School of Economics and Finance

2004 Working papers

Paper No.TitleAuthors
No. 507: A Bootstrap Invariance Principle for Highly Nonstationary Long Memory Processes George Kapetanios,
No. 517: Getting PPP Right: Identifying Mean-Reverting Real Exchange Rates in Panels Georgios Chortareas, George Kapetanios,
No. 521: Forecasting with Measurement Errors in Dynamic Models Richard Harrison, George Kapetanios,
No. 513: Price Taking Equilibrium in Club Economies with Multiple Memberships and Unbounded Club Sizes Nizar Allouch, Myrna Wooders,
No. 515: Testing for Exogeneity in Nonlinear Threshold Models George Kapetanios,
No. 506: A Stochastic Variance Factor Model for Large Datasets and an Application to S&P Data Andrea Cipollini, George Kapetanios,
No. 516: Nonlinear Autoregressive Models and Long Memory George Kapetanios,
No. 511: Is the Currency Risk Priced in Equity Markets? Francesco Giurda, Elias Tzavalis,
No. 518: Inflation Persistence Revisited Marika Karanassou, Dennis J. Snower,
No. 514: A Bayesian Analysis of Unit Roots and Structural Breaks in the Level and the Error Variance of Autoregressive Models Loukia Meligkotsidou, Elias Tzavalis, Ioannis D. Vrontos,
No. 524: The Impact of Large Structural Shocks on Economic Relationships: Evidence from Oil Price Shocks George Kapetanios,
No. 508: Testing for Neglected Nonlinearity in Cointegrating Relationships Andrew P. Blake, George Kapetanios,
No. 505: Detection of Structural Breaks in Linear Dynamic Panel Data Models Stefan De Wachter, Elias Tzavalis,
No. 523: A Bootstrap Procedure for Panel Datasets with Many Cross-Sectional Units George Kapetanios,
No. 510: Can the Composition of Capital Constrain Potential Output? A Gap Approach Jose Miguel Albala-Bertrand,
No. 509: Dynamic Factor Extraction of Cross-Sectional Dependence in Panel Unit Root Tests George Kapetanios,
No. 526: On Testing for Diagonality of Large Dimensional Covariance Matrices George Kapetanios,
No. 512: Arbitrage, Equilibrium, and Nonsatiation Nizar Allouch, Cuong Le Van, Frank H. Page, Jr.,
No. 525: A New Method for Determining the Number of Factors in Factor Models with Large Datasets George Kapetanios,
No. 522: How Puzzling is the PPP Puzzle? An Alternative Half-Life Measure of Convergence to PPP Georgios Chortareas, George Kapetanios,
No. 519: Modelling the Yield Curve: A Two Components Approach John Hatgioannides, Menelaos Karanasos, Marika Karanassou,
No. 520: Estimating Time-Variation in Measurement Error from Data Revisions: An Application to Forecasting in Dynamic Models George Kapetanios,