Dimitris Korobilis

 

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Short Bio

I am a PhD student at the University of Strathclyde, Department of Economics. My supervisor is Gary Koop. I hold an MSc in Econometrics from Erasmus University Rotterdam, and a BSc in Economics from Athens University of Economics and Business.

 

My PhD thesis deals with model selection issues arising in multivariate Macroeconometric models. In my first paper, I develop automatic Bayesian model selection/averaging methods in a large forecasting problem using 124 predictors in 8-variable VARs and FAVARs. Using state-space methods, my second paper incorporates dynamic model averaging (model averaging at each time period) in order to get dynamic probabilities of inclusion of predictors in models with time-varying parameters. The third paper extends the so-called Factor-Augmented VAR model, allowing for time-variation in all model parameters, and uses an automatic Bayesian test to check the amount of time-variation supported empirically by the data. The fourth paper develops Bayesian automatic model selection algorithms in general nonlinear VAR specifications, and I specifically apply them to the time-varying parameters VAR (TVP-VAR) model case, which is currently a very popular model in macroeconomics.

 

I am a fellow of the Rimini Center for Economic Analysis.

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Contact Details

  • Full name:     Dimitris Korompilis-Magkas
  • Email:           gcb07101@strath.ac.uk
  • Phone:          +44 (0)141 548 4340
  • Office:           4.27 Sir William Duncan Building
  • Office Hours: Tuesday 11:00 - 12:00
     

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