George Kapetanios

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Identifer

Contact

Affiliations

• King's College London / Business School (weight: 80%)
  • EDIRC entry
  • location:
• Bank of England (weight: 20%)
  • EDIRC entry
  • location:

Research profile

author of:

• Estimation and Forecasting in Vector Autoregressive Moving Average Models for Rich Datasets (RePEc:aah:create:2014-37)
  by Gustavo Fruet Dias & George Kapetanios
• On Robust Inference in Time Series Regression (RePEc:arx:papers:2203.04080)
  by Richard T. Baillie & Francis X. Diebold & George Kapetanios & Kun Ho Kim
• High Dimensional Generalised Penalised Least Squares (RePEc:arx:papers:2207.07055)
  by Ilias Chronopoulos & Katerina Chrysikou & George Kapetanios
• A New Test for Market Efficiency and Uncovered Interest Parity (RePEc:arx:papers:2211.01344)
  by Richard T. Baillie & Francis X. Diebold & George Kapetanios & Kun Ho Kim
• Deep Neural Network Estimation in Panel Data Models (RePEc:arx:papers:2305.19921)
  by Ilias Chronopoulos & Katerina Chrysikou & George Kapetanios & James Mitchell & Aristeidis Raftapostolos
• Big Data Econometrics: Now Casting and Early Estimates (RePEc:baf:cbafwp:cbafwp1882)
  by Dario Buono & George Kapetanios & Massimiliano Marcellino & Gianluigi Mazzi & Fotis Papailias
• Testing for Correlated Factor Loadings in Cross Sectionally Dependent Panels (RePEc:bai:series:series_wp_02-2019)
  by George Kapetanios & Laura Serlenga & Yongcheol Shin
• Estimation and Inference for Multi-dimensional Heterogeneous Panel Datasets with Hierarchical Multi-factor Error Structure (RePEc:bai:series:series_wp_03-2019)
  by George Kapetanios & Laura Serlenga & Yongcheol Shin
• Large time-varying parameter VARs: a non-parametric approach (RePEc:bdi:wptemi:td_1122_17)
  by George Kapetanios & Massimiliano Marcellino & Fabrizio Venditti
• Testing for Neglected Nonlinearity in Long-Memory Models (RePEc:bes:jnlbes:v:25:y:2007:p:447-461)
  by Baillie, Richard T. & Kapetanios, George
• Forecasting Using Bayesian and Information-Theoretic Model Averaging: An Application to U.K. Inflation (RePEc:bes:jnlbes:v:26:y:2008:p:33-41)
  by Kapetanios, George & Labhard, Vincent & Price, Simon
• A Testing Procedure for Determining the Number of Factors in Approximate Factor Models With Large Datasets (RePEc:bes:jnlbes:v:28:i:3:y:2010:p:397-409)
  by Kapetanios, George
• Elusive Persistence: Wage And Price Rigidities, The New Keynesian Phillips Curve And Inflation Dynamics (RePEc:bla:jecsur:v:25:y:2011:i:4:p:737-768)
  by Christopher Tsoukis & George Kapetanios & Joseph Pearlman
• A similarity‐based approach for macroeconomic forecasting (RePEc:bla:jorssa:v:183:y:2020:i:3:p:801-827)
  by Y. Dendramis & G. Kapetanios & M. Marcellino
• Model Selection in Threshold Models (RePEc:bla:jtsera:v:22:y:2001:i:6:p:733-754)
  by George Kapetanios
• Pure Significance Tests of the Unit Root Hypothesis Against Nonlinear Alternatives (RePEc:bla:jtsera:v:24:y:2003:i:3:p:253-267)
  by Andrew P. Blake & George Kapetanios
• Unit‐root testing against the alternative hypothesis of up to m structural breaks (RePEc:bla:jtsera:v:26:y:2005:i:1:p:123-133)
  by George Kapetanios
• Estimating the Rank of the Spectral Density Matrix (RePEc:bla:jtsera:v:26:y:2005:i:1:p:37-48)
  by Gonzalo Camba‐Mendez & George Kapetanios
• Testing for Neglected Nonlinearity in Cointegrating Relationships (RePEc:bla:jtsera:v:28:y:2007:i:6:p:807-826)
  by Andrew P. Blake & George Kapetanios
• A parametric estimation method for dynamic factor models of large dimensions (RePEc:bla:jtsera:v:30:y:2009:i:2:p:208-238)
  by George Kapetanios & Massimiliano Marcellino
• Inference on Multivariate Heteroscedastic Time Varying Random Coefficient Models (RePEc:bla:jtsera:v:39:y:2018:i:2:p:129-149)
  by Liudas Giraitis & George Kapetanios & Tony Yates
• A Generalised Fractional Differencing Bootstrap for Long Memory Processes (RePEc:bla:jtsera:v:40:y:2019:i:4:p:467-492)
  by George Kapetanios & Fotis Papailias & A. M. Robert Taylor
• Corrigendum to “A Generalised Fractional Differencing Bootstrap for Long Memory Processes” Journal of Time Series Analysis 40: 467‐492 (2019) DOI: 10.1111/jtsa.12460 (RePEc:bla:jtsera:v:42:y:2021:i:4:p:492-492)
  by George Kapetanios & Fotis Papailias & A. M. Robert Taylor
• Robust Forecast Methods and Monitoring during Structural Change (RePEc:bla:manchs:v:81:y:2013:i::p:3-27)
  by Jana Eklund & George Kapetanios & Simon Price
• The Yen Real Exchange Rate may be Stationary after all: Evidence from Non‐linear Unit‐root Tests (RePEc:bla:obuest:v:66:y:2004:i:1:p:113-131)
  by Georgios Chortareas & George Kapetanios
• Measuring Conditional Persistence in Nonlinear Time Series (RePEc:bla:obuest:v:69:y:2007:i:3:p:363-386)
  by George Kapetanios
• Nonlinear Alternatives to Unit Root Tests and Public Finances Sustainability: Some Evidence from Latin American and Caribbean Countries (RePEc:bla:obuest:v:70:y:2008:i:5:p:645-663)
  by Georgios Chortareas & George Kapetanios & Merih Uctum
• Model Selection Criteria for Factor-Augmented Regressions-super- (RePEc:bla:obuest:v:75:y:2013:i:1:p:37-63)
  by Jan J. J. Groen & George Kapetanios
• How did consumers react to the COVID‐19 pandemic over time? (RePEc:bla:obuest:v:84:y:2022:i:5:p:961-993)
  by George Kapetanios & Nora Neuteboom & Feiko Ritsema & Alexia Ventouri
• Multivariate methods for monitoring structural change (RePEc:boe:boeewp:0369)
  by Groen, Jan J J & Kapetanios, George & Price, Simon
• Forecasting in the presence of recent structural change (RePEc:boe:boeewp:0406)
  by Eklund, Jana & Kapetanios, George & Price, Simon
• Evolving UK and US macroeconomic dynamics through the lens of a model of deterministic structural change (RePEc:boe:boeewp:0434)
  by Kapetanios, George & Yates, Tony
• Assessing the economy-wide effects of quantitative easing (RePEc:boe:boeewp:0443)
  by Kapetanios, George & Mumtaz, Haroon & Stevens, Ibrahim & Theodoridis, Konstantinos
• Adaptive forecasting in the presence of recent and ongoing structural change (RePEc:boe:boeewp:0490)
  by Giraitis, Liudas & Kapetanios, George & Price, Simon
• Generalised density forecast combinations (RePEc:boe:boeewp:0492)
  by Fawcett, Nicholas & Kapetanios, George & Mitchell, James & Price, Simon
• Estimating time-varying DSGE models using minimum distance methods (RePEc:boe:boeewp:0507)
  by Giraitis, Liudas & Kapetanios, George & Theodoridis, Konstantinos & Yates, Tony
• Unconventional monetary policies and the macroeconomy: the impact of the United Kingdom's QE2 and Funding for Lending Scheme (RePEc:boe:boeewp:0542)
  by Churm, Rohan & Joyce, Mike & Kapetanios, George & Theodoridis, Konstantinos
• A time varying parameter structural model of the UK economy (RePEc:boe:boeewp:0677)
  by Petrova, Katerina & Kapetanios, George & Masolo, Riccardo & Waldron, Matthew
• Common correlated effect cross-sectional dependence corrections for non-linear conditional mean panel models (RePEc:boe:boeewp:0683)
  by Hacioglu Hoke, Sinem & Kapetanios, George
• A UK financial conditions index using targeted data reduction: forecasting and structural identification (RePEc:boe:boeewp:0699)
  by Kapetanios, George & Price, Simon & Young, Garry
• A new approach for detecting shifts in forecast accuracy (RePEc:boe:boeewp:0721)
  by Chiu, Ching-Wai (Jeremy) & hayes, simon & kapetanios, george & Theodoridis, Konstantinos
• Time-varying cointegration and the UK great ratios (RePEc:boe:boeewp:0789)
  by Kapetanios, George & Millard, Stephen & Petrova, Katerina & Price, Simon
• Making text count: economic forecasting using newspaper text (RePEc:boe:boeewp:0865)
  by Kalamara, Eleni & Turrell, Arthur & Redl, Chris & Kapetanios, George & Kapadia, Sujit
• Forecasting UK inflation bottom up (RePEc:boe:boeewp:0915)
  by Joseph, Andreas & Kalamara, Eleni & Kapetanios, George & Potjagailo, Galina & Chakraborty, Chiranjit
• Forecasting UK GDP growth with large survey panels (RePEc:boe:boeewp:0923)
  by Anesti, Nikoleta & Kalamara, Eleni & Kapetanios, George
• Rational expectations and fixed-event forecasts: an application to UK inflation (RePEc:boe:boeewp:176)
  by Hasan Bakhshi & George Kapetanios & Anthony Yates
• Import prices and exchange rate pass-through: theory and evidence from the United Kingdom (RePEc:boe:boeewp:182)
  by Valerie Herzberg & George Kapetanios & Simon Price
• Forecasting with measurement errors in dynamic models (RePEc:boe:boeewp:237)
  by Richard Harrison & George Kapetanios & Tony Yates
• Estimating time-variation in measurement error from data revisions; an application to forecasting in dynamic models (RePEc:boe:boeewp:238)
  by George Kapetanios & Tony Yates
• Forecasting using Bayesian and information theoretic model averaging: an application to UK inflation (RePEc:boe:boeewp:268)
  by George Kapetanios & Vincent Labhard & Simon Price
• The yen real exchange rate may be stationary after all: evidence from non-linear unit root tests (RePEc:boe:boeewp:311)
  by Georgios Chortareas & George Kapetanios
• Forecast combination and the Bank of England’s suite of statistical forecasting models (RePEc:boe:boeewp:323)
  by George Kapetanios & Vincent Labhard & Simon Price
• A state space approach to extracting the signal from uncertain data (RePEc:boe:boeewp:336)
  by Alastair Cunningham & Jana Eklund & Christopher Jeffery & George Kapetanios & Vincent Labhard
• On the estimation of short memory components in long memory time series models (RePEc:bpj:sndecm:v:20:y:2016:i:4:p:365-375:n:8)
  by Baillie Richard T. & Kapetanios George
• Bootstrap Neural Network Cointegration Tests Against Nonlinear Alternative Hypotheses (RePEc:bpj:sndecm:v:7:y:2003:i:2:n:2)
  by Kapetanios George
• Erratum (RePEc:bpj:sndecm:v:7:y:2003:i:2:n:5)
  by Kapetanios George
• An Investigation of Current Account Solvency in Latin America Using Non Linear Nonstationarity Tests (RePEc:bpj:sndecm:v:8:y:2004:i:1:n:4)
  by Chortareas Georgios E & Kapetanios George & Uctum Merih
• Non-nested Models and the likelihood Ratio Statistic: A Comparison of Simulation and Bootstrap-based Tests (RePEc:cam:camdae:0308)
  by Kapetanios, G. & Weeks, M.
• Alternative Approaches to Estimation and Inference in Large Multifactor Panels: Small Sample Results with an Application to Modelling of Asset Returns (RePEc:cam:camdae:0520)
  by Kapetanios, G. & Pesaran, M.H.
• Panels with Nonstationary Multifactor Error Structures (RePEc:cam:camdae:0651)
  by Kapetanios, G. & Pesaran, M.H. & Yamagata, T.
• Exponent of Cross-sectional Dependence: Estimation and Inference (RePEc:cam:camdae:1206)
  by Bailey, N. & Kapetanios, G. & Pesaran, M. H.
• Big Data Analytics: A New Perspective (RePEc:cam:camdae:1611)
  by A. Chudik & G. Kapetanios & M. Hashem Pesaran
• A One-Covariate at a Time, Multiple Testing Approach to Variable Selection in High-Dimensional Linear Regression Models (RePEc:cam:camdae:1677)
  by Chudik, A. & Kapetanios, G. & Pesaran, Hashem
• Threshold Models for Trended Time Series (RePEc:cam:camdae:9905)
  by Kapetanios, G.
• Model Selection in Threshold Models (RePEc:cam:camdae:9906)
  by Kapetanios, G.
• A New Approach for Detecting Shifts in Forecast Accuracy (RePEc:cdf:wpaper:2018/24)
  by Chiu,Ching-Wai & Hayes, Simon & Kapetanios, George & Theodoridis, Konstantinos
• Alternative Approaches to Estimation and Inference in Large Multifactor Panels: Small Sample Results with an Application to Modelling of Asset Returns (RePEc:ces:ceswps:_1416)
  by George Kapetanios & M. Hashem Pesaran
• Panels with Nonstationary Multifactor Error Structures (RePEc:ces:ceswps:_1788)
  by George Kapetanios & M. Hashem Pesaran & Takashi Yamagata
• Exponent of Cross-sectional Dependence: Estimation and Inference (RePEc:ces:ceswps:_3722)
  by Natalia Bailey & George Kapetanios & M. Hashem Pesaran
• Big Data Analytics: A New Perspective (RePEc:ces:ceswps:_5824)
  by Alexander Chudik & George Kapetanios & M. Hashem Pesaran
• Exponent of Cross-sectional Dependence for Residuals (RePEc:ces:ceswps:_7223)
  by Natalia Bailey & George Kapetanios & M. Hashem Pesaran
• A Residual-based Threshold Method for Detection of Units that are Too Big to Fail in Large Factor Models (RePEc:ces:ceswps:_7401)
  by George Kapetanios & M. Hashem Pesaran & Simon Reese
• Measurement of Factor Strenght: Theory and Practice (RePEc:ces:ceswps:_8146)
  by Natalia Bailey & George Kapetanios & M. Hashem Pesaran
• Factor based identification-robust inference in IV regressions (RePEc:cpr:ceprdp:10390)
  by Marcellino, Massimiliano & Kapetanios, George & Khalaf, Lynda
• Structural Analysis with Multivariate Autoregressive Index Models (RePEc:cpr:ceprdp:10801)
  by Marcellino, Massimiliano & Kapetanios, George & Carriero, Andrea
• Large Time-Varying Parameter VARs: A Non-Parametric Approach (RePEc:cpr:ceprdp:11560)
  by Marcellino, Massimiliano & Kapetanios, George & Venditti, Fabrizio
• A Similarity-based Approach for Macroeconomic Forecasting (RePEc:cpr:ceprdp:14469)
  by Marcellino, Massimiliano & Kapetanios, George & Dendramis, Yiannis
• Time-Varying Instrumental Variable Estimation (RePEc:cpr:ceprdp:15210)
  by Marcellino, Massimiliano & Kapetanios, George & Giraitis, Liudas
• A Parametric Estimation Method for Dynamic Factor Models of Large Dimensions (RePEc:cpr:ceprdp:5620)
  by Marcellino, Massimiliano & Kapetanios, George
• Impulse Response Functions from Structural Dynamic Factor Models: A Monte Carlo Evaluation (RePEc:cpr:ceprdp:5621)
  by Marcellino, Massimiliano & Kapetanios, George
• Forecasting Exchange Rates with a Large Bayesian VAR (RePEc:cpr:ceprdp:7008)
  by Marcellino, Massimiliano & Kapetanios, George & Carriero, Andrea
• Forecasting Large Datasets with Bayesian Reduced Rank Multivariate Models (RePEc:cpr:ceprdp:7446)
  by Marcellino, Massimiliano & Kapetanios, George & Carriero, Andrea
• Factor-GMM Estimation with Large Sets of Possibly Weak Instruments (RePEc:cpr:ceprdp:7726)
  by Marcellino, Massimiliano & Kapetanios, George
• Forecasting Government Bond Yields with Large Bayesian VARs (RePEc:cpr:ceprdp:7796)
  by Marcellino, Massimiliano & Kapetanios, George & Carriero, Andrea
• The Asymptotic Distribution Of The Cointegration Rank Estimator Under The Akaike Information Criterion (RePEc:cup:etheor:v:20:y:2004:i:04:p:735-742_20)
  by Kapetanios, George
• Testing For Cointegration In Nonlinear Smooth Transition Error Correction Models (RePEc:cup:etheor:v:22:y:2006:i:02:p:279-303_06)
  by Kapetanios, George & Shin, Yongcheol & Snell, Andy
• Testing For Exogeneity In Threshold Models (RePEc:cup:etheor:v:26:y:2010:i:01:p:231-259_09)
  by Kapetanios, George
• Tests Of The Martingale Difference Hypothesis Using Boosting And Rbf Neural Network Approximations (RePEc:cup:etheor:v:26:y:2010:i:05:p:1363-1397_99)
  by Kapetanios, George & Blake, Andrew P.
• Estimation Of Time-Varying Covariance Matrices For Large Datasets (RePEc:cup:etheor:v:37:y:2021:i:6:p:1100-1134_2)
  by Dendramis, Yiannis & Giraitis, Liudas & Kapetanios, George
• A review of forecasting techniques for large datasets (RePEc:cup:nierev:v:203:y:2008:i::p:109-115_12)
  by Eklund, Jana & Kapetanios, George
• Financial Econometrics and Realized Volatility/Vast Data (RePEc:ebl:ecbull:eb-09-00204)
  by Menelaos Karanasos & George Kapetanios
• Testing the rank of the Hankel matrix: a statistical approach (RePEc:ecb:ecbwps:200145)
  by Camba-Méndez, Gonzalo & Kapetanios, George
• Spectral based methods to identify common trends and common cycles (RePEc:ecb:ecbwps:200162)
  by Camba-Méndez, Gonzalo & Kapetanios, George
• Estimating the rank of the spectral density matrix (RePEc:ecb:ecbwps:2004349)
  by Camba-Méndez, Gonzalo & Kapetanios, George
• Forecasting euro area inflation using dynamic factor measures of underlying inflation (RePEc:ecb:ecbwps:2004402)
  by Camba-Méndez, Gonzalo & Kapetanios, George
• Statistical tests and estimators of the rank of a matrix and their applications in econometric modelling (RePEc:ecb:ecbwps:2008850)
  by Camba-Méndez, Gonzalo & Kapetanios, George
• Are more data always better for factor analysis? Results for the euro area, the six largest euro area countries and the UK (RePEc:ecb:ecbwps:20091051)
  by Caggiano, Giovanni & Kapetanios, George & Labhard, Vincent
• An automatic leading indicator, variable reduction and variable selection methods using small and large datasets: Forecasting the industrial production growth for euro area economies (RePEc:ecb:ecbwps:20151773)
  by Camba-Méndez, Gonzalo & Kapetanios, George & Papailias, Fotis & Weale, Martin R.
• Estimation and Inference in a Non-Linear State Space Model: Durable Consumption (RePEc:ecj:ac2002:110)
  by Kapetanios, George & Simon Price
• Forecasting with measurement errors in dynamic models (RePEc:ecj:ac2003:225)
  by Yates, Tony & Richard Harrison & George Kapetanios
• Assessing the Economy‐wide Effects of Quantitative Easing (RePEc:ecj:econjl:v:122:y:2012:i:564:p:f316-f347)
  by George Kapetanios & Haroon Mumtaz & Ibrahim Stevens & Konstantinos Theodoridis
• A bootstrap procedure for panel data sets with many cross-sectional units (RePEc:ect:emjrnl:v:11:y:2008:i:2:p:377-395)
  by G. Kapetanios
• An automatic leading indicator of economic activity: forecasting GDP growth for European countries (RePEc:ect:emjrnl:v:4:y:2001:i:1:p:37)
  by Gonzalo Camba-Mendez & George Kapetanios & Richard J. Smith & Martin R. Weale
• A radial basis function artificial neural network test for neglected nonlinearity (RePEc:ect:emjrnl:v:6:y:2003:i:2:p:357-373)
  by Andrew P. Blake & George Kapetanios
• Unit root tests in three-regime SETAR models (RePEc:ect:emjrnl:v:9:y:2006:i:2:p:252-278)
  by George Kapetanios & Yongcheol Shin
• Unit Root Tests in Three-Regime SETAR Models (RePEc:edn:esedps:104)
  by George Kapetanios & Yongcheol Shin
• GLS Detrending-Based Unit Root Tests in Nonlinear STAR and SETAR Frameworks (RePEc:edn:esedps:108)
  by George Kapetanios & Yongcheol Shin
• Testing for a Linear Unit Root against Nonlinear Threshold Stationarity (RePEc:edn:esedps:60)
  by George Kapetanios & Yongcheol Shin
• Testing for a Unit Root against Nonlinear STAR Models (RePEc:edn:esedps:69)
  by George Kapetanios & Yongcheol Shin & Andy Snell
• Revisiting useful approaches to data-rich macroeconomic forecasting (RePEc:eee:csdana:v:100:y:2016:i:c:p:221-239)
  by Groen, Jan J.J. & Kapetanios, George
• Forecasting inflation and GDP growth using heuristic optimisation of information criteria and variable reduction methods (RePEc:eee:csdana:v:100:y:2016:i:c:p:369-382)
  by Kapetanios, George & Marcellino, Massimiliano & Papailias, Fotis
• Choosing the optimal set of instruments from large instrument sets (RePEc:eee:csdana:v:51:y:2006:i:2:p:612-620)
  by Kapetanios, George
• Variable selection in regression models using nonstandard optimisation of information criteria (RePEc:eee:csdana:v:52:y:2007:i:1:p:4-15)
  by Kapetanios, George
• Bootstrap-based tests for deterministic time-varying coefficients in regression models (RePEc:eee:csdana:v:53:y:2008:i:2:p:534-545)
  by Kapetanios, George
• The Fifth Special Issue on Computational Econometrics (RePEc:eee:csdana:v:54:y:2010:i:11:p:2359-2359)
  by Belsley, David A. & Duchesne, Pierre & Kapetanios, George & John Kontoghiorghes, Erricos & Paolella, Marc & van Dijk, Herman K.
• Factor-GMM estimation with large sets of possibly weak instruments (RePEc:eee:csdana:v:54:y:2010:i:11:p:2655-2675)
  by Kapetanios, George & Marcellino, Massimiliano
• Modified information criteria and selection of long memory time series models (RePEc:eee:csdana:v:76:y:2014:i:c:p:116-131)
  by Baillie, Richard T. & Kapetanios, George & Papailias, Fotis
• A time-varying parameter structural model of the UK economy (RePEc:eee:dyncon:v:106:y:2019:i:c:5)
  by Kapetanios, George & Masolo, Riccardo M. & Petrova, Katerina & Waldron, Matthew
• Cluster analysis of panel data sets using non-standard optimisation of information criteria (RePEc:eee:dyncon:v:30:y:2006:i:8:p:1389-1408)
  by Kapetanios, George
• Modeling structural breaks in economic relationships using large shocks (RePEc:eee:dyncon:v:34:y:2010:i:3:p:417-436)
  by Kapetanios, G. & Tzavalis, E.
• Shifts in volatility driven by large stock market shocks (RePEc:eee:dyncon:v:55:y:2015:i:c:p:130-147)
  by Dendramis, Yiannis & Kapetanios, George & Tzavalis, Elias
• Forecast combination and the Bank of England's suite of statistical forecasting models (RePEc:eee:ecmode:v:25:y:2008:i:4:p:772-792)
  by Kapetanios, George & Labhard, Vincent & Price, Simon
• A stochastic variance factor model for large datasets and an application to S&P data (RePEc:eee:ecolet:v:100:y:2008:i:1:p:130-134)
  by Cipollini, A. & Kapetanios, G.
• GLS detrending-based unit root tests in nonlinear STAR and SETAR models (RePEc:eee:ecolet:v:100:y:2008:i:3:p:377-380)
  by Kapetanios, George & Shin, Yongcheol
• Cross-sectional averaging and instrumental variable estimation with many weak instruments (RePEc:eee:ecolet:v:108:y:2010:i:1:p:36-39)
  by Kapetanios, George & Marcellino, Massimiliano
• A factor approach to realized volatility forecasting in the presence of finite jumps and cross-sectional correlation in pricing errors (RePEc:eee:ecolet:v:120:y:2013:i:2:p:224-228)
  by Atak, Alev & Kapetanios, George
• A new approach to multi-step forecasting using dynamic stochastic general equilibrium models (RePEc:eee:ecolet:v:136:y:2015:i:c:p:237-242)
  by Kapetanios, George & Price, Simon & Theodoridis, Konstantinos
• A new summary measure of inflation expectations (RePEc:eee:ecolet:v:149:y:2016:i:c:p:83-85)
  by Kapetanios, George & Maule, Becky & Young, Garry
• Time-varying Lasso (RePEc:eee:ecolet:v:169:y:2018:i:c:p:1-6)
  by Kapetanios, George & Zikes, Filip
• Time-varying cointegration with an application to the UK Great Ratios (RePEc:eee:ecolet:v:193:y:2020:i:c:s0165176520301543)
  by Kapetanios, George & Millard, Stephen & Petrova, Katerina & Price, Simon
• A radial basis function artificial neural network test for ARCH (RePEc:eee:ecolet:v:69:y:2000:i:1:p:15-23)
  by Blake, Andrew P. & Kapetanios, George
• Small sample properties of the conditional least squares estimator in SETAR models (RePEc:eee:ecolet:v:69:y:2000:i:3:p:267-276)
  by Kapetanios, George
• Incorporating lag order selection uncertainty in parameter inference for AR models (RePEc:eee:ecolet:v:72:y:2001:i:2:p:137-144)
  by Kapetanios, George
• Nonlinear mean reversion in real exchange rates (RePEc:eee:ecolet:v:77:y:2002:i:3:p:411-417)
  by Chortareas, Georgios E. & Kapetanios, George & Shin, Yongcheol
• A note on an iterative least-squares estimation method for ARMA and VARMA models (RePEc:eee:ecolet:v:79:y:2003:i:3:p:305-312)
  by Kapetanios, George
• A note on modelling core inflation for the UK using a new dynamic factor estimation method and a large disaggregated price index dataset (RePEc:eee:ecolet:v:85:y:2004:i:1:p:63-69)
  by Kapetanios, George
• Nonlinear autoregressive models and long memory (RePEc:eee:ecolet:v:91:y:2006:i:3:p:360-368)
  by Kapetanios, George
• Forecasting using predictive likelihood model averaging (RePEc:eee:ecolet:v:91:y:2006:i:3:p:373-379)
  by Kapetanios, George & Labhard, Vincent & Price, Simon
• Estimating deterministically time-varying variances in regression models (RePEc:eee:ecolet:v:97:y:2007:i:2:p:97-104)
  by Kapetanios, George
• Testing for a unit root in the nonlinear STAR framework (RePEc:eee:econom:v:112:y:2003:i:2:p:359-379)
  by Kapetanios, George & Shin, Yongcheol & Snell, Andy
• Making a match: Combining theory and evidence in policy-oriented macroeconomic modeling (RePEc:eee:econom:v:136:y:2007:i:2:p:565-594)
  by Kapetanios, G. & Pagan, A. & Scott, A.
• Testing for ARCH in the presence of nonlinearity of unknown form in the conditional mean (RePEc:eee:econom:v:137:y:2007:i:2:p:472-488)
  by Blake, Andrew P. & Kapetanios, George
• Nonlinear models for strongly dependent processes with financial applications (RePEc:eee:econom:v:147:y:2008:i:1:p:60-71)
  by Baillie, Richard T. & Kapetanios, George
• Panels with non-stationary multifactor error structures (RePEc:eee:econom:v:160:y:2011:i:2:p:326-348)
  by Kapetanios, G. & Pesaran, M. Hashem & Yamagata, T.
• Adaptive forecasting in the presence of recent and ongoing structural change (RePEc:eee:econom:v:177:y:2013:i:2:p:153-170)
  by Giraitis, Liudas & Kapetanios, George & Price, Simon
• Inference on stochastic time-varying coefficient models (RePEc:eee:econom:v:179:y:2014:i:1:p:46-65)
  by Giraitis, L. & Kapetanios, G. & Yates, T.
• A nonlinear panel data model of cross-sectional dependence (RePEc:eee:econom:v:179:y:2014:i:2:p:134-157)
  by Kapetanios, George & Mitchell, James & Shin, Yongcheol
• Generalised density forecast combinations (RePEc:eee:econom:v:188:y:2015:i:1:p:150-165)
  by Kapetanios, G. & Mitchell, J. & Price, S. & Fawcett, N.
• Structural analysis with Multivariate Autoregressive Index models (RePEc:eee:econom:v:192:y:2016:i:2:p:332-348)
  by Carriero, Andrea & Kapetanios, George & Marcellino, Massimiliano
• Estimation and forecasting in vector autoregressive moving average models for rich datasets (RePEc:eee:econom:v:202:y:2018:i:1:p:75-91)
  by Dias, Gustavo Fruet & Kapetanios, George
• Estimation and inference for multi-dimensional heterogeneous panel datasets with hierarchical multi-factor error structure (RePEc:eee:econom:v:220:y:2021:i:2:p:504-531)
  by Kapetanios, George & Serlenga, Laura & Shin, Yongcheol
• Detection of units with pervasive effects in large panel data models (RePEc:eee:econom:v:221:y:2021:i:2:p:510-541)
  by Kapetanios, G. & Pesaran, M.H. & Reese, S.
• Time-varying instrumental variable estimation (RePEc:eee:econom:v:224:y:2021:i:2:p:394-415)
  by Giraitis, Liudas & Kapetanios, George & Marcellino, Massimiliano
• State-level wage Phillips curves (RePEc:eee:ecosta:v:18:y:2021:i:c:p:1-11)
  by Kapetanios, George & Price, Simon & Tasiou, Menelaos & Ventouri, Alexia
• Kernel-based Volatility Generalised Least Squares (RePEc:eee:ecosta:v:20:y:2021:i:c:p:2-11)
  by Chronopoulos, Ilias & Kapetanios, George & Petrova, Katerina
• A UK financial conditions index using targeted data reduction: Forecasting and structural identification (RePEc:eee:ecosta:v:7:y:2018:i:c:p:1-17)
  by Kapetanios, George & Price, Simon & Young, Garry
• Forecasting financial crises and contagion in Asia using dynamic factor analysis (RePEc:eee:empfin:v:16:y:2009:i:2:p:188-200)
  by Cipollini, A. & Kapetanios, G.
• Bandwidth selection by cross-validation for forecasting long memory financial time series (RePEc:eee:empfin:v:29:y:2014:i:c:p:129-143)
  by Baillie, Richard T. & Kapetanios, George & Papailias, Fotis
• Level shifts in stock returns driven by large shocks (RePEc:eee:empfin:v:29:y:2014:i:c:p:41-51)
  by Dendramis, Yiannis & Kapetanios, George & Tzavalis, Elias
• Comparing logit-based early warning systems: Does the duration of systemic banking crises matter? (RePEc:eee:empfin:v:37:y:2016:i:c:p:104-116)
  by Caggiano, Giovanni & Calice, Pietro & Leonida, Leone & Kapetanios, George
• Credit market freedom and cost efficiency in US state banking (RePEc:eee:empfin:v:37:y:2016:i:c:p:173-185)
  by Chortareas, Georgios & Kapetanios, George & Ventouri, Alexia
• A time varying DSGE model with financial frictions (RePEc:eee:empfin:v:38:y:2016:i:pb:p:690-716)
  by Galvão, Ana Beatriz & Giraitis, Liudas & Kapetanios, George & Petrova, Katerina
• Jumps in option prices and their determinants: Real-time evidence from the E-mini S&P 500 options market (RePEc:eee:finmar:v:46:y:2019:i:c:s1386418118300168)
  by Kapetanios, George & Konstantinidi, Eirini & Neumann, Michael & Skiadopoulos, George
• Forecasting with measurement errors in dynamic models (RePEc:eee:intfor:v:21:y:2005:i:3:p:595-607)
  by Harrison, Richard & Kapetanios, George & Yates, Tony
• A real time evaluation of Bank of England forecasts of inflation and growth (RePEc:eee:intfor:v:25:y:2009:i:1:p:74-80)
  by Groen, Jan J.J. & Kapetanios, George & Price, Simon
• Forecasting exchange rates with a large Bayesian VAR (RePEc:eee:intfor:v:25:y:2009:i:2:p:400-417)
  by Carriero, A. & Kapetanios, G. & Marcellino, M.
• Prediction from ARFIMA models: Comparisons between MLE and semiparametric estimation procedures (RePEc:eee:intfor:v:28:y:2012:i:1:p:46-53)
  by Baillie, Richard T. & Kongcharoen, Chaleampong & Kapetanios, George
• A comprehensive evaluation of macroeconomic forecasting methods (RePEc:eee:intfor:v:35:y:2019:i:4:p:1226-1239)
  by Carriero, Andrea & Galvão, Ana Beatriz & Kapetanios, George
• A new approach for detecting shifts in forecast accuracy (RePEc:eee:intfor:v:35:y:2019:i:4:p:1596-1612)
  by Chiu, Ching-Wai (Jeremy) & Hayes, Simon & Kapetanios, George & Theodoridis, Konstantinos
• Testing for strict stationarity in financial variables (RePEc:eee:jbfina:v:33:y:2009:i:12:p:2346-2362)
  by Kapetanios, George
• Getting PPP right: Identifying mean-reverting real exchange rates in panels (RePEc:eee:jbfina:v:33:y:2009:i:2:p:390-404)
  by Chortareas, Georgios & Kapetanios, George
• Forecasting government bond yields with large Bayesian vector autoregressions (RePEc:eee:jbfina:v:36:y:2012:i:7:p:2026-2047)
  by Carriero, Andrea & Kapetanios, George & Marcellino, Massimiliano
• Liquidity creation through efficient M&As: A viable solution for vulnerable banking systems? Evidence from a stress test under a panel VAR methodology (RePEc:eee:jbfina:v:83:y:2017:i:c:p:36-56)
  by Baltas, Konstantinos N. & Kapetanios, George & Tsionas, Efthymios & Izzeldin, Marwan
• A new test for market efficiency and uncovered interest parity (RePEc:eee:jimfin:v:130:y:2023:i:c:s0261560622001681)
  by Baillie, Richard T. & Diebold, Francis X. & Kapetanios, George & Kim, Kun Ho
• Unconventional monetary policies and the macroeconomy: The impact of the UK's QE2 and funding for lending scheme (RePEc:eee:quaeco:v:80:y:2021:i:c:p:721-736)
  by Churm, Rohan & Joyce, Michael & Kapetanios, George & Theodoridis, Konstantinos
• Making a match: Combining theory and evidence in policy-oriented macroeconomic modelling (RePEc:een:camaaa:2005-01)
  by G. Kapetanios & A. Pagan & A. Scott
• Forecasting in the presence of recent structural change (RePEc:een:camaaa:2011-23)
  by Jana Eklund & George Kapetanios & Simon Price
• Adaptive Forcasting in the Presence of Recent and Ongoing Structural Change (RePEc:een:camaaa:2012-14)
  by Liudas Giraitis & George Kapetanios & Simon Price
• Generalised Density Forecast Combinations (RePEc:een:camaaa:2014-24)
  by N. Fawcett & G. Kapetanios & J. Mitchell & S. Price
• A UK financial conditions index using targeted data reduction: forecasting and structural identification (RePEc:een:camaaa:2017-58)
  by George Kapetanios & Simon Price & Garry Young
• Time varying cointegration and the UK great ratios (RePEc:een:camaaa:2018-53)
  by George Kapetanios & Stephen Millard & Katerina Petrova & Simon Price
• State-level wage Phillips curves (RePEc:een:camaaa:2020-08)
  by George Kapetanios & Simon Price & Menelaos Tasiou & Alexia Ventouri
• Stock returns predictability with unstable predictors (RePEc:een:camaaa:2022-04)
  by Fabio Calonaci & George Kapetanios & Simon Price
• Nonlinear Modelling of Autoregressive Structural Breaks in Some US Macroeconomic Series (RePEc:eme:ceazzz:s0573-8555(05)76007-7)
  by George Kapetanios & Elias Tzavalis
• A UK financial conditions index using targeted data reduction: forecasting and structural identification (RePEc:esy:uefcwp:20328)
  by Kapetanios, G & Price, SG & Young, G
• Time varying cointegration and the UK Great Ratios (RePEc:esy:uefcwp:23320)
  by Kapetanios, George & Millard, Stephen & Price, Simon & Petrova, Katerina
• State-level wage Phillips curves (RePEc:esy:uefcwp:23707)
  by Kapetanios, George & Tasiou, Menelaos & Price, Simon & Ventouri, Alexia
• A Generalised Fractional Differencing Bootstrap for Long Memory Processes (RePEc:esy:uefcwp:24136)
  by Kapetanios, George & Papailias, Fotis & Taylor, AM Robert
• Stock returns predictability with unstable predictors (RePEc:esy:uefcwp:32331)
  by Calonaci, Fabio & Kapetanios, George & Price, Simon
• Choosing between persistent and stationary volatility (RePEc:esy:uefcwp:33045)
  by Chronopoulos, Ilias & Giraitis, Liudas & Kapetanios, George
• Forecasting Value-at-Risk using deep neural network quantile regression (RePEc:esy:uefcwp:34837)
  by Chronopoulos, Ilias & Raftapostolos, Aristeidis & Kapetanios, George
• Forecasting Exchange Rates with a Large Bayesian VAR (RePEc:eui:euiwps:eco2008/33)
  by A. Carriero & G. Kapetanios & M. Marcellino
• Forecasting Large Datasets with Bayesian Reduced Rank Multivariate Models (RePEc:eui:euiwps:eco2009/31)
  by Andrea Carriero & George Kapetanios & Massimiliano Marcellino
• Deep Neural Network Estimation in Panel Data Models (RePEc:fip:fedcwq:96408)
  by Ilias Chronopoulos & Katerina Chrysikou & George Kapetanios & James Mitchell & Aristeidis Raftapostolos
• Big data analytics: a new perspective (RePEc:fip:feddgw:268)
  by Alexander Chudik & George Kapetanios & M. Hashem Pesaran
• A one-covariate at a time, multiple testing approach to variable selection in high-dimensional linear regression models (RePEc:fip:feddgw:290)
  by Alexander Chudik & George Kapetanios & M. Hashem Pesaran
• Revisiting useful approaches to data-rich macroeconomic forecasting (RePEc:fip:fednsr:327)
  by Jan J. J. Groen & George Kapetanios
• Model selection criteria for factor-augmented regressions (RePEc:fip:fednsr:363)
  by Jan J. J. Groen & George Kapetanios
• Parsimonious estimation with many instruments (RePEc:fip:fednsr:386)
  by Jan J. J. Groen & George Kapetanios
• Hierarchical Time-Varying Estimation of Asset Pricing Models (RePEc:gam:jjrfmx:v:15:y:2022:i:1:p:14-:d:717311)
  by Richard T. Baillie & Fabio Calonaci & George Kapetanios
• Panels with nonstationary multifactor error structures (RePEc:hal:journl:hal-00768190)
  by G. Kapetanios & M. Hashem Pesaran & T. Yamagata
• The Role of Search Frictions and Bargaining for Inflation Dynamics (RePEc:igi:igierp:305)
  by Massimiliano Marcellino & George Kapetanios
• Impulse Response Functions from Structural Dynamic Factor Models:A Monte Carlo Evaluation (RePEc:igi:igierp:306)
  by Massimiliano Marcellino & George Kapetanios
• A Shrinkage Instrumental Variable Estimator for Large Datasets (RePEc:igi:igierp:558)
  by A. Carriero & G. Kapetanios & M. Marcellino
• Panels with Nonstationary Multifactor Error Structures (RePEc:iza:izadps:dp2243)
  by Kapetanios, George & Pesaran, M. Hashem & Yamagata, Takashi
• Exponent of Cross-sectional Dependence: Estimation and Inference (RePEc:iza:izadps:dp6318)
  by Bailey, Natalia & Kapetanios, George & Pesaran, M. Hashem
• Dynamic factor extraction of cross-sectional dependence in panel unit root tests (RePEc:jae:japmet:v:22:y:2007:i:2:p:313-338)
  by George Kapetanios
• Estimating time variation in measurement error from data revisions: an application to backcasting and forecasting in dynamic models (RePEc:jae:japmet:v:25:y:2010:i:5:p:869-893)
  by George Kapetanios & Tony Yates
• Forecasting euro area inflation using dynamic factor measures of underlying inflation (RePEc:jof:jforec:v:24:y:2005:i:7:p:491-503)
  by George Kapetanios & Gonzalo Camba-Mendez
• Are more data always better for factor analysis? Results for the euro area, the six largest euro area countries and the UK (RePEc:jof:jforec:v:30:y:2011:i:8:p:736-752)
  by Giovanni Caggiano & George Kapetanios & Vincent Labhard
• A Nonlinear Panel Data Model of Cross-Sectional Dependence (RePEc:lec:leecon:12/01)
  by James Mitchell & George Kapetanios & Yongcheol Shin
• Testing for nonlinear cointegration between stock prices and dividends (RePEc:mmf:mmfc03:90)
  by Andy Snell & George Kapetanios & Yongcheol Shin
• Getting PPP Right: Identifying Mean Reverting Real Exchange Rates in Panels (RePEc:mmf:mmfc04:32)
  by Georgios Chortareas & George Kapetanios
• How Puzzling is the PPP Puzzle? An Alternative Half-Life Measure of convergence to PPP (RePEc:mmf:mmfc05:36)
  by Georgios Chortareas & George Kapetanios
• A State Space Approach To The Policymaker's Data Uncertainty Problem (RePEc:mmf:mmfc06:168)
  by Alastair Cunningham & Chris Jeffery & George Kapetanios & Vincent Labhard
• Forecasting Financial Crises and Contagion in Asia using Dynamic Factor Analysis (RePEc:mod:recent:014)
  by Andrea Cipollini & George Kapetanios
• Exponent of cross-sectional dependence for residuals (RePEc:msh:ebswps:2018-13)
  by Natalia Bailey & George Kapetanios & M. Hashem Pesaran
• Measurement of Factor Strength: Theory and Practice (RePEc:msh:ebswps:2020-7)
  by Natalia Bailey & George Kapetanios & M. Hashem Pesaran
• A New Test for Market Efficiency and Uncovered Interest Parity (RePEc:nbr:nberwo:30638)
  by Richard T. Baillie & Francis X. Diebold & George Kapetanios & Kun Ho Kim
• Big Data & Macroeconomic Nowcasting: Methodological Review (RePEc:nsr:escoed:escoe-dp-2018-12)
  by George Kapetanios & Fotis Papailias
• UK Economic Conditions during the Pandemic: Assessing the Economy using ONS Faster Indicators (RePEc:nsr:escoed:escoe-dp-2021-10)
  by George Kapetanios & Fotis Papailias
• Real Time Indicators During the COVID-19 Pandemic Individual Predictors & Selection (RePEc:nsr:escoet:escoe-tr-15)
  by George Kapetanios & Fotis Papailias
• An Evaluation Framework for Targeted Indicators Aggregates vs. Disaggregates (RePEc:nsr:escoet:escoe-tr-17)
  by George Kapetanios & Fotis Papailias
• A Quality Assessment Framework for Maintaining & Publishing New Indicators (RePEc:nsr:escoet:escoe-tr-18)
  by George Kapetanios & Fotis Papailias
• An Automatic Leading Indicator of Economic Activity: Forecasting GDP Growth for European Countries (RePEc:nsr:niesrd:149)
  by Dr Martin Weale
• Tests of Rank in Reduced Rank Regression Models (RePEc:nsr:niesrd:150)
  by Dr Martin Weale
• A Test of M Structural Breaks Under the Unit Root Hypothesis (RePEc:nsr:niesrd:152)
  by George Kapetanios
• A Radial Basis Function Artificial Neural Network Test for ARCH (RePEc:nsr:niesrd:154)
  by Andrew Blake
• The Forecasting Performance of the OECD Composite Leading Indicators for France, Germany, Italy (RePEc:nsr:niesrd:155)
  by Dr Martin Weale & Gonzalo Camba-Mendez & George Kapetanios & Ray Smith
• Testing for a Unit Root against Nonlinear STAR Models (RePEc:nsr:niesrd:164)
  by George Kapetanios
• Model Selection Uncertainty and Dynamic Models (RePEc:nsr:niesrd:165)
  by George Kapetanios
• Information Criteria, Model Selection Uncertainty and the Determination of Cointegration Rank (RePEc:nsr:niesrd:166)
  by George Kapetanios
• Incorporating lag order selection uncertainty in parameter inference for AR models (RePEc:nsr:niesrd:167)
  by George Kapetanios
• Cointegrating VAR models with endogenous I(0) variables: theoretical extensions and an application to UK monetary policy (RePEc:nsr:niesrd:169)
  by Dr Martin Weale & Dr. James Mitchell
• Inward investment and technical progress in the United Kingdom manufacturing sector (RePEc:nsr:niesrd:175)
  by Nigel Pain
• Evaluating macroeconomic models of the business cycle (RePEc:nsr:niesrd:176)
  by Dr Garry Young
• On Robust Inference in Time Series Regression (RePEc:pen:papers:22-012)
  by Richard T. Baillie & Francis X. Diebold & George Kapetanios & Kun Ho Kim
• A New Test forMarket Efficiency and Uncovered Interest Parity (RePEc:pen:papers:22-029)
  by Richard T. Baillie & Francis X. Diebold & George Kapetanios & Kun Ho Kim
• Unit Root Tests in Three-Regime SETAR Models (RePEc:qmw:qmwecw:465)
  by George Kapetanios & Yongcheol Shin
• Factor Analysis Using Subspace Factor Models: Some Theoretical Results and an Application to UK Inflation Forecasting (RePEc:qmw:qmwecw:466)
  by George Kapetanios
• A Note on an Iterative Least Squares Estimation Method for ARMA and VARMA Models (RePEc:qmw:qmwecw:467)
  by George Kapetanios
• Bootstrap Statistical Tests of Rank Determination for System Identification (RePEc:qmw:qmwecw:468)
  by Gonzalo Camba-Mendez & George Kapetanios
• Unit Root Testing against the Alternative Hypothesis of up to m Structural Breaks (RePEc:qmw:qmwecw:469)
  by George Kapetanios
• Testing for Structural Breaks in Nonlinear Dynamic Models Using Artificial Neural Network Approximations (RePEc:qmw:qmwecw:470)
  by George Kapetanios
• Modelling Core Inflation for the UK Using a New Dynamic Factor Estimation Method and a Large Disaggregated Price Index Dataset (RePEc:qmw:qmwecw:471)
  by George Kapetanios
• GLS Detrending for Nonlinear Unit Root Tests (RePEc:qmw:qmwecw:472)
  by George Kapetanios & Yongcheol Shin
• Testing for Neglected Nonlinearity in Long Memory Models (RePEc:qmw:qmwecw:474)
  by George Kapetanios
• A Note on Covariance Stationarity Conditions for Dynamic Random Coefficient Models (RePEc:qmw:qmwecw:475)
  by George Kapetanios
• A New Nonparametric Test of Cointegration Rank (RePEc:qmw:qmwecw:482)
  by George Kapetanios
• A Note on Joint Estimation of Common Cycles and Common Trends in Nonstationary Multivariate Systems (RePEc:qmw:qmwecw:483)
  by George Kapetanios
• The Yen Real Exchange Rate May Be Stationary after All: Evidence from Nonlinear Unit-Root Tests (RePEc:qmw:qmwecw:484)
  by Georgios Chortareas & George Kapetanios
• An Investigation of Current Account Solvency in Latin America Using Non Linear Stationarity Tests (RePEc:qmw:qmwecw:485)
  by Georgios Chortareas & George Kapetanios & Merih Uctum
• A Nonlinear Approach to Public Finance Sustainability in Latin America (RePEc:qmw:qmwecw:486)
  by Georgios Chortareas & George Kapetanios & Merih Uctum
• A Comparison of Estimation Methods for Dynamic Factor Models of Large Dimensions (RePEc:qmw:qmwecw:489)
  by George Kapetanios & Massimiliano Marcellino
• Non-Nested Models and the Likelihood Ratio Statistic: A Comparison of Simulation and Bootstrap Based Tests (RePEc:qmw:qmwecw:490)
  by George Kapetanios & Melvyn Weeks
• Using Extraneous Information and GMM to Estimate Threshold Parameters in TAR Models (RePEc:qmw:qmwecw:494)
  by George Kapetanios
• Determining the Stationarity Properties of Individual Series in Panel Datasets (RePEc:qmw:qmwecw:495)
  by George Kapetanios
• Testing for ARCH in the Presence of Nonlinearity of Unknown Form in the Conditional Mean (RePEc:qmw:qmwecw:496)
  by Andrew P. Blake & George Kapetanios
• Testing for Cointegration in Nonlinear STAR Error Correction Models (RePEc:qmw:qmwecw:497)
  by George Kapetanios & Yongcheol Shin & Andy Snell
• A Dynamic Factor Analysis of Financial Contagion in Asia (RePEc:qmw:qmwecw:498)
  by Andrea Cipollini & George Kapetanios
• Determining the Poolability of Individual Series in Panel Datasets (RePEc:qmw:qmwecw:499)
  by George Kapetanios
• Testing for Nonstationary Long Memory against Nonlinear Ergodic Models (RePEc:qmw:qmwecw:500)
  by George Kapetanios & Yongcheol Shin
• A Stochastic Variance Factor Model for Large Datasets and an Application to S&P Data (RePEc:qmw:qmwecw:506)
  by Andrea Cipollini & George Kapetanios
• A Bootstrap Invariance Principle for Highly Nonstationary Long Memory Processes (RePEc:qmw:qmwecw:507)
  by George Kapetanios
• Testing for Neglected Nonlinearity in Cointegrating Relationships (RePEc:qmw:qmwecw:508)
  by Andrew P. Blake & George Kapetanios
• Dynamic Factor Extraction of Cross-Sectional Dependence in Panel Unit Root Tests (RePEc:qmw:qmwecw:509)
  by George Kapetanios
• Testing for Exogeneity in Nonlinear Threshold Models (RePEc:qmw:qmwecw:515)
  by George Kapetanios
• Nonlinear Autoregressive Models and Long Memory (RePEc:qmw:qmwecw:516)
  by George Kapetanios
• Getting PPP Right: Identifying Mean-Reverting Real Exchange Rates in Panels (RePEc:qmw:qmwecw:517)
  by Georgios Chortareas & George Kapetanios
• Estimating Time-Variation in Measurement Error from Data Revisions: An Application to Forecasting in Dynamic Models (RePEc:qmw:qmwecw:520)
  by George Kapetanios
• Forecasting with Measurement Errors in Dynamic Models (RePEc:qmw:qmwecw:521)
  by Richard Harrison & George Kapetanios
• How Puzzling is the PPP Puzzle? An Alternative Half-Life Measure of Convergence to PPP (RePEc:qmw:qmwecw:522)
  by Georgios Chortareas & George Kapetanios
• A Bootstrap Procedure for Panel Datasets with Many Cross-Sectional Units (RePEc:qmw:qmwecw:523)
  by George Kapetanios
• The Impact of Large Structural Shocks on Economic Relationships: Evidence from Oil Price Shocks (RePEc:qmw:qmwecw:524)
  by George Kapetanios
• A New Method for Determining the Number of Factors in Factor Models with Large Datasets (RePEc:qmw:qmwecw:525)
  by George Kapetanios
• On Testing for Diagonality of Large Dimensional Covariance Matrices (RePEc:qmw:qmwecw:526)
  by George Kapetanios
• Testing for Neglected Nonlinearity in Long Memory Models (RePEc:qmw:qmwecw:528)
  by Richard T. Baillie & George Kapetanios
• Variable Selection using Non-Standard Optimisation of Information Criteria (RePEc:qmw:qmwecw:533)
  by George Kapetanios
• Cluster Analysis of Panel Choosing the Optimal Set of Instruments from Large Instrument Setsusing Non-Standard Optimisation of Information Criteria (RePEc:qmw:qmwecw:534)
  by George Kapetanios
• Cluster Analysis of Panel Datasets using Non-Standard Optimisation of Information Criteria (RePEc:qmw:qmwecw:535)
  by George Kapetanios
• Alternative Approaches to Estimation and Inference in Large Multifactor Panels: Small Sample Results with an Application to Modelling of Asset Returns (RePEc:qmw:qmwecw:536)
  by George Kapetanios & M. Hashem Pesaran
• Nonlinear Modelling of Autoregressive Structural Breaks in a US Diffusion Index Dataset (RePEc:qmw:qmwecw:537)
  by George Kapetanios & Elias Tzavalis
• Forecasting Financial Crises and Contagion in Asia Using Dynamic Factor Analysis (RePEc:qmw:qmwecw:538)
  by Andrea Cipollini & George Kapetanios
• Tests for Deterministic Parametric Structural Change in Regression Models (RePEc:qmw:qmwecw:539)
  by George Kapetanios
• Estimating Deterministically Time-Varying Variances in Regression Models (RePEc:qmw:qmwecw:540)
  by George Kapetanios
• Statistical Tests of the Rank of a Matrix and Their Applications in Econometric Modelling (RePEc:qmw:qmwecw:541)
  by Gonzalo Camba-Mendez & George Kapetanios
• A Testing Procedure for Determining the Number of Factors in Approximate Factor Models with Large Datasets (RePEc:qmw:qmwecw:551)
  by George Kapetanios
• Sieve Bootstrap for Strongly Dependent Stationary Processes (RePEc:qmw:qmwecw:552)
  by George Kapetanios & Zacharias Psaradakis
• Forecasting using Bayesian and Information Theoretic Model Averaging: An Application to UK Inflation (RePEc:qmw:qmwecw:566)
  by George Kapetanios & Vincent Labhard & Simon Price
• Forecasting Using Predictive Likelihood Model Averaging (RePEc:qmw:qmwecw:567)
  by George Kapetanios & Vincent Labhard & Simon Price
• Stochastic Volatility Driven by Large Shocks (RePEc:qmw:qmwecw:568)
  by George Kapetanios & Elias Tzavalis
• Panels with Nonstationary Multifactor Error Structures (RePEc:qmw:qmwecw:569)
  by George Kapetanios & M. Hashem Pesaran & Takashi Yamagata
• Nonlinear Models with Strongly Dependent Processes and Applications to Forward Premia and Real Exchange Rates (RePEc:qmw:qmwecw:570)
  by Richard T. Baillie & George Kapetanios
• Factor-GMM Estimation with Large Sets of Possibly Weak Instruments (RePEc:qmw:qmwecw:577)
  by George Kapetanios & Massimiliano Marcellino
• Semiparametric Sieve-Type GLS Inference in Regressions with Long-Range Dependence (RePEc:qmw:qmwecw:587)
  by George Kapetanios & Zacharias Psaradakis
• Boosting Estimation of RBF Neural Networks for Dependent Data (RePEc:qmw:qmwecw:588)
  by George Kapetanios & Andrew P. Blake
• Testing the Martingale Difference Hypothesis Using Neural Network Approximations (RePEc:qmw:qmwecw:601)
  by George Kapetanios & Andrew P. Blake
• Testing for Strict Stationarity (RePEc:qmw:qmwecw:602)
  by George Kapetanios
• A Test for Serial Dependence Using Neural Networks (RePEc:qmw:qmwecw:609)
  by George Kapetanios
• Forecasting Large Datasets with Reduced Rank Multivariate Models (RePEc:qmw:qmwecw:617)
  by Andrea Carriero & George Kapetanios & Massimiliano Marcellino
• The Elusive Persistence: Wage and Price Rigidities, the Phillips Curve, and Inflation Dynamics (RePEc:qmw:qmwecw:619)
  by Chris Tsoukis & George Kapetanios & Joseph Pearlman
• Revisiting Useful Approaches to Data-Rich Macroeconomic Forecasting (RePEc:qmw:qmwecw:624)
  by Jan J.J. Groen & George Kapetanios
• A Review of Forecasting Techniques for Large Data Sets (RePEc:qmw:qmwecw:625)
  by Jana Eklund & George Kapetanios
• A Shrinkage Instrumental Variable Estimator for Large Datasets (RePEc:qmw:qmwecw:626)
  by Andrea Carriero & George Kapetanios & Massimiliano Marcellino
• Cross-sectional Averaging and Instrumental Variable Estimation with Many Weak Instruments (RePEc:qmw:qmwecw:627)
  by George Kapetanios & Massimiliano Marcellino
• Getting PPP Right: Identifying Mean-Reverting Real Exchange Rates in Panels (RePEc:qmw:qmwecw:629)
  by Georgios Chortareas & George Kapetanios
• Forecasting Exchange Rates with a Large Bayesian VAR (RePEc:qmw:qmwecw:634)
  by Andrea Carriero & George Kapetanios & Massimiliano Marcellino
• Forecasting with Dynamic Models using Shrinkage-based Estimation (RePEc:qmw:qmwecw:635)
  by Andrea Carriero & George Kapetanios & Massimiliano Marcellino
• A State Space Approach to Extracting the Signal from Uncertain Data (RePEc:qmw:qmwecw:637)
  by Alastair Cunningham & Jana Eklund & Chris Jeffery & George Kapetanios & Vincent Labhard
• Multivariate Methods for Monitoring Structural Change (RePEc:qmw:qmwecw:658)
  by Jan J.J. Groen & George Kapetanios & Simon Price
• Forecasting Government Bond Yields with Large Bayesian VARs (RePEc:qmw:qmwecw:662)
  by Andrea Carriero & George Kapetanios & Massimiliano Marcellino
• A Nonlinear Panel Model of Cross-sectional Dependence (RePEc:qmw:qmwecw:673)
  by George Kapetanios & James Mitchell & Yongcheol Shin
• Block Bootstrap and Long Memory (RePEc:qmw:qmwecw:679)
  by George Kapetanios & Fotis Papailias
• Adaptive Forecasting in the Presence of Recent and Ongoing Structural Change (RePEc:qmw:qmwecw:691)
  by Liudas Giraitis & George Kapetanios & Simon Price
• Jumps in Option Prices and Their Determinants: Real-time Evidence from the E-mini S&P 500 Option Market (RePEc:qmw:qmwecw:730)
  by George Kapetanios & Michael Neumann & George Skiadopoulos
• Inference on Multivariate Heteroscedastic Time Varying Random Coefficient Models (RePEc:qmw:qmwecw:767)
  by Liudas Giraitis & George Kapetanios & Tony Yates
• Estimating Time-Varying DSGE Models Using Minimum Distance Methods (RePEc:qmw:qmwecw:768)
  by Liudas Giraitis & George Kapetanios & Konstantinos Theodoridis & Tony Yates
• A Time Varying DSGE Model with Financial Frictions (RePEc:qmw:qmwecw:769)
  by Ana Beatriz Galvão & Liudas Giraitis & George Kapetanios & Katerina Petrova
• A Bayesian Local Likelihood Method for Modelling Parameter Time Variation in DSGE Models (RePEc:qmw:qmwecw:770)
  by Ana Beatriz Galvão & Liudas Giraitis & George Kapetanios & Katerina Petrova
• Hierarchical Time Varying Estimation of a Multi Factor Asset Pricing Model (RePEc:qmw:qmwecw:879)
  by Richard T. Baillie & Fabio Calonaci & George Kapetanios
• Time-Varying Instrumental Variable Estimation (RePEc:qmw:qmwecw:911)
  by Luidas Giraitis & George Kapetanios & Massimiliano Marcellino
• Estimation of time-varying covariance matrices for large datasets (RePEc:qmw:qmwecw:916)
  by Yiannis Dendramis & Luidas Giraitis & George Kapetanios
• Expansionary and contractionary fiscal multipliers in the U.S (RePEc:qmw:qmwecw:939)
  by George Kapetanios & Panagiotis Koutroumpis & Christopher Tsoukis
• Unknown item RePEc:qmw:qmwecw:wp465 (paper)
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• Breaks in DSGE models (RePEc:red:sed008:657)
  by Richard Harrison & George Kapetanios & Alasdair Scott & Jana Eklund
• Inference for Impulse Response Coefficients From Multivariate Fractionally Integrated Processes (RePEc:rim:rimwps:15-46)
  by Richard T. Baillie & George Kapetanios & Fotis Papailias
• A Shrinkage Instrumental Variable Estimator For Large Datasets (RePEc:ris:actuec:0113)
  by Carriero, Andrea & Kapetanios, George & Marcellino, Massilimiano
• A Review of Forecasting Techniques for Large Data Sets (RePEc:sae:niesru:v:203:y:2008:i:1:p:109-115)
  by Jana Eklund & George Kapetanios
• Structural Breaks in Inflation Dynamics (RePEc:sce:scecf3:169)
  by Luca Benati & George Kapetanios
• Making a match: combining theory and evidence in policy-oriented macroeconomic modelling (RePEc:sce:scecf5:462)
  by Alasdair Scott & George Kapetanios & Adrian Pagan
• Forecasting Financial Crises and Contagion in Asia using Dynamic Factor Analysis (RePEc:sce:scecfa:477)
  by Andrea Cipollini & George Kapetanios
• Threshold models for trended time series (RePEc:spr:empeco:v:28:y:2003:i:4:p:687-707)
  by George Kapetanios
• Rational expectations and fixed-event forecasts: An application to UK inflation (RePEc:spr:empeco:v:30:y:2005:i:3:p:539-553)
  by H. Bakhshi & G. Kapetanios & T. Yates
• Evolving UK and US macroeconomic dynamics through the lens of a model of deterministic structural change (RePEc:spr:empeco:v:47:y:2014:i:1:p:305-345)
  by George Kapetanios & Tony Yates
• Testing for correlation between the regressors and factor loadings in heterogeneous panels with interactive effects (RePEc:spr:empeco:v:64:y:2023:i:6:d:10.1007_s00181-023-02390-1)
  by George Kapetanios & Laura Serlenga & Yongcheol Shin
• Exponent of Cross-sectional Dependence for Residuals (RePEc:spr:sankhb:v:81:y:2019:i:1:d:10.1007_s13571-019-00196-9)
  by Natalia Bailey & George Kapetanios & M. Hashem Pesaran
• Correction to: Exponent of Cross-sectional Dependence for Residuals (RePEc:spr:sankhb:v:82:y:2020:i:2:d:10.1007_s13571-019-00220-y)
  by Natalia Bailey & George Kapetanios & M. Hashem Pesaran
• Statistical Tests and Estimators of the Rank of a Matrix and Their Applications in Econometric Modelling (RePEc:taf:emetrv:v:28:y:2009:i:6:p:581-611)
  by Gonzalo Camba-Mendez & George Kapetanios
• Testing the Null Hypothesis of Nonstationary Long Memory Against the Alternative Hypothesis of a Nonlinear Ergodic Model (RePEc:taf:emetrv:v:30:y:2011:i:6:p:620-645)
  by George Kapetanios & Yongcheol Shin
• Semiparametric Sieve-Type Generalized Least Squares Inference (RePEc:taf:emetrv:v:35:y:2016:i:6:p:951-985)
  by George Kapetanios & Zacharias Psaradakis
• Inference for impulse response coefficients from multivariate fractionally integrated processes (RePEc:taf:emetrv:v:36:y:2017:i:1-3:p:60-84)
  by Richard T. Baillie & George Kapetanios & Fotis Papailias
• Resuscitating real interest rate parity: new evidence from panels (RePEc:taf:eurjfi:v:24:y:2018:i:14:p:1176-1189)
  by Georgios Chortareas & George Kapetanios & Georgios Magkonis
• A State Space Approach to Extracting the Signal From Uncertain Data (RePEc:taf:jnlbes:v:30:y:2009:i:2:p:173-180)
  by Alastair Cunningham & Jana Eklund & Chris Jeffery & George Kapetanios & Vincent Labhard
• A One Covariate at a Time, Multiple Testing Approach to Variable Selection in High‐Dimensional Linear Regression Models (RePEc:wly:emetrp:v:86:y:2018:i:4:p:1479-1512)
  by A. Chudik & G. Kapetanios & M. Hashem Pesaran
• Estimation and inference for impulse response functions from univariate strongly persistent processes (RePEc:wly:emjrnl:v:16:y:2013:i:3:p:373-399)
  by Richard T. Baillie & George Kapetanios
• Forecasting large datasets with Bayesian reduced rank multivariate models (RePEc:wly:japmet:v:26:y:2011:i:5:p:735-761)
  by Andrea Carriero & George Kapetanios & Massimiliano Marcellino
• Multivariate Methods For Monitoring Structural Change (RePEc:wly:japmet:v:28:y:2013:i:2:p:250-274)
  by Jan J. J. Groen & George Kapetanios & Simon Price
• How Puzzling Is The Ppp Puzzle? An Alternative Half‐Life Measure Of Convergence To Ppp (RePEc:wly:japmet:v:28:y:2013:i:3:p:435-457)
  by Georgios Chortareas & George Kapetanios
• Estimating the Dynamics and Persistence of Financial Networks, with an Application to the Sterling Money Market (RePEc:wly:japmet:v:31:y:2016:i:1:p:58-84)
  by Liudas Giraitis & George Kapetanios & Anne Wetherilt & Filip ŽIKEŠ
• Exponent of Cross‐Sectional Dependence: Estimation and Inference (RePEc:wly:japmet:v:31:y:2016:i:6:p:929-960)
  by Natalia Bailey & George Kapetanios & M. Hashem Pesaran
• Large time‐varying parameter VARs: A nonparametric approach (RePEc:wly:japmet:v:34:y:2019:i:7:p:1027-1049)
  by George Kapetanios & Massimiliano Marcellino & Fabrizio Venditti
• Common correlated effect cross‐sectional dependence corrections for nonlinear conditional mean panel models (RePEc:wly:japmet:v:36:y:2021:i:1:p:125-150)
  by Sinem Hacıoğlu Hoke & George Kapetanios
• Measurement of factor strength: Theory and practice (RePEc:wly:japmet:v:36:y:2021:i:5:p:587-613)
  by Natalia Bailey & George Kapetanios & M. Hashem Pesaran
• Making text count: Economic forecasting using newspaper text (RePEc:wly:japmet:v:37:y:2022:i:5:p:896-919)
  by Eleni Kalamara & Arthur Turrell & Chris Redl & George Kapetanios & Sujit Kapadia
• Investigating the predictive ability of ONS big data‐based indicators (RePEc:wly:jforec:v:41:y:2022:i:2:p:252-258)
  by George Kapetanios & Fotis Papailias
• A Nonlinear Panel Data Model of Cross-Sectional Dependence (RePEc:wrk:wrkemf:03)
  by Kapetanios, George & James Mitchell & Yongcheol Shin
• Generalised Density Forecast Combinations (RePEc:wrk:wrkemf:05)
  by Fawcett, Nicholas & Kapetanios, George & Mitchell, James & Price, Simon
• A comprehensive evaluation of macroeconomic forecasting methods (RePEc:wrk:wrkemf:10)
  by Andrea Carriero & Galvao, Ana Beatriz & Kapetanios, George