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