Media sentiment and UK stock returns (2011)
Working Paper
Ferguson, N., Guo, J., Lam, H., & Philip, D. (2011). Media sentiment and UK stock returns

This paper is the first to determine the effect that media sentiment has on stockreturns for UK companies and tests whether there is any return predictabilitycontained in the UK media sentiment data. We show that measures of positive andnegative medi... Read More about Media sentiment and UK stock returns.

The Output Effect of a Transition to Price Stability When Velocity is Time-varying (2010)
Journal Article
Evans, L., & Nicolae, A. (2010). The Output Effect of a Transition to Price Stability When Velocity is Time-varying. Journal of Money, Credit and Banking, 42(5), 859-878. https://doi.org/10.1111/j.1538-4616.2010.00310.x

This paper explores the effect of time-varying velocity on output responses to policies for reducing/stopping inflation. We study a dynamic general equilibrium model with sticky prices in which we introduce time-varying velocity. Specifically, we end... Read More about The Output Effect of a Transition to Price Stability When Velocity is Time-varying.

Imperfectly-credible disinflation of small inflations (2010)
Working Paper
Evans, L., & Nicolae, A. (2010). Imperfectly-credible disinflation of small inflations

In this paper we study and quantify the e¤ects of a disinflationary policyon output and welfare. Our focus is the policy question of the optimal response to low inflation.The analysis takes place in the context of a DSGEmodel with sticky prices, time... Read More about Imperfectly-credible disinflation of small inflations.

Return the output effect of stopping inflation when velocity is time varying (2007)
Working Paper
Evans, L., & Nicolae, A. (2007). Return the output effect of stopping inflation when velocity is time varying

This paper explores the effect of time varying velocity in a transition to price stability. Nonstationary velocity, expressed asfunction of consumption, is made endogenous in Ireland's (1997) model. We find that the disinflationary booms found by Bal... Read More about Return the output effect of stopping inflation when velocity is time varying.

Skating on Thin Ice: Rule Changes and Team Strategies in the NHL. (2007)
Journal Article
Banerjee, A., Swinnen, J. F., & Weersink, A. (2007). Skating on Thin Ice: Rule Changes and Team Strategies in the NHL. Canadian Journal of Economics, 40(2), 493-514. https://doi.org/10.1111/j.1540-5982.2007.00418.x

Abstract.  In an effort to stimulate a more exciting and entertaining style of play, the National Hockey Association (NHL) changed the rewards associated with the results of overtime games. Under the new rules, teams tied at the end of regulation bot... Read More about Skating on Thin Ice: Rule Changes and Team Strategies in the NHL..

The power of autocorrelation tests near the unit root in models with possibly mis-specified linear restrictions (2007)
Journal Article
Wan, A., Zou, G., & Banerjee, A. (2007). The power of autocorrelation tests near the unit root in models with possibly mis-specified linear restrictions. Economics Letters, 94(2), 213-219. https://doi.org/10.1016/j.econlet.2006.06.032

It is well known that the Durbin–Watson and several other tests for first-order autocorrelation have limiting power of either zero or one in a linear regression model without an intercept, and a constant lying strictly between these values when an in... Read More about The power of autocorrelation tests near the unit root in models with possibly mis-specified linear restrictions.

The impact of imperfect credibility in a transition to price stability (2006)
Journal Article
Nicolae, A., & Nolan, C. (2006). The impact of imperfect credibility in a transition to price stability. Journal of Money, Credit and Banking, 38(1), 47-66

In this paper we study the impact of a temporary lack of credibility in a transition to price stability.We quantify the effects of a period of disinflation on temporary output losses, and the impact of the lack of credibility on the optimal speed of... Read More about The impact of imperfect credibility in a transition to price stability.

A method of estimating the average derivative (2005)
Journal Article
Banerjee, A. (2007). A method of estimating the average derivative. Journal of Econometrics, 136(1), 65-88. https://doi.org/10.1016/j.jeconom.2005.07.010

We derive a simple semi-parametric estimator of the “direct” Average Derivative, δ=E(D[m(x)]), where m(x) is the regression function and S, the support of the density of x is compact. We partition S into disjoint bins and the local slope D[m(x)] with... Read More about A method of estimating the average derivative.

Does a sudden death liven up the game? Rules, incentives and strategy in football (2004)
Journal Article
Banerjee, A., & Swinnen, J. (2004). Does a sudden death liven up the game? Rules, incentives and strategy in football. Economic Theory, 23(2), 411-421. https://doi.org/10.1007/s00199-003-0402-3

In an effort to stimulate more attractive football, the international football association FIFA, has recently introduced the "sudden death" or "golden goal" rule for games going into extra time play. This paper analyses under which conditions, if any... Read More about Does a sudden death liven up the game? Rules, incentives and strategy in football.

Economic development, institutional change, and the political economy of agricultural protection An econometric study of Belgium since the 19th century. (2001)
Journal Article
Swinnen, J., Banerjee, A., & de Gorter, H. (2001). Economic development, institutional change, and the political economy of agricultural protection An econometric study of Belgium since the 19th century. Agricultural Economics, 26(1), 25-43. https://doi.org/10.1111/j.1574-0862.2001.tb00052.x

This empirical study uses 100 years of annual data on 11 agricultural commodities from Belgium to measure the impact of structural changes coinciding with economic development and changes in political institutions on agricultural protection. The anal... Read More about Economic development, institutional change, and the political economy of agricultural protection An econometric study of Belgium since the 19th century..

A re-examination of the excess smoothness puzzle when consumers estimate the income process (2001)
Journal Article
Banerjee, A., & Basu, P. (2001). A re-examination of the excess smoothness puzzle when consumers estimate the income process. Journal of Forecasting, 20(5), 357-366. https://doi.org/10.1002/for.796

The excess smoothness puzzle is explored using a simple version of the permanent income hypothesis. The new feature is that consumers do not know the observed data-generating process for income. Instead they estimate the income process every period u... Read More about A re-examination of the excess smoothness puzzle when consumers estimate the income process.

Sensitivity of univariate AR(1) time-series forecasts near the unit root (2001)
Journal Article
Banerjee, A. (2001). Sensitivity of univariate AR(1) time-series forecasts near the unit root. Journal of Forecasting, 20(3), 203-229. https://doi.org/10.1002/1099-131x%28200104%2920%3A3%3C203%3A%3Aaid-for766%3E3.0.co%3B2-d

We consider the linear time-series model yt=dt+ut(t=1,...,n), where dt is the deterministic trend and ut the stochastic term which follows an AR(1) process; ut=ut-1+t, with normal innovations t. Various assumptions about the start-up will be made. Ou... Read More about Sensitivity of univariate AR(1) time-series forecasts near the unit root.

On the sensitivity of the usual t- and F-tests to covariance misspecification. (2000)
Journal Article
Banerjee, A., & Magnus, J. (2000). On the sensitivity of the usual t- and F-tests to covariance misspecification. Journal of Econometrics, 95(1), 157-176. https://doi.org/10.1016/s0304-4076%2899%2900034-2

We consider the standard linear regression model with all standard assumptions, except that the disturbances are not white noise, but distributed Full-size image (

The political economy of public research investment and commodity policies in agriculture: an empirical study. (2000)
Journal Article
Swinnen, J., de Gorter, H., Rausser, G., & Banerjee, A. (2000). The political economy of public research investment and commodity policies in agriculture: an empirical study. Agricultural Economics, 22(2), 111-122. https://doi.org/10.1111/j.1574-0862.2000.tb00009.x

The paper tests a political economy theory of simultaneous government decision-making on income redistribution through commodity policies and on public research investment in agriculture. We use data from 37 countries on agricultural protection and p... Read More about The political economy of public research investment and commodity policies in agriculture: an empirical study..

The sensitivity of OLS when the variance matrix is (partially) unknown. (1999)
Journal Article
Banerjee, A., & Magnus, J. (1999). The sensitivity of OLS when the variance matrix is (partially) unknown. Journal of Econometrics, 92(2), 295-323. https://doi.org/10.1016/s0304-4076%2898%2900093-1

We consider the standard linear regression model y=Xβ+u with all standard assumptions, except that the variance matrix is assumed to be σ2Ω(θ), where Ω depends on m unknown parameters Full-size image (

The sensitivity of estimates, inferences and forecasts of linear models (1997)
Thesis
Banerjee, A. The sensitivity of estimates, inferences and forecasts of linear models. (Thesis). Retrieved from https://durham-repository.worktribe.com/output/1719767