING BOOSTING AND RBF NEURAL NETWORK APPROXIMATIONS 0 0 0 18 0 0 2 71
THE ASYMPTOTIC DISTRIBUTION OF THE COINTEGRATION RANK ESTIMATOR UNDER THE AKAIKE INFORMATION CRITERION 0 0 0 11 0 0 0 56
Testing for ARCH in the presence of nonlinearity of unknown form in the conditional mean 0 0 0 21 0 0 0 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 0 1 1 39
Testing for a unit root in the nonlinear STAR framework 1 1 5 842 2 2 18 1,904
Testing for correlation between the regressors and factor loadings in heterogeneous panels with interactive effects 0 0 0 0 0 0 2 2
Testing for strict stationarity in financial variables 1 1 1 33 1 1 3 133
Testing the Null Hypothesis of Nonstationary Long Memory Against the Alternative Hypothesis of a Nonlinear Ergodic Model 0 0 0 36 0 0 0 140
The Fifth Special Issue on Computational Econometrics 0 0 0 32 0 0 1 124
The Yen Real Exchange Rate may be Stationary after all: Evidence from Non‐linear Unit‐root Tests 0 0 0 87 0 0 0 425
Threshold models for trended time series 0 0 0 22 0 0 0 76
Time-varying Lasso 0 2 6 80 1 5 14 187
Time-varying cointegration with an application to the UK Great Ratios 0 0 0 8 0 0 3 32
Time-varying instrumental variable estimation 0 1 2 18 1 2 5 57
Unconventional monetary policies and the macroeconomy: The impact of the UK's QE2 and funding for lending scheme 0 0 1 27 4 10 23 112
Unit root tests in three-regime SETAR models 0 0 0 52 1 1 2 345
Unit‐root testing against the alternative hypothesis of up to m structural breaks 0 0 2 87 0 0 8 248
Variable selection in regression models using nonstandard optimisation of information criteria 0 0 0 52 0 0 2 142
Total Journal Articles 8 23 124 6,884 59 138 530 23,831


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