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Faculty of Economics


ResearchersResearchersResearchersResearchersResearchersResearchersResearchersResearchersResearchersResearchersResearchersResearchersResearchers 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 Strategy
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
Haihan Tang
Ondrej Tobek
Ruochen Wu
PhD StudentsPhD StudentsPhD StudentsPhD StudentsPhD StudentsPhD StudentsPhD StudentsPhD StudentsPhD StudentsPhD StudentsPhD StudentsPhD Students

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.
More Sponsored Projects >>

Published Papers

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)
Are University Admissions Academically Fair? Bhattacharya, D., Kanaya, S. and Stevens, M.Review of Economics and Statistics (2017)
More Papers >>

Cambridge Working Papers in Economics

TitleAuthorsCWPE NumberYear
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 >>

Econometrics Research Group

Matt Harding
(University of California)
Wednesday 6th June 2018 2:00pm
Keynes Room,
Rasmus Pedersen
(University of Copenhagen)
Wednesday 30th May 2018 2:00pm
Keynes Room,

Faculty Events

12 Sep

Recent Publications

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

Latest CWPE


Determinants of long-term economic growth redux: A Measurement Error Model Averaging (MEMA..., Doppelhofer, G., Moe Hansen, O-P. and and Weeks, M.


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


Implications of High-Frequency Trading for Security Markets, Linton, O. and Mahmoodzadeh, S.