James A. Duffy

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

Working papers

• Common Trends and Long-Run Multipliers 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)

Publications

• 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)