Professor Anindya Banerjee

Professor Anindya Banerjee

The Department of Economics
Professor of Econometrics

Contact details

Telephone
+44 (0)121 414 6646
Fax
+44 (0)121 414 7377
Email
a.banerjee@bham.ac.uk
Address
The Department of Economics
University of Birmingham
JG Smith Building
Birmingham
B15 2TT

Professor Anindya Banerjee joined the Department of Economics in January 2008 as Professor in Economics. Before coming to Birmingham he was Professor at the European University Institute in Florence and Fellow of Wadham College, Oxford. Professor Banerjee received his Ph.D. from the University of Oxford.  His interests lie in time series econometrics, including factor models, and the econometrics of integrated panel data. He has recently been using his expertise in econometric modelling to look at the use of algorithmic methods in augmenting police decision making.

Qualifications

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

Teaching

  • M.Sc. Econometrics
  • Ph.D. Advanced Course in Econometrics
  • Supervising extended essays for third year students
  • Supervising M.Sc. dissertations

Postgraduate supervision

Some recent students supervised:

Katherine Inglis (2017)
Aixa Garcia Ramos (2018)
Jorge Bouchot (2018)
Saul Basurto (2018)

Research

Research Group:

Econometrics

Research Interests:  My current research interests include forecasting with large datasets and the use of factor models. Empirical issues relating to interest 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 of cross-sectional dependence for inference and estimation in such panels.  Factors constitute a convenient way of modelling dependence although alternative approaches may also be considered. I am also interested in applied problems involving data modelling and have been applying my expertise in building statistical models that can aid police decision making.

Other activities

  • Leader of Econometrics Research Group
  • Director of Doctoral Programme, Department of Economics (2013- )
  • Fellow, Centre for Finance and Credit Markets, University of Nottingham (2009- )
  • Associate Editor, Central European Journal of Economic Modelling and Econometrics (2010-)
  • Chief Editor, Oxford Bulletin of Economics and Statistics (2015 - )
  • Associate Editor, Oxford Economic Papers (2013 - )
  • Editorial Board The Oxford Research Encyclopaedia of Economics and Finance (2016-)
  • External Examiner, University of Oxford, for the degrees of Engineering Economics and Management and Economics and Management (2017-2020)

Publications

Selected work in progress

(with Igor Masten and Massimiliano Marcellino): “Targeted Structural Analysis using Three-Pass Regression Filters”.

(with Victor Bystrov and Paul Mizen): “Structural Factor Analysis of Interest-Rate Pass-Through in Four Euro-Area Economies”.

(with Josep Carrion-i-Silvestre): “Panel data cointegration analysis with structural instabilities”.

(with Saul Basurto and David Maddison): “The influence of climate on crop and animal choices in Mexico: a plot-level analysis”.

(with Siddhartha Bandyopadhyay and Tom Olphin): “Solvability models for crime”.

Some recent publications

(2017/18)

“Structural Factor Error Correction Models: Cointegration in Large Scale Factor Models” (with Massimiliano Marcellino and Igor Masten), Journal of Applied Econometrics, Article DOI: 10.1002/jae.2570.

“Testing for Panel Cointegration using Common Correlated Effects Estimators”, (with J. Carrion-i-Silvestre), Journal of Time Series, Article DOI: 10.1111/jtsa.12234.

(2016)
“An Overview of the Factor-augmented Error-Correction Model” (with Massimiliano Marcellino and Igor Masten), in Advances in Econometrics Volume on Dynamic Factor Models, Volume 35, pages 3 – 41, edited by Siem Jan Koopman (Amsterdam) and Eric Hillebrand (Aarhus), Emerald, London.

(2015)
“Cointegration in panel data with breaks and cross-section dependence”, (with J. Carrion-i-Silvestre),  Journal of Applied Econometrics, 30, 1-23.

(2014)
“Forecasting with factor-augmented error correction models”, 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.

(2013)
“How Do Anticipated Changes to Short-Term Market Rates Influence Banks' Retail Interest Rates?  Evidence from the Four Major Euro Area Economies” (with V. Bystrov and P. Mizen), Journal of Money, Credit and Banking, 45, 1375-1414.

“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) , World Bank Economic Review, 26, 514-528.