Vanessa Smith

Search results

• 2023

  Short T Dynamic Panel Data Models with Individual, Time and Interactive Effects

  Smith, L. V., Hayakawa, K. & Pesaran, M. H., 2023, In: Journal of Applied Econometrics.

  Research output: Contribution to journal › Article › peer-review

• 2021

  Assessing the impact of COVID-19 on global fossil fuel consumption and CO2 emissions

  Smith, L. V., Tarui, N. & Yamagata, T., 1 May 2021, In: Energy economics. 97, 19 p., 105170.

  Research output: Contribution to journal › Article › peer-review

  Open Access

  File
• 2019

  A multiple testing approach to the regularisation of large sample correlation matrices

  Bailey, N., Pesaran, M. H. & Smith, L. V., 1 Feb 2019, In: Journal of Econometrics. 208, 2, p. 507-534 28 p.

  Research output: Contribution to journal › Article › peer-review

  Open Access

  File
• 2014

  Constructing Multi-Country Rational Expectations Models

  Dees, S., Pesaran, M. H., Smith, L. V. & Smith, R., Dec 2014, In: Oxford Bulletin of Economics and Statistics. 76, 6, p. 812-840 29 p.

  Research output: Contribution to journal › Article › peer-review

• On the epidemic of financial crises

  Demiris, N., Kypraios, T. & Smith, L. V., Jun 2014, In: Journal of the Royal Statistical Society: Series A (Statistics in Society). 177, 3, p. 697-723

  Research output: Contribution to journal › Article › peer-review
• 2013

  Panel unit root tests in the presence of a multifactor error structure

  Pesaran, M. H., Smith, L. V. & Yamagata, T., Aug 2013, In: Journal of Econometrics. 175, 2, p. 94–115 22 p.

  Research output: Contribution to journal › Article › peer-review
• 2011

  Firm level return–volatility analysis using dynamic panels

  Smith, L. V. & Yamagata, T., Dec 2011, In: Journal of empirical finance. 18, 5, p. 847–867 21 p.

  Research output: Contribution to journal › Article › peer-review
• 2009

  Empirical evidence on jumps in the term structure of the US Treasury Market

  Dungey, M., McKenzie, M. & Smith, L. V., Jun 2009, In: Journal of empirical finance. 16, 3, p. 430–445

  Research output: Contribution to journal › Article › peer-review

• Forecasting economic and financial variables with global VARs

  Pesaran, M. H., Schuermann, T. & Smith, L. V., Dec 2009, In: International journal of forecasting. 25, 4, p. 642–675

  Research output: Contribution to journal › Article › peer-review

• Identification of New Keynesian Phillips Curves from a global perspective

  Dees, S., Pesaran, M. H., Smith, L. V. & Smith, R. P., Oct 2009, In: Journal of Money Credit and Banking. 41, 7, p. 1481–1502 22 p.

  Research output: Contribution to journal › Article › peer-review

• Rejoinder to comments on forecasting economic and financial variables with global VARs

  Pesaran, M. H., Schuermann, T. & Smith, L. V., Oct 2009, In: International journal of forecasting. 25, 4, p. 703-715

  Research output: Contribution to journal › Article › peer-review
• 2008

  Testing for changing persistence in US Treasury on/off spreads under weighted-symmetric estimation

  Smith, L. V. & Tambakis, D. N., Feb 2008, In: European Journal of Finance. 14, 2, p. 75-89

  Research output: Contribution to journal › Article › peer-review
• 2007

  Exploring the international linkages of the euro area: a global VAR analysis

  Dees, S., di Mauro, F., Pesaran, M. H. & Smith, L. V., Jan 2007, In: Journal of Applied Econometrics. 22, 1, p. 1-38 38 p.

  Research output: Contribution to journal › Article › peer-review

• Long run macroeconomic relations in the global economy

  Dees, S., Holly, S., Pesaran, M. H. & Smith, L. V., 2007, In: Economics - The Open-Access, Open-Assessment E-Journal. 2007-3.

  Research output: Contribution to journal › Article › peer-review

• What if the UK or Sweden had joined the euro in 1999? An empirical evaluation using a Global VAR

  Hashem Pesaran, M., Smith, L. V. & Smith, R. P., 2007, In: International Journal of Finance and Economics. 12, 1, p. 55-87

  Research output: Contribution to journal › Article › peer-review
• 2004

  More powerful panel data unit root tests with an application to mean reversion in real exchange rates

  Smith, V., Leybourne, S., Kim, T-H. & Newbold, P., 2004, In: Journal of Applied Econometrics. 19, 2, p. 147-170

  Research output: Contribution to journal › Article › peer-review
• 2003

  Tests for a change in persistence against the null of difference-stationarity

  Leybourne, S., Kim, T-H., Smith, L. V. & Newbold, P., 2003, In: Econometrics Journal. 6, p. 290-310

  Research output: Contribution to journal › Article › peer-review