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The meta-Phillips Curve: modelling U.S. inflation in the presence of regime change (2018)
Journal Article
Aristidou, C. (in press). The meta-Phillips Curve: modelling U.S. inflation in the presence of regime change. Journal of Macroeconomics, ISSN 0164-0704

A novel approach to modelling inflation dynamics is presented based on a set of Hybrid New-Keynesian Phillips Curves, distinguished by the regime duration and measures of real marginal cost, and combined into a meta-Phillips Curve using model averagi... Read More

Evaluating the use of real-time data in forecasting output levels and recessionary events in the US (2018)
Journal Article
Aristidou, C., Lee, K., & Shields, K. (2019). Evaluating the use of real-time data in forecasting output levels and recessionary events in the US. Journal of the Royal Statistical Society: Series A, 182(1), 131-163. doi:10.1111/rssa.12366

The paper proposes a modelling framework and evaluation procedure to judge the usefulness of real-time datasets incorporating past data vintages and survey expectations in forecasting. The analysis is based on `meta models' obtained using model-avera... Read More

The impact of the initial condition on covariate augmented unit root tests (2016)
Journal Article
Aristidou, C., Harvey, D. I., & Leybourne, S. J. (2016). The impact of the initial condition on covariate augmented unit root tests. Journal of Time Series Econometrics, 9(1), doi:10.1515/jtse-2015-0013

We examine the behaviour of OLS-demeaned/detrended and GLS-demeaned/detrended unit root tests that employ stationary covariates, as proposed by Hansen (1995, “Rethinking the Univariate Approach to Unit Root Testing.” Econometric Theory 11:1148–71) an... Read More