Econometrics Research Group

Researchers
	Debopam Bhattacharya - University Reader Tony Cockerill - Leverhulme Emeritus Fellow Andrew Harvey - Professor of Econometrics Koen Jochmans - University Reader Oleg Kitov - College Lecturer in Economics (Selwyn and Robinson College) Oliver Linton - Professor of Political Economy Director of Research Alexey Onatskiy - Professor of Econometrics Placement Director M. Hashem Pesaran - Emeritus Professor of Economics, and Fellow of Trinity College, University of Cambridge. John Elliot Chair in Economics and Distinguished Professor of Economics, University of Southern California. Director, USC Dornsife Institute for New Economic Thinking. Director, USC Dornsife Center for Applied Financial Economics. Donald Robertson - University Senior Lecturer Mark Salmon - Richard Smith - Professor of Econometric Theory and Economic Statistics Chen Wang - INET Research Associate Melvyn Weeks - University Senior Lecturer

Researchers

Debopam Bhattacharya - University Reader
Tony Cockerill - Leverhulme Emeritus Fellow
Andrew Harvey - Professor of Econometrics
Koen Jochmans - University Reader
Oleg Kitov - College Lecturer in Economics (Selwyn and Robinson College)
Oliver Linton - Professor of Political Economy
Director of Research
Alexey Onatskiy - Professor of Econometrics
Placement Director
M. Hashem Pesaran - Emeritus Professor of Economics, and Fellow of Trinity College, University of Cambridge.
John
Elliot Chair in Economics and Distinguished Professor of Economics, University of Southern
California.
Director, USC Dornsife Institute for New Economic Thinking.
Director, USC
Dornsife Center for Applied Financial Economics.
Donald Robertson - University Senior Lecturer
Mark Salmon -
Richard Smith - Professor of Econometric Theory and Economic Statistics
Chen Wang - INET Research Associate
Melvyn Weeks - University Senior Lecturer

PhD Students
Michael Ashby Jeroen Dalderop Alexis De Boeck Shuyi Ge Shaoran Li Eoghan O'Neill Dario Palumbo Ashish Patel Ekaterina Smetanina Ondrej Tobek Ruochen Wu

Research Grants
Edwel (ECH2020 EUROPEAN RESEARCH COUNCIL (ERC)) - Bhattacharya, D. Globalisation And Manufacturing (CAMBRIDGE ECONOMETRICS LTD) - Cockerill, T. Dynamic Common Factor Models For Regional Time Series (ESRC) - Harvey, A. C. Time-Varying Quantiles (ESRC) - Harvey, A. C. Namsef - Nonparametric And Semiparametric Methods In Economics And Finance (EC FP7 ERC AIG) - Linton, O. International Economic Linkages And Synchronisation In Business Cycles (EUROPEAN CENTRAL BANK) - Pesaran, M. H. Dynamic Panel Analysis Of Interactions And Nonlinearities (ESRC) - Pesaran, M. H. Real Time Econometrics, And/Or Forecasting Time Series Subject To Multiple Structural Breaks (SINOPIA ASSET MANAGEMENT) - Pesaran, M. H. Major Research Fellowship For R Smith (LEVERHULME TRUST) - Smith, R.

Research Grants

Edwel (ECH2020 EUROPEAN RESEARCH COUNCIL (ERC)) - Bhattacharya, D.
Globalisation And Manufacturing (CAMBRIDGE ECONOMETRICS LTD) - Cockerill, T.
Dynamic Common Factor Models For Regional Time Series (ESRC) - Harvey, A. C.
Time-Varying Quantiles (ESRC) - Harvey, A. C.
Namsef - Nonparametric And Semiparametric Methods In Economics And Finance (EC FP7 ERC AIG) - Linton, O.
International Economic Linkages And Synchronisation In Business Cycles (EUROPEAN CENTRAL BANK) - Pesaran, M. H.
Dynamic Panel Analysis Of Interactions And Nonlinearities (ESRC) - Pesaran, M. H.
Real Time Econometrics, And/Or Forecasting Time Series Subject To Multiple Structural Breaks (SINOPIA ASSET MANAGEMENT) - Pesaran, M. H.
Major Research Fellowship For R Smith (LEVERHULME TRUST) - Smith, R.

Keynes Fund Sponsored Projects
Dynamic Models for volatility and heavy tails (JHLC) - Harvey, A. C. Research Output Dynamic Models for volatility and heavy tails (JHLH) - Harvey, A. C. Research Output The effectiveness of circuit breakers on the LSE (JHLD) - Linton, O. Research Output Central Clearing and the Demand for Risk Sharing in OTC Derivative Markets (JHOF) - Linton, O. Robust Estimation and Inference (JHOK) - Smith, R. J. and Patel, A. Project Summary and Output More Sponsored Projects >>

Keynes Fund Sponsored Projects

Dynamic Models for volatility and heavy tails (JHLC) - Harvey, A. C. Research Output
Dynamic Models for volatility and heavy tails (JHLH) - Harvey, A. C. Research Output
The effectiveness of circuit breakers on the LSE (JHLD) - Linton, O. Research Output
Central Clearing and the Demand for Risk Sharing in OTC Derivative Markets (JHOF) - Linton, O.
Robust Estimation and Inference (JHOK) - Smith, R. J. and Patel, A. Project Summary and Output

More Sponsored Projects >>

Published Papers

Title	Authors	Journal	Year
Alternative Asymptotics for Cointegration Tests in Large VARs	Onatski, A. and Wang, C.	Econometrica, forthcoming	(2018)
Empirical Welfare Analysis for Discrete Choice: Some General Results	Bhattacharya, D.	Quantitative Economcs, forthcoming	(2018)
Run-time Reconfigurable Acceleration for Genetic Programming Fitness Evaluation in Trading Strategies	Funie, A-I., Grigoras, P., Burovskiy, P., Luk, W. and Salmon, M.	Journal of Signal Processing Systems	(2018)
More Papers >>

Cambridge Working Papers in Economics

Title	Authors	CWPE Number	Year
Asymptotics of the principal components estimator of large factor models with weak factors and i.i.d. Gaussian noise.	Onatski, A.	CWPE1808	(2018)
Local Asymptotic Normality of the Spectrum of High-Dimensional Spiked F-Ratios	Dharmawansa, P., Johnstone, I. M., and Onatski, A.	CWPE1807	(2018)
Testing in High-Dimensional Spiked Models	Johnstone, I. M. and Onatski, A.	CWPE1806	(2018)
More Papers >>

Faculty of Economics

Researchers

PhD Students

Research Grants

Keynes Fund Sponsored Projects

Published Papers

Cambridge Working Papers in Economics