Richard G. Pierse Home Page
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Introduction
Richard Pierse is an academic econometrician. He received a BA in Philosophy, Politics and Economics (PPE) from Oxford University in 1976 and an MSc in Mathematical Economics and Econometrics from London School of Economics in 1979. He has held research positions at the National Institute of Economic and Social Research, London School of Economics and the Department of Applied Economics at Cambridge University where he worked from 1982-92. He was then at the Centre for Economic Forecasting at the London Business School and the University of Surrey from 1995 to 2014. He has been a Consultant to the Bank of England (1995-2004) and a Consultant to H.M. Treasury (2004-2009) and is currently a Fellow at the National Institute of Economic and Social Research. He is the author of WinSolve, a computer package for solving nonlinear economic models.
Richard enjoys travel (a few of his holidays snaps can be seen here) and is interested in genealogy. His brother Simon is an artist and his sister Jane is a GP.
Research interests
Richard's main research interest is in issues of aggregation in econometrics, both across sectors and over time. He is also interested in macroeconomic modelling and in economic computing. He has published in the leading economics and econometrics journals including Econometrica, Review of Economic Studies, Journal of Econometrics, The Economic Journal and the Journal of the American Statistical Association.
Main Published Papers 1984-2010
- 'Estimating missing observations in economic time series', Journal of the American Statistical Association, Vol. 79, 125-131, 1984 (with A. C. Harvey). doi link
- 'Stability of a UK money demand equation: a Bayesian approach to testing exogeneity', Review of Economic Studies, Vol. 53, 603-634, 1986 (with M. Lubrano and J.-F. Richard). doi link
- 'Econometric analysis of aggregation in the context of linear prediction models', Econometrica, Vol. 57, 861-888, 1989 (with M. H. Pesaran and M. S. Kumar). doi link
- 'A proof of the asymptotic validity of a test for perfect aggregation', Economics Letters, Vol. 30, 41-47, 1989 (with M. H. Pesaran). doi link
- 'Testing for aggregation bias in linear models', Economic Journal, Vol. 100, 137-150, 1990 (with K. C. Lee and M. H. Pesaran). doi link
- 'Persistence of shocks and its sources in a multisectoral model of UK output growth', Economic Journal, Vol. 102, 342-356, 1992 (with K. C. Lee and M. H. Pesaran). doi link
- 'Persistence, cointegration and aggregation: a disaggregated analysis of output fluctuations in the US economy', Journal of Econometrics, Vol. 56, 57-88, 1993 (with M. H. Pesaran and K. C. Lee). doi link
- 'Choice between disaggregate and aggregate specifications estimated by instrumental variables methods', Journal of Business and Economic Statistics, Vol. 12, 11-21, 1994 (with M. H. Pesaran and K. C. Lee).doi link
- 'Temporal aggregation and the power of test for a unit root', Journal of Econometrics, Vol. 65, 333-345, 1995 (with A. J. Snell). doi link
- 'GaussX; Version 3.4', Journal of Applied Econometrics, Vol. 11, 687-693, 1996. doi link
- 'A Kalman filter approach to estimating the UK NAIRU', Bank of England, WP 179, 2003 (with J. V. Greenslade and J. Salaheen)
- 'Whatever happened to Goldilocks? The role of expectations in estimates of the NAIRU in the US and the UK', Oxford Bulletin of Economics and Statistics, Vol. 68, 45-79, 2006 (with R. L. Driver and J. V. Greenslade).
- 'Linear-quadratic approximation, external habit and targeting rules', Journal of Economic Dynamics and Control, Vol. 32, 3315-49, 2008 (with P. Levine and J. Pearlman).
- 'Does energy consumption cause economic growth? Evidence from a systematic study of over 100 countries', Journal of Policy Modeling, Vol. 30, 209-220, 2008 (with J. Chontanawat and L. C. Hunt).
- 'Risk management in action: robust monetary rules under structured uncertainty', European Central Bank, Working Paper No. 870, 2008 (with P. Levine, P. McAdam and J. Pearlman).
- 'Growth and welfare effects of world migration', Scottish Journal of Political Economy, Vol. 57, 615-643, 2010 (with P. Levine, E. Lotti and J. Pearlman)
Papers on WinSolve
- WinSolve Version 4: An Introductory Guide Version 4 Introductory guide in pdf format
- A Tutorial on WinSolve Version 4 A tutorial covering a few of the new features of WinSolve Version 4
- An Introductory Guide to WinSolve A pdf version of the Introductory guide
- Solution methods for nonlinear models to solve both forward looking and non-forward looking non-linear models
- Building models with WinSolve A short introduction to building models using as illustration, a simple rational expectations model
- WinSolve tutorials A WinSolve tutorial making use of two models: Klein's model 1 and a simple RBC model
- Forecasting with WinSolve A WinSolve tutorial covering forecasting using Klein's model 1 for illustration
- Small Analytical models and WinSolve A tutorial illustrating using WinSolve to solve two small analytical models: (Ramsey's model and a simple stochastic growth model)
- The WinSolve log file command language A formal description of the batch command language used in WinSolve log files
- The WinSolve "diy" file language A formal definition of a general language for defining solution algorithms
- Building and Solving Macroeconomic Models using WinSolve
Four talks prepared for a HKIMR workshop held in Hong Kong, April 11-12 2006Other papers
- Multiple regime models with switches in exogeneity (1979) (MSc dissertation)
- 'Agregation bias in labour demand equations for the UK economy' (1990), in T. S. Barker and M. H. Pesaran (eds.) Disaggregation in Econometric Modelling, Routledge (with K. C. Lee and M. H. Pesaran). doi link
- Common cycles in sectoral output in the UK (2000) (with A. Garratt)
- Collected Papers 1979-1995 (2016) (draft)
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