Professor Anindya Banerjee

Professor Anindya Banerjee

The Department of Economics
Professor of Econometrics

Contact details

+44 (0)121 414 6646
+44 (0)121 414 7377
The Department of Economics
University of Birmingham
JG Smith Building
B15 2TT

Research interests: Factor models; forecasting with large datasets; time-varying structural vector autoregressions; panel data models with integrated series


BSc. (Economics), London School of Economics, 1983
M.Phil. (Economics), Nuffield College, University of Oxford, 1985
D.Phil. (Economics), Nuffield College, University of Oxford, 1987


M.Sc. Econometrics (G26, 27, 28, 29, 8)

Econometric Methods (undergraduates, ECON 207)

Postgraduate supervision

Kemal Bagzibagli (Ph.D. supervisor)

Chong Zhao (Ph.D. supervisor)


Research Group:


Research Interests:  My current research interests include forecasting with large datasets and the use of factor models. Empirical issues relating tointerest rate and exchange rate pass-through are addressed within this framework, and in recent years I have worked on factor models with structural change. I also study the econometrics of non-stationary  panel data, with particular attention to the implications ofcross-sectional dependence for inference and estimation in such panels.  Factors constitute a convenient way of modelling dependence although alternative approaches may also be considered.

Other activities

Leader of Econometrics Research Group
DIW Research Professor, Deutsches Institut für Wirtschaftsforschung (DIW Berlin)
Associate Editor, Oxford Bulletin of Economics and Statistics
Managing Editor, Oxford Economic Papers

Scientific Counsellor, Directorate of Macroeconomic Forecasting, Banque de France


Discussion papers:

“Structural Factor Error Correction Models: Cointegration in Large Scale Factor Models” (with Massimiliano Marcellino and Igor Masten), published as CEPR Discussion Paper No. 9858, submitted to Journal of Business and Economics Statistics.


“Cointegration in Panel Data with Structural Breaks and Cross-Section Dependence” (with Josep Carrion-i-Silvestre), 30, pages 1–23.

“Modelling thirty five years of coffee prices in Brazil, Guatemala and India and the Law of One Price”, Department of Economics, University of Birmingham Discussion Paper No. 10-22 (with S. Mohan and B. Russell) (forthcoming World Bank Economic Review)

“Forecasting with factor error correction models” (with M. Marcellino and I. Masten), International Journal of Forecasting, 30, 589-612.

“How to use SETAR models in gretl”(with Federico Lampis) - published online in Computational Economics, DOI: 10.1007/s10614-014-9445-8.

“Testing for structural breaks using common correlated effects estimators”, Department of Economics, University of Birmingham Discussion Paper No.11-16 (with Josep Carrion-i-Silvestre)

“A multiple break panel approach to estimating United States Phillips curves”, Working Paper No. 232, Dundee Discussion Papers in Economics, also Department of Economics, University of Birmingham Discussion Paper No. 10-14 (with B. Russell, I. Malki and N. Ponomareva)

'Forecasting with Factor-Augmented Error Correction Models', EUI-RSCAS Working Paper No. 2009-32 (with M.Marcellino and I. Masten).

'Factor error correction models' in The Methodology and Practice of Econometrics: A Festschrift in Honour of David F. Hendry, edited byJennifer Castle and Neil Shephard, Oxford University Press, Oxford, p.227-254 (with M. Marcellino).

'Forecasting macroeconomic variables using diffusion indexes inshort samples with structural change”, in Forecasting in the Presenceof Structural Breaks and Model Uncertainty, edited by D. Rapach and M.Wohar, Elsevier, p. 149 - 194 (with M. Marcellino and I. Masten).

 'Are There Any Reliable Leading Indicators for US Inflation and GDPGrowth?”, International Journal of Forecasting, 22, p. 137-151 (with M.Marcellino). Awarded Outstanding Paper 2006-2007.