skip to content

Faculty of Economics

Euro Flag

Dr Debopam Bhattacharya
University Reader

Research Interests
Empirical Microeconomics and Micro-econometrics

Tony Cockerill
Leverhulme Emeritus Fellow

Research Interests
Industrial structure, performance and public policy

Professor Andrew Harvey
Professor of Econometrics

Research Interests
Time series; financial econometrics; state space models; signal extraction; volatility.

Dr Koen Jochmans
University Reader

Research Interests
Econometric Theory, Microeconometrics

Mr Oleg Kitov
College Lecturer in Economics (Selwyn and Robinson College)

Research Interests
Time-series Econometrics, Empirical Macroeconomics, Income Distribution and Inequality

Professor Oliver Linton
Professor of Political Economy
Director of Research

Research Interests
Econometric Theory and practice; Empirical Finance

Professor Alexey Onatskiy
Professor of Econometrics
Placement Director

Research Interests
Econometrics, statistics, factor models, large random matrices.

Professor 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.

Research Interests
Econometric Analysis of Heterogeneous Panels. Panel/Global Vector Autoregressive Models(PVAR/GVAR). Long-run Structural Macroeconometrics.

Dr Donald Robertson
University Senior Lecturer

Research Interests
Applied Macroeconomics and Finance. Econometrics.

Professor Mark Salmon

Research Interests
Finance; Econometrics; Behavioural Finance

Professor Richard Smith
Professor of Econometric Theory and Economic Statistics

Research Interests
Econometric theory, estimation and inference, hypothesis testing, model selection.

Dr Chen Wang
INET Research Associate

Research Interests
Random Matrix Theory, Large Dimensional Statistical Inference

Dr Melvyn Weeks
University Senior Lecturer

Research Interests


Michael Ashby

Title: Do Consumption-based asset pricing models explain mean reversion in stock returns

Jeroen Dalderop

Title: Econometric Analysis of Derivative Prices

Research Interests
Econometrics, Financial Economics, and Asset Pricing

Alexis De Boeck

Title: Inference in Partially Identified Non-separable Models

Shuyi Ge

Title: Network Econometrics

Shaoran Li

Title: Specification, Selection, Estimation and Classification of semi-parametric Regressions

Eoghan O'Neill

Title: Estimation of Conditional Average Treatment Effects Using Many Covariates - An Application to Electricity Smart Meter Trial Data

Dario Palumbo

Title: Modelling and Extracting the Term Structure of Interest Rates: A Unifying Framework

Ashish Patel

Title: Partition-based goodness of fit tests for moment condition models

Ekaterina Smetanina

Title: Real-time GARCH: Does Current Information Matter?

Research Interests
Econometrics, Finance

Ondrej Tobek

Title: In Search of Ultimate Liquidity Proxy

Research Interests
Empirical Finance, Asset pricing

Ruochen Wu

Title: Semi-parametric Bayesian Bootstrapped Semiparametric Bayesian Inference: An Application to Demand SystemsEconometrics


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 >>

Published Papers

Mitchell, J., Robertson, D. and Wright, S. R² bounds for predictive models: what univariate properties tell us about multivariate predictability, Journal of Business and Economic Statistics (2018)
Onatski, A. and Wang, C. Alternative Asymptotics for Cointegration Tests in Large VARs, Econometrica, forthcoming (2018)
Bhattacharya, D. Empirical Welfare Analysis for Discrete Choice: Some General Results, Quantitative Economcs, forthcoming (2018)
Funie, A-I., Grigoras, P., Burovskiy, P., Luk, W. and Salmon, M. Run-time Reconfigurable Acceleration for Genetic Programming Fitness Evaluation in Trading Strategies, Journal of Signal Processing Systems (2018)
Bhattacharya, D., Kanaya, S. and Stevens, M. Are University Admissions Academically Fair?, Review of Economics and Statistics (2017)
Boneva, L. and Linton, O. A discrete-choice model for large heterogeneous panels with interactive fixed effects with an application to the determinants of corporate bond issuance, Journal of Applied Econometrics (2017)
Parente, P.M.D.C. and Smith, R. J. Tests of Additional Conditional Moment Restrictions, Journal of Econometrics (2017)
Jochmans, K. Semiparametric Analysis of Network Formation, Journal of Business & Economic Statistics, forthcoming (2017)
Bonhomme, S. and Jochmans, K. and Robin, J-M. Nonparametric Estimation of Non-Exchangeable Latent-Variable Models, Journal of Econometrics, forthcoming (2017)
Jochmans, K. Two-Way Models for Gravity, Review of Economics and Statistics (2017)

More Papers >>

Cambridge Working Papers in Economics

Onatski, A. Asymptotics of the principal components estimator of large factor models with weak factors and i.i.d. Gaussian noise., CWPE1808 (2018)
Dharmawansa, P., Johnstone, I. M., and Onatski, A. Local Asymptotic Normality of the Spectrum of High-Dimensional Spiked F-Ratios, CWPE1807 (2018)
Johnstone, I. M. and Onatski, A. Testing in High-Dimensional Spiked Models, CWPE1806 (2018)
Linton, O. and Mahmoodzadeh, S. Implications of High-Frequency Trading for Security Markets, CWPE1802 (2018)
Harvey, A. and Thiele, S. Co-integration and control: assessing the impact of events using time series data, CWPE1731 (2017)
Boneva, L. and Linton, O. A Discrete Choice Model For Large Heterogeneous Panels with Interactive Fixed Effects with an Application to the Determinants of Corporate Bond Issuance, CWPE1703 (2017)
Doppelhofer, G., Moe Hansen, O-P. and and Weeks, M. Determinants of long-term economic growth redux: A Measurement Error Model Averaging (MEMA) approach, CWPE1702 (2017)
Pesaran, Hashem. and Johnsson. Ida. Double-question Survey Measures for the Analysis of Financial Bubbles and Crashes, CWPE1679 (2016)
Pesaran, H. and Yang, C. F. Econometric Analysis of Production Networks with Dominant Units , CWPE1678 (2016)
Chudik, A., and Kapetanios, G. and Pesaran, Hashem A One-Covariate at a Time, Multiple Testing Approach to Variable Selection in High-Dimensional Linear Regression Models, CWPE1677 (2016)

More Papers >>

Authored Books

Harvey, A. C. Dynamic models for Volatility and Heavy Tails, (2013), Cambridge University Press
Pesaran, B. and Pesaran, M.H. Time series econometrics using Microfit 5.0: a user's manual, (2010), Oxford University Press

Chapter in Book

Funie, A-I., Guo, L., Niu, X., Luk, W. and Salmon, M. Custom Framework for Run-Time Trading Strategies, (2017), forthcoming in Applied Reconfigurable Computing. - Springer International Publishing
Kurek, M., Becker, T., Guo, C., Denholm, S., Funie, A-I., Salmon, M., Todman, T. and Luk, W. Self-aware Hardware Acceleration of Financial Applications on a Heterogeneous Cluster, (2016), forthcoming in Self-aware Computing Systems: An Engineering Approach. - Springer International Publishing
Nolte, I. and Salmon, M. Introduction, (2014), forthcoming in High frequency trading and limit order book dynamics. Edited by Ingmar Nolte, Mark Salmon, Chris Adcock - Routledge
Dell Monache, D. and Harvey, A. C. Specification and misspecification of unobserved components models, (2012), forthcoming in Economic time series: modeling and seasonality. Edited by William Bell, Scott Holan, Tucker McElroy - CRC Press
Linton, O. and Park, S. Realized volatility : theory and applications, (2012), forthcoming in Handbook of volatility models and their applications. Edited by Luc Bauwens, Christian Hafner, Sebastian Laurent - Wiley
Xia, Y., Haerdle, W. and Linton, O. Optimal smoothing for a computationally and statistically efficient single index estimator, (2011), forthcoming in Exploring research frontiers in contemporary statistics and econometrics : a festschrift for Leopold Simar. Edited by Ingrid Van Keilegom, Paul Wilson - Springer / Physica Verlag
Pesaran, M.H. Predictability of asset returns and the efficient market hypothesis, (2010), forthcoming in Handbook of Empirical Economics and Finance. Edited by Aman Ullah, David Giles - Taylor & Francis
Li, S. and Linton, O. Evaluating hedge fund performance: a stochastic dominance approach , (2010), forthcoming in Handbook of portfolio construction: contemporary applications of Markowitz techniques. Edited by John Guerard - Springer

Chapter in Book

eds. Nolte, I. and Salmon, M. High frequency trading and limit order book dynamics, (2014) - Routledge

Conference Publication

Funie, A-I., Grigoras, P., Burovskiy, P., Luk, W. and Salmon, M. Reconfigurable acceleration of fitness evaluation in trading strategies, (2015) IEEE 26th International Conference on Application-specific Systems, Architectures and Processors (ASAP), Toronto, ON, Canada
Funie, A-I., Salmon, M. and Luk, W. A Hybrid Genetic-Programming Swarm-Optimisation Approach for Examining the Nature and Stability of High Frequency Trading Strategies, (2014) 13th International Conference on Machine Learning and Applications, IEEE, Detroit, MI, USA
Euro Flag

Econometrics Research Group

Joel Horowitz
(Northwestern University)
'Maximum Score Estimation with the Hinge Loss Function: Convex Optimization and Non-Asymptotic Inference'
Wednesday 20th June 2018 2:00pm
Keynes Room,

Recent Publications

Onatski, A. and Wang, C. Alternative Asymptotics for Cointegration Tests in Large VARs Econometrica, forthcoming [2018]

Latest CWPE


Testing in High-Dimensional Spiked Models, Johnstone, I. M. and Onatski, A.


Asymptotics of the principal components estimator of large factor models with weak factors..., Onatski, A.


Co-integration and control: assessing the impact of events using time series data, Harvey, A. and Thiele, S.