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Journal of Business & Economic Statistics, ISSN 1537-2707, 2010, Volume 28, Issue 3, pp. 397 - 409
Journal Article
The Economic Journal, ISSN 0013-0133, 2012, Volume 122, Issue 564, pp. F316 - F347
Journal Article
Journal of applied econometrics (Chichester, England), ISSN 0883-7252, 2016, Volume 31, Issue 6, pp. 929 - 960
Summary This paper provides a characterisation of the degree of cross‐sectional dependence in a two dimensional array, {xit,i = 1,2,...N;t = 1,2,...,T} in... 
WEAK | NUMBER | PANELS | SOCIAL SCIENCES, MATHEMATICAL METHODS | DYNAMIC-FACTOR MODEL | ECONOMICS | APPROXIMATE FACTOR MODELS | Monte Carlo method | Global economy
Journal Article
Journal of Banking and Finance, ISSN 0378-4266, 2009, Volume 33, Issue 2, pp. 390 - 404
Recent advances in testing for the validity of Purchasing Power Parity (PPP) focus on the time series properties of real exchange rates in panel frameworks.... 
Half-lives | PPP | Panel unit root tests | PPP puzzle | Real exchange rates | BUSINESS, FINANCE | BEHAVIOR | PURCHASING POWER PARITY | ECONOMICS | UNIT-ROOT TESTS | PPP Panel unit root tests Real exchange rates Half-lives PPP puzzle | Prices and rates | Foreign exchange
Journal Article
Journal of time series analysis, ISSN 1467-9892, 2005, Volume 26, Issue 1, pp. 123 - 133
.  In this paper we provide tests for the unit‐root hypothesis against the occurrence of an unspecified number of breaks which may be larger than 2 but smaller... 
structural break | C32 | C13 | Unit root | C15 | Structural break | NUISANCE PARAMETER | STATISTICS & PROBABILITY | MATHEMATICS, INTERDISCIPLINARY APPLICATIONS | unit root | SPURIOUS BREAK | Studies | Hypotheses | Monte Carlo simulation | Time series
Journal Article
Computational Statistics and Data Analysis, ISSN 0167-9473, 08/2016, Volume 100, pp. 221 - 239
The properties of a number of data-rich methods that are widely used in macroeconomic forecasting are analyzed. In particular, this analysis focuses on... 
(weak) factor models | Bayesian ridge regression | Macroeconomic forecasting | Partial least squares | Principal components | LEAST-SQUARES REGRESSION | STATISTICS & PROBABILITY | COMBINATION | WEAK | COMPUTER SCIENCE, INTERDISCIPLINARY APPLICATIONS | SHRINKAGE | DIMENSION | partial least squares | LARGE NUMBER | Federal Reserve banks | Analysis
Journal Article
Journal of Applied Econometrics, ISSN 0883-7252, 8/2011, Volume 26, Issue 5, pp. 735 - 761
Journal Article
Journal of Econometrics, ISSN 0304-4076, 01/2018, Volume 202, Issue 1, pp. 75 - 91
Journal Article
Econometric theory, ISSN 0266-4666, 4/2006, Volume 22, Issue 2, pp. 279 - 303
Journal Article
Journal of applied econometrics (Chichester, England), ISSN 0883-7252, 5/2013, Volume 28, Issue 3, pp. 435 - 457
Evidence of lengthy half-lives for real exchange rates in the presence of a high degree of exchange rate volatility has been considered as one of the most... 
PERSISTENCE | PURCHASING-POWER-PARITY | UNBIASED ESTIMATION | SOCIAL SCIENCES, MATHEMATICAL METHODS | REAL EXCHANGE-RATES | ECONOMICS | MEAN-REVERSION | UNIT-ROOT TESTS | AGGREGATION | Public-private sector cooperation
Journal Article
Journal of econometrics, ISSN 0304-4076, 2013, Volume 177, Issue 2, pp. 153 - 170
We consider time series forecasting in the presence of ongoing structural change where both the time series dependence and the nature of the structural change... 
Robust forecasts | Recent and ongoing structural change | Forecast combination | TESTS | MATHEMATICS, INTERDISCIPLINARY APPLICATIONS | INSTABILITY | MODELS | SOCIAL SCIENCES, MATHEMATICAL METHODS | ECONOMICS
Journal Article
Journal of applied econometrics (Chichester, England), ISSN 0883-7252, 3/2013, Volume 28, Issue 2, pp. 250 - 274
Detection of structural change is a critical empirical activity, but continuous 'monitoring' for changes in real time raises well-known econometric issues that... 
Null hypothesis | Economic theory | Proportions | Time series | Macroeconomics | Arithmetic mean | Applied econometrics | Applied economics | Probabilities | Economic inflation | TESTS | PARAMETER INSTABILITY | SOCIAL SCIENCES, MATHEMATICAL METHODS | ECONOMICS | MODELS | MACROECONOMIC TIME-SERIES | Price indexes | Analysis | Methods | Detectors
Journal Article
Econometric theory, ISSN 0266-4666, 02/2010, Volume 26, Issue 1, pp. 231 - 259
...  Econometric Theory, 26, 2010, 231259. doi:10.1017/S0266466609090665 GEORGE KAPETANIOS Queen Mary, University of London Most work in the area of nonlinear... 
ARTICLES | Statistical variance | Economic models | Error rates | Null hypothesis | Inference | Modeling | Parametric models | Estimators | Consistent estimators | Estimation methods | SOCIAL SCIENCES, MATHEMATICAL METHODS | ECONOMICS | INFERENCE | LEAST-SQUARES ESTIMATOR | PARAMETER | Studies | Bootstrap method | Econometrics | Monte Carlo simulation
Journal Article
Journal of Econometrics, ISSN 0304-4076, 04/2014, Volume 179, Issue 2, pp. 134 - 157
This paper proposes a nonlinear panel data model which can endogenously generate both ‘weak’ and ‘strong’ cross-sectional dependence. The model’s... 
Application to stock returns and inflation | Monte Carlo simulations | Factor models | Cross-section dependence | Clustering | Nonlinear panel data model | ERGODICITY | NUMBER | INFERENCE | HERD | MATHEMATICS, INTERDISCIPLINARY APPLICATIONS | SOCIAL SCIENCES, MATHEMATICAL METHODS | ECONOMICS | EXPECTATIONS | Analysis | Econometric models
Journal Article
Journal of Empirical Finance, ISSN 0927-5398, 06/2016, Volume 37, pp. 173 - 185
This paper investigates the dynamics between the credit market freedom counterparts of the economic freedom index drawn from the Fraser institute database and... 
Credit market freedom | Bank cost efficiency | Economic freedom indices | Data Envelopment Analysis | BUSINESS, FINANCE | INDUSTRY | FINANCIAL INSTITUTIONS | RISK | ECONOMICS | Deregulation | Bank management | Credit market | Banks (Finance) | Commercial banks
Journal Article
Journal of Banking and Finance, ISSN 0378-4266, 10/2017, Volume 83, pp. 36 - 56
According to the “cost efficiency - liquidity creation” hypothesis (CELCH), introduced in this paper, a rise in a bank’s cost efficiency level increases its... 
PVAR | Efficiency | Bank distress | M&As | Regulation | Liquidity risk | Capital structure | HALF-LIFE | PROFITABILITY | DETERMINANTS | FINANCIAL INSTITUTIONS | RISK | BUSINESS, FINANCE | MODELS | MARKET POWER | DEPOSIT INSURANCE | CONVERGENCE | MERGERS | ECONOMICS
Journal Article