The research group in econometrics consists of time series econometricians, who overlap to a large extent with macroeconomists and a number of financial economists at the department, and of some microeconometricians, mainly within labour and health economics.
There are also a few theoretical econometricians. Other researchers within the department have econometric applications, but their research will be found within their own specialisations.
The core researchers in econometrics consist of two professors, two other tenured faculty and several PhD candidates. The main thrust of the present research within the group is concentrated to two projects.
The first consists of developing tests and estimation methods for nonstationary panel data and applying these to various macroeconomic problems such as the permanent income hypothesis, purchasing power parity, the Fisher effect, international R&D spillovers and exchange rate modelling. This project has been a collaboration with statisticians at Uppsala University, and has been very successful. The project is led by Professors David Edgerton and Joakim Westerlund and has been funded by the Jan Wallander and Tom Hedelius Foundation.
The second project concerns modelling irregular time series through the use of wavelet analysis. The methods have been applied to a wide variety of economics problems, and in particular to studying growth in times of financial crisis. We have also studied the theoretical properties of testing and estimation using wavelet analysis. The project is led by Assistant Professor Fredrik N. G. Andersson and Professor David Edgerton and has been funded by the Science Research Council.