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Professor Jean-Yves Pitarakis MA, PhD (Boston University, USA)

Professor of Economics

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Jean-Yves Pitarakis is a Professor of Economics at the University of Southampton.

His research interests are in the area of theoretical and applied econometrics and his recent agenda involves modelling phenomena such as episodic predictability, threshold effects, varying coefficients, the detection of change-points in large dimensional datasets and the econometric modelling of investment strategies. His papers have been published in leading journals including the Journal of Econometrics, Econometrica, Journal of Business and Economic Statistics, International Economic Review, Econometric Theory, Econometrics Journal. Parts of this research has been funded by the ESRC.

He holds a PhD from Boston University.

Research

Responsibilities

Publications

Teaching

Contact

Research interests

Estimation, inference and prediction in models that combine nonlinear dynamics with very persistent variables; econometric modelling of investment strategies; factor models

Current research projects

Regime specific predictability in predictive regressions (with Jesus Gonzalo)
Varying coefficient models with persistent variables (with Anurag Banerjee)
Model selection in large dimensional factor models (with Ronaldo Nazare)
State dependence in Predictability (with Jesus Gonzalo and Anibal Emiliano Da Silva Neto)
Econometric Modelling of Value investment strategies
Assessing state dependence in out of sample forecasts from predictive regressions (British Academy Grant SRG170220)

Research project(s)

Episodic Predictability in Models with Persistent Variable and Endogeneity: Detection and Estimation

Assessing State Dependence in Out of Sample and In-Sample Economic Forecasts from Predictive Regressions

Recruitment Committee
PhD Job Market

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Articles

Book Chapters

Gonzalo, J., & Pitarakis, J-Y. (2013). Estimation and inference in threshold type regime switching models. In Handbook of Research Methods and Applications in Empirical Macroeconomics Edward Elgar. https://doi.org/10.4337/9780857931023
Gonzalo, J., & Pitarakis, J-Y. (2006). Threshold effects in multivariate error correction models. In C. M. Terence, & K. Patterson (Eds.), Palgrave Handbook of Econometrics: Volume 1; Econometric Theory (pp. 578-609). (Palgrave Handbook of Econometrics; Vol. 1). Palgrave Macmillan.
Gonzalo, J., & Pitarakis, J. (1999). Dimensionality effect in cointegration tests. In R. F. Engle, & H. White (Eds.), Cointegration, Causality, and Forecasting: a Festschrift in Honour of C.W.J. Granger Oxford University Press.

Working Papers

Emiliano Da Silva Neto, A., Gonzalo, J., & Pitarakis, J-Y. (2018). Uncovering regimes in out of sample forecast errors. (pp. 1-21). (Discussion Papers in Economics and Econometrics; No. 1803). University of Southampton. https://cdn.southampton.ac.uk/assets/imported/transforms/content-block/UsefulDownloads_Download/1E3BC3B3A85143BF86A1DCC5D1E7B9E0/1803%20combined.pdf#_ga=2.13946359.1566548321.1523878422-909441934.1516267099
Pitarakis, J-Y. (2015). A simple approach for diagnosing instabilities in predictive regressions. (Discussion Papers in Economics and Econometrics; No. 1519). University of Southampton.
Gonzalo, J., & Pitarakis, J-Y. (2015). Inferring the predictability induced by a persistent regressor in a predictive threshold model. (Discussion Papers in Economics and Econometrics; No. 1518). University of Southampton.
Pitarakis, J-Y., & Banerjee, A. (2012). Functional cointegration: definition and nonparametric estimation. University of Southampton.
Pitarakis, J. (2011). Joint detection of structural change and nonstationarity in autoregressions. (MPRA Paper; No. 29189). Munich Personal RePEc Archive.
Pitarakis, J-Y., & Banerjee, A. (2011). Piecewise local linear estimation of functional equilibrium relationships. (Discussion Papers in Economics and Econometrics; No. 1109). University of Southampton.
Gonzalo, J., & Pitarakis, J-Y. (2005). Threshold effects In multivariate error correction models. (Discussion Papers in Economics and Econometrics; No. 502). University of Southampton.
Pitarakis, J. (2004). Model selection uncertainty and detection of threshold effects. (Discussion Papers in Economics and Econometrics; No. 409). University of Southampton.

I teach a third year undergraduate module in Empirical Finance and a Masters module in Econometrics. I supervise about 10 to 15 undergraduate and Masters dissertations every year and currently have 1 PhD student working in the area of forecasting.

Professor Jean-Yves Pitarakis
Reception Building 58 University of Southampton Southampton SO17 1BJ United Kingdom

Room Number: 58/3053

Professor Jean-Yves Pitarakis's personal home page

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