Anurag Narayan Banerjee

Reader in  Financial Econometrics.

Contact:

Telephone: +44 (0) 191 33 46356

Fax: +44 (0) 191 33 46341

23/26 Old Elvet

Department of Economics and Finance

a.n.banerjee@durham.ac.uk

 

 

Teaching:

PhD. Supervision:

Administration:

·         Director Post Graduate Research

 

Primary Research Interest:

Econometric Theory: Sensitivity analysis of econometric models and semi-parametric econometrics.

Applied Econometrics: Policy Evaluation in Agriculture, Sports, Finance, Education and Monetary Policy.   

Work in Progress

Finance/Economics/Applied Econometrics

2010, Best Paper Award, NTU International Conference on Economics, Finance and Accounting

 

Econometric Theory:

 

Publications : Journal Articles

·         The sensitivity of OLS when Variance matrix is (partially) unknown, (with J.R..Magnus) Journal of Econometrics, 92, 295-323, 1999. paper

·         On the Sensitivity of the usual t and F-tests to AR(1) misspecification, (with J.R. Magnus) Journal of Econometrics, (95)1 157-176, 2000 paper

·         An Empirical Study of the Determinants of Public Research Investment and Commodity Policies in Agriculture, (with Johan F.M. Swinnen, Harry de Gorter, Gordon C. Rausser) Agricultural Economics 23(3), September 2000, pages 253-65. paper

·         Sensitivity of Univariate AR(1) Time-series Forecasts near the Unit Root, Journal of Forecasting, Vol 20 Issue 3 203-229, 2001.paper

·         A Re-examination of Excess Sensitivity Puzzle when Consumers Forecast the Income Process,(with P.Basu) Journal of Forecasting, Vol 20 Issue 5 357-356, 2001. paper

·         Agricultural protection and economic development: An Econometric Study of the Determinants of Agricultural Protection in Belgium since the 19th Century, (with Johan F.M. Swinnen and Harry de Gorter) Agricultural Economics 26(1), October 2001, pages 25-43 paper

·         Does A Sudden Death Liven Up The Game? Rules, Incentives, and Strategy in Football, 2003, (with Johan F.M. Swinnen), Economic Theory, Volume 23, Number 2, 2004. paper

·         A method of estimating the Average Derivative,  Journal of Econometrics , 136(1),  65-88, 2007. paper.

ü  Also the left out small sample results comparing with the "Sine" Model by Hardle (1992 pp 279))

·         The power of autocorrelation tests near the unit root in regression models with possibly mis-specified linear restrictions", 2007, Economics Letters, 94, 213-219., (with Alan Wan and Gouhua Zou ) paper

·         Skating on Thin Ice: Rule Changes and Team Strategies in the NHL, (with Johan F.M. Swinnen and Alfons Weersink) Canadian Journal of Economics,  40(2), 493-514, 2007. paper 

ü  Canadian Press released the following about the paper in : http://www.tsn.ca/nhl/news_story/?ID=219827&hubname=nhl , http://news.therecord.com/article/251275 http://news.guelphmercury.com/Sports/article/246349 , http://www.torontosun.com/Sports/Hockey/2007/10/04/4548946-sun.html  Also released in Slovakia!! For those who read Slovak :  http://www.hokej.sk/nhl/?clanok=50329, http://www.sportdnes.sk/index.php?categoryid=17&p2_articleid=3169

Software development

·         The PDF of a ratio of Quadratic Forms: the IMHOF Method. (Implemented in Gauss), archived at American University Software Archive (http://www.american.edu/academic.depts/cas/econ/gaussres/pdf/pdf.htm)

·         T sensitivity: This is a MATLAB program that calculates the ASYMPMTOTIC decision (Rule of Thumb) of the t-statistic ( linear restrictions case) being sensitive to nuisance parameter in the variance covariance matrix. (See: Banerjee, A.N. and J.R. Magnus (2000)). The example is for AR(1) process.

Research Funding.