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The University of Southampton
EconomicsPart of Economic, Social and Political Science

Research into Econometrics is awarded ESRC funding

Published: 17 February 2010

Jean-Yves Pitarakis, Professor of Economics, has been awarded a £70000 grant by the Economic and Social Research Council (ESRC) as a Principal Investigator for undertaking methodological research in Econometrics.

The main objective of the research agenda is to develop a technical toolkit for uncovering the ability of a given variable to predict future values of another one (e.g. predicting GDP growth with interest rates, stock returns with valuation ratios, etc) when this potential predictability may switch on and off depending on external factors (e.g. state of the economy).  Existing methods that ignore this switching feature together with other complications that characterise economic and financial data may lead to misleading inferences about predictability. 

It is expected that this research will lead to more robust and reliable methods for detecting this form of "dynamic" predictability and to also help uncover interesting phenomena and dynamic interactions between economic and financial variables which could not have been handled via traditional methods.

The project is to be progressed over 18 months and will allow Professor Pitarakis to collaborate with other international researchers exploring the field of Econometrics.

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