Professor Anindya Banerjee

Professor Anindya Banerjee

The Department of Economics
Professor of Econometrics
Head of Department

Contact details

The Department of Economics
University House
University of Birmingham
B15 2TT

Professor Anindya Banerjee is Head of the Department of Economics at Birmingham Business School. He 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.


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

Other activities

  • Leader of Econometrics Research Group
  • Director of Doctoral Programme, Department of Economics (2013- 2020)
  • 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)


Recent publications


Olphin, T, Bandyopadhyay, S & Banerjee, A 2019, 'Solving burglary offences: building a model to predict clearance of burglary following initial investigation', Policing: A journal of Policy and Practice.

Banerjee, A, Marcellino, M & Masten, I 2017, 'Structural FECM: cointegration in large-scale structural FAVAR models', Journal of Applied Econometrics, vol. 32, no. 6, pp. 1069-1086.

Banerjee, A & Carrion-i-Sivestre, J 2017, 'Testing for panel cointegration using common correlated effects estimators', Journal of Time Series Analysis, vol. 38, no. 4, pp. 610-636.

Lampis, F, Díaz-Emparanza, I & Banerjee, A 2015, 'How to use SETAR models in gretl', Computational Economics, vol. 46, no. 2, pp. 231-41.

Banerjee, A, Marcellino, M & Masten, I 2014, 'Forecasting with factor-augmented error correction models', International Journal of Forecasting, vol. 30, no. 3, pp. 589-612.

Banerjee, A & Carrion-i-Silvestre, J 2014, 'Testing for Panel Cointegration using Common Correlated Effects Estimators', Journal of Time Series Analysis.


Banerjee, A, Russell, B & Mohan, S 2012, 'Coffee market liberalisation and the implications for producers in Brazil, Guatemala and India', The World Bank Economic Review, vol. 26, no. 3, pp. 514-538.

Chapter (peer-reviewed)

Banerjee, A, Marcellino, M & Masten, I 2016, An overview of the factor-augmented error-correction model. in SJ Koopman & E Hillebrand (eds), Dynamic Factor Models. vol. 35, Advances in Econometrics, Emerald, pp. 3-41.


Banerjee, A, Marcellino, M, Castle, JL & Shephard, N 2009, Factor Error Correction Models. in The Methodology and Practice of Econometrics: A Festschrift in Honour of David F. Hendry.

Discussion paper

Banerjee, A, Russell, B, Malkin, I & Ponomareva, N 2014 'A multiple break panel approach to estimating United States Phillips curves' Dundee Discussion Papers in Economics, no. 252, Department of Economic Studies, University of Dundee. <>

Working paper

Banerjee, A & Carrion-i-Silvestre, J 2011 'Department of Economics Discussion Paper Series 11-16: Testing for Panel Cointegration Using Common Correlated Effects Estimators'.

Reade, J, Banerjee, A & Eberhardt, M 2010 'Department of Economics Discussion Paper Series: Panel Estimation for Worriers'.

Reade, J, Banerjee, A & Eberhardt, M 2010 'Department of Economics Discussion Paper Series, No. 514: Panel Estimation for Warriers'.

Banerjee, A, Marcellino, M & Masten, I 2009 'European University Institute Working Papers - Robert Schuman Centre for Advanced Studies 2009/32: Forecasting with Factor-Augmented Error Correction Models'.

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