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Published Papers

Ashby, M. and Linton, O. B. Do Consumption-Based Asset Pricing Models Explain the Dynamics of Stock Market Returns?, Journal of Risk and Financial Management (2024)
Bhattacharya, D. Nonparametric Approaches to Empirical Welfare Analysis, Journal of Economic Literature, forthcoming (2023)
Bhattacharya, D., Dupas, P. and Kanaya, S. Demand and Welfare Analysis in Discrete Choice Models with Social Interactions, Review of Economic Studies, accepted (2023)
Harvey, A. C. and Palumbo, D. Regime Switching Models for Circular and Linear Time Series, Journal of Time Series Analysis, forthcoming (2023)
Harvey, A. C. and Liao, Y. Dynamic Tobit Models, Econometrics and Statistics (2023)
Harvey, A. C. and Palumbo, D. Score-Driven Models for Realized Volatility, Journal of Econometrics, to appear (2023)
Harvey, A. C., Hurn, S., Palumbo, D. and Thiele, S. Modeling Circular Time Series, Journal of Econometrics, to appear (2023)
Bhattacharya, D. and Komarova, T. Incorporating Social Welfare in Program-Evaluation and Treatment Choice, Review of Economics and Statistics, accepted (2023)
Merrick Li, Z. and Linton, O. A ReMeDI for Microstructure Noise, Econometrica (2022)
Boneva, L., Elliott, D., Kaminska, I., Linton, O., McLaren, N. and Morley, B. The Impact of Corporate QE on Liquidity: Evidence from the UK, The Economic Journal (2022)
Mohaddes, K., Ng, R. N. C., Pesaran, M. H., Raissi, M. and Yang, J-C. Climate Change and Economic Activity: Evidence from U.S. States , Oxford Open Economics, accepted (2022)
Harvey, A. C. Score-Driven Time Series Models, Annual Review of Statistics and Its Application (2022)
Kahn, M. E., Mohaddes, K., Ng, R. N. C., Pesaran, M. H., Raissi, M. and Yang, J-C. Long-Term Macroeconomic Effects of Climate Change: A Cross-Country Analysis, Energy Economics (2021)
Iyer, S. and Weeks, M. Social Interactions, Ethnicity, Religion and Fertility in Kenya, Journal of Demographic Economics (2020)
Auld, T. and Linton, O. The Behaviour of Betting and Currency Markets on the Night of the EU Referendum, International Journal of Forecasting (2019)
Chudik, A., Mohaddes, K., Pesaran, M. H. and Raissi, M. Rising Public Debt to GDP Can Harm Economic Growth, Economic Letter, Federal Reserve Bank of Dallas (2018)
Mohaddes, K. and Pesaran, M. H. Oil Prices and the Global Economy: Is It Different This Time Around?, Energy Economics (2017)
Bailey, N., Holly, S. and Pesaran, M.H. A two-stage approach to spatio-temporal analysis with strong and weak cross-sectional dependence, Journal of Applied Econometrics (2016)
Chudik, A., Mohaddes, K., Pesaran, M. H. and Raissi, M. Long-Run Effects in Large Heterogenous Panel Data Models with Cross-Sectionally Correlated Errors, Advances in Econometrics (2016)
Mohaddes, K. and Pesaran, M. H. Country-Specific Oil Supply Shocks and the Global Economy: A Counterfactual Analysis, Energy Economics (2016)
Mohaddes, K. and Pesaran, M. H. One hundred years of oil income and the Iranian economy, Iran and the Global Economy: Petro Populism, Islam and Economic Sanctions (2013)
Esfahani, H. S., Mohaddes, K. and Pesaran, M. H. Oil Exports and the Iranian Economy, The Quarterly Review of Economics and Finance (2013)
Esfahani, H. S., Mohaddes, K. and Pesaran, M. H. An empirical growth model for major oil exporters, Journal of Applied Econometrics (2013)
Holly, S., Pesaran, M.H. and Yamagata, T. The spatial and temporal diffusion of house prices in the UK, Journal of Urban Economics (2011)
Holly, S., Pesaran, M. H. and Yamagata, T. A spatio-temporal model of house prices in the USA, Journal of Econometrics (2010)
Esfahani, H. S., Mohaddes, K. and Pesaran, M. H. Oil Exports and the Iranian Economy, Institute for the Study of Labor (IZA) Working Papers (2009)
Esfahani, H. S., Mohaddes, K. and Pesaran, M. H. Oil Exports and the Iranian Economy, CESifo Working Papers (2009)
Iyer, S. and Weeks, M. Social Interactions, Ethnicity and Fertility in Kenya, not yet submitted (2009)
Harris, C., Anand, S. and Linton, O. On Ultrapoverty, Arguments for a Better World: Essays in Honor of Amartya Sen (2008)

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Econometrics Research Group





There are currently no Seminars scheduled




Recent Publications


Harvey, A. C. and Liao, Y. Dynamic Tobit Models Econometrics and Statistics [2023]

Harvey, A. C. and Palumbo, D. Score-Driven Models for Realized Volatility Journal of Econometrics, to appear [2023]

Bhattacharya, D. Nonparametric Approaches to Empirical Welfare Analysis Journal of Economic Literature, forthcoming [2023]



Selected CWPE


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GMM Estimation for High–Dimensional Panel Data Models, Cheng, T., Dong, C., Gao, J., Linton, O.

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24

Causal effects of the Fed's large-scale asset purchases on firms' capital structure, Nocera, A., Pesaran, M. H.

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67

Kolmogorov-Smirnov Type Testing for Structural Breaks: A New Adjusted-Range Based Self-Nor..., Hong, Y., Linton, O. B., McCabe, B., Sun, J., Wang, S.