Research

Matlab Code (NEW):

   1. TVP VAR models: 

      □     TVP BVAR with kernel only: Matlab code

      □     Full code with ALL specifications: Matlab Code, Info

   2. TVP DSGE models: Matlab Code, Info

   3. TV Volatility DSGE models (Metropolis-within-Gibbs): Matlab code

   4. Self-exciting Threshold (SET) VAR: Matlab code

Journal Articles:

    1. Scalable inference for a full multivariate stochastic volatility model, with Dellaportas, Plataniotis and Titsias (Journal of Econometrics, 2023, Vol. 232 (2), pp. 501-520), Supplementary Appendix, Matlab Code

    2. Algorithms for Proxy SVAR models with time-varying parameters, with Mumtaz (Journal of Money, Credit and Banking, 2023, Vol. 55(2-3), pp. 635-654), Supplementary Appendix 

    3. Asymptotically valid Bayesian inference in the presence of distributional misspecification in VAR models (Journal of Econometrics, 2022, Vol. 230 (1), pp. 154-182), Supplementary Appendix

   4. Monetary Policy across Space and Time, with Matthes and Liu (Advances in Econometrics, 2022, Vol. 44 Part B, pp. 37-64), Supplementary Appendix, WP version

   5. Kernel-based Volatility Generalised Least Squares, with Kapetanios and Chronopoulos (Econometrics and Statistics, 2021, Vol. 20, pp. 2-11)

   6. Time-varying co-integation and the great ratios, with Kapetanios, Millard and Price (Economics Letters, 2020, Vol. 193, 109213)

   7. Time-varying parameter structural model of the UK economy with Kapetanios, Masolo and Waldron (Journal of Economic Dynamics and Control, 2019, Vol. 106 (103705))

   8. A quasi-Bayesian local likelihood approach to time varying parameter VAR models (Journal of Econometrics, 2019, Vol. 212(1), pp. 286-306), Supplementary Appendix, Simple Matlab code, Additional Matlab Code (implements many more specifications including random walk coefficients), Info

   9. Quasi-Bayesian estimation of time varying volatility in DSGE models (Journal of Time Series Analysis, 2019, Vol. 40, pp. 151-157), Supplementary Appendix, Matlab code

   10. A time varying DSGE model with financial frictions with Galvão, Giraitis and Kapetanios (Journal of Empirical Finance, Vol. 38, pp. 690–716)

Working Papers:

    1. Uniform and distribution-free inference with general autoregressive processes, with Magdalinos (revise and resubmit in the Review of Economic Studies)

    2. On the validity of Classical and Bayesian DSGE-based inference (submitted)

    3.  Monetary policy across inflation regimes, with Gargiulo and Matthes (submitted), Matlab code

    4. Inference with Local Projections 

    5. Maximum a posteriori Bootstrap, with Geert Mesters 

    6.  A quasi-Bayesian local likelihood method for modelling parameter time variation in DSGE models, with Galvão, Giraitis and Kapetanios (revise and resubmit in the Journal of Applied Econometrics), Supplementary Appendix, Matlab Code, Info

    7.  Uniform inference with higher order autoregressions, with Magdalinos

    8. A Generalised Lp-norm filter for time-varying parameters, with Kapetanios and Chronopoulos 

    9. Forecasting with large macroeconomic and financial datasets in the presence of structural change, with Dellaportas

Work in Progress:

    1. Uniform inference in systems with mixed stochastic components, with Magdalinos

    2. Time-varying IV estimator for autoregressions, with Giraitis and Magdalinos

    3. Refinements on VAR models with time-varying parameters, with Mumtaz

Other:

    1. Forecasting with rich data: model comparison and evidence from European countries with Kapetanios and Mazzi (chapter in the Handbook of Rapid Estimates, Eurostat, 2017)  

    2.  Analysis of the most recent Bayesian modelling techniques for big data, with Kapetanios and Marcellino (Statistical Papers, Eurostat 2018)

    3.  Structural change in the UK from the 19th century, with Kapetanios, Masolo and Thomas