Natalia Bailey

Queen Mary, University of London

SCHOLARLY PAPERS

5

DOWNLOADS

366

CITATIONS

2

Scholarly Papers (5)

Exponent of Cross-Sectional Dependence: Estimation and Inference

CESifo Working Paper Series No. 3722
Number of pages: 46 Posted: 05 Feb 2012
Natalia Bailey, George Kapetanios and M. Hashem Pesaran
Queen Mary, University of London, University of London - Queen Mary College - Department of Economics and USC Dornsife Institute for New Economic Thinking
Downloads 98 (224,707)
Citation 2

Abstract:

cross correlations, cross-sectional dependence, cross-sectional averages, weak and strong factor models, capital asset pricing model

Exponent of Cross-Sectional Dependence: Estimation and Inference

IZA Discussion Paper No. 6318
Number of pages: 47 Posted: 12 Feb 2012
Natalia Bailey, George Kapetanios and M. Hashem Pesaran
Queen Mary, University of London, University of London - Queen Mary College - Department of Economics and USC Dornsife Institute for New Economic Thinking
Downloads 21 (450,773)
Citation 2

Abstract:

cross correlations, cross-sectional dependence, cross-sectional averages, weak and strong factor models, Capital Asset Pricing Model

A Two Stage Approach to Spatiotemporal Analysis with Strong and Weak Cross-Sectional Dependence

CAFE Research Paper No. 14.01
Number of pages: 35 Posted: 07 Jan 2014
Natalia Bailey, Sean Holly and M. Hashem Pesaran
Queen Mary, University of London, University of Cambridge - Department of Applied Economics and USC Dornsife Institute for New Economic Thinking
Downloads 47 (339,536)

Abstract:

Spatial and factor dependence, spatiotemporal models, house price changes

A Two Stage Approach to Spatiotemporal Analysis with Strong and Weak Cross-Sectional Dependence

CESifo Working Paper Series No. 4592
Number of pages: 35 Posted: 11 Feb 2014
Natalia Bailey, Sean Holly and M. Hashem Pesaran
Queen Mary, University of London, University of Cambridge - Department of Applied Economics and USC Dornsife Institute for New Economic Thinking
Downloads 42 (356,059)

Abstract:

spatial and factor dependence, spatiotemporal models, house price changes

Quasi Maximum Likelihood Estimation of Spatial Models with Heterogeneous Coefficients

USC-INET Research Paper No. 15-17
Number of pages: 64 Posted: 27 Jun 2015
Michele Aquaro, Natalia Bailey and M. Hashem Pesaran
University of Warwick, Queen Mary, University of London and USC Dornsife Institute for New Economic Thinking
Downloads 67 (284,576)

Abstract:

Spatial panel data models, heterogeneous spatial lag coefficients, identification, quasi maximum likelihood (QML) estimators, non-Gaussian errors

Quasi Maximum Likelihood Estimation of Spatial Models with Heterogeneous Coefficients

CESifo Working Paper Series No. 5428
Number of pages: 64 Posted: 14 Jul 2015
Michele Aquaro, Natalia Bailey and M. Hashem Pesaran
University of Warwick, Queen Mary, University of London and USC Dornsife Institute for New Economic Thinking
Downloads 16 (479,641)

Abstract:

spatial panel data models, heterogeneous spatial lag, coefficients, identification, quasi maximum likelihood (QML) estimators, non-Gaussian errors

4.

A Multiple Testing Approach to the Regularisation of Large Sample Correlation Matrices

CAFE Research Paper No. 14.05
Number of pages: 46 Posted: 29 May 2014
Natalia Bailey, M. Hashem Pesaran and L. Vanessa Smith
Queen Mary, University of London, USC Dornsife Institute for New Economic Thinking and University of York
Downloads 41 (295,412)

Abstract:

Sparse correlation matrices, High-dimensional data, Multiple testing, Thresholding, Shrinkage

5.

A Multiple Testing Approach to the Regularisation of Large Sample Correlation Markets

CESifo Working Paper Series No. 4834
Number of pages: 46 Posted: 03 Jul 2014
Natalia Bailey, M. Hashem Pesaran and L. Vanessa Smith
Queen Mary, University of London, USC Dornsife Institute for New Economic Thinking and University of York
Downloads 10 (472,539)

Abstract:

sparse correlation matrices, high-dimensional data, multiple testing, thresholding, shrinkage