Research project

NOVEL APPROACHES TO COMPARING THE PREDICTIVE ACCURACY OF NESTED MODELS IN DATA RICH AND HETEROGENEOUS PREDICTOR ENVIRONMENTS

Research groups:
Lead researcher:

Professor Jean-Yves Pitarakis
Research funder:

ESRC
Status:

Active

Staff

Lead researcher

Professor Jean-Yves Pitarakis

Professor of Economics

Research interests

Predictive regressions
Model selection and evaluation
Large dimensional models

Email: j.pitarakis@soton.ac.uk

Collaborating research institutes, centres and groups

Econometrics

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.