George Kapetanios

Queen Mary, University of London

George works in the area of econometrics and macroeconomics. In the area of econometrics he is interested in (i) the analysis of nonlinear econometric models, (ii) nonlinear unit root tests, (iii) factor models for large datasets (iv) model selection (v) tests of rank (vi) tests of nonlinearity and (vii) econometric forecasting. He has developed unit root tests that are powerful against nonlinear stationary processes for a variety of nonlinear alternative hypotheses.

He has developed new tests for nonlinearity with very favourable size and power properties. He has proposed a new methodology for estimating factors from large datasets using state space models. In the area of macroeconomics he has investigated the persistence properties of a number of macroeconomics series and used state space and nonlinear models to forecast GDP for Europe and the US.

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