Anindya Banerjee
Biographic Data
| ID | 8880885 |
|---|---|
| NAME | Anindya Banerjee |
| GIVEN NAMES | Anindya |
| FAMILY NAME | Banerjee |
| SIGNATURE | BANERJEE A |
| AFFILIATIONS | University of Oxford |
| ORCID | 0000-0002-7836-7019 |
| VERIFIED | Yes |
| TOTAL WORKS | 3 |
| TOTAL CITATIONS | 0 |
| WORKS AS AUTHOR | 3 |
| WORKS AS EDITOR | 0 |
| FIRST PUBLICATION YEAR | 1992 |
| LATEST PUBLICATION YEAR | 2025 |
| H-INDEX | 0 |
Panel Data Cointegration Testing with Structural Instabilities
Spurious regression analysis in panel data when the time series are cross-section dependent is analyzed in the article.The set-up includes (possibly unknown) multiple structural breaks that can affect both the deterministic and the common factor components.We show that consistent estimation of the long-run average parameter is possible once cross-section dependence is controlled using cross-section averages in the spirit of Pesaran's common corre…
The Relationship between the Markup and Inflation in the G7 Economies and Australia
An I(2) analysis of inflation and the markup is undertaken for the G7 economies and Australia. We find that the levels of prices and costs are best described as I(2) processes and that, except for Japan, a linear combination of the log levels of prices and costs cointegrate to the markup that is integrated of order 1. It is also shown that the markup in each case co-integrates with inflation and that higher inflation is associated with a lower ma…
Recursive and Sequential Tests of the Unit-Root and Trend-Break Hypotheses
This article investigates the possibility, raised by Perron and by Rappoport and Reichlin, that aggregate economic time series can be characterized as being stationary around broken trend lines. Unlike those authors, we treat the break date as unknown a priori. Asymptotic distributions are developed for recursive, rolling, and sequential tests for unit roots and/or changing coefficients in time series regressions. The recursive and rolling tests …
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Recursive and Sequential Tests of the Unit-Root and Trend-Break Hypotheses
This article investigates the possibility, raised by Perron and by Rappoport and Reichlin, that aggregate economic time series can be characterized as being stationary around broken trend lines. Unlike those authors, we treat the break date as unknown a priori. Asymptotic distributions are developed for recursive, rolling, and sequential tests for unit roots and/or changing coefficients in time series regressions. The recursive and rolling tests …
The Relationship between the Markup and Inflation in the G7 Economies and Australia
An I(2) analysis of inflation and the markup is undertaken for the G7 economies and Australia. We find that the levels of prices and costs are best described as I(2) processes and that, except for Japan, a linear combination of the log levels of prices and costs cointegrate to the markup that is integrated of order 1. It is also shown that the markup in each case co-integrates with inflation and that higher inflation is associated with a lower ma…
Panel Data Cointegration Testing with Structural Instabilities
Spurious regression analysis in panel data when the time series are cross-section dependent is analyzed in the article.The set-up includes (possibly unknown) multiple structural breaks that can affect both the deterministic and the common factor components.We show that consistent estimation of the long-run average parameter is possible once cross-section dependence is controlled using cross-section averages in the spirit of Pesaran's common corre…
Economics (3 works) · Market Dynamics and Volatility (3 works) · Monetary Policy and Economic Impact (3 works) · Computer Science (2 works) · Econometrics (2 works) · Mathematics (2 works) · A priori and a posteriori (1 work) · Asymptotic analysis (1 work) · Cointegration (1 work) · Complex Systems and Time Series Analysis (1 work)