Economics Department Staff
George Kapetanios
Email: g.kapetanios@qmul.ac.ukProfessor, Head of Department
Room number: CB302
Telephone: +44 (0)20 7882 8698
Internal extension: 8698
Website: http://www.econ.qmul.ac.uk/downloads/georgekapetanioscv.pdf
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.
1. Small Sample Properties of the Conditional Least Squares Estinator in
SETAR Models; Economics Letters; 69(3), pp.267-276; (2000a).
2. A Radial Basis Function Artificial Neural Network Test for ARCH;
with A.P. Blake; Economics Letters; 69(1), pp. 15-23; (2000b).
3. Testing the Rank of the Hankel Covariance Matrix: A Statistical Ap-
proach; with G. Camba-Mendez; Institute of Electrical and Electronic
Engineers (IEEE) Transactions on Automatic Control ; 46(2), pp. 331-
336; (2001a).
4. Model Selection in Threshold Models; Journal of Time Series Analysis;
22(6), (2001b).
5. Incorporating Lag Order Selection Uncertainty in Parameter Inference
for AR Models; Economics Letters; 72(2), pp. 137-44; (2001c).
6. 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).
7. The Forecasting Performance of the OECD Composite Leading Indica-
tors for France, Germany, Italy and the UK; with G. Camba-Mendez,
R. J. Smith and M. R. Weale; in A Companion to Economic Fore-
casting, eds. M. P. Clements and D. F. Hendry; Blackwell Publishers
(2002e).
8. Nonlinear Mean Reversion in Real Exchange Rates; with G. Chortareas
and Y. Shin; Economics Letters; 77(3), pp. 411-417, (2002f).
9. Threshold Models for Trended Time Series; Empirical Economics; 28(4)
pp. 687{707; (2003a).
10. 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).
11. Testing for a Unit Root against Nonlinear STAR Models; with Y. Shin
and A. Snell; Journal of Econometrics; 112(2), pp. 359-379 (2003c).
12. Tests of Rank in Reduced Rank Regression Models; with G. Camba-
Mendez, R. J. Smith and M. R. Weale; Journal of Business and Eco-
nomic Statistics; 21(1), pp. 145-156, (2003d).
13. A note on an iterative least squares estimation method for ARMA and
VARMA models; Economics Letters; 79(3), pp. 305-312, (2003e).
14. The Yen Real Exchange Rate May Be Stationary After All: Evidence
from Nonlinar Unit-Root Tests; with G. Chortareas. Oxford Bulletin
of Economics and Statistics; 66(1), pp. 113-131, (2003f).
15. Bootstrap Neural Network Cointegration Tests Against Nonlinear Al-
ternative Hypotheses; Studies in Nonlinear Dynamics and Economet-
rics; 7(2), (2003g).
16. A Radial Basis Function Artificial Neural Network Test for Neglected
Nonlinearity; with A. P. Blake; Econometrics Journal; 6(2), (2003h).
17. 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).
18. The Asymptotic Distribution of the Cointegration Rank Estimator un-
der the Akaike Information Criterion. Econometric Theory; 20(4), pp.
735-743, (2004b)
19. Bootstrap Statistical Tests of Rank Determination for System Iden-
tification; with G. Camba-Mendez; IEEE Transactions on Automatic
Control ; 49(2), pp. 238-243 (2004c).
20. 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).
21. 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).
22. Unit root testing against the alternative hypothesis of up to m struc-
tural breaks. Journal of Time Series Analysis; 26(1), pp. 37-49 (2005a).
23. 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).
24. Testing the Rank of the Spectral Density Matrix; with G. Camba-
Mendez. Journal of Time Series Analysis; 26(1), pp. 123-135 (2005c).
25. Forecasting with measurement errors in dynamic models; with R. Har-
rison and T. Yates. International Journal of Forecasting; 21(3), pp.
595{607 (2005d)
26. Forecasting Euro Area Inflation Using Dynamic Factor Measures of
Underlying Inflation; with G. Camba-Mendez. Journal of Forecasting;
24(7), pp. 491-503, (2005e).
27. Testing for Cointegration in Nonlinear STAR Error Correction Models;
with Y. Shin and A. Snell. Econometric Theory; 22, pp. 279{303,
(2006a).
28. Cluster Analysis of Panel Datasets using Non-Standard Optimisation
of Information Criteria; Journal of Economic Dynamics and Control ;
30(8), pp. 1389{1408, (2006b)
29. Nonlinear Modelling of Autoregressive Structural Breaks in a US Dif-
fusion 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).
30. Unit root tests in three-regime SETAR models; with Y. Shin. Econo-
metrics Journal; 9(2), pp. 252{278, (2006d).
31. Choosing the Optimal Set of Instruments from Large Instrument Sets;
Computational Statistics and Data Analysis; 51(2), pp. 612{620 (2006e).
32. Long Memory in Nonlinear Autoregressive Models; Economics Letters;
91(3), pp. 360{368, (2006f).
33. Forecasting Using Predictive Likelihood Model Averaging; with V. Lab-
hard and S. Price. Economics Letters; 91(3), pp. 373{379, (2006g).
34. 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).
35. 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).
36. 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).
37. Testing for Neglected Nonlinearity in Long Memory Models; with R.
Baillie. Journal of Business and Economic Statistics; 25(4), pp. 447{
461, (2007c).
38. 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 Pro-
cedures: Finite Sample and Asymptotic Analysis, Garry Phillips and
Elias Tzavalis (eds.), Cambridge University Press, (2007d).
39. Measuring Conditional Persistence in Time Series; Oxford Bulletin of
Economics and Statistics; 69(3), pp. 363{386, (2007e).
40. Dynamic Factor Extraction of Cross-Sectional Dependence In Panel
Unit Root Tests; Journal of Applied Econometrics; 22(2), pp. 313{
338, (2007f).
41. Testing for Neglected Nonlinearity in Cointegrating Relationships; with
A. P. Blake. Journal of Time Series Analysis; 28(6), pp. 807{826,
(2007g).
42. Estimating Deterministically Time-Varying Variances in Regression Mod-
els. Economics Letters; 97(2), pp. 97{104, (2007h)
43. Variable Selection in Regression Models using Non-Standard Optimisa-
tion of Information Criteria. Computational Statistics and Data Anal-
ysis; 52(1), pp. 4-15, (2007i)
44. Forecasting using Bayesian and Information Theoretic Model Averag-
ing: An application to UK inflation; with V. Labhard and S. Price.
Journal of Business and Economic Statistics; 26(1), pp. 33-41, (2008a),
45. A Review of Forecasting Techniques for Large Data Sets; with J. Ek-
lund. National Institute Economic Review; 203(1), pp. 109{115, (2008b).
46. A Stochastic Variance Factor Model for Large Datasets and an Appli-
cation to S&P data; with A. Cipollini. Economics Letters; 100(1), pp.
130{134, (2008c).
47. GLS Detrending-based Unit Root Tests in Nonlinear STAR and SE-
TAR Models; with Y. Shin. Economics Letters; 100(3), pp. 377{380,
(2008d).
48. Forecast combination and the Bank of England's suite of statistical fore-
casting models; with V. Labhard and S. Price. Economic Modelling;
25(4), pp. 772{792, (2008e).
49. A Bootstrap Procedure for Panel Datasets with Many Cross-Sectional
Units. Econometrics Journal; 11(2), (2008f).
50. 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).
51. Nonlinear Alternatives to Unit Root Tests and Public Finances Sustain-
ability: 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).
52. Bootstrap-Based Tests for Deterministic Time-Varying Coefficients in
Regression Models. Computational Statistics and Data Analysis, 53(2),
pp. 534-545, (2008j).
53. Statistical tests of the rank of a matrix and their applications in econo-
metric modelling; with G. Camba-Mendez. Econometric Reviews; 28(6),
pp. 581{611, (2009a).
54. 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).
55. A real time evaluation of Bank of England forecasts of inflation and
growth; with J.J.J. Groen and S. Price. International Journal of Fore-
casting, 25(1), pp. 74-80, (2009c).
56. Forecasting Financial Crises and Contagion in Asia using Dynamic Fac-
tor Analysis; with A. Cipollini. Journal of Empirical Finance, 16(2),
pp. 188-200, (2009d)
57. Forecasting Exchange Rates with a Large Bayesian VAR; with A. Car-
riero and M. Marcellino. International Journal of Forecasting, 25(2),
pp.400-417, (2009e);
58. 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).
59. An Alternative Method for Determining the Number of Factors in Fac-
tor Models with Large Datasets. Forthcoming in the Journal of Busi-
ness and Economic Statistics.
60. Testing Exogeneity in Threshold Models. Forthcoming in Econometric
Theory.
61. Estimating Time-Variation in Measurement Error from Data Revisions:
An Application to Forecasting in Dynamic Models; with T. Yates.
Forthcoming in the Journal of Applied Econometrics.
62. A State Space Approach to Extracting the Signal From Uncertain Data;
with A. Cunningham, J. Eklund, C. Jeffery and V. Labhard. Forth-
coming in the Journal of Business and Economic Statistics.
63. Tests of the Martingale Difference Hypothesis Using Boosting and RBF
Neural Network Approximations; with A. Blake. Forthcoming in Econo-
metric Theory.
64. Modeling Structural Breaks in Economic Relationships Using Large
Shocks; with E. Tzavalis. Forthcoming in the Journal of Economic
Dynamics and Control.
65. Testing for Strict Stationarity in Financial Variables; Forthcoming in
the Journal of Banking and Finance.
