Group for Research in Econometrics and Data Science (GREADS)

The Group for Research in Econometrics and Data Science has produced leading research in several fields of economics, econometrics and data science.

The group frequently publishes its research findings in the top international academic journals: American Economic Review, The Review of Economics and Statistics,  Journal of Business and Economic Statistics, Journal of Econometrics, Journal of Applied Econometrics, Econometric Theory, and the Journal of Time Series Analysis among others.

In addition, the group’s activities include frequent seminars with invited speakers from the top academic and policy institutions. Past keynote speakers include for example David Hendry (University of Oxford), Andrew Chesher (UCL), Robert Taylor (University of Essex), Yuriy Gorodnichenko (UC - Berkeley) and Robin Lumsdaine (American University) among others.

Research interests in the group cover a wide range of areas in econometrics, data science, financial economics, corporate finance, banking, crime, education and political economy.

Internal members

Group Director: Marco R Barassi
Research interests: Analysis of non-stationary time series, structural change in time series models, time series with long memory, non-linear time series models with applications to environmental and financial economics.

Group Co-Director: Yiannis Karavias
Research interests: Econometric theory, panel data, structural change, threshold regression, unit root tests

Professor Anindya Banerjee
Research interests: Factor models, forecasting with large datasets, time-varying structural vector autoregressions, panel data models with integrated series.

Joanne S Ercolani
Research interests: Time series econometrics, estimation of continuous time models 

Nicholas J Horsewood
Research interests: International econometrics, labour econometrics, economic history, housing economics.

Livia Menezes
Research interests: crime, education, health and labour.

James Rockey
Research interests: Political Economy, Productivity and Inequality

Frank Strobel
Research Interests: Banking, financial intermediation, financial economics.

Sasha Talavera
Research interests: Big data, fintech, online price setting, social networks, empirical corporate finance

External members

Professor Laetitia Lepetit
Research Interests: Banking, microeconometrics