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Research group

Econometrics

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The Econometrics group produces research in both econometric theory and applied econometrics with particular emphasis on methods and applications designed to deepen our understanding of economic and financial problems.

Part of Economics

About

The Econometrics group is especially known for its research in theoretical statistics, time-series methods and financial econometrics. In addition we also have growing expertise in the areas of quantile regression models, econometrics of network data, machine-learning methods as applied to problems in causal inference and high dimensional forecasting.  

Numerous projects developed by the group have been funded by the ESRC and the British Academy amongst other national and international funding agencies. Our group members regularly deliver talks at international meetings organised by the Econometric Society, the Royal Economic Society, and the Society for Financial Econometrics and hold various editorial positions with journals such as Econometric Theory, Journal of Time-Series Analysis, International Journal of Finance and Economics, Journal of the Royal Statistical Society A.

News and events

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People, projects, publications and PhDs

People

Professor Anastasios Magdalinos

Professor of Economics

Research interests

  • Personal Webpage:   https://sites.google.com/site/tmagdalinos
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Dr Chaowen Zheng

Lecturer in Economics

Research interests

  • Panel Data Econometrics
  • Econometrics of Causal Inference
  • Economic/Financial Network Analysis

Accepting applications from PhD students

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Dr Christian Schluter

Reader
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Professor Grant Hillier

Professor of Econmetrics

Research interests

  • Inference in structural models
  • Theory of hypothesis testing
  • Multivariate models
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Dr Jan Podivinsky

Associate Professor

Research interests

  • Applied econometrics
  • Financial econometrics
  • Empirical finance

Accepting applications from PhD students

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Dr Jayeeta Bhattacharya

Lecturer in Economics

Research interests

  • Quantile regression
  • Econometrics of auctions
  • Economics of networks
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Professor Jean-Yves Pitarakis

Professor of Economics

Research interests

  • Predictive accuracy testing
  • Predictive regressions
  • Model selection and evaluation

Accepting applications from PhD students

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Professor Jose Olmo

Professor of Financial Economics

Research interests

  • Financial econometrics
  • Time series analysis
  • Financial economics

Accepting applications from PhD students

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Dr Nicolas Apfel

Lecturer in Economics and Econometrics

Research interests

  • Applied Econometrics
  • Statistical Learning
  • Labor Economics
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