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Gary Koop
| Contact Details
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| Current Position
Professor of Economics, since January 2006 Gary is a Fellow at the Rimini Centre for Economic Analysis |
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| 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 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) Bayesian Econometrics and Statistics. Gary is associate editor of
Journal of
Econometrics, Econometric
Reviews,
Journal
of Empirical Finance, Studies in
Nonlinear Dynamics and Econometrics, Gary is on the editorial board of
Foundations and Trends in Econometrics. Gary has written the textbooks Analysis of Economic Data,
Analysis of Financial Data, Bayesian
Econometrics,
Bayesian Econometric Methods
and
Introduction to Econometrics
Leverhulme
Research Grant, Regime-switching and structural breaks in cointegrated
macroeconomic models, (with Roberto Leon-Gonzalez and Rodney Strachan), £125,785, 2007-2010.
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. Does Air Pollution Cause Respiratory Illness? A
New Look at Canadian Cities with Ross McKitrick and Lise Tole
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 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,
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
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