A SHRINKAGE INSTRUMENTAL VARIABLE ESTIMATOR FOR LARGE DATASETS.
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- Actualité économique - Revue d'analyse économique, 2015, v. 91, n. 1/2, p. 67, doi. 10.7202/1036914ar
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- Article
Works by Kapetanios, George
Results: 72
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Corrigendum to "A Generalised Fractional Differencing Bootstrap for Long Memory Processes" Journal of Time Series Analysis 40: 467‐492 (2019) DOI: 10.1111/jtsa.12460.
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- Journal of Time Series Analysis, 2021, v. 42, n. 4, p. 492, doi. 10.1111/jtsa.12591
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- Article
3
A Generalised Fractional Differencing Bootstrap for Long Memory Processes.
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- Journal of Time Series Analysis, 2019, v. 40, n. 4, p. 467, doi. 10.1111/jtsa.12460
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- Publication type:
- Article
4
Inference on Multivariate Heteroscedastic Time Varying Random Coefficient Models.
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- Journal of Time Series Analysis, 2018, v. 39, n. 2, p. 129, doi. 10.1111/jtsa.12271
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- Publication type:
- Article
5
An LM Test for the Conditional Independence between Regressors and Factor Loadings in Panel Data Models with Interactive Effects.
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- Journal of Business & Economic Statistics, 2024, v. 42, n. 2, p. 743, doi. 10.1080/07350015.2023.2238774
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- Publication type:
- Article
6
A State Space Approach to Extracting the Signal From Uncertain Data.
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- Journal of Business & Economic Statistics, 2012, v. 30, n. 2, p. 173, doi. 10.1198/jbes.2009.08171
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- Article
7
A Testing Procedure for Determining the Number of Factors in Approximate Factor Models With Large Datasets.
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- Journal of Business & Economic Statistics, 2010, v. 28, n. 3, p. 397, doi. 10.1198/jbes.2009.07239
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- Publication type:
- Article
8
Forecasting Using Bayesian and Information-Theoretic Model Averaging: An Application to U.K. Inflation.
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- Journal of Business & Economic Statistics, 2008, v. 26, n. 1, p. 33, doi. 10.1198/073500107000000232
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- Article
9
Testing for Neglected Nonlinearity in Long-Memory Models.
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- Journal of Business & Economic Statistics, 2007, v. 25, n. 4, p. 447, doi. 10.1198/073500106000000305
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- Article
10
A New PC-Based Test for Varian's Weak Separability Conditions.
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- Journal of Business & Economic Statistics, 2003, v. 21, n. 1, p. 133, doi. 10.1198/073500102298618847
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- Article
11
Robust Forecast Methods and Monitoring during Structural Change.
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- Manchester School (1463-6786), 2013, v. 81, p. 3, doi. 10.1111/manc.12011
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- Article
12
ELUSIVE PERSISTENCE: WAGE AND PRICE RIGIDITIES, THE NEW KEYNESIAN PHILLIPS CURVE AND INFLATION DYNAMICS.
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- Journal of Economic Surveys, 2011, v. 25, n. 4, p. 737, doi. 10.1111/j.1467-6419.2009.00622.x
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- Article
13
Assessing the economy using faster indicators.
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- Journal of Forecasting, 2024, v. 43, n. 1, p. 208, doi. 10.1002/for.3026
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- Article
14
Investigating the predictive ability of ONS big data‐based indicators.
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- Journal of Forecasting, 2022, v. 41, n. 2, p. 252, doi. 10.1002/for.2805
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- Article
15
Are more data always better for factor analysis? Results for the euro area, the six largest euro area countries and the UK.
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- Journal of Forecasting, 2011, v. 30, n. 8, p. 736, doi. 10.1002/for.1208
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- Article
16
Forecasting euro area inflation using dynamic factor measures of underlying inflation.
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- Journal of Forecasting, 2005, v. 24, n. 7, p. 491, doi. 10.1002/for.964
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- Article
17
Assessing the Economy-wide Effects of Quantitative Easing*.
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- Economic Journal, 2012, v. 122, n. 564, p. F316, doi. 10.1111/j.1468-0297.2012.02555.x
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- Publication type:
- Article
18
Testing for correlation between the regressors and factor loadings in heterogeneous panels with interactive effects.
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- Empirical Economics, 2023, v. 64, n. 6, p. 2611, doi. 10.1007/s00181-023-02390-1
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- Article
19
Evolving UK and US macroeconomic dynamics through the lens of a model of deterministic structural change.
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- Empirical Economics, 2014, v. 47, n. 1, p. 305, doi. 10.1007/s00181-013-0743-0
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- Article
20
Threshold models for trended time series.
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- Empirical Economics, 2003, v. 28, n. 4, p. 687, doi. 10.1007/s00181-003-0154-8
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- Article
21
On the estimation of short memory components in long memory time series models.
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- Studies in Nonlinear Dynamics & Econometrics, 2016, v. 20, n. 4, p. 365, doi. 10.1515/snde-2015-0120
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- Article
22
An Investigation of Current Account Solvency in Latin America Using Non Linear Nonstationarity Tests.
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- Studies in Nonlinear Dynamics & Econometrics, 2004, v. 8, n. 1, p. 0, doi. 10.2202/1558-3708.1200
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- Article
23
Erratum.
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- 2003
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- Correction Notice
24
A REVIEW OF FORECASTING TECHNIQUES FOR LARGE DATA SETS.
- Published in:
- National Institute Economic Review, 2008, v. 203, p. 109, doi. 10.1177/00279501082030011201
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- Article
25
Making text count: Economic forecasting using newspaper text.
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- Journal of Applied Econometrics, 2022, v. 37, n. 5, p. 896, doi. 10.1002/jae.2907
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- Article
26
Measurement of factor strength: Theory and practice.
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- Journal of Applied Econometrics, 2021, v. 36, n. 5, p. 587, doi. 10.1002/jae.2830
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- Article
27
Common correlated effect cross‐sectional dependence corrections for nonlinear conditional mean panel models.
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- Journal of Applied Econometrics, 2021, v. 36, n. 1, p. 125, doi. 10.1002/jae.2799
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- Article
28
Large time‐varying parameter VARs: A nonparametric approach.
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- Journal of Applied Econometrics, 2019, v. 34, n. 7, p. 1027, doi. 10.1002/jae.2722
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- Article
29
Exponent of Cross-Sectional Dependence: Estimation and Inference.
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- Journal of Applied Econometrics, 2016, v. 31, n. 6, p. 929, doi. 10.1002/jae.2476
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- Article
30
Forecasting Value-at-Risk Using Deep Neural Network Quantile Regression*.
- Published in:
- Journal of Financial Econometrics, 2024, v. 22, n. 3, p. 636, doi. 10.1093/jjfinec/nbad014
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- Publication type:
- Article
31
Estimation and inference for impulse response functions from univariate strongly persistent processes.
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- Econometrics Journal, 2013, v. 16, n. 3, p. 373, doi. 10.1111/j.1368-423X.2012.00395.x
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- Article
32
Unit root tests in three-regime SETAR models.
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- Econometrics Journal, 2006, v. 9, n. 2, p. 252, doi. 10.1111/j.1368-423X.2006.00184.x
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- Article
33
A radial basis function artificial neural network test for neglected nonlinearity.
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- Econometrics Journal, 2003, v. 6, n. 2, p. 357, doi. 10.1111/1368-423X.t01-1-00113
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- Article
34
An automatic leading indicator of economic activity: forecasting GDP growth for European countries.
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- Econometrics Journal, 2001, v. 4, n. 1, p. 56, doi. 10.1111/1368-423X.00053
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- Article
35
Assessing the economy-wide effects of quantitative easing.
- Published in:
- Bank of England Quarterly Bulletin, 2012, v. 52, n. 1, p. 71
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- Publication type:
- Article
36
A parametric estimation method for dynamic factor models of large dimensions.
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- Journal of Time Series Analysis, 2009, v. 30, n. 2, p. 208, doi. 10.1111/j.1467-9892.2009.00607.x
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- Publication type:
- Article
37
Testing for Neglected Nonlinearity in Cointegrating Relationships.
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- Journal of Time Series Analysis, 2007, v. 28, n. 6, p. 807, doi. 10.1111/j.1467-9892.2007.00532.x
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- Publication type:
- Article
38
Estimating the Rank of the Spectral Density Matrix.
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- Journal of Time Series Analysis, 2005, v. 26, n. 1, p. 37, doi. 10.1111/j.1467-9892.2005.00389.x
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- Article
39
Unit-root testing against the alternative hypothesis of up tomstructural breaks.
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- Journal of Time Series Analysis, 2005, v. 26, n. 1, p. 123, doi. 10.1111/j.1467-9892.2005.00393.x
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- Article
40
Pure Significance Tests of the Unit Root Hypothesis Against Nonlinear Alternatives.
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- Journal of Time Series Analysis, 2003, v. 24, n. 3, p. 253, doi. 10.1111/1467-9892.00306
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- Article
41
PURE SIGNIFICANCE TESTS F THE UNIT ROOT HYPOTHESIS AGAINST NONLINEAR ALTERNATIVES.
- Published in:
- Journal of Time Series Analysis, 2003, v. 24, n. 3, p. 253, doi. 10.1111/1467-9892.00306
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- Article
42
Model Selection in Threshold Models.
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- Journal of Time Series Analysis, 2001, v. 22, n. 6, p. 733, doi. 10.1111/1467-9892.00251
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- Publication type:
- Article
43
Estimating the Dynamics and Persistence of Financial Networks, with an Application to the Sterling Money Market.
- Published in:
- Journal of Applied Econometrics, 2016, v. 31, n. 1, p. 58, doi. 10.1002/jae.2457
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- Publication type:
- Article
44
HOW PUZZLING IS THE PPP PUZZLE? AN ALTERNATIVE HALF-LIFE MEASURE OF CONVERGENCE TO PPP.
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- Journal of Applied Econometrics, 2013, v. 28, n. 3, p. 435, doi. 10.1002/jae.2261
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- Article
45
MULTIVARIATE METHODS FOR MONITORING STRUCTURAL CHANGE MULTIVARIATE METHODS FOR MONITORING STRUCTURAL CHANGE.
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- Journal of Applied Econometrics, 2013, v. 28, n. 2, p. 250, doi. 10.1002/jae.1272
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- Article
46
Forecasting large datasets with Bayesian reduced rank multivariate models.
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- Journal of Applied Econometrics, 2011, v. 26, n. 5, p. 735, doi. 10.1002/jae.1150
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- Article
47
Estimating time variation in measurement error from data revisions: an application to backcasting and forecasting in dynamic models.
- Published in:
- Journal of Applied Econometrics, 2010, v. 25, n. 5, p. 869, doi. 10.1002/jae.1121
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- Publication type:
- Article
48
Dynamic factor extraction of cross-sectional dependence in panel unit root tests.
- Published in:
- Journal of Applied Econometrics, 2007, v. 22, n. 2, p. 313, doi. 10.1002/jae.943
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- Publication type:
- Article
49
Evolving UK and US macroeconomic dynamics through the lens of a model of deterministic structural change.
- Published in:
- Bank of England Quarterly Bulletin, 2011, v. 51, n. 3, p. 255
- By:
- Publication type:
- Article
50
A state space approach to extracting the signal from uncertain data.
- Published in:
- Bank of England Quarterly Bulletin, 2007, v. 47, n. 4, p. 546
- By:
- Publication type:
- Article