Research

Published Papers

• 1. A unified theory for ARMA models with varying coefficients: One solution fits all (with M. Karanassos, A. Paraskevopolous and A. Canepa). Econometric Theory (2024), Accepted 

  2. Taking stock of long-horizon predictability tests: are factor returns predictable? (With A. Kostakis and M. P. Stamatogiannis). Journal of Econometrics (2023), Forthcoming 

  3. Least squares and IVX limit theory in systems of predictive regressions with GARCH innovations. Econometric Theory (2022), 38(5): 875-912.

  4. Mildly explosive autoregression under stationary conditional heteroskedasticity (with S. Arvanitis). Journal of Time Series Analysis (2018), 39(6): 802-908.

  5. Robust econometric inference for stock return predictability (with A. Kostakis and M. P. Stamatogiannis). Review of Financial Studies (2015), 28(5): 1506-1553.

  6. Non-linearity induced weak instrumentation (with I. Kasparis and P.C.B. Phillips). Econometrics Reviews (2014), 33: 676-712.

  7. Inconsistent VAR regression with common explosive roots (with P.C.B. Phillips). Econometric Theory  (2013), 29: 808-837.

  8. Mildly explosive autoregression under weak and strong dependence. Journal of Econometrics (2012), 169(2): 179-187. Supplementary Appendix

  9. Smoothing local-to-moderate unit root theory (with P.C.B. Phillips and L. Giraitis). Journal of Econometrics (2010), 158: 274-279.

  10. Unit root and cointegrating limit theory when the initialization is in the infinite past (with P.C.B. Phillips). Econometric Theory (2009), 25:1682-1715.

  11. Limit theory for cointegrated systems with moderately integrated and moderately explosive regressors (with P.C.B. Phillips). Econometric Theory (2009), 25(2): 482-526.

  12. Limit theory for explosively cointegrated systems (with P.C.B. Phillips). Econometric Theory (2008), 24(4): 865-887.

  13. Limit theory for moderate deviations from a unit root (with P.C.B. Phillips). Journal of Econometrics (2007) 136, 115-130.

  14. On the inconsistency of the unrestricted estimator of the information matrix near a unit root. Econometrics Journal (2007) 10, 245-262.

  15. Limit theory for moderate deviations from a unit root under weak dependence (with P.C.B. Phillips), in G. D. A. Phillips and E. Tzavalis, eds., The Refinement of Econometric Estimation and Test Procedures: Finite Sample and Asymptotic Analysis. Cambridge University Press (2007) 123-162.

  16. The characteristic function of a family of truncated normal distributions (with K.M. Abadir). Econometric Theory (2002) 18, 1276-1287.

Working Papers

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

   2. Econometric inference in matrix vicinities of unity and stationarity (With P.C.B. Phillips)

   3. Econometric inference in the vicinity of unity. (With P.C.B. Phillips)

   4. Bayesian asymptotics under non-stationary dependence (with S. Bose and M. Makris)

Work in Progress

1. 1. Representation and inference in VAR processes with mixed integration orders (with P.C.B. Phillips)

   2. Hypothesis testing under matrix normalisation (With P.C.B. Phillips)

   3. Persistence and conditional heteroskedasticity in stochastic regression (with S. Arvanitis)