Anthoulla Phella
Lecturer in Econometrics
Adam Smith Business School,
University of Glasgow,
Glasgow, United Kingdom
Bio
I have recently joined the Adam Smith Business School at the University of Glasgow as a Lecturer in Econometrics and I am a member of the macroeconomics research cluster. My primary research interests are time series econometrics and applied macroeconomics, with a current focus on macro-at-risk projects. I have received my Ph.D. from the University of Surrey.
I also hold a Bachelor of Science degree in Economics from the University of Surrey and a Master of Science degree in Economics from the London School of Economics and Political Science, where i have also previously held teaching positions. I have recently spent time at the European Central Bank as a Ph.D. trainee at the Monetary Analysis Division, where I have worked extensively on macro-at-risk projects as part of the insitution's Strategy Review.
Job Market Paper
Consistent Specification Test for the Quantile Autoregression
With No Omitted Latent Factors
This paper proposes a test for the joint hypothesis of correct dynamic specification and no omitted latent factors for the Quantile Autoregression. If the composite null is rejected we proceed to disentangle the cause of rejection, i.e., dynamic misspecification or an omitted variable. We establish the asymptotic distribution of the test statistics under fairly weak conditions and show that factor estimation error is negligible. A Monte Carlo study shows that the suggested tests have good finite sample properties. Finally, we undertake an empirical illustration of modelling growth and inflation in the United Kingdom, where we find evidence that factor augmented models are correctly specified in contrast with their non-augmented counterparts when it comes to GDP growth, while also exploring the asymmetric behaviour of the growth and inflation distribution.