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Anthoulla Phella

Ph.D. Candidate in Economics

Department of Economics

University of Surrey

Guildford, United Kingdom

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Bio

I recently completed my Ph.D. at the University of Surrey and I am currently undertaking a Ph.D. Traineeship at the Monetary Analysis Division at the European Central Bank. I will be joining the University of Glasgow as a Lecturer in Econometrics in September 2021. My primary research interests are time series econometrics and applied macroeconomics. 

 

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.

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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.