Research

Working Papers

A New Approach to Identifying Noise Shocks with Luca Benati, Joshua Chan and Eric Eisenstat



Bayesian Methods for Fat Data


Nowcasting Scottish GDP Growth with Grant Allan, Stuart McIntyre and Paul Smith

And read the blog.

Macroeconomic Nowcasting Using Google Probabilities with Luca Onorante

Estimating Phillips Curves in Turbulent Times Using the ECBs Survey of Professional Forecasters with Luca Onorante


Published Papers

A complete list of my publications can be found on my CV. Published papers can be accessed through the journals where they were published. 
I attach here the working paper versions of most of my recent publications.

Empirical Macroeconomic and Time Series Econometrics Papers

This is a substantially revised and extended version of Federal Reserve Bank of Cleveland Working Paper 15-20 which is available here.

Bayesian Compressed Vector Autoregressions with Dimitris Korobilis and Davide Pettenuzzo (Journal of Econometrics, forthcoming).



Large Bayesian VARMAs with Joshua Chan and Eric Eisenstat (Journal of Econometrics, 2016)

Online Appendix for Large Bayesian VARMAs with Joshua Chan and Eric Eisenstat.

Model Uncertainty in Panel Vector Autoregressive Models with Dimitris Korobilis (European Economic Review, 2016)

A Bounded Model of Time Variation in Trend Inflation, NAIRU and the Phillips Curve with Joshua Chan and Simon Potter (Journal of Applied Econometrics, 2015).

Online appendix for A Bounded Model of Time Variation in Trend Inflation, NAIRU and the Phillips Curve with Joshua Chan and Simon Potter

A New Index of Financial Conditions with Dimitris Korobilis (European Economic Review, 2014).

Code for working paper version of A New Index of Financial Conditions

Model Switching and Model Averaging in Time-Varying Parameter Regression Models with Miguel Belmonte (Advances in Econometrics, 2014)

A New Look at Variation in Employment Growth in Canada: The Role of Industry, Provincial, National and External Factors with Mike Campolieti and Deborah Gefang (Journal of  Applied Econometrics, 2016).

Appendix for A New Look at Variation in Employment Growth in Canada: The Role of Industry, Provincial, National and External Factors with Mike Campolieti and Deborah Gefang.

A Comparison of Forecasting Models for Macroeconomics Series: The Contribution of Structural Break Models with Luc Bauwens, Dimitris Korobilis and Jeroen Rombouts (Journal of Applied Econometrics, 2015).

Technical Appendix for A Comparison of Forecasting Models for Macroeconomics Series: The Contribution of Structural Break Models with Luc Bauwens, Dimitris Korobilis and Jeroen Rombouts

Regime Switching Cointegration with Markus Jochmann (Studies in Nonlinear Dynamics and Econometrics, 2015).

Forecasting with Dimension Switching VARs (International Journal of Forecasting, 2014).

Modelling Breaks and Clusters in the Steady States of Macroeconomic Variables with Joshua Chan (Computational Statistics and Data Analysis, 2014).

Hierarchical Shrinkage in Time-Varying Parameter Models with Miguel Belmonte and Dimitris Korobilis (Journal of Forecasting, 2013).

Using VARs and TVP-VARs with Many Macroeconomic Variables (Central European Journal of Economic Modelling and Econometrics, 2012).

Large Time Varying Parameter VARs with Dimitris Korobilis (Journal of Econometrics, 2013).

Technical Appendix for Large Time Varying Parameter VARs with Dimitris Korobilis.

On Identification of Bayesian DSGE Models with M. Hashem Pesaran and Ron Smith (Journal of Business and Economic Statistics, 2013).

A New Model of Trend Inflation with Joshua Chan and Simon Potter (Journal of Business and Economic Statistics, 2013).

Technical Appendix for A New Model of Trend Inflation with Joshua Chan and Simon Potter

Time Varying Dimension Models with Joshua Chan, Roberto Leon-Gonzalez and Rodney Strachan (Journal of Business and Economic Statistics, 2012).

Online Appendix for: Time Varying Dimension Models with Joshua Chan, Roberto Leon-Gonzalez and Rodney Strachan

Forecasting with Medium and Large Bayesian VARs (Journal of Applied Econometrics, 2013, 28, 177-203).

UK Macroeconomic Forecasting With Many Predictors: Which Models Forecast Best and When Do They Do So? with Dimitris Korobilis (Economic Modeling, 2011).

Forecasting Inflation using Dynamic Model Averaging with Dimitris Korobilis (International Economic Review, 2012).

The Dynamics of UK and US Inflation Expectations with Deborah Gefang and Simon Potter (Computational Statistics and Data Analysis, 2012).

Bayesian Inference in the Time Varying Cointegration Model with Roberto Leon-Gonzalez and Rodney Strachan (Journal of Econometrics, 2011). 
Code available here

Understanding Liquidity and Credit Risks in the Financial Crisis with Deborah Gefang and Simon Potter (Journal of Empirical Finance, 2011).

Technical Appendix for "Understanding Liquidity Risks in the Financial Crisis" with Deborah Gefang and Simon Potter

Time Varying VARs with Inequality Restrictions with Simon Potter (Journal of Economic Dynamics and Control, 2011, 35, 1126-1138).

Stochastic Search Variable Selection in Vector Error Correction Models with an Application to a Model of the UK Macroeconomy with Markus Jochmann, Roberto Leon-Gonzalez and Rodney Strachan (Journal of Applied Econometrics, 2013).

A Flexible Approach to Parametric Inference in Nonlinear Time Series Models with Simon M. Potter (Journal of Econometrics, 2010).

Bayesian Multivariate Time Series Methods for Empirical Macroeconomics  with Dimitris Korobilis (Foundations and Trends® in Econometrics 2010).

Modeling the Dynamics of Inflation Compensation with Markus Jochmann and Simon Potter (working paper version, Journal of Empirical Finance, 2010)

Bayesian Forecasting using Stochastic Search Variable Selection in a VAR Subject to Breaks with Markus Jochmann and Rodney Strachan (International Journal of Forecasting, 2010).

Dynamic Probabilities of Restrictions in State Space Models: An Application to the Phillips Curve with Roberto Leon-Gonzalez and Rodney Strachan (Journal of Business and Economic Statistics, 2010)

On the Evolution of Monetary Policy with Roberto Leon-Gonzalez and Rodney Strachan (Journal of Economic Dynamics and Control, 2009).

Efficient Posterior Simulation in Cointegration Models with Priors on the Cointegration Space with Roberto Leon-Gonzalez and Rodney Strachan (Econometric Reviews, 2010)

Prior Elicitation in Multiple Change-point Models with Simon M. Potter (old working paper version, International Economic Review, 2009)

Prior Elicitation in Multiple Change-point models with Simon M. Potter (new and quite different working paper version, International Economic Review, 2009)

Bayesian Inference in a Cointegrating Panel Data Model with Roberto Leon-Gonzalez and Rodney Strachan Advances in Econometrics, volume 23, 2008

Re-examining the Consumption-Wealth Relationship: The Role of Model Uncertainty with Simon M. Potter and Rodney W. Strachan (Journal of Money, Credit and Banking, 2008).

Forecasting and Estimating Multiple Change-point models with an Unknown Number of Change-points with Simon M. Potter (Review of Economic Studies, 2007, the published version of this paper has a slightly different title).

Forecasting in Dynamic Factor Models using Bayesian Model Averaging with Simon Potter (Econometrics Journal, 2004).

Forecasting Substantial Data Revisions in the Presence of Model Uncertainty, with Tony Garratt and Shaun Vahey (Economic Journal, 2008).

Bayesian Analysis of Endogenous Delay Threshold Models, with Simon Potter (Journal of Business and Economic Statistics, 2003).

Real-time Prediction with UK Monetary Aggregates in the Presence of Model Uncertainty with Tony Garratt, Emi Mise and Shaun Vahey (Journal of Business and Economic Statistics, 2009).

The Vector Floor and Ceiling Model, with Simon Potter, in Nonlinear Time Series Analysis of the Business Cycle, edited by Costas Milas, P. Rothman and D. van Dijk in Elsevier's Contributions to Economic Analysis Series.

Bayesian Approaches to Cointegration with Rodney Strachan, Herman van Dijk and Mattias Villani, chapter 25 in The Palgrave Handbook of Theoretical Econometrics, 2006, edited by K. Patterson and T. Mills, working paper version.

Energy and Environmental Papers

Modeling the Relationship Between European Carbon Permits and Certified Emission Reductions with Lise Tole (Journal of Empirical Finance, 2013).

Appendix for Modeling the Relationship Between European Carbon Permits and Certified Emission Reductions with Lise Tole

Forecasting the European Carbon Market with Lise Tole (Journal of the Royal Statistical Society, 2013).

Online Appendix for: Forecasting the European Carbon Market with Lise Tole

Do Environmental Regulations Affect the Location Decisions of Multinational Gold Mining Firms? with Lise Tole (Journal of Economic Geography, 2011).

Does Air Pollution Cause Respiratory Illness? A New Look at Canadian Cities with Ross McKitrick and Lise Tole (Environmental Modelling and Software, 2010).

What is the Environmental Performance of Firms Overseas? An Empirical Investigation of the Global Gold Mining Industry with Lise Tole (Journal of Productivity Analysis, 2008).

An Investigation of Thresholds in Air Pollution-Mortality Effects with Lise Tole (Environmental Modelling & Software, 2006).

Measuring the Health Effects of Air Pollution: To What Extent Can We Really Say that People are Dying from Bad Air?  with Lise Tole (Journal of Environmental Economics and Management, 2003).

Multiple Output Production with Undesirable Outputs: An Application to Nitrogen Surplus in Agriculture, with Carmen Fernandez and Mark Steel (Journal of the American Statistical Association, 2002).

Alternative Efficiency Measures for Multiple Output Production, with Carmen Fernandez and Mark Steel (Journal of Econometrics, 2005).

Estimating the Impact on Efficiency of the Adoption of a Voluntary Environmental Standard: An Empirical Study of the Global Copper Mining Industry with Lise Tole (Journal of Productivity Analysis, 2013).


Other Papers

The Known Unknowns of Governance with Rodolphe Desbordes. A revised version of this paper with title “Should We Care About the Uncertainty Around Measures of Political Economic Development?” is forthcoming in Journal of Comparative Economics.

Domestic Violence and Football in Glasgow: Are Reference Points Relevant? with Alex Dickson and Colin Jennings (Oxford Bulletin of Economics and Statistics, 2016).

Time Variation in the Dynamics of Worker Flows: Evidence from North America and Europe with Mike Campolieti and Deborah Gefang (Journal of Economic Dynamics and Control, 2014).

Appendix for Time Variation in the Dynamics of Worker Flows: Evidence from North America and Europe with Mike Campolieti and Deborah Gefang

Comparing the Performance of Baseball Players: A Multiple Output Approach (Journal of the American Statistical Association, 2002)

Bayesian Semiparametric Inference in Multiple Equation Models with Dale Poirier and Justin Tobias (Journal of Applied Econometrics, 2005).

Semiparametric Bayesian Inference in Smooth Coefficient Models with Justin Tobias (Journal of Econometrics, 2006).

Bayesian Model Averaging in the Instrumental Variable Regression Model with Roberto Leon-Gonzalez and Rodney Strachan (Journal of Econometrics, 2012). 
Code available here

Parametric and Nonparametric Inference in Equilibrium Job Search Models  (Advances in Econometrics, 2008).

Modelling the Evolution of Distributions: An Application to Major League Baseball (Journal of the Royal Statistical Society, Series A, 2004). 

Bayesian Variants of Some Classical Semiparametric Regression Techniques with Dale Poirier (Journal of Econometrics, 2003)

Learning About Heterogeneity in Returns to Schooling, Journal of Applied Econometrics, 2003, with Justin Tobias, working paper version