Main Published Papers 1984-2006

• "Estimating missing observations in economic time series", Journal of the American Statistical Association, Vol. 79, 125-131, 1984 (with A.C. Harvey).
• "Stability of a UK money demand equation: a Bayesian approach to testing exogeneity", Review of Economic Studies, Vol. 53, 603-634, 1986 (with M. Lubrano and J.-F. Richard).
• "Econometric analysis of aggregation in the context of linear prediction models", Econometrica, Vol. 57, 861-888, 1989 (with M.H. Pesaran and M.S. Kumar).
• "A proof of the asymptotic validity of a test for perfect aggregation", Economics Letters, Vol. 30, 41-47, 1989 (with M.H. Pesaran).
• "Testing for aggregation bias in linear models", Economic Journal, Vol. 100, 137-150, 1990 (with K.C. Lee and M.H. Pesaran).
• "Persistence of shocks and its sources in a multisectoral model of UK output growth", Economic Journal, Vol. 102, 342-356, 1992 (with K.C. Lee and M.H. Pesaran).
• "Persistence, cointegration and aggregation: a disaggregated analysis of output fluctuations in the US economy", Journal of Econometrics, Vol. 56, 57-88, 1993 (with M.H. Pesaran and K.C. Lee).
• "Choice between disaggregate and aggregate specifications estimated by instrumental variables methods", Journal of Business and Economic Statistics, Vol. 12, 11-21, 1994 (with M.H. Pesaran and K.C. Lee).
• "Temporal aggregation and the power of test for a unit root", Journal of Econometrics, Vol. 65, 333-345, 1995 (with A.J. Snell).
• "GaussX; Version 3.4", Journal of Applied Econometrics, Vol. 11, 687-693, 1996.
• "A Kalman filter approach to estimating the UK NAIRU", Bank of England, WP 179, 2003 (with J. V. Greenslade and J. Salaheen)
• "Whatever happened to Goldilocks? The role of expectations in estimates of the NAIRU in the US and the UK", Oxford Bulletin of Economics and Statistics, Vol. 68, 45-79, 2006 (with R.L. Driver and J.V. Greenslade).

Working papers

• Multiple regime models with switches in exogeneity (1979) (MSc dissertation)
• Common cycles in sectoral output in the UK (2000) (with A. Garratt)

Matlab Procedures

The following are various procedures written in matlab.

• lq.zip (zip file)
  Linear quadratic approximation procedures from Levine, Pearlman and Pierse (2007)

Lecture Handouts on Time Series Econometrics

These are handouts to accompany some lectures on assorted topics in time series econometrics. Hamilton (1994) would be an appropriate reference text.

• Unit roots
• ARIMA models
• VAR models
• Cointegration
• Structural Time Series Models
• The Kalman filter and Hamilton's model
• Gauss programs for the Kalman and Hamilton filters

Some old lecture notes on Gauss

These notes were written a few years ago and refer to Gauss version 3.x. Some of the information is therefore now a little out-of-date.

• An Introduction to Gauss
• Standard econometrics in Gauss
• Optimisation in Gauss
• Monte Carlo simulation in Gauss

Some lecture notes on Quantitative Methods

• Statistical Review
  • Exercises
  • Solutions
• Simple Linear Regression
• Multiple Regression
  • Exercises
  • Solutions
• Relaxing the Assumptions of the Linear Model
  • Exercises
  • Solutions
• Omitted Variables, Dummy Variables and Multicollinearity
  • Exercises
  • Solutions
• Dynamic Models
  • Exercises
  • Solutions
• Common Factor Tests and Stability Tests
• Nonstationarity, Unit Roots and Cointegration
• Econometric Methodology and Model Selection

Some lecture notes on Operations Research

• Critical Path Analysis
• Linear Programming 1
• Linear Programming 2
• Integer Programming
• Goal Programming
• Transportation and Network Problems
• Inventory Management
• Decision Making
• Markov Processes and Queuing Models