Economics Applied econometrics

Our research involves the development and use of a range of statistical methods to explore both microeconomic and macroeconomic problems.

This includes the development of new approaches to measuring the modern economy, the development of econometric techniques (with a particular specialism in Bayesian econometrics), and work to develop approaches to producing more timely indicators of the macroeconomy through ‘nowcasting’.

These methods and approaches have been used and adopted by a range of organisations including central banks, statistical agencies, and governments. Some recent examples of this are summarised in the following 2021 REF impact case: “Improving policy-relevant analysis in the UK, Europe and USA through novel macroeconometric methods” by Gary Koop and Stuart McIntyre.

Example publications

Huber, Florian, Gary Koop, Luca Onorante, Michael Pfarrhofer, and Josef Schreiner. "Nowcasting in a pandemic using non-parametric mixed frequency VARs." Journal of Econometrics 232, no. 1 (2023): 52-69.

Fischer, Manfred M., Niko Hauzenberger, Florian Huber, and Michael Pfarrhofer. "General Bayesian time‐varying parameter vector autoregressions for modeling government bond yields." Journal of Applied Econometrics 38, no. 1 (2023): 69-87.

Beckmann, Joscha, Sharada Nia Davidson, Gary Koop, and Rainer Schüssler. "Cross-country uncertainty spillovers: Evidence from international survey data.Journal of International Money and Finance 130 (2023): 102760.

Wu, Ping, and Gary Koop. "Estimating the ordering of variables in a VAR using a Plackett-Luce Prior." Economics Letters (2023).

Koop, Gary., McIntyre, Stuart., Mitchell, James., and Aubrey Poon.Reconciled Estimates of Monthly GDP in the US”, Journal of Business & Economic Statistics, (2022), Vol. 41, 2, 563–577.

Hauzenberger, Niko, Florian Huber, Gary Koop, and Luca Onorante. "Fast and flexible Bayesian inference in time-varying parameter regression models.Journal of Business & Economic Statistics 40, no. 4 (2022): 1904-1918.

Koop, Gary, McIntyre, Stuart and Mitchell, James. "UK regional nowcasting using a mixed frequency vector auto-regressive model with entropic tilting.Journal of the Royal Statistical Society Series A: Statistics in Society 183, no. 1 (2020): 91-119.

Koop, Gary, McIntyre, Stuart, Mitchell, James and Poon, Aubrey. “Regional Output Growth in the United Kingdom: More Timely and Higher Frequency Estimates, 1970-2017”, with Koop, G., Mitchell, J., and Poon, A., (2020), Journal of Applied Econometrics, Vol. 35, 2, pp. 176-197


Regional Nowcasting in the UK”, Office for National Statistics, Economic Statistics Centre of Excellence, (Gary Koop, Stuart McIntyre, and James Mitchell (Warwick)).