Adrian Pagan

Professor

Adrian Pagan is Professor of Economics in the School of Economics at the University of Sydney. He has published many papers in the area of theoretical and applied econometrics. He is a Fellow of the Academy of Social Sciences, the Econometric Society and the Journal of Econometrics; a Medallist Fellow of the Modelling and Simulation Society of Australia and New Zealand; has been made a Distinguished Fellow of the Economic Society of Australia and was awarded a Centenary Medal at the Centennial of Australian Federation.

He has held visiting and permanent appointments at a number of universities around the world including the Oxford University, the University of Rochester, Princeton University, Yale University, Johns Hopkins University and the University of California at Los Angeles. His interests are in macro-econometric modelling and their uses in policy analysis and for the explanation of business cycles.

Selected Publications

1999

Book

Non-parametric Econometrics (with A Ullah), Cambridge University Press, 1999.

Journal Article

D. Gruen, A, Pagan and C. Thompson, “The Phillips Curve in Australia” Journal of Monetary Economics, 44, 223-258.

2000

Articles in Books

V.L. Martin and A.R. Pagan , “Simulation-Based Estimation of Some Factor Models in Econometrics”, in R. Mariano, T. Schuermann and M.J. Weeks (eds) Simulation-Based Inference in Econometrics, Cambridge University Press, 235-254.

Pagan “The Optimal Control Articles” and “The Walras-Bowley Paper” In R. Leeson (ed) A.W.H. Phillips: Collected Works in Contemporary Perspective, Cambridge University Press, 130-133 and 420-422.

“Knowing the Cycle” (with D. Harding) in R. Backhouse and A. Salanti, Macroeconomics and the Real World (Oxford University Press), Vol 1, 23- 41

Journal Articles

A.R. Pagan and M.R. Veall , “Data Mining and the Econometrics Industry: Comments on the papers of Mayer and of Hoover and Perez”, Journal of Economic Methodology, 7:2, 211-216.
M. Dungey, V.L. Martin and A.R. Pagan "A Multivariate Latent Factor Decomposition of International Bond Yield Spreads", Journal of Applied Econometrics. 15, p 697-715
“A Structural VAR Model of the Australian Economy” (with Mardi Dungey) Economic Record, 76, 321-342.

2001

Articles in Books

“The Getting of Macro-Economic Wisdom” in J. Dreze (ed) Advances in Macroeconomic Theory, IEA Conference Volume 133, (Palgrave, New York), 219-235.
“Do Markov-Switching Models Capture Nonlinearities in the Data? Tests Using Nonparametric Methods”, (with R. Breunig) in MODSIM 2001: Proceedings of the International Congress on Modelling and Simulation, Vol 3, 1445-1449.

2002

Articles in Books

“Forecasting for Policy” (with John Robertson) in M.P. Clements and D.F. Hendry, (eds), A Companion to Economic Forecasting. Oxford: Blackwell..

Journal Articles

“Dissecting the Cycle: A Methodological Investigation” (with D. Harding), Journal of Monetary Economics, 49, 365-381.
“Learning about Models and their Fit to Data”, International Economic Journal, 16, 2002, 1-18.

2003

Articles in Books

A.R. Pagan, “Report on Modelling and Forecasting at the Bank of England”. Bank of England Quarterly Bulletin, Spring, 1-29

Journal Articles

A.R. Pagan and Kirill Sossounov , “A Simple Framework for Analysing Bull and Bear Markets”, Journal of Applied Econometrics, 18, 23-46.

D. Harding and A. R. Pagan “A Comparison of Two Business Cycle Dating Methods” Journal of Economic Dynamics and Control, 27, 1681-1690
D. Harding and A. R. Pagan , “Rejoinder to James Hamilton”, Journal of Economic Dynamics and Control, 27, 1695-1698.

“Specification Testing of Markov Switching Models” with R. Breunig and S, Najarian, Oxford Bulletin of Economics and Statistics, 65, 703-725.

2004

Journal Articles

S.G.B. Henry and A.R. Pagan , “The Econometrics of the New Keynesian Policy Model: Introduction”, in S.G.B. Henry and A.R. Pagan(eds) The Econometrics of the New Keynesian Policy, Supplement, Oxford Bulletin of Economics and Statistics, 66,581-607.
S.G.B. Henry and A.R. Pagan(eds) The Econometrics of the New Keynesian Policy Model, Supplement, Oxford Bulletin of Economics and Statistics, 66, p 581-764

J. Ohn, L.W. Taylor and A. Pagan “Testing for Duration Dependence in Economic Cycles”, Econometrics Journal, 7, 528-549

R. Breunig and A. R. Pagan “Do Switching Models Capture Non-linearities in data? Tests Using Non-parametric Methods”, Mathematics and Computers in Simulation, 64, 401-407.

2005

Articles in Books

A.R. Pagan “Addendum to report on Modelling and Forecasting at the Bank of England”, Bank of England Quarterly Bulletin, Summer 2005, 190-193

Journal Articles

D. Harding and A,R. Pagan , “A Suggested Framework for Classifying the Modes of Cycle Research, Journal of Applied Econometrics , 20, 151-159.


J. Engel, D, Haugh and A. Pagan “ Some Methods for Assessing the Need for Non-Linear Models in Business Cycles”, International Journal of Forecasting 21, 651-662.

2006

Articles in Journals

D. Harding and A. R. Pagan “Synchronization of Cycles”, Journal of Econometrics, 132, 59-79

2007

Articles in Journals

G. Kapetanios, A.R. Pagan and A. Scott “Making a Match: Combining Theory and Evidence in Policy-oriented Macroeconomic Modeling”, Journal of Econometrics, 136, 505-594.


Martin Fukač and Adrian R. Pagan “Commentary on ‘An Estimated DSGE Model for the United Kingdom" Federal Reserve Bank of St Louis Review, Vol 89, #4, 233-240

2008

Articles in Books

D. Harding and A.R. Pagan "Business Cycle Measurement." in S.N. Durlauf and L.E. Blume (eds) The New Palgrave Dictionary of Economics (2nd Edition), Palgrave Macmillan

Articles in Journals

A.R. Pagan and M.H. Pesaran , “Econometric Analysis of Structural Systems with Permanent and Transitory Shocks”, Journal of Economic Dynamics and Control, 32, 3376-3395.

2009

Articles in Books

A.R. Pagan, “Comments on ‘Phillips Curve Inflation Forecasts’ by J.H. Stock and M. W. Watson “, in J. Fuhrer, Y.K. Kodrzycki, J.S. Little and G. P. Olivei (eds) Understanding Inflation and the Implications for Monetary Policy: A Phillips Curve Perspective (MIT Press), 187-193

Articles in Journals

M. Dungey and A. R Pagan, “Extending an SVAR Model of the Australian Economy”, Economic Record, 85, 1-20.

2010

Articles in Books

M. Fukacs and A. Pagan “Structural Macro-economic Modelling in a Policy Environment”, D. Giles and A. Ullah (eds), Handbook of Empirical Economics and Finance , Routledge

L. Catao and A. Pagan , “The Credit Channel and Monetary Transmission in Brazil and Chile: A Structured VAR Approach” L.F. Cespedes, R. Chang and D. Saravia (eds) Monetary Policy Under Financial Turbulence (Central Bank of Chile)

Articles in Journals

M. Fukac and A.R. Pagan “Limited Information Estimation and Evaluation of DSGE Models”, Journal of Applied Econometrics, 25 ,55-70

2011

Articles in Journals

D. Harding and A.R. Pagan, “An Econometric Analysis of Some Models of Constructed Binary Random Variables”, Journal of Business and Economic Statistics, 29,86-95.

Christensen, Timothy; Hurn, Stan; and Pagan, Adrian (2011) "Detecting Common Dynamics in Transitory Components," Journal of Time Series Econometrics: Vol. 3 : Iss. 1, Article 3.

T. M. Christensen, A.S. Hurn and A.R. Pagan , “Detecting Common Dynamics in Transitory Components”, Journal of Time Series Econometrics

R. Fry and A.R. Pagan (2011) ,” Sign Restrictions in Structural Vector Autoregressions: A Critical Review”, Journal of Economic Literature (forthcoming)

L. Maccini and A.R. Pagan (2011), “Inventories, Fluctuations and the Business Cycle” , Macroeconomic Dynamics (forthcoming)