|
2025
|
Reducing labour market flexibility: A causal inference study on reform in The Netherlands
|
Economics Letters
|
C
|
4
|
|
2025
|
Machine Learning for Economic Policy
|
Journal of Econometrics
|
A
|
6
|
|
2024
|
Forecasting in factor augmented regressions under structural change
|
International Journal of Forecasting
|
B
|
2
|
|
2024
|
Forecasting UK inflation bottom up
|
International Journal of Forecasting
|
B
|
4
|
|
2024
|
An LM Test for the Conditional Independence between Regressors and Factor Loadings in Panel Data Models with Interactive Effects
|
Journal of Business & Economic Statistics
|
A
|
3
|
|
2023
|
A new test for market efficiency and uncovered interest parity
|
Journal of International Money and Finance
|
B
|
4
|
|
2022
|
Making text count: Economic forecasting using newspaper text
|
Journal of Applied Econometrics
|
B
|
5
|
|
2022
|
How did consumers react to the COVID‐19 pandemic over time?
|
Oxford Bulletin of Economics and Statistics
|
B
|
4
|
|
2021
|
Measurement of factor strength: Theory and practice
|
Journal of Applied Econometrics
|
B
|
3
|
|
2021
|
Common correlated effect cross‐sectional dependence corrections for nonlinear conditional mean panel models
|
Journal of Applied Econometrics
|
B
|
2
|
|
2021
|
ESTIMATION OF TIME-VARYING COVARIANCE MATRICES FOR LARGE DATASETS
|
Econometric Theory
|
B
|
3
|
|
2021
|
Estimation and inference for multi-dimensional heterogeneous panel datasets with hierarchical multi-factor error structure
|
Journal of Econometrics
|
A
|
3
|
|
2021
|
Detection of units with pervasive effects in large panel data models
|
Journal of Econometrics
|
A
|
3
|
|
2021
|
Time-varying instrumental variable estimation
|
Journal of Econometrics
|
A
|
3
|
|
2020
|
Time-varying cointegration with an application to the UK Great Ratios
|
Economics Letters
|
C
|
4
|
|
2019
|
A comprehensive evaluation of macroeconomic forecasting methods
|
International Journal of Forecasting
|
B
|
3
|
|
2019
|
A time-varying parameter structural model of the UK economy
|
Journal of Economic Dynamics and Control
|
B
|
4
|
|
2019
|
A new approach for detecting shifts in forecast accuracy
|
International Journal of Forecasting
|
B
|
4
|
|
2019
|
Large time‐varying parameter VARs: A nonparametric approach
|
Journal of Applied Econometrics
|
B
|
3
|
|
2018
|
A One Covariate at a Time, Multiple Testing Approach to Variable Selection in High‐Dimensional Linear Regression Models
|
Econometrica
|
S
|
3
|
|
2018
|
Time-varying Lasso
|
Economics Letters
|
C
|
2
|
|
2018
|
Estimation and forecasting in vector autoregressive moving average models for rich datasets
|
Journal of Econometrics
|
A
|
2
|
|
2017
|
Liquidity creation through efficient M&As: A viable solution for vulnerable banking systems? Evidence from a stress test under a panel VAR methodology
|
Journal of Banking & Finance
|
B
|
4
|
|
2016
|
Exponent of Cross‐Sectional Dependence: Estimation and Inference
|
Journal of Applied Econometrics
|
B
|
3
|
|
2016
|
Structural analysis with Multivariate Autoregressive Index models
|
Journal of Econometrics
|
A
|
3
|
|
2016
|
A new summary measure of inflation expectations
|
Economics Letters
|
C
|
3
|
|
2016
|
Estimating the Dynamics and Persistence of Financial Networks, with an Application to the Sterling Money Market
|
Journal of Applied Econometrics
|
B
|
4
|
|
2016
|
Factor‐Based Identification‐Robust Interference in IV Regressions
|
Journal of Applied Econometrics
|
B
|
3
|
|
2015
|
Shifts in volatility driven by large stock market shocks
|
Journal of Economic Dynamics and Control
|
B
|
3
|
|
2015
|
Generalised density forecast combinations
|
Journal of Econometrics
|
A
|
4
|
|
2015
|
A new approach to multi-step forecasting using dynamic stochastic general equilibrium models
|
Economics Letters
|
C
|
3
|
|
2014
|
Inference on stochastic time-varying coefficient models
|
Journal of Econometrics
|
A
|
3
|
|
2014
|
A nonlinear panel data model of cross-sectional dependence
|
Journal of Econometrics
|
A
|
3
|
|
2013
|
HOW PUZZLING IS THE PPP PUZZLE? AN ALTERNATIVE HALF‐LIFE MEASURE OF CONVERGENCE TO PPP
|
Journal of Applied Econometrics
|
B
|
2
|
|
2013
|
Adaptive forecasting in the presence of recent and ongoing structural change
|
Journal of Econometrics
|
A
|
3
|
|
2013
|
Model Selection Criteria for Factor-Augmented Regressions-super-
|
Oxford Bulletin of Economics and Statistics
|
B
|
2
|
|
2013
|
MULTIVARIATE METHODS FOR MONITORING STRUCTURAL CHANGE
|
Journal of Applied Econometrics
|
B
|
3
|
|
2013
|
A factor approach to realized volatility forecasting in the presence of finite jumps and cross-sectional correlation in pricing errors
|
Economics Letters
|
C
|
2
|
|
2012
|
Forecasting government bond yields with large Bayesian vector autoregressions
|
Journal of Banking & Finance
|
B
|
3
|
|
2012
|
Prediction from ARFIMA models: Comparisons between MLE and semiparametric estimation procedures
|
International Journal of Forecasting
|
B
|
3
|
|
2011
|
Forecasting large datasets with Bayesian reduced rank multivariate models
|
Journal of Applied Econometrics
|
B
|
3
|
|
2011
|
ELUSIVE PERSISTENCE: WAGE AND PRICE RIGIDITIES, THE NEW KEYNESIAN PHILLIPS CURVE AND INFLATION DYNAMICS
|
Journal of Economic Surveys
|
C
|
3
|
|
2011
|
Panels with non-stationary multifactor error structures
|
Journal of Econometrics
|
A
|
3
|
|
2010
|
TESTS OF THE MARTINGALE DIFFERENCE HYPOTHESIS USING BOOSTING AND RBF NEURAL NETWORK APPROXIMATIONS
|
Econometric Theory
|
B
|
2
|
|
2010
|
TESTING FOR EXOGENEITY IN THRESHOLD MODELS
|
Econometric Theory
|
B
|
1
|
|
2010
|
Modeling structural breaks in economic relationships using large shocks
|
Journal of Economic Dynamics and Control
|
B
|
2
|
|
2010
|
Cross-sectional averaging and instrumental variable estimation with many weak instruments
|
Economics Letters
|
C
|
2
|
|
2009
|
Forecasting exchange rates with a large Bayesian VAR
|
International Journal of Forecasting
|
B
|
3
|
|
2009
|
Getting PPP right: Identifying mean-reverting real exchange rates in panels
|
Journal of Banking & Finance
|
B
|
2
|
|
2009
|
A State Space Approach to Extracting the Signal From Uncertain Data
|
Journal of Business & Economic Statistics
|
A
|
5
|
|
2009
|
A real time evaluation of Bank of England forecasts of inflation and growth
|
International Journal of Forecasting
|
B
|
3
|
|
2009
|
Testing for strict stationarity in financial variables
|
Journal of Banking & Finance
|
B
|
1
|
|
2008
|
Nonlinear Alternatives to Unit Root Tests and Public Finances Sustainability: Some Evidence from Latin American and Caribbean Countries*
|
Oxford Bulletin of Economics and Statistics
|
B
|
3
|
|
2008
|
A stochastic variance factor model for large datasets and an application to S&P data
|
Economics Letters
|
C
|
2
|
|
2008
|
Forecast combination and the Bank of England's suite of statistical forecasting models
|
Economic Modeling
|
C
|
3
|
|
2008
|
GLS detrending-based unit root tests in nonlinear STAR and SETAR models
|
Economics Letters
|
C
|
2
|
|
2008
|
Nonlinear models for strongly dependent processes with financial applications
|
Journal of Econometrics
|
A
|
2
|
|
2007
|
Testing for ARCH in the presence of nonlinearity of unknown form in the conditional mean
|
Journal of Econometrics
|
A
|
2
|
|
2007
|
Measuring Conditional Persistence in Nonlinear Time Series*
|
Oxford Bulletin of Economics and Statistics
|
B
|
1
|
|
2007
|
Estimating deterministically time-varying variances in regression models
|
Economics Letters
|
C
|
1
|
|
2007
|
Making a match: Combining theory and evidence in policy-oriented macroeconomic modeling
|
Journal of Econometrics
|
A
|
3
|
|
2006
|
TESTING FOR COINTEGRATION IN NONLINEAR SMOOTH TRANSITION ERROR CORRECTION MODELS
|
Econometric Theory
|
B
|
3
|
|
2006
|
Cluster analysis of panel data sets using non-standard optimisation of information criteria
|
Journal of Economic Dynamics and Control
|
B
|
1
|
|
2006
|
Nonlinear autoregressive models and long memory
|
Economics Letters
|
C
|
1
|
|
2006
|
Forecasting using predictive likelihood model averaging
|
Economics Letters
|
C
|
3
|
|
2005
|
Forecasting with measurement errors in dynamic models
|
International Journal of Forecasting
|
B
|
3
|
|
2004
|
The Yen Real Exchange Rate may be Stationary after all: Evidence from Non‐linear Unit‐root Tests
|
Oxford Bulletin of Economics and Statistics
|
B
|
2
|
|
2004
|
THE ASYMPTOTIC DISTRIBUTION OF THE COINTEGRATION RANK ESTIMATOR UNDER THE AKAIKE INFORMATION CRITERION
|
Econometric Theory
|
B
|
1
|
|
2004
|
A note on modelling core inflation for the UK using a new dynamic factor estimation method and a large disaggregated price index dataset
|
Economics Letters
|
C
|
1
|
|
2003
|
A note on an iterative least-squares estimation method for ARMA and VARMA models
|
Economics Letters
|
C
|
1
|
|
2003
|
Testing for a unit root in the nonlinear STAR framework
|
Journal of Econometrics
|
A
|
3
|
|
2002
|
Nonlinear mean reversion in real exchange rates
|
Economics Letters
|
C
|
3
|
|
2001
|
Incorporating lag order selection uncertainty in parameter inference for AR models
|
Economics Letters
|
C
|
1
|
|
2000
|
A radial basis function artificial neural network test for ARCH
|
Economics Letters
|
C
|
2
|
|
2000
|
Small sample properties of the conditional least squares estimator in SETAR models
|
Economics Letters
|
C
|
1
|