Econometrics

Lead: Professor Lorenzo Trapani

This research group will focus on the research that deals with theoretical and applied econometrics. Members of this group will work on the development of econometric methodologies, and on their application, to micro and macro economic problems, and on such topics as time series, causal inference, financial econometrics and machine learning. The purposes of the group will also be to help mentor junior colleagues who wish to work in this field; to provide an intellectual powerhouse for those colleagues who, despite being primarily associated with other groups, carry out research which requires data analysis; and to foster a culture of research-driven teaching.

People

• Marcel Ausloos 
• Badi Baltagi
• Katerina Chrysikou
• Deborah Gefang
• Stephen Hall
• Jenny Kam
• Sara Lemos
• Pierre Ngon A Mbara
• Tania Oliveira
• Lorenzo Trapani
• Haige Yuan
• Nadia Zakir
• HaiderZaidi

Selected publications

Deborah Gefang, Stephen Hall, and G. S. Tavlas, "A Test to select between spatial weighting Matrices", Journal of Spatial Econometrics, 4, https://doi.org/10.1007/s43071-022-00032-9

Stephen Hall, B. O’Hare "A Model to Explain the Impact of Government Revenue on the Quality of Governance and the SDGs"  Economies 11,1

Stephen Hall, E. Hannah, B. O’hare, M. Lopez, S. Murray, R. Ette-Phoya and M.Masiya."How can Corporate taxes contribute to sub-saharan africa’s sustainable development goals (SDGs)? A case study of Vodafone"  Globalization and Health 19/17  doi.org/10.1186/s12992-022-00894-6

Stephen Hall, G. S. Tavlas and Y. Wang, "The Use of Dynamic Factor Analysis and Nonlinear Combinations in Forecasting Inflation”, Journal of Forecasting

Stephen Hall, G. S. Tavlas and Y. Wang, "Driver and spillover effects of inflation: the united states, the euro area and the united Kingdom", Journal of International Money and Finance. 131,10277, pp1-11.  https://doi.org/10.1016/j.jimonfin.2022.102776

A Banerjee, Stephen Hall, G Kouretas and G.S. Tavlas "Advances in Forecasting: An Introduction in the light of the debate on inflation Forecasting”, Journal of Forecasting.

Etter-Phoya R., Manthalu C., Kalizinje F., Chigaru F., Hall, S.,  Mazimbe B., Phiri A., Chimowa T., Ligomeka W. and O’Hare B (2023) "Financing Child rights in Malawi” BMC Public Health, just accepted

Anwar C.J., Hall, S., Harb N., Suhendra I and Purwanda E. (2023), "Evaluation of Central Bank Independence, Macroprudential Policy and credit gap in developing countries”, Plos OneMay 2023

L Horvath, Lorenzo Trapani and J VanderDoes “The maximally selected likelihood ratio test in random coefficient models”, Econometrics Journal

Y He, X Kong, Lorenzo Trapani and L Yu, “One-way or Two-way Factor Model for Matrix Sequences?” Journal of Econometrics, 235, 1981-2004.

L Horvath, Lorenzo Trapani, “On Lp-norm functionals for changepoint detection in RCA models”, Statistics and Probability Letters, 201, Article number 109829

M. Barigozzi, G. Cavaliere and Lorenzo Trapani (2024) "Inference in heavy-tailored non-stationary multivariate time series", Journal of the American Statistical Association, Volume 119, Issue 545, pp.565-581

L. Horvath and Lorenzo Trapani (2023) "Changepoint detection in random coefficient autoregressive models", Journal of Business and Economic Statistics, Volume 41, Issue 4, p. 1300-1314

S. Degiannakis, G. Filis, G. Siourounis and Lorenzo Trapani (2023), "Superkurtosis", Journal of Money Credit and Banking", Volume 55, Issue 8, p. 2061-2091

Please see also each colleagues' webpage for more information.

Events

Forthcoming events will be posted here.