L
L. Vanessa Smith
Researcher at University of York
Publications - 44
Citations - 3807
L. Vanessa Smith is an academic researcher from University of York. The author has contributed to research in topics: Interest rate & Unit root. The author has an hindex of 21, co-authored 44 publications receiving 3476 citations. Previous affiliations of L. Vanessa Smith include University of Cambridge.
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Exploring the International Linkages of the Euro Area: a Global VAR Analysis
TL;DR: In this article, a global model linking individual country vector error-correcting models in which the domestic variables are related to the country-specific variables as an approximate solution to a global common factor model is presented.
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Exploring the international linkages of the euro area: a global VAR analysis
TL;DR: In this article, a global model linking individual country vector error-correcting models in which the domestic variables are related to the country-specific variables as an approximate solution to a global common factor model is presented.
Journal ArticleDOI
More powerful panel data unit root tests with an application to mean reversion in real exchange rates
TL;DR: In this paper, the authors show that more powerful variants of commonly applied unit root tests are readily available and that power gains persist when the modifications are applied to bootstrap procedures that may be employed when cross-correlation of a rather general sort among individual panel members is suspected.
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Long Run Macroeconomic Relations in the Global Economy
TL;DR: In this article, the authors focus on testing long run macroeconomic relations for interest rates, equity, prices and exchange rates within a model of the global economy, and use the global vector autoregressive (GVAR) model developed in Dees, di Mauro, Pesaran and Smith to test for long run restrictions in each country/region conditioning on the rest of the world.
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Panel Unit Root Tests in the Presence of a Multifactor Error Structure
TL;DR: In this paper, the authors extend the cross sectionally augmented panel unit root test proposed by Pesaran (2007) to the case of a multifactor error structure, which exploits information regarding the unobserved factors that are shared by other time series in addition to the variable under consideration.