Time-series econometrics
The group is interested in theoretical and methodological developments in econometrics and statistics, with particular emphasis on applications in macroeconomics and finance. The research interests of the group include estimation, inference and testing in non-linear models, fractional integration, semi-parametric and non-parametric methods, real time monitoring, explosive processes and forecasting. The group organises an annual workshop in econometrics, and aims to build research networks and partnerships both in the UK and internationally.
Research group leader
Academic staff
Events
Previous events
Workshop on Bubbles and Crashes (15 May 2024)
The School of Economics at the University of Sheffield hosted the Workshop on Bubbles and Crashes on 15 May 2024. The workshop was jointly sponsored by the Royal Economic Society and the School of Economics. The workshop brought together researchers interested in advancing our understanding of economic and financial bubbles.
Workshop on Contributions in Theoretical and Applied Time-Series Econometrics (2023)
The Sheffield Time Series Econometrics Research Group hosted their second annual workshop in May 2023 on “Contributions in theoretical and applied time series econometrics”, sponsored by the Royal Economic Society. The workshop brought together leading researchers, from the UK and internationally, with expertise in a diverse set of research topics within the field of time series econometrics. For more details visit this page.
Advances in Econometrics Workshop (2022)
The Sheffield Time Series Econometrics Research Group held its inaugural Advances in Econometrics Workshop on 24 May 2022, sponsored by the Royal Economic Society. The workshop promoted recent advances in econometrics and their applications in finance and economics. The event included six presentations on a diverse set of research topics within the field, with the keynote speech given by Professor Frank Windmeijer (University of Oxford).
Representative publications
Emily Whitehouse, Harvey DI & Leybourne SJ (2023) Real-time monitoring of bubbles and crashes. Oxford Bulletin of Economics and Statistics.
Cavaliere G, Indeewara Perera and Rahbek A (2023) Specification tests for GARCH processes with nuisance parameters on the boundary. Journal of Business & Economic Statistics.
Koul HL, Indeewara Perera and Balakrishna N (2022). A class of minimum distance estimators in Markovian multiplicative error models. Sankhya B
Indeewara Perera. and Silvapulle, M. J. (2022). Bootstrap specification tests for dynamic conditional distribution models. The Journal of Econometrics.
Chisiridis, K., Kostas Mouratidis and Panagiotidis, T. (2021). The North-South Divide, the Euro and the World. Journal of International Money and Finance
Indeewara Perera and Silvapulle, M. J. (2021). Bootstrap based probability forecasting in multiplicative error models. The Journal of Econometrics.
Kanchana Nadarajah, Martin, G. M. and Poskitt, D. S. (2021). Optimal Bias-correction in the Log periodogram Estimation of the Fractional Parameter: A Jackknife Approach. Journal of Statistical Planning and Inference.
Koul, H. L. and Indeewara Perera. (2021). A minimum distance lack-of-t test in a Markovian multiplicative error model. Journal of Statistical Theory and Practice.
Montagnoli, A., Kostas Mouratidis and Whyte, K. (2021). Assessing the cyclical behaviour of bank capital buffers in a finance-augmented macro-economy. Journal of International Money and Finance.
Harvey, D.I., Leybourne, S.J. and Emily Whitehouse (2020). Date-stamping multiple bubble regimes. Journal of Empirical Finance.
Martin, G. M., Kanchana Nadarajah and Poskitt, D. S. (2020). Issues in the Estimation of Mis-specified Models of Fractionally Integrated Processes. The Journal of Econometrics.
Emily Whitehouse (2019). Explosive asset price bubble detection with unknown bubble length and initial condition. Oxford Bulletin of Economics and Statistics.
Harris, D., Martin, G., Indeewara Perera, and Poskitt, D. (2019). Construction and Visualization of Confidence Sets for Frequentist Distributional Forecasts. The Journal of Computational and Graphical Statistics.
Harvey, D.I., Leybourne, S.J. and Emily Whitehouse (2018). Testing for a unit root against ESTAR stationarity. Studies in Nonlinear Dynamics and Econometrics.
Harvey, D.I., Leybourne, S.J. and Emily Whitehouse (2017). Forecast evaluation tests and negative long-run variance estimates in small samples. International Journal of Forecasting.
Indeewara Perera and Koul, H. L. (2017). Fitting a two phase threshold multiplicative error model. The Journal of Econometrics.
Indeewara Perera and Silvapulle, M. J. (2017). Specification tests for multiplicative error models. Econometric Theory.