I am PhD student in the Economics Deparment at the University of Southampton. My broad research involves econometric modelling with high dimensional data.
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- My research interests include:
- Forecasting with mixed freuency datasets using Mixed Data Sampling (MIDAS) models. Specifically I propose a modification of the original MIDAS proposed by Ghysels et al. (2002) to improve forecasting accuracy with financial market data.Forecasting with economic data associated with being of a high dimension. Modern day econometricians are increasingly facing the challenge of requiring reliable forecasts to be computed from longitudinal datasets where there are more candidate predictors available than there are time point observations. This has serious negative implications for the standard models used in the field creating a need for new and upcoming methods to carry out such prediction whilst maintaining accuracy and reliability.
My current research focuses more specifically on a class of models that have ideal attributes when analysing datasets typically encountered by economists. The Ridge Regression of Hoerl and Kennard (1970) povides a computationally simple alternative to Ordinary-Least-Squares (OLS) when the number of predictors relative to observations is high or the correlation amongst covariates increases OLS coefficient variances to undersirably high levels. Ridge does this by inducing estimation bias whilst reducing the variance, however, there are certain scenarios where this tradeoff is undersirable for the purposes of prediction accuracy.
My newly proposed 'Partial Ridge' seeks to manage this tradeoff more effectivley by making the penalization of different coefficients more flexible to limit bias while still reaping the benefits of significantly reduced variance.
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Throughout my studentship at the University of Southampton I have assissted with the teaching of tutorial classes for the following modules:
- ECON1001 Foundations of Microeconomics
- ECON1007 Statistics for Economics
- ECON2001 Applied Microeconomics
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I came to the University of Southampton in 2016 studying as an undergraduate on the BSc Economics and Actuarial Science programme graduating with a first-class honours in 2019. From here I enrolled on the 1+3 programme of the South Coast Doctoral Training Partnership (SCDTP) for social science research students based at the University of Southampton. This begun with the MSc Social Research Methods (Economics) programme beginning in the autumn of 2019 and graduated in the summer of 2020 with a distinction. Finally, I began the PhD Economics programme at the Unversity of Southampton in the autumn of 2020 with my first paper acting as an comparison of forecasting performance of high dimensional data models in a Monte Carlo Simulation setting.
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