Anurag Narayan Banerjee

Contact:

Telephone: +44 (0) 191 33 46356

Fax: +44 (0) 191 33 46341

Room number: 23/26 Old Elvet

a.n.banerjee@durham.ac.uk

 

Primary Interest:

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

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

Publications : Journal Articles, Working Papers and Research in Progress.

Monographs 

·         Sensitivity of forecasts, estimates and inferences of Linear Models, Thesis Publishers, Amsterdam, 1997, ISBN 90-5668-031-5.

Journal Articles

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

·         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 .

·         The political economy of public research investment and commodity policies in agriculture: an empirical study, (with Johan F.M. Swinnen, Harry de Gorter, Gordon C. Rausser) Agricultural Economics 22(2), 111-122, 2000.

·         Economic development, institutional change, and the political economy of agricultural protection An econometric study of Belgium since the 19th century, (with Johan F.M. Swinnen and Harry de Gorter) Agricultural Economics 26(1), 25-43, 2001

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

·         A Re-examination of Excess Sensitivity Puzzle when Consumers Forecast the Income Process, (with P.Basu) Journal of Forecasting, 20(5), 357-366, 2001.

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

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

·         The power of autocorrelation tests near the unit root in models with possibly mis-specified linear restrictions (with Alan T.K. Wan and Guohua Zou) , Economics Letters. 94(2), 213-219, 2007.

·         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 

·         The Value of Past Stock Return Information in the Formation of the Momentum Strategies  (with Daniel Hung), Journal of Banking and Finance, 35(11),  2011

·         Discrimination of short and long memory in small samples using sensitivity analysis: An application to growth convergence, Bulletin of Economic Research, 64 168–192, 2012

·         Active Momentum Trading versus Passive "1/N Naive Diversification (with Daniel Hung), Quantitative Finance, 13(5),  655-663, 2013

·         Sensitivity of  Detrended Long-Memory Processes,  Communications in Statistics – Theory and Methods, 42(20),  2013.

·         Is India Shining? (with Nilanjan Banik)  Review of Development Economics, 18(1),  59-72, 2014.

·         Functional Coefficient Models for Dependent Data: Piecewise Local Linear Estimation and Inference (with Jean-Yves Pitarakis), Studies in Nonlinear Dynamics & Econometrics 18 (5), 507-520 2014

·         How do momentum strategies `score' against individual investors in Taiwan, Hong Kong and Korea? (with Daniel Hung) Emerging Markets Review 21, 67-81, 2014.

·         The Dynamics of Income Growth and Poverty: Evidence from Districts in India (with Nilanjan Banik, and Jyoti Prasad Mukhopadhyay), Development Policy Review 33 (3), 293-312, 2015.

·         An Anatomy of Credit Risk Transfer between Sovereign and Financials in the Eurozone Crisis (with Daniel Hung and Lisa Lo) Journal of International Financial Markets, Institutions & Money, 41, 102–120 2016

·         Corporate financing and anticipated credit rating changes, (with Daniel Hung, Qingrui Meng), Review of Quantitative Finance and Accounting, 2016.

·         India goes to Toilet: Demand for Household Sanitation in India (with Nilanjan Banik and Ashvika Dalmia) (Revise and resubmit, Invited for special issue of  Empirical Economics edited by Prof  Badi Baltagi)

·         Estimating Average Derivative with Integrated Regressors  (Revise and resubmit Journal of Time Series Econometrics)

Detecting and Forecasting Large Deviations and Bubbles in a Near-Explosive Random Coefficient Model: An application to U.S. housing prices (with Guillaume Chevillon and Marie Kratz, ESSEC Business School) Presented at the NBER Summer Institute  2014. (Re-submission Quantitative Economics)

Policy Papers

The Rich Keep Getting Richer in country-India! Says Who? Asia-Pacific Research and Training Network on Trade Working Paper No. 105, United Nations ESCAP, September 2011. (with Nilanjan Banik)

Demand for Household Sanitation: The case of India", ARTNeT Working Paper No. 154, United Nations ESCAP, January 26, 2016. (with Nilanjan Banik, & Ashvika Dalmia)

Working Papers

  •   Financial Inclusion and Awareness the role of Financial Literacy (Dennis Phillip and X Yue)
  •   The Endgame (with Gulio Seccia & Sarit Markovitch)
  • A Parsimonious Asset Pricing Model with Exchange Traded Funds (with Daniel Hung and Junqi Li)
  • Dividend Policy and Managerial Overreaction to Trends in Profitability Growth and Decline (with Daniel Hung and  Xiehua Ji)
  •   Business Cost and Skill Acquisition (with Parantap Basu & Elisa Keller)
  • On the 'Hirshleifer effect' of unscheduled monetary policy announcements, 2002, (with Giulio Seccia) University of Southampton , Discussion Papers in Economics and Econometrics, 0213. Latest Version
  • The Endgame (with Gulio Seccia, University of Southampton  and Sarit Markovitch, Kellogs Business School).
  • Sensitivity of OLS estimates against ARFIMA error process as small sample Test(s) for long memory (Research in Progress). Latest Version

    Recent Research Funding.

    2010-2011, Research Grant , South Asia Network of Economic Research Institutes, Global Development Network. (Value: $10K), Topic: “Spatial Dynamics of Indian Growth and Development” (with Nilanjan Banik, IFMR, India)

    2004-2006, Research Grant, Economic and Social Research Council, (Value: #46K), Topic: "Sensitivity of estimators and tests to nuisance parameters in econometric models".

    2002-2005, Overseas Collaboration Grant, (with Prof Alan T.K Wan, City University of Hong Kong ) (Value #6.6K)

    2001-2003, Faculty Research Support Funds, University of Southampton , UK (Value: #1.5K)