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

Econometric Theory

The group of econometric theorists at Southampton is among the strongest in the UK. The topics covered by its research agendas and recent publications embrace virtually the whole of modern econometrics, including: nonlinear dynamics, predictability, threshold models, persistence, stable, unstable, stationary and non-stationary time-series models, first- and higher-order asymptotic theory, exact distribution theory, IV and structural models, exponential weak and partial identification, spatial models and structures, bootstrap and Jacknife methods, and inference in panel data models.

All senior members of the group have recent publications in the top econometric theory journals, including Econometrica, Journal of Econometrics, and Econometric Theory. Several also have publications in purely statistical journals. Peter Phillips, of course, is the editor of Econometric Theory, and Hillier is a member of its editorial board. Phillips and Hillier have also been involved on the editorial board of Econometrica in the past. Hillier is a UK fellow of CeMMAP, and Phillips is an international fellow. Pitarakis has recently been awarded an ESRC research grant for a project entitled 'Episodic Predictability in Models with Persistent Variables', and Magdalinos an ESRC first grant for a project entitled 'Robust Econometric Inference in Cointegrated Systems and Systems of Predictive Regressions'. In addition to its senior members, the group contains three outstanding young econometricians.

Members of the group

Grant Hillier

Jean-Yves Pitarakis

Tassos Magdalinos

Peter Philips

Jose Olmo

Maria Kyriacou

Chiara Binelli

The group also has six PhD students

PhD Students

Find out more

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