← All authors Gary Koop University of Strathclyde (from arXiv:2501.04607, 2025) · ORCID · OpenAlex
156 papers in scope · 149 published · 16 on the econ.EM arXiv · 14,864 citations · h-index 53 (over the papers listed here)
Related authors The 20 authors closest to this one in our weighted citation graph, most related first.
Florian Huber Rubén Loaiza-Maya Joshua C. C. Chan Luca Onorante Gregor Kastner Worapree Maneesoonthorn Niko Hauzenberger Dimitris Korobilis David T. Frazier Gael M. Martin Xuewen Yu Didier Nibbering Sylvia Frühwirth-Schnatter John M. Maheu David J. Kohns Luca Rossini Jan Prüser Mike West Michael Pfarrhofer Massimiliano Marcellino Proximity is measured over citations between two papers we both hold, weighted by how heavily one leans on the other, and is symmetric — it does not distinguish citing from being cited. Authors without a profile here are skipped, and a genuinely close colleague can be missing simply because their work is not in our arXiv corpus. Method: docs/06-citations-pipeline.md .
Papers (16 of 156)
Fast, Order-Invariant Bayesian Inference in VARs Using the Eigendecomposition of the Error Covariance Matrix
published 2025 · Journal of Business and Economic Statistics · 1 citations
with Wu Ping
A Flexible Approach to Augmenting a Bayesian VAR with Nonlinear Factors *
published 2025 · Journal of Business and Economic Statistics
working paper 2025 · arXiv · 1 citations
Fast and order‐invariant inference in Bayesian VARs with nonparametric shocks
published 2024 · Journal of Applied Econometrics · 3 citations
working paper 2024 · arXiv
published 2024 · The Annals of Applied Statistics · 15 citations · first circulated 2022
Editorial Introduction of the Special Issue of Studies in Nonlinear Dynamics and Econometrics in Honor of Herman van Dijk
published 2024 · Studies in Nonlinear Dynamics and Econometrics
Investigating Growth-at-Risk Using a Multicountry Nonparametric Quantile Factor Model
published 2024 · Journal of Business and Economic Statistics · 17 citations
Incorporating short data into large mixed-frequency vector autoregressions for regional nowcasting
published 2023 · Journal of the Royal Statistical Society Series A (Statistics in Society) · 6 citations
working paper 2023 · arXiv · 1 citations
published 2023 · Studies in Nonlinear Dynamics and Econometrics · 9 citations
published 2023 · Journal of Business and Economic Statistics · 42 citations · first circulated 2021
published 2023 · International Journal of Forecasting · 38 citations · first circulated 2022
Estimating the ordering of variables in a VAR using a Plackett–Luce prior
published 2023 · Economics Letters · 3 citations
with Wu Ping
Large stochastic volatility in mean VARs
published 2023 · Journal of Econometrics · 16 citations
working paper 2023 · arXiv
published 2023 · Journal of Applied Econometrics · 5 citations · first circulated 2021
published 2022 · International Economic Review · 41 citations · first circulated 2018
TAIL FORECASTING WITH MULTIVARIATE BAYESIAN ADDITIVE REGRESSION TREES
published 2022 · International Economic Review · 44 citations · first circulated 2021
Cross-country uncertainty spillovers: Evidence from international survey data
published 2022 · Journal of International Money and Finance · 14 citations
working paper 2022 · arXiv
Using stochastic hierarchical aggregation constraints to nowcast regional economic aggregates
published 2022 · International Journal of Forecasting · 5 citations
APPROXIMATE BAYESIAN INFERENCE AND FORECASTING IN HUGE‐DIMENSIONAL MULTICOUNTRY VARs
published 2022 · International Economic Review · 3 citations
Reconciled Estimates of Monthly GDP in the United States
published 2022 · Journal of Business and Economic Statistics · 15 citations
Forecasting using variational Bayesian inference in large vector autoregressions with hierarchical shrinkage
published 2022 · International Journal of Forecasting · 32 citations · first circulated 2019
published 2021 · Journal of Business and Economic Statistics · 31 citations · first circulated 2019
working paper 2021 · arXiv
NOWCASTING ‘TRUE’ MONTHLY U.S. GDP DURING THE PANDEMIC
published 2021 · National Institute Economic Review · 8 citations
published 2020 · Journal of Econometrics · 81 citations
Choosing between identification schemes in noisy-news models
published 2020 · Studies in Nonlinear Dynamics and Econometrics
Can News and Noise Shocks Be Disentangled?
published 2020 · Diskussionsschriften
RECONCILED ESTIMATES AND NOWCASTS OF REGIONAL OUTPUT IN THE UK
published 2020 · National Institute Economic Review · 10 citations
Composite likelihood methods for large Bayesian VARs with stochastic volatility
published 2020 · Journal of Applied Econometrics · 11 citations · first circulated 2018
Exchange rate predictability and dynamic Bayesian learning
published 2020 · Journal of Applied Econometrics · 39 citations · first circulated 2018
Computationally efficient inference in large Bayesian mixed frequency VARs
published 2020 · Economics Letters · 20 citations
working paper 2020 · arXiv · 7 citations
published 2020 · Journal of Business and Economic Statistics · 84 citations · first circulated 2019
Regional output growth in the United Kingdom: More timely and higher frequency estimates from 1970
published 2019 · Journal of Applied Econometrics · 54 citations
Identifying noise shocks
published 2019 · Journal of Economic Dynamics and Control · 3 citations · first circulated 2018
UK Regional Nowcasting Using a Mixed Frequency Vector Auto-Regressive Model with Entropic Tilting
published 2019 · Journal of the Royal Statistical Society Series A (Statistics in Society) · 31 citations
Forecasting with High‐Dimensional Panel VARs
published 2019 · Oxford Bulletin of Economics and Statistics · 38 citations · first circulated 2015
An empirical assessment of recent challenges in today's financial markets
published 2019 · Scottish Journal of Political Economy · 1 citations
with Joscha Beckmann, Robert Czudaj
Nowcasting Using Mixed Frequency Methods: An Application to the Scottish Economy
published 2019 · Sankhya B · 2 citations
Bayesian compressed vector autoregressions
published 2018 · Journal of Econometrics · 80 citations · first circulated 2016
One size does not fit all… panel data: Bayesian model averaging and data poolability
published 2018 · Economic Modelling · 21 citations
with Rodolphe Desbordes, Vincent Vicard
A New Model of Inflation, Trend Inflation, and Long‐Run Inflation Expectations
published 2018 · Journal of money credit and banking · 123 citations · first circulated 2015
Bayesian Methods for Empirical Macroeconomics with Big Data
published 2017 · Review of Economic Analysis · 48 citations
Special issue on Bayesian econometrics
published 2016 · Computational Statistics & Data Analysis
Large Bayesian VARMAs
published 2016 · Journal of Econometrics · 36 citations · first circulated 2015
Model uncertainty in Panel Vector Autoregressive models
published 2015 · European Economic Review · 101 citations · first circulated 2014
Should we care about the uncertainty around measures of political-economic development?
published 2015 · Journal of Comparative Economics · 23 citations
with Rodolphe Desbordes
Domestic Violence and Football in Glasgow: Are Reference Points Relevant?
published 2015 · Oxford Bulletin of Economics and Statistics · 20 citations · first circulated 2012
with Alex Dickson, Colin Jennings
A Bounded Model of Time Variation in Trend Inflation, Nairu and the Phillips Curve
published 2015 · Journal of Applied Econometrics · 57 citations · first circulated 2014
A new index of financial conditions
published 2014 · European Economic Review · 663 citations · first circulated 2013
CFEnetwork: The Annals of Computational and Financial Econometrics
published 2014 · Computational Statistics & Data Analysis
The Contribution of Structural Break Models to Forecasting Macroeconomic Series
published 2014 · Journal of Applied Econometrics · 74 citations · first circulated 2011
Regime-switching cointegration
published 2014 · Studies in Nonlinear Dynamics and Econometrics · 36 citations · first circulated 2011
with Markus Jochmann
A new look at variation in employment growth in Canada: The role of industry, provincial, national and external factors
published 2014 · Journal of Economic Dynamics and Control · 8 citations · first circulated 2013
Forecasting with dimension switching VARs
published 2013 · International Journal of Forecasting · 21 citations
Hierarchical Shrinkage in Time‐Varying Parameter Models
published 2013 · Journal of Forecasting · 135 citations · first circulated 2011
Modeling the relationship between European carbon permits and certified emission reductions
published 2013 · Journal of Empirical Finance · 16 citations
with Lise Tole
Editorial: The Scottish Journal of Political Economy's 60th Birthday Issue
published 2013 · Scottish Journal of Political Economy · 1 citations
Modelling breaks and clusters in the steady states of macroeconomic variables
published 2013 · Computational Statistics & Data Analysis · 13 citations · first circulated 2011
Large time-varying parameter VARs
published 2013 · Journal of Econometrics · 499 citations · first circulated 2012
On Identification of Bayesian DSGE Models
published 2013 · Journal of Business and Economic Statistics · 69 citations · first circulated 2011
Forecasting the European Carbon Market
published 2012 · Journal of the Royal Statistical Society Series A (Statistics in Society) · 97 citations · first circulated 2011
with Lise Tole
TIME VARIATION IN THE DYNAMICS OF WORKER FLOWS: EVIDENCE FROM NORTH AMERICA AND EUROPE
published 2012 · Journal of Applied Econometrics · 14 citations
FORECASTING INFLATION USING DYNAMIC MODEL AVERAGING*
published 2012 · International Economic Review · 404 citations · first circulated 2009
Introduction for the annals issue of the Journal of Econometrics on “Bayesian Models, Methods and Applications”
published 2012 · Journal of Econometrics
with John Geweke, Richard Paap
Bayesian model averaging in the instrumental variable regression model
published 2012 · Journal of Econometrics · 67 citations · first circulated 2011
with Roberto León-González, Rodney W. Strachan
Time Varying Dimension Models
published 2012 · Journal of Business and Economic Statistics · 84 citations · first circulated 2010
The Annals of Computational and Financial Econometrics, first issue
published 2012 · Computational Statistics & Data Analysis
Estimating the impact on efficiency of the adoption of a voluntary environmental standard: an empirical study of the global copper mining industry
published 2012 · Journal of Productivity Analysis · 8 citations · first circulated 2011
with Lise Tole
A New Model of Trend Inflation
published 2012 · Journal of Business and Economic Statistics · 108 citations
Comment on Article by Wyse et al.
published 2011 · Bayesian Analysis
Forecasting with Medium and Large Bayesian VARS
published 2011 · Journal of Applied Econometrics · 393 citations · first circulated 2010
Bayesian inference in a time varying cointegration model
published 2011 · Journal of Econometrics · 63 citations · first circulated 2008
with Roberto León-González, Rodney W. Strachan, Roberto Leon-Gonzales
Understanding liquidity and credit risks in the financial crisis
published 2011 · Journal of Empirical Finance · 80 citations · first circulated 2010
UK macroeconomic forecasting with many predictors: Which models forecast best and when do they do so?
published 2011 · Economic Modelling · 61 citations · first circulated 2009
The dynamics of UK and US inflation expectations
published 2011 · Computational Statistics & Data Analysis · 47 citations
Stochastic search variable selection in vector error correction models with an application to a model of the UK macroeconomy
published 2011 · Journal of Applied Econometrics · 21 citations · first circulated 2009
with Markus Jochmann, Roberto León-González, Rodney W. Strachan
Time varying VARs with inequality restrictions
published 2011 · Journal of Economic Dynamics and Control · 64 citations
with Simon Potter
Bayesian Multivariate Time Series Methods for Empirical Macroeconomics
published 2010 · Foundations and Trends® in Econometrics · 207 citations · first circulated 2009
A flexible approach to parametric inference in nonlinear and time varying time series models
published 2010 · Journal of Econometrics · 3 citations · first circulated 2007
with Simon Potter
Bayesian forecasting using stochastic search variable selection in a VAR subject to breaks
published 2010 · International Journal of Forecasting · 49 citations · first circulated 2008
with Markus Jochmann, Rodney W. Strachan
Do environmental regulations affect the location decisions of multinational gold mining firms?
published 2010 · Journal of Economic Geography · 79 citations
with Lise Tole
A Review of A First Course in Bayesian Statistical Methods
published 2010 · Econometrics Journal
Efficient Posterior Simulation for Cointegrated Models with Priors on the Cointegration Space
published 2009 · Econometric Reviews · 75 citations · first circulated 2006
with Roberto León-González, Rodney W. Strachan
Dynamic Probabilities of Restrictions in State Space Models: An Application to the Phillips Curve
published 2009 · Journal of Business and Economic Statistics · 43 citations
with Roberto León-González, Rodney W. Strachan
Real-Time Prediction With U.K. Monetary Aggregates in the Presence of Model Uncertainty
published 2009 · Journal of Business and Economic Statistics · 78 citations · first circulated 2008
with Anthony Garratt, Emi Mise, Shaun P. Vahey
Modeling the dynamics of inflation compensation
published 2009 · Journal of Empirical Finance · 42 citations · first circulated 2008
with Markus Jochmann, Simon Potter
PRIOR ELICITATION IN MULTIPLE CHANGE‐POINT MODELS*
published 2009 · International Economic Review · 40 citations · first circulated 2004
with Simon Potter
On the evolution of the monetary policy transmission mechanism
published 2008 · Journal of Economic Dynamics and Control · 267 citations
with Roberto León-González, Rodney W. Strachan
Forecasting Substantial Data Revisions in the Presence of Model Uncertainty
published 2008 · The Economic Journal · 32 citations · first circulated 2006
with Anthony Garratt, Shaun P. Vahey
What is the environmental performance of firms overseas? An empirical investigation of the global gold mining industry
published 2008 · Journal of Productivity Analysis · 18 citations · first circulated 2007
with Lise Tole
Re‐Examining the Consumption–Wealth Relationship: The Role of Model Uncertainty
published 2008 · Journal of money credit and banking · 34 citations · first circulated 2005
with Simon Potter, Rodney W. Strachan
Estimation and Forecasting in Models with Multiple Breaks
published 2007 · The Review of Economic Studies · 230 citations
with Simon Potter
Editors' Introduction to the Special Issue of Econometric Reviews on Bayesian Dynamic Econometrics
published 2007 · Econometric Reviews
with Herman K. van Dijk
Semiparametric Bayesian inference in smooth coefficient models
published 2005 · Journal of Econometrics · 38 citations · first circulated 2003
with Justin L. Tobias
Semiparametric Bayesian inference in multiple equation models
published 2005 · Journal of Applied Econometrics · 36 citations · first circulated 2003
with Dale J. Poirier, Justin L. Tobias
Forecasting in dynamic factor models using Bayesian model averaging
published 2004 · Econometrics Journal · 30 citations
with Simon Potter
Modelling the Evolution of Distributions: An Application to Major League Baseball
published 2004 · Journal of the Royal Statistical Society Series A (Statistics in Society) · 17 citations · first circulated 2001
Current developments in productivity and efficiency measurement
published 2004 · Journal of Econometrics · 42 citations
with Jeffrey H. Dorfman
Alternative efficiency measures for multiple-output production
published 2004 · Journal of Econometrics · 70 citations · first circulated 2003
with Carmen Fernández, Mark F. J. Steel
Learning about heterogeneity in returns to schooling
published 2004 · Journal of Applied Econometrics · 48 citations
with Justin L. Tobias
Bayesian variants of some classical semiparametric regression techniques
published 2004 · Journal of Econometrics · 86 citations · first circulated 2000
with Dale J. Poirier
Measuring the health effects of air pollution: to what extent can we really say that people are dying from bad air?
published 2003 · Journal of Environmental Economics and Management · 105 citations
with Lise Tole
A Bayesian analysis of a variance decomposition for stock returns
published 2003 · Journal of Empirical Finance · 16 citations · first circulated 2002
with Burton Hollifield, Kai Li
Bayesian Analysis of Endogenous Delay Threshold Models
published 2003 · Journal of Business and Economic Statistics · 32 citations · first circulated 2000
with Simon Potter
Comparing the Performance of Baseball Players
published 2002 · Journal of the American Statistical Association · 19 citations
Modelling Recreation Demand Using Choice Experiments: Climbing in Scotland
published 2002 · Environmental and Resource Economics · 234 citations
with Nick Hanley, Robert E. Wright
Multiple-Output Production With Undesirable Outputs
published 2002 · Journal of the American Statistical Association · 123 citations
with Carmen Fernández, Mark F. J. Steel
Testing for optimality in job search models
published 2001 · Econometrics Journal · 6 citations
with Dale J. Poirier
The valuation of IPO and SEO firms
published 2001 · Journal of Empirical Finance · 47 citations · first circulated 1998
with Kai Li
Are apparent findings of nonlinearity due to structural instability in economic time series?
published 2001 · Econometrics Journal · 108 citations · first circulated 1999
with Simon Potter
Bayesian inference in models based on equilibrium search theory
published 2001 · Journal of Econometrics · 8 citations · first circulated 1999
Cross‐Sectoral Patterns of Efficiency and Technical Change in Manufacturing
published 2001 · International Economic Review · 39 citations · first circulated 1999
Go climb a mountain: an application of recreation demand modelling to rock climbing in Scotland
published 2001 · Journal of Agricultural Economics · 66 citations
with Nick Hanley, Begoña Á. Farizo, Robert E. Wright, Ceara Nevin
A Stochastic Frontier Analysis of Output Level and Growth in Poland and Western Economies
published 2000 · Economics of Planning · 43 citations · first circulated 1997
with Jacek Osiewalski, Mark F. J. Steel
A Bayesian analysis of multiple-output production frontiers
published 2000 · Journal of Econometrics · 80 citations · first circulated 1999
with Carmen Fernández, Mark F. J. Steel
Testing for integration using evolving trend and seasonals models: A Bayesian approach
published 2000 · Journal of Econometrics · 53 citations · first circulated 1999
with Herman K. van Dijk
Modeling the Sources of Output Growth in a Panel of Countries
published 2000 · Journal of Business and Economic Statistics · 105 citations · first circulated 1995
with Jacek Osiewalski, Mark F. J. Steel
The Components of Output Growth: A Stochastic Frontier Analysis
published 1999 · Oxford Bulletin of Economics and Statistics · 127 citations
with Jacek Osiewalski, Mark F. J. Steel
Bayesian analysis, computation and communication software
published 1999 · Journal of Applied Econometrics · 4 citations
Dynamic Asymmetries in U.S. Unemployment
published 1999 · Journal of Business and Economic Statistics · 159 citations
with Simon Potter
Is there an environmental Kuznets curve for deforestation?
published 1999 · Journal of Development Economics · 343 citations
with Lise Tole
Bayes factors and nonlinearity: Evidence from economic time series
published 1999 · Journal of Econometrics · 144 citations
with Simon Potter
Incomplete models and reweighting
published 1999 · Econometric Reviews · 1 citations
with Dale J. Poirier
Carbon dioxide emissions and economic growth: A structural approach
published 1998 · Journal of Applied Statistics · 54 citations
On the sensitivity of unit root inference to nonlinear data transformations
published 1998 · Economics Letters · 24 citations
with Philip Hans Franses
A Bayesian analysis of periodic integration
published 1997 · Journal of Forecasting · 19 citations
with Philip Hans Franses
Measuring differential forest outcomes: A tale of two countries
published 1997 · World Development · 16 citations
with Lise Tole
Learning about the across-regime correlation in switching regression models
published 1997 · Journal of Econometrics · 63 citations
with Dale J. Poirier
Bayesian efficiency analysis through individual effects: Hospital cost frontiers
published 1997 · Journal of Econometrics · 288 citations · first circulated 1994
with Jacek Osiewalski, Mark F. J. Steel
Bayesian analysis of long memory and persistence using ARFIMA models
published 1997 · Journal of Econometrics · 82 citations · first circulated 1995
with Eduardo Ley, Jacek Osiewalski, Mark F. J. Steel
Impulse response analysis in nonlinear multivariate models
published 1996 · Journal of Econometrics · 5071 citations
Parameter uncertainty and impulse response analysis
published 1996 · Journal of Econometrics · 87 citations
Bayesian long-run prediction in time series models
published 1995 · Journal of Econometrics · 28 citations · first circulated 1992
with Jacek Osiewalski, Mark F. J. Steel
An Empirical Investigation of Wagner's Hypothesis by Using a Model Occurrence Framework
published 1995 · Journal of the Royal Statistical Society Series A (Statistics in Society) · 16 citations
with Dale J. Poirier
Rank‐ordered logit models: An empirical analysis of Ontario voter preferences
published 1994 · Journal of Applied Econometrics · 55 citations
with Dale J. Poirier
Posterior Properties of Long-Run Impulse Responses
published 1994 · Journal of Business and Economic Statistics · 7 citations · first circulated 1992
with Jacek Osiewalski, Mark F. J. Steel
Bayesian Efficiency Analysis With a Flexible Form: The AIM Cost Function
published 1994 · Journal of Business and Economic Statistics · 91 citations · first circulated 1993
with Jacek Osiewalski, Mark F. J. Steel
An objective Bayesian analysis of common stochastic trends in international stock prices and exchange rates
published 1994 · Journal of Empirical Finance · 34 citations
Using seminonparametric methods to model hospital cost functions: The multi-product asymptotically ideal model
published 1994 · Journal of Productivity Analysis · 8 citations
with Kathleen Carey
Stochastic frontier models
published 1994 · Journal of Econometrics · 413 citations
with Julien van den Broeck, Jacek Osiewalski, Mark F. J. Steel
RECENT PROGRESS IN APPLIED BAYESIAN ECONOMETRICS
published 1994 · Journal of Economic Surveys · 53 citations
Bayesian Semi-Nonparametric Arch Models
published 1994 · The Review of Economics and Statistics · 10 citations
A Decision-Theoretic Analysis of the Unit-Root Hypothesis Using Mixtures of Elliptical Models
published 1994 · Journal of Business and Economic Statistics · 30 citations
with Mark F. J. Steel
Do recessions permanently change output?
published 1993 · Journal of Monetary Economics · 497 citations
with Paul Beaudry
Bayesian analysis of logit models using natural conjugate priors
published 1993 · Journal of Econometrics · 45 citations
with Dale J. Poirier
Aggregate shocks and macroeconomic fluctuations: A bayesian approach
published 1992 · Journal of Applied Econometrics · 38 citations
‘Objective’ bayesian unit root tests
published 1992 · Journal of Applied Econometrics · 73 citations
Review of pcbrap
published 1992 · Journal of Applied Econometrics · 1 citations
A comment on: ‘To criticize the critics: An objective bayesian analysis of stochastic trends’, By Peter C. B. Phillips
published 1991 · Journal of Applied Econometrics · 10 citations
with Mark F. J. Steel
Cointegration tests in present value relationships
published 1991 · Journal of Econometrics · 19 citations
Intertemporal Properties of Real Output: A Bayesian Analysis
published 1991 · Journal of Business and Economic Statistics · 20 citations
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