Anastasios (Tassos) Magdalinos joined the School in September 2006 as a lecturer in Econometrics. His research interests lie in the area of time series econometrics with particular focus on investigating boundaries between stationary and non-stationary processes, limit theory for nearly cointegrated systems, unit root tests, explosive autoregressions and asymptotic relative efficiency of estimators and tests. He has published in journals such as the Journal of Econometrics, Econometric Theory and Econometrics Journal.

1. “Smoothing local-to-moderate unit root theory”, Journal of Econometrics, accepted (with P.C.B. Phillips and L. Giraitis).

2. Unit root and cointegrating limit theory when initialization is in the infinite past, Econometric Theory, accepted (with P.C.B. Phillips).

3. “Limit theory for cointegrated systems with moderately integrated and moderately explosive regressors”, Econometric Theory, 2009 forthcoming (with P.C.B. Phillips).

4. "Limit theory for explosively cointegrated systems", Econometric Theory, 2008, 24(4), 865-887 (with P.C.B. Phillips).

5. "On the inconsistency of the unrestricted estimator of the information matrix near a unit root'', Econometrics Journal, 2007, 10, 245-262.

6. “Limit theory for moderate deviations from a unit root'', Journal of Econometrics, 2007, 136, 115-130 (with P.C.B. Phillips).

7. “Limit theory for moderate deviations from a unit root under weak dependence", in The Refinement of Econometric Estimation and Test Procedures Cambridge University Press, 2007, 123-162 (with P.C.B. Phillips).

8. “The characteristic function from a family of truncated normal distributions'', Econometric Theory, 2002, 18, 1276-1287 (with K.M. Abadir).

9. “Mildly explosive autoregression under weak and strong dependence”, 2008.

10. “Inference in cointegrating regression with time series whose roots are in the vicinity of unity”, 2007 (with P.C.B. Phillips).

Other discussion papers can be downloaded from here.

L13521 Advanced Econometric Theory
L14003 Econometric Theory
L14022 Financial Econometrics

A complete list of modules can be found here.

Download as a file.

This page last updated on 16/10/08 by Jo Morgan