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Research project

Pitarakis ESRC Episodic predictability in models with persistent variables and endogeneity: Detection and Estimation

Staff

Lead researcher

Professor Jean-Yves Pitarakis

Professor of Economics

Research interests

  • Predictive accuracy testing
  • Predictive regressions
  • Model selection and evaluation
Connect with Jean-Yves

Email: J.Pitarakis@soton.ac.uk

Research outputs

A joint test for structural stability and a unit root in autoregressions
Jean-Yves Pitarakis, 2014, Computational Statistics & Data Analysis, 76, 577-587
DOI: 10.1016/j.csda.2012.07.027
Type: article
Estimation and inference in threshold type regime switching models
Jesus Gonzalo & Jean-Yves Pitarakis, 2013
DOI: 10.4337/9780857931023
Type: bookChapter
Jointly testing linearity and nonstationarity within threshold autoregressions
Jean-Yves Pitarakis, 2012, Economics Letters, 117(2), 411-413
DOI: 10.1016/j.econlet.2012.06.025
Type: article
Regime specific predictability in predictive regressions
Jean-Yves Pitarakis & Jesus Gonzalo, 2012, Journal of Business and Economic Statistics, 30(2), 229-241
DOI: 10.1080/07350015.2011.652053
Type: article
Joint detection of structural change and nonstationarity in autoregressions
J. Pitarakis, 2011
Type: workingPaper