Wednesday 18 March 2026, 14.00-17.00 GMT
University of Birmingham
Professor Anindya Banerjee is Professor of Econometrics in the Department of Economics in the Birmingham Business School. He joined the department in January 2008 as Professor in Economics. Before coming to Birmingham he was Professor at the European University Institute in Florence and Fellow of Wadham College, Oxford. Professor Banerjee received his Ph.D. from the University of Oxford. His interests lie in time series econometrics, including factor models, and the econometrics of integrated panel data. A link to his research portal is available here: https://research.birmingham.ac.uk/en/persons/anindya-banerjee
Panel data methods have in recent years become the focus of research in the testing for unit roots and cointegration, with the ‘panel’ referring to the combining of a time-series with a cross-section dimension where both T and N are ‘large’ in the sense required for the asymptotic theory needed for the theoretical derivations to work.
The masterclass will provide a broad overview of the methods used, starting with the early testing
strategies adopted and bringing the audience up to date with the literature on this topic. A key
issue to be discussed is the way in which cross-section dependence across the units of the panel
is handled, within the two dominant paradigms of cross-section augmented testing (Pesaran)
versus the use of principal components (Bai and Ng).
Masterclass Chair
University College London
