Working Papers
Predictive Density Combination Using a Tree-based Synthesis Function with Tony Chernis, Niko Hauzenberger, Florian Huber and James Mitchell
Fast and Order-invariant Inference in Bayesian VARs with Non-parametric Shocks with Florian Huber
Fast, Order-invariant Bayesian Inference in VARs using the Eigendecomposition of the Error Covariance Matrix with Ping Wu
Bayesian Modeling of Time-varying Parameters Using Regression Trees with Niko Hauzenberger, Florian Huber and James MItchell
Investigating Economic Uncertainty Using Stochastic Volatility in Mean VARs: The Importance of Model Size, Order-invariance and Classification with Sharada Davidson and Chenghan Hou
Bayesian Inference in High-Dimensional Time-varying Parameter Models using Integrated Rotated Gaussian Approximations with Florian Huber and Michael Pfarrhofer
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 publications.
Empirical Macroeconomic and Time Series Econometrics Papers
Investigating Growth at Risk Using Multi-country a Non-parametric Factor Model with Todd Clark, Florian Huber, Massimiliano Marcellino and Michael Pfarrhofer (Journal of Business and Economic Statistics, forthcoming).
Forecasting Inflation Using Bayesian Nonparametric Methods with Todd Clark, Florian Huber and Massimiliano Marcellino (Annals of Applied Statistics, forthcoming).
Incorporating Short Data into Large Mixed Frequency VARs for Regional Nowcasting with Stuart McIntyre, James Mitchell, Aubrey Poon and Ping Wu (Journal of the Royal Statistical Society, Series A, forthcoming).
Macroeconomic Forecasting Using BVARs with Niko Hauzenberger and Florian Huber (draft chapter for Handbook of Macroeconomic Forecasting edited by Mike Clements and Ana Galvao). R code for BVARs
Dynamic Shrinkage Priors for Large Time-varying Parameter Regressions using Scalable Markov Chain Monte Carlo Methods with Niko Hauzenberger and Florian Huber (Studies in Nonlinear Dynamics and Econometrics, forthcoming)
Large Bayesian Order-Invariant VARs with Stochastic Volatility with Joshua Chan and Xuewen Yu (Journal of Business and Economic Statistics, forthcoming).
Estimating the Ordering of Variables in a VAR using a Plackett-Luce Prior with Ping Wu (Economics Letters, forthcoming).
Bayesian Forecasting in the 21st Century: A Modern Review with Gael Martin, David Frazier, Worapree Maneesoonthorn, Ruben Loaiza-Maya, Florian Huber, John Maheu, Didier Nibbering and Anastasios Panagiotelis (International Journal of Forecasting, forthcoming).
Macroeconomic Forecasting with Large Stochastic Volatility in Mean VARs with Jamie Cross, Chenghan Hou and Aubrey Poon (Journal of Econometrics, forthcoming).
Bayesian Dynamic Variable Select in High Dimensions with Dimitris Korobilis (International Economic Review, forthcoming).
Tail Forecasting with Multivariate Bayesian Additive Regression Trees with Todd Clark, Florian Huber, Massimiliano Marcellino and Michael Pfarrhofer (International Economic Review, forthcoming).
Measuring International Spillovers in Uncertainty and Their Impact on the Economy with Joscha Beckmann, Sharada Davidson and Rainer Schussler (forthcoming in Journal of International Money and Finance with title "Cross-country Uncertainty Spillovers: Evidence from International Survey Data")
Subspace Shrinkage in Conjugate Bayesian Vector Autoregressions with Florian Huber (forthcoming, Journal of Applied Econometrics)
Using Stochastic Hierarchical Aggregation Constraints to Nowcast Regional Economic Aggregates with Stuart McIntyre, James Mitchell and Aubrey Poon (forthcoming, International Journal of Forecasting)
Approximate Bayesian Inference and Forecasting in Huge Dimensional Multi-country VARs with Martin Feldkircher, Florian Huber and Michael Pfarrhofer (forthcoming, International Economic Review).
Reconciled Estimates of Monthly GDP in the US with Stuart McIntyre, James Mitchell and Aubrey Poon (forthcoming Journal of Business and Economic Statistics)
Variational Bayesian Inference in Large Vector Autoregressions with Hierarchical Shrinkage with Deborah Gefang and Aubrey Poon (forthcoming International Journal of Forecasting)
Fast and Flexible Bayesian Inference in Time-varying Parameter Regression Models with Niko Hauzenberger, Florian Huber and Luca Onorante (forthcoming Journal of Business and Economic Statistics)
Nowcasting 'True' Monthly GDP During the Pandemic with James Mitchell, Stuart McIntyre and Aubrey Poon (forthcoming, National Institute Economic Review)
Nowcasting in a Pandemic Using Non-parametric Mixed Frequency VARs with Florian Huber, Luca Onorante, Michael Pfarrhofer and Josef Schreiner (Journal of Econometrics, 2021)
Choosing Between Identification Schemes in Noisy-News Models with Joshua Chan and Eric Eisenstat (Studies in Nonlinear Dynamics and Econometrics, 2020)
Reconciled Estimates and Nowcasts of Regional Output in the UK with Stuart McIntyre, James Mitchell and Aubrey Poon (National Institute Economic Review, 2020)
Composite Likelihood Methods for Large Bayesian VARs with Stochastic Volatility with Joshua Chan, Eric Eisenstat and Chenghan Hou (Journal of Applied Econometrics, 2020)
Computationally Efficient Inference in Large Bayesian Mixed Frequency VARs with Deborah Gefang and Aubrey Poon (Economics Letters, 2020).
Online Appendix For: Computationally Efficient Inference in Large Bayesian Mixed Frequency VARs
Exchange Rate Predictability and Dynamic Bayesian Learning with Joscha Beckmann, Dimitris Korobilis and Rainer Schussler (Journal of Applied Econometrics, 2020).
Online Appendix for "Exchange Rate Predictability and Dynamic Bayesian Learning"
Inducing Sparsity and Shrinkage in Time Varying Parameter Models with Florian Huber and Luca Onorante (Journal of Business and Economic Statistics, 2020).
Computer code available here.
Regional Output Growth in the United Kingdom: More Timely and Higher Frequency Estimates, 1970-2017 with Stuart McIntyre, James Mitchell and Aubrey Poon (Journal of Applied Econometrics, 2020).
Identifying Noise Shocks with Luca Benati, Joshua Chan and Eric Eisenstat (Journal of Economic Dynamics and Control, 2020).
Online Appendix for "Identifying Noise Shocks" with Luca Benati, Joshua Chan and Eric Eisenstat
UK Regional Nowcasting using a Mixed Frequency Vector Autoregressive Model with Stuart McIntyre and James Mitchell (Journal of the Royal Statistical Society, Series A, 2020).
Nowcasting Scottish GDP Growth with Grant Allan, Stuart McIntyre and Paul Smith (Sankhya, 2019).
Macroeconomic Nowcasting Using Google Probabilities with Luca Onorante (Advances in Econometrics, 2019).
Forecasting with High Dimensional Panel VARs with Dimitris Korobilis (Oxford Bulletin of Economics and Statistics, 2019).
A New Model of Inflation, Trend Inflation and Long-run Inflation Expectations with Joshua Chan and Todd Clark (Journal of Money, Credit and Banking, 2018).
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, 2019).
Online Appendix for Bayesian Compressed Vector Autoregressions
Bayesian Methods for Empirical Macroeconomics with Big Data (Review of Economic Analysis, 2017)
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).
Estimating Phillips Curves in Turbulent Times Using the ECBs Survey of Professional Forecasters with Luca Onorante
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
One Size Does Not Fit All... Panel Data: Bayesian Model Averaging, Poolability, and Unobserved Country Heterogeneity with Rodolphe Desbordes and Vincent Vicard (forthcoming Economic Modelling)
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