Time series analysis is a tremendous research area in statistics and econometrics. As remarked in a review by Howell Tong in 2001, for about 100 years up to 2001 Biometrika (alone) published over 400 papers on the subject. [Tong (2001)] Furthermore, in the review, Howell Tong is able break down...

In recent years, analysis of financial time series has focused largely on data related to market trading activity. Apart from modelling the conditional variance of returns within the GARCH family of models, presently attention has also been devoted to other market variables, especially volumes,...

Today, one of the biggest challenges facing the UK is the new target set when the nation became first major economy to pass net zero emissions law, which requires the country to bring all greenhouse gas emissions to net zero by 2050. On the one hand, there are already a few ideas about how we...

Partially linear semiparametric models are advantageous to use in empirical studies of various economic problems due to a special feature that allows the parametric and nonparametric components to exist simultaneously in the model. However, systematic estimation procedures and methods have not...

We study the estimation of heterogeneous effects of group-level policies, using quantile regression with interactive fixed effects. Our approach can identify distributional policy effects, particularly effects on inequality, under a type of difference-in-differences assumption. We provide...