Room number: CB302
Tel: +44 20 7882 8698
Fax: +44 20 8983 3580
Office hours: Tuesday 12:45-14:15
Research keywords: Econometrics and Macroeconomics
George works in the area of econometrics and macroeconomics. In the area of econometrics he is interested in (i) the analysis of nonlinear econometric models, (ii) nonlinear unit root tests, (iii) factor models for large datasets (iv) model selection (v) tests of rank (vi) tests of nonlinearity and (vii) econometric forecasting. He has developed unit root tests that are powerful against nonlinear stationary processes for a variety of nonlinear alternative hypotheses. He has developed new tests for nonlinearity with very favourable size and power properties. He has proposed a new methodology for estimating factors from large datasets using state space models. In the area of macroeconomics he has investigated the persistence properties of a number of macroeconomics series and used state space and nonlinear models to forecast GDP for Europe and the US.
- Small Sample Properties of the Conditional Least Squares Estimator in SETAR Models; Economics Letters; 69(3), pp.267-276; (2000a).
- A Radial Basis Function Artificial Neural Network Test for ARCH; with A.P. Blake; Economics Letters; 69(1), pp. 15-23; (2000b).
- Testing the Rank of the Hankel Covariance Matrix: A Statistical Approach; with G. Camba-Mendez; Institute of Electrical and Electronic Engineers (IEEE) Transactions on Automatic Control; 46(2), pp. 331-336; (2001a).
- Model Selection in Threshold Models; Journal of Time Series Analysis; 22(6), (2001b).
- Incorporating Lag Order Selection Uncertainty in Parameter Inference for AR Models; Economics Letters; 72(2), pp. 137-44; (2001c).
- An Automatic Leading Indicator of Economic Activity: Forecasting GDP Growth for European Countries; with G. Camba-Mendez, R. J. Smith and M. R. Weale; Econometrics Journal; 4(1), pp. S56-90; (2001d).
- The Forecasting Performance of the OECD Composite Leading Indicators for France, Germany, Italy and the UK; with G. Camba-Mendez, R. J. Smith and M. R. Weale; in A Companion to Economic Forecasting, eds. M. P. Clements and D. F. Hendry; Blackwell Publishers (2002e).
- Nonlinear Mean Reversion in Real Exchange Rates; with G. Chortareas and Y. Shin; Economics Letters; 77(3), pp. 411-417, (2002f).
- Threshold Models for Trended Time Series; Empirical Economics; 28(4) pp. 687--707; (2003a).
- Pure Significance Tests of the Unit Root Hypothesis against Nonlinear Alternatives; with A.P. Blake; Journal of Time Series Analysis; 24(3), pp. 1-17; (2003b).
- Testing for a Unit Root against Nonlinear STAR Models; with Y. Shin and A. Snell; Journal of Econometrics; 112(2), pp. 359-379 (2003c).
- Tests of Rank in Reduced Rank Regression Models; with G. Camba-Mendez, R. J. Smith and M. R. Weale; Journal of Business and Economic Statistics; 21(1), pp. 145-156, (2003d).
- A note on an iterative least squares estimation method for ARMA and VARMA models; Economics Letters; 79(3), pp. 305-312, (2003e).
- The Yen Real Exchange Rate May Be Stationary After All: Evidence from Nonlinear Unit-Root Tests; with G. Chortareas. Oxford Bulletin of Economics and Statistics; 66(1), pp. 113-131, (2003f).
- Bootstrap Neural Network Cointegration Tests Against Nonlinear Alternative Hypotheses; Studies in Nonlinear Dynamics and Econometrics; 7(2), (2003g).
- A Radial Basis Function Artificial Neural Network Test for Neglected Nonlinearity; with A. P. Blake; Econometrics Journal; 6(2), (2003h).
- Modelling Core Inflation for the UK Using a New Dynamic Factor Estimation Method and a Large Disaggregated Price Index Dataset; Economics Letters; 85(1), pp. 63-69, (2004a).
- The Asymptotic Distribution of the Cointegration Rank Estimator under the Akaike Information Criterion. Econometric Theory; 20(4), pp. 735-743, (2004b)
- Bootstrap Statistical Tests of Rank Determination for System Identification; with G. Camba-Mendez; IEEE Transactions on Automatic Control; 49(2), pp. 238-243 (2004c).
- An Investigation of Current Account Solvency in Latin America Using Non Linear Nonstationarity Tests; with G. Chortareas and M. Uctum; Studies in Nonlinear Dynamics and Econometrics; 8(1), (2004d).
- Using option prices to measure financial market views about balances of risk to future asset prices; with D. Lynch and N. Panigirtzoglou. Bank of England Quarterly Bulletin; Winter 2004, (2004e).
- Unit root testing against the alternative hypothesis of up to $m$ structural breaks. Journal of Time Series Analysis; 26(1), pp. 37-49 (2005a).
- Rational Expectations and Fixed Event Forecasts: An Application to UK Inflation; with H. Bakhshi and T. Yates; in Empirical Economics. 30(3), pp. 539--553, (2005b).
- Testing the Rank of the Spectral Density Matrix; with G. Camba-Mendez. Journal of Time Series Analysis; 26(1), pp. 123-135 (2005c).
- Forecasting with measurement errors in dynamic models; with R. Harrison and T. Yates. International Journal of Forecasting; 21(3), pp. 595--607 (2005d)
- Forecasting Euro Area Inflation Using Dynamic Factor Measures of Underlying Inflation; with G. Camba-Mendez. Journal of Forecasting; 24(7), pp. 491-503, (2005e).
- Testing for Cointegration in Nonlinear STAR Error Correction Models; with Y. Shin and A. Snell. Econometric Theory; 22, pp. 279--303, (2006a).
- Cluster Analysis of Panel Datasets using Non-Standard Optimisation of Information Criteria; Journal of Economic Dynamics and Control; 30(8), pp. 1389--1408, (2006b)
- Nonlinear Modelling of Autoregressive Structural Breaks in a US Diffusion Index Dataset; with E. Tzavalis. In: Milas, C., Rothman, P. and van Dijk. Nonlinear Time Series Analysis of Business Cycles. Elsevier; pp. 175--198; (2006c).
- Unit root tests in three-regime SETAR models; with Y. Shin. Econometrics Journal; 9(2), pp. 252--278, (2006d).
- Choosing the Optimal Set of Instruments from Large Instrument Sets; Computational Statistics and Data Analysis; 51(2), pp. 612--620 (2006e).
- Long Memory in Nonlinear Autoregressive Models; Economics Letters; 91(3), pp. 360--368, (2006f).
- Forecasting Using Predictive Likelihood Model Averaging; with V. Labhard and S. Price. Economics Letters; 91(3), pp. 373--379, (2006g).
- Forecast Evaluation of the Bank of England's Fancharts; with R. Elder, T. Taylor and T. Yates. Bank of England Quarterly Bulletin; Autumn 2006, (2006h).
- Making a Match: Combining Theory and Evidence in Policy-oriented Macroeconomic Modeling; with A.R. Pagan and A. Scott. Journal of Econometrics; 136(2), 565--594, (2007a).
- Testing for ARCH in the presence of Nonlinearity of Unknown Form in the Conditional Mean; with A. P. Blake. Journal of Econometrics; 137(2), pp. 472--488, (2007b).
- Testing for Neglected Nonlinearity in Long Memory Models; with R. Baillie. Journal of Business and Economic Statistics; 25(4), pp. 447--461, (2007c).
- Small Sample Properties of Cross Section Augmented Estimators for Panel Data Models with Residual Multi-factor Structures; with M. H. Pesaran. In The Refinement of Econometric Estimation and Test Procedures: Finite Sample and Asymptotic Analysis, Garry Phillips and Elias Tzavalis (eds.), Cambridge University Press, (2007d).
- Measuring Conditional Persistence in Time Series; Oxford Bulletin of Economics and Statistics; 69(3), pp. 363--386, (2007e).
- Dynamic Factor Extraction of Cross-Sectional Dependence In Panel Unit Root Tests; Journal of Applied Econometrics; 22(2), pp. 313--338, (2007f).
- Testing for Neglected Nonlinearity in Cointegrating Relationships; with A. P. Blake. Forthcoming in the Journal of Time Series Analysis; 28(6), pp. 807--826, (2007g).
- Estimating Deterministically Time-Varying Variances in Regression Models. Economics Letters; 97(2), pp. 97--104, (2007h)
- Variable Selection in Regression Models using Non-Standard Optimisation of Information Criteria. Computational Statistics and Data Analysis; 52(1), pp. 4-15, (2007i)
- Forecasting using Bayesian and Information Theoretic Model Averaging: An application to UK inflation; with V. Labhard and S. Price. Journal of Business and Economic Statistics; 26(1), pp. 33-41, (2008a),
- A Review of Forecasting Techniques for Large Data Sets; with J. Eklund. National Institute Economic Review; 203(1), pp. 109--115, (2008b).
- A Stochastic Variance Factor Model for Large Datasets and an Application to S\&P data; with A. Cipollini. Economics Letters; 100(1), pp. 130--134, (2008c).
- GLS Detrending-based Unit Root Tests in Nonlinear STAR and SETAR Models; with Y. Shin. Economics Letters; 100(3), pp. 377--380, (2008d).
- Forecast combination and the Bank of England's suite of statistical forecasting models; with V. Labhard and S. Price. Economic Modelling; 25(4), pp. 772--792, (2008e).
- A Bootstrap Procedure for Panel Datasets with Many Cross-Sectional Units. Econometrics Journal; 11(2), (2008f).
- Nonlinear Models with Strongly Dependent Processes and Applications to Forward Premia and Real Exchange Rates; with R. Baillie. Journal of Econometrics; 147(1), pp. 60--71, (2008g).
- Nonlinear Alternatives to Unit Root Tests and Public Finances Sustainability: Some Evidence from Latin American and Caribbean Countries; with Y. Chortareas and M. Uctum. Oxford Bulletin of Economics and Statistics; 70(5), pp. 645--663, (2008h).
- Bootstrap-Based Tests for Deterministic Time-Varying Coefficients in Regression Models. Computational Statistics and Data Analysis, 53(2), pp. 534-545, (2008j).
- Statistical tests of the rank of a matrix and their applications in econometric modelling; with G. Camba-Mendez. Econometric Reviews; 28(6), pp. 581--611, (2009a).
- Getting PPP Right: Identifying Mean-Reverting Real Exchange Rates in Panels; with Y. Chortareas. Journal of Banking and Finance, 33(2), pp. 390-404, (2009b).
- A real time evaluation of Bank of England forecasts of inflation and growth; with J.J.J. Groen and S. Price. International Journal of Forecasting, 25(1), pp. 74-80, (2009c).
- Forecasting Financial Crises and Contagion in Asia using Dynamic Factor Analysis; with A. Cipollini. Journal of Empirical Finance, 16(2), pp. 188-200, (2009d)
- Forecasting Exchange Rates with a Large Bayesian VAR; with A. Carriero and M. Marcellino. International Journal of Forecasting, 25(2), pp.400-417, (2009e);
- A Parametric Estimation Method for Dynamic Factor Models of Large Dimensions; with M. Marcellino. Journal of Time Series Analysis, 30(2), pp. 208-238, (2009f).
- Testing for Strict Stationarity in Financial Variables; Journal of Banking and Finance, 33(12), pp. 2346--2362, (2009g).
- A Testing Procedure for Determining the Number of Factors in Approximate Factor Models With Large Datasets. Journal of Business and Economic Statistics, 28(3), pp. 397--409, (2010a).
- Testing Exogeneity in Threshold Models. Econometric Theory, 26(1), pp. 231--259, (2010b).
- Estimating Time-Variation in Measurement Error from Data Revisions: An Application to Forecasting in Dynamic Models; with T. Yates. Journal of Applied Econometrics, 25(5), pp. 869–-893, (2010c).
- Tests of the Martingale Difference Hypothesis Using Boosting and RBF Neural Network Approximations; with A. Blake. Econometric Theory, 26(5), pp. 1363--1397, (2010d).
- Modeling Structural Breaks in Economic Relationships Using Large Shocks; with E. Tzavalis. Journal of Economic Dynamics and Control, 34(3), pp. 417--436, (2010e).
- Cross-sectional Averaging and Instrumental Variable Estimation with Many Weak Instruments; with M. Marcellino. Economics Letters, 108(1), pp. 36--39, (2010).
- Factor-GMM Estimation with Large Sets of Possibly Weak Instruments; with M. Marcellino. Computational Statistics and Data Analysis, 54(11), pp. 2655--2675, (2010f).
- Forecasting Large Datasets with Reduced Rank Multivariate Models; with A. Carriero and M. Marcellino. Journal of Applied Econometrics, 26(5), 735–-761 (2011a).
- The Elusive Persistence: Wage and Price Rigidities, the New Keynesian Phillips Curve, and Inflation Dynamics; with C. Tsoukis and J. Pearlman. Journal of Economic Surveys, 25(4), pp. 737-768, (2011b).
- Testing the Null Hypothesis of Nonstationary Long Memory Against the Alternative Hypothesis of a Nonlinear Ergodic Model; with Y. Shin. Econometric Reviews, 30(6), pp. 620--645, (2011c).
- Panels with non-stationary multifactor error structures; with M. H. Pesaran and T. Yamagata. Journal of Econometrics, 160(2), 326--348 (2011d).
- Are More data always Better for Factor Analysis? Results for the Euro Area, the Six Largest Euro Area Countries and the UK; with G. Caggiano and V. Labhard. Journal of Forecasting, 30(8) pp. 736--752, (2011e).
- Prediction from ARFIMA Models: Comparisons between MLE and Semi Parametric Procedures; with R. Baillie and C. Kongchareon. International Journal of Forecasting, 28(1), pp. 46--53 (2012a).
- Forecasting Government Bond Yields with Large Bayesian Vector Autoregressions; with A. Carriero and M. Marcellino. Journal of Banking and Finance, 36(7), pp. 2026--2047, (2012b).
- Comment on ``Fast sparse regression and classification'' by J.H. Friedman; with M. H. Pesaran. International Journal of Forecasting, 28(3), pp. 739--740, (2012c).
- A State Space Approach to Extracting the Signal From Uncertain Data; with A. Cunningham, J. Eklund, C. Jeffery and V. Labhard. Journal of Business and Economic Statistics, 30(2), pp. 173--180 (2012d)
- Multivariate Methods for Monitoring Structural Change; with J. Groen and S. Price. Forthcoming in the Journal of Applied Econometrics.
- How Puzzling is the PPP Puzzle? An Alternative Half-Life Measure of Convergence to PPP; with G. Chortareas. Forthcoming in the Journal of Applied Econometrics.
- Model Selection Criteria for Factor Augmented Regressions; with J. Groen. Forthcoming in the Oxford Bulletin of Economics and Statistics.
- Assessing the Economy-Wide Effects of Quantitative Easing; with H. Mumtaz, I. Stevens and K. Theodoridis. Forthcoming in Economic Journal.
- Estimation and Inference for Impulse Response Functions from Univariate Strongly Persistent Processes; with R. Baillie. Forthcoming in Econometrics Journal.
- Adaptive Forecasting in the Presence of Recent and Ongoing Structural Change; with L. Giraitis and S. Price. Forthcoming in the Journal of Econometrics.