BEc (Hons) Sydney, PhD Yale
Associate Professor of Economics
Andrew Glyn Tutorial Fellow
Department of Economics and Corpus Christi College
University of Oxford
Email: james.duffy [at] economics.ox.ac.uk
My research is in macroeconometrics, and is especially concerned with the challenges for inference, and the opportunities for identification, created by strongly dependent time series. In particular, I have worked on: nonlinear generalisations of cointegration; nonparametric estimation and inference; and on the robustness of inferences to departures from exact unit roots (in SVARs). I am also interested in problems of identification and inference in structural macroeconomic models. My work has been published in the Annals of Statistics, the Journal of Econometrics, and Econometric Theory.
Common Trends and Long-Run Identification in Nonlinear Structural VARs
(with S. Mavroeidis)
Cointegration with Occasionally Binding Constraints
(with S. Mavroeidis and S. Wycherley)
Stationarity with Occasionally Binding Constraints
(with S. Mavroeidis and S. Wycherley)
Cointegration without Unit Roots
(with J. R. Simons)
The Local to Unity Dynamic Tobit Model
(2024) Journal of Econometrics, 241(2), 105764 (with A. Bykhovskaya) [also arXiv:2210.02599]
Estimation and Inference in the Presence of Fractional d = 1/2 and Weakly Nonstationary Processes
(2021) Annals of Statistics, 49(2): 1195-1217 (with I. Kasparis)
Asymptotic Theory for Kernel Estimators under Moderate Deviations from a Unit Root [with: Supplementary Material]
(2020) Econometric Theory, 36(4): 559-582; also arXiv:1509.05017
Generalized Indirect Inference for Discrete Choice Models [with: Supplementary Material]
(2018) Journal of Econometrics, 205(1): 177-203 (with M. Bruins, M. P. Keane, and A. A. Smith)
The impact of Integrated Measurement Errors on Modelling Long-run Macroeconomic Time Series
(2017) Econometric Reviews, 36(6-9): 568-587 (with D. F. Hendry)
Uniform Convergence Rates over Maximal Domains in Structural Nonparametric Cointegrating Regression
(2017) Econometric Theory, 33(6): 1387-1417; also arXiv:1505.01787 (older version)
A Uniform Law for Convergence to the Local Times of Linear Fractional Stable Motions [with: Supplementary Material]
(2016) Annals of Applied Probability, 26(1): 45-72; also arXiv:1501.05467 (older version)