Gary Koop
Contact Details

  • Email:    gary.koop@strath.ac.uk

  • Fax:       +44 (0)141 548 4445

  • Office:    Room 4.06, Department of Economics,

          Sir William Duncan Building, 130 Rottenrow, Glasgow G4 0GE.

      Office hour: Tuesday 3-4

Current Position
Biography

    Prior to coming to Strathclyde, Gary held professorial positions at the Universities of Toronto, Edinburgh, Glasgow and Leicester. He has also held academic posts at the University of Cambridge, the London School of Economics, Boston University and Queen's University, Canada.

    A full CV can be downloaded here .

Recent Initiatives

MATLAB Code for Bayesian VARs, TVP-VARs and TVP-FAVARs

SIRE Econometrics Workshop

 

Teaching

Introductory Econometrics (EC 306)

A Course in Bayesian Econometric Methods for Empirical Macroeconomics (Bundesbank, October 2009)

A Course in Bayesian Econometric Methods for Empirical Macroeconomics (CREATES, September 2009)

         Analysis of Financial Data (EC 901)

Research Interests

Current Research Grants

Leverhulme Research Grant, “Regime-switching and structural breaks in cointegrated macroeconomic models,” (with Roberto Leon-Gonzalez and Rodney Strachan), £125,785, 2007-2010.


Publications, Work in Progress and Downloadable files

Working Papers

Bayesian Multivariate Time Series Methods for Empirical Macroeconomics with Dimitris Korobilis.

Stochastic Search Variable Selection in Vector Error Correction Models with an Application to a Model of the UK Macroeconomy with Markus Jochmann, Roberto Leon-Gonzalez and Rodney Strachan

UK Macroeconomic Forecasting With Many Predictors: Which Models Forecast Best and When Do They Do So?  with Dimitris Korobilis

Forecasting_Inflation_using_Dynamic Model Averaging with Dimitris Korobilis

The Dynamics of UK and US Inflation Expectations with Deborah Gefang and Simon Potter

Time Varying VARs with Inequality Restrictions with Simon Potter.

Bayesian Inference in the Time Varying Cointegration Model with Roberto Leon-Gonzalez and Rodney Strachan.

A Flexible Approach to Parametric Inference in Nonlinear Time Series Models  with Simon M. Potter

Does Air Pollution Cause Respiratory Illness? A New Look at Canadian Cities with Ross McKitrick and Lise Tole


Published Papers

Published papers are protected by copyright and they should be accessed through the journals where they are published (see my CV for a complete list of my publications, www.econometriclinks.com provides a complete list of relevant journals including their web addresses). However, I attach here working papers of a few of my recent publications which are sufficiently different from the published version.

Modeling the Dynamics of Inflation Compensation with Markus Jochmann and Simon Potter (working paper version, forthcoming Journal of Empirical Finance)

Bayesian Forecasting using Stochastic Search Variable Selection in a VAR Subject to Breaks with Markus Jochmann and Rodney Strachan (forthcoming, International Journal of Forecasting).

Dynamic Probabilities of Restrictions in State Space Models: An Application to the Phillips Curve with Roberto Leon-Gonzalez and Rodney Strachan (working paper version, forthcoming Journal of Business and Economic Statistics)

On the Evolution of Monetary Policy
with Roberto Leon-Gonzalez and Rodney Strachan (working paper version, Journal of Economic Dynamics and Control, 2009, 33, 997–1017)

Efficient Posterior Simulation in Cointegration Models with Priors on the Cointegration Space with Roberto Leon-Gonzalez and Rodney Strachan (forthcoming Econometric Reviews)

Prior Elicitation in Multiple Change-point Models  with Simon M. Potter (old working paper version, forthcoming International Economic Review)

Prior Elicitation in Multiple Change-point models with Simon M. Potter (new and quite different working paper version, forthcoming International Economic Review)

Bayesian Inference in a Cointegrating Panel Data Model  with Roberto Leon-Gonzalez and Rodney Strachan Advances in Econometrics, volume 23, 2008

Re-examining the Consumption-Wealth Relationship: The Role of Model Uncertainty  with Simon M. Potter and Rodney W. Strachan, Journal of Money, Credit and Banking, 2008, working paper version.

“Semiparametric Bayesian inference in smooth coefficient models”  with Justin Tobias, Journal of Econometrics, 2006, working paper version.

Forecasting and Estimating Multiple Change-point models with an Unknown Number of Change-points with Simon M. Potter, Review of Economic Studies, 2007 (the published version of this paper has a slightly different title)

“Bayesian Semiparametric Inference in Multiple Equation Models”  with Dale Poirier and Justin Tobias, Journal of Applied Econometrics, 2005, working paper version.

“Forecasting in Dynamic Factor Models using Bayesian Model Averaging”  with Simon Potter, forthcoming in the Econometrics Journal, working paper version.

Forecasting Substantial Data Revisions in the Presence of Model Uncertainty  with Tony Garratt and Shaun Vahey forthcoming in the Economic Journal, working paper version.

“Alternative Efficiency Measures for Multiple Output Production”  with Carmen Fernandez and Mark Steel, Journal of Econometrics, 2005, working paper version

“Bayesian Analysis of Endogenous Delay Threshold Models,”  with Simon Potter, Journal of Business and Economic Statistics, 2003, working paper version

“Multiple Output Production with Undesirable Outputs: An Application to Nitrogen Surplus in Agriculture", with Carmen Fernandez and Mark Steel,Journal of the American Statistical Association, working paper version

“Comparing the Performance of Baseball Players: A Multiple Output Approach,” Journal of the American Statistical Association, 2002, working paper version

“Bayesian Variants of Some Classical Semiparametric Regression Techniques,” Journal of Econometrics, 2003, with Dale Poirier, working paper version

“Learning About Heterogeneity in Returns to Schooling,” Journal of Applied Econometrics, 2003, with Justin Tobias, working paper version

“Measuring the Health Effects of Air Pollution: To What Extent Can We Really Say that People are Dying from Bad Air?” Journal of Environmental Economics and Management, 2003 with Lise Tole, working paper version

Real-time Prediction with UK Monetary Aggregates in the Presence of Model Uncertainty with Tony Garratt, Emi Mise and Shaun Vahey (forthcoming, Journal of Business and Economic Statistics)

"Modelling the Evolution of Distributions: An Application to Major League Baseball," Journal of the Royal Statistical Society (Series A), 2004, working paper version                               

Bayesian Approaches to Cointegration  with Rodney Strachan, Herman van Dijk and Mattias Villani, chapter 25 in The Palgrave Handbook of Theoretical Econometrics, 2006, edited by K. Patterson and T. Mills, working paper version.

Do Environmental Regulations Affect the Location Decisions of Multinational Gold Mining Firms? with Lise Tole (forthcoming Journal of Economic Geography), working paper version.

What is the Environmental Performance of Firms Overseas? An Empirical Investigation of the Global Gold Mining Industry with Lise Tole (Journal of Productivity Analysis, 2008)

"An Investigation of Thresholds in Air Pollution-Mortality Effects" with Lise Tole, to appear in Environmental Modelling & Software, working paper version.

“The Vector Floor and Ceiling Model” with Simon Potter,  in Nonlinear Time Series Analysis of the Business Cycle, edited by Costas Milas, P. Rothman and D. van Dijk in Elsevier's Contributions to Economic Analysis Series, working paper version.

Parametric and Nonparametric Inference in Equilibrium Job Search Models in Advances in Econometrics, volume 23, 2008. 

Some Gauss code for Parametric and Nonparametric Inference in Equilibrium Job Search Models